When MIDAS Meets LASSO: The Power of Low-frequency Variables in Forecasting Value-at-Risk and Expected Shortfall

Yi Luo^*, Xiaohan Xue, Marwan Izzeldin

^*Corresponding author for this work

Department of Accounting

Research output: Contribution to journal › Article › peer-review

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Bank Loan Loss Provision Estimates: A Hybrid Data-driven Approach
Luo, Y.
1/07/23 → 30/06/26
Project: Internal Research Project