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

Xiaohan Xue
, Marwan Izzeldin

Department of Accounting

University of Bath
Lancaster University

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

Original language	English
Journal	Journal of Financial Econometrics
Publication status	Submitted - 19 Jan 2023

5 Presentation at conference/workshop/seminar
2 Other

2023 Annual Conference of the International Association for Applied Econometrics
Luo, Y. (Speaker)
29 Jun 2023
Activity: Talk or presentation › Presentation at conference/workshop/seminar
British Accounting Review Special Issue and Conference: AI in Accounting and Finance
Luo, Y. (Speaker)
11 Jun 2023
Activity: Talk or presentation › Presentation at conference/workshop/seminar
Conference Chair of The 2023 XJTLU AI and Big Data in Accounting and Finance Conference and British Accounting Review (BAR) special issue
Luo, Y. (Participant)
10 Jun 2023
Activity: Other

Cite this

@article{277dace72139490a8ac2d6ef8118b86e,

title = "When MIDAS Meets LASSO: The Wisdom of Low-frequency Variables in Forecasting Value-at-Risk and Expected Shortfall",

author = "Yi Luo and \{Xiaohan Xue\} and \{Marwan Izzeldin\}",

year = "2023",

month = jan,

day = "19",

language = "English",

journal = "Journal of Financial Econometrics",

issn = "1479-8417",

publisher = "Oxford University",

}