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

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

5 Presentation at conference/workshop/seminar
2 Other

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Conference Chair of The 2023 XJTLU AI and Big Data in Accounting and Finance Conference and British Accounting Review (BAR) special issue
Yi Luo (Participant)
10 Jun 2023
Activity: Other
Conference Chair of The 3rd Frontiers of Factor Investing Conference
Yi Luo (Participant)
15 Sept 2022
Activity: Other