Quantile-based GARCH-MIDAS : estimating value-at-risk using mixed-frequency information
Yan Xu, Xinyu Wang, Hening Liu
| Year of publication: |
2021
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|---|---|
| Authors: | Xu, Yan ; Wang, Xinyu ; Liu, Hening |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 43.2021, p. 1-9
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| Subject: | Error bootstrapping method | GARCH-MIDAS | Quantile regression | Value-at-risk forecast | Risikomaß | Risk measure | Bootstrap-Verfahren | Bootstrap approach | Prognoseverfahren | Forecasting model | Regressionsanalyse | Regression analysis | Schätztheorie | Estimation theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2021.101965 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014632411