When MIDAS meets LASSO : the power of low-frequency variables in forecasting Value-at-Risk and expected shortfall
Yi Luo, Xiaohan Xue, and Marwan Izzeldin
| Year of publication: |
2025
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| Authors: | Luo, Yi ; Xue, Xiaohan ; Izzeldin, Marwan |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 23.2025, 1, Art.-No. nbae016, p. 1-43
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| Subject: | expected shortfall | machine learning | mixed frequency | value-at-risk | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Künstliche Intelligenz | Artificial intelligence | Risikomanagement | Risk management | Theorie | Theory | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbae016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015339158