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Mixed-frequency quantile regressions to forecast value-at-risk and expected shortfall
Although quantile regression to calculate risk measures is widely established in the financial literature, when considering data observed at mixed-frequency, an extension is needed. In this paper, a model is built on a mixed-frequency quantile regressions to directly estimate the Value-at-Risk (VaR)...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2023
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10191104/ https://www.ncbi.nlm.nih.gov/pubmed/37361082 http://dx.doi.org/10.1007/s10479-023-05370-x |