Multiple-step value-at-risk forecasts based on volatility-filtered MIDAS quantile regression: Evidence from major investment assets

Multiple-step value-at-risk forecasts based on volatility-filtered MIDAS quantile regression: Evidence from major investment assets

Forecasting multiple-step value-at-risk (VaR) consistently across asset classes is hindered by the limited sample size of low-frequency returns and the potential model misspecification when assuming identical return distributions over different holding periods. This paper hence investigates the pred...

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Bibliographic Details
Main Authors: Qian Chen, Xiang Gao, Xiaoxuan Huang, Xi Li
Format: Article
Language:English
Published: LLC "CPC "Business Perspectives" 2021-09-01
Series:Investment Management & Financial Innovations
Subjects:
GARCH
mixed frequency
multi-step forecast
quantile regression
risk forecast
Online Access:https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/15555/IMFI_2021_03_Chen.pdf

Internet

https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/15555/IMFI_2021_03_Chen.pdf

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