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Journal of Banking & Finance Vol. 192 2026

Real-time macroeconomic quantile factors for daily Value-at-Risk and Expected Shortfall forecasting: Statistical significance and economic value

Xiao Huang1; Xiaochun Liu2

1 Kennesaw State University · 2 University of Alabama

DOI
10.1016/j.jbankfin.2026.107831
Volume
192
Pages
107831
Language
en
Sources
crossref openalex

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