Friday (and Saturday), the 2023 NBER-NSF conference on time series will take place at UQAM. Philipp Ratz will present some recent work on Value-at-risk Forecasting via Sieves.
A previous version of the paper is available on ArXiv.
OpenEdition suggests that you cite this post as follows:
Arthur Charpentier (September 20, 2023). Value-at-risk Forecasting via Sieves. Freakonometrics. Retrieved July 16, 2026 from https://doi.org/10.58079/ovmr