Results 51 to 60 of about 513 (158)

Bitcoin Price Direction Forecasting and Market Variables

Journal of Futures Markets, Volume 45, Issue 10, Page 1579-1600, October 2025.
ABSTRACT This paper aims to improve Bitcoin price direction prediction using a CNN‐LSTM model that incorporates various relevant indicators, such as stock market indices, commodity indices, and interest rates. Separate models are trained for predicting price up and down direction and combined to enhance prediction accuracy.
Taegyum Kim, Hyeontae Jo, Woohyuk Choi, Bong‐Gyu Jang   +3 more
wiley   +1 more source

Introduction and Performance Comparison of some Common Multi-period VaR Forecasting Methods: A Case Study of the Tehran Stock Exchange [PDF]

فصلنامه پژوهش‌های اقتصادی ایران, 2014
According to the Basel accords, financial institutions should forecast VaR of their portfolio over multi-period time horizons in order to determine their capital adequacy.
Seyed Mehdi Barakchian, Mohammad Hossein Rezaei   +1 more
doaj  

A Low Price Correction for Improved Volatility Estimation and Forecasting

Risks, 2017
In this work, we focus on volatility estimation which plays a crucial role in risk analysis and management. In order to improve value at risk (VaR) forecasts, we discuss the concept of low price effect and introduce the low price correction which does ...
George-Jason Siouris, Alex Karagrigoriou
doaj   +1 more source

A Reversed Early Warning Methodology for Optimal Bank Profit Retention Recommendations

International Journal of Finance &Economics, Volume 30, Issue 4, Page 3457-3475, October 2025.
ABSTRACT This study introduces a calibration method for the newest policy instrument in prudential supervision by endogenising profit retention targets via a reversed early warning system, depending on the supervisors' risk tolerance, the exposure to the economy, and the level of financial pressure.
Petr Jakubik, Bogdan Gabriel Moinescu
wiley   +1 more source

Backtesting expected shortfall: a simple recipe? [PDF]

Journal of Risk, 2019
We propose a new backtesting framework for Expected Shortfall that could be used by the regulator. Instead of looking at the estimated capital reserve and the realised cash-flow separately, one could bind them into the secured position, for which risk measurement is much easier. Using this simple concept combined with monotonicity of Expected Shortfall
Moldenhauer, Felix, Pitera, Marcin
openaire   +3 more sources

Hedging of Fixing Exposure

Mathematical Finance, Volume 35, Issue 4, Page 818-840, October 2025.
ABSTRACT FX fixings are an indispensable and widely used reference rate in a market that trades continuously without an official close. Yet, a dealer's handling of fix transactions is a much debated topic. Especially when exposure to the fix is large relative to available market liquidity and hedging may extend to the pre‐fix window, an inherent ...
Johannes Muhle‐Karbe, Roel Oomen, Benjamin Weber   +2 more
wiley   +1 more source

Evaluation of VaR Estimates based on ARCH type Models [PDF]

فصلنامه پژوهش‌های اقتصادی ایران, 2011
This paper studies four ARCH type models including ARCH, GARCH, EGARCH and TGARCH at Value at Risk (VaR) estimation. The four models were applied to daily Tehran stock market data to assess each model in estimating one day Value at Risk at various ...
Naser Khiabani, Maryam Sarooghi
doaj  

Measuring the Impact of Transition Risk on Financial Markets: A Joint VaR‐ES Approach

Journal of Forecasting, Volume 44, Issue 6, Page 1907-1945, September 2025.
ABSTRACT Based on a joint quantile and expected shortfall semiparametric methodology, we propose a novel approach to forecasting market risk conditioned to transition risk exposure. This method allows us to forecast two climate‐related financial risk measures called CoClimateVaR and CoClimateES, being jointly elicitable, that capture the dependence of ...
Laura Garcia‐Jorcano, Lidia Sanchis‐Marco   +1 more
wiley   +1 more source

Forecasting Wind–Photovoltaic Energy Production and Income with Traditional and ML Techniques

Econometrics
Hybrid production plants harness diverse climatic sources for electricity generation, playing a crucial role in the transition to renewable energies. This study aims to forecast the profitability of a combined wind–photovoltaic energy system.
Giovanni Masala, Amelie Schischke
doaj   +1 more source

On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles

Risks, 2018
This article reviews two leading measures of financial risk and an emerging alternative. Embraced by the Basel accords, value-at-risk and expected shortfall are the leading measures of financial risk.
James Ming Chen
doaj   +1 more source