Journal articles: 'Elicitabilità'

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Ziegel, Johanna F. "COHERENCE AND ELICITABILITY." Mathematical Finance 26, no. 4 (September 3, 2014): 901–18. http://dx.doi.org/10.1111/mafi.12080.

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He, Xue Dong, Steven Kou, and Xianhua Peng. "Risk Measures: Robustness, Elicitability, and Backtesting." Annual Review of Statistics and Its Application 9, no. 1 (March 7, 2022): 141–66. http://dx.doi.org/10.1146/annurev-statistics-030718-105122.

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Risk measures are used not only for financial institutions’ internal risk management but also for external regulation (e.g., in the Basel Accord for calculating the regulatory capital requirements for financial institutions). Though fundamental in risk management, how to select a good risk measure is a controversial issue. We review the literature on risk measures, particularly on issues such as subadditivity, robustness, elicitability, and backtesting. We also aim to clarify some misconceptions and confusions in the literature. In particular, we argue that, despite lacking some mathematical convenience, the median shortfall—that is, the median of the tail loss distribution—is a better option than the expected shortfall for setting the Basel Accords capital requirements due to statistical and economic considerations such as capturing tail risk, robustness, elicitability, backtesting, and surplus invariance.

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Fissler, Tobias, and Johanna F. Ziegel. "Higher order elicitability and Osband’s principle." Annals of Statistics 44, no. 4 (August 2016): 1680–707. http://dx.doi.org/10.1214/16-aos1439.

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Nolde, Natalia, and Johanna F. Ziegel. "Elicitability and backtesting: Perspectives for banking regulation." Annals of Applied Statistics 11, no. 4 (December 2017): 1833–74. http://dx.doi.org/10.1214/17-aoas1041.

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Nolde, Natalia, and Johanna F. Ziegel. "Rejoinder: “Elicitability and backtesting: Perspectives for banking regulation”." Annals of Applied Statistics 11, no. 4 (December 2017): 1901–11. http://dx.doi.org/10.1214/17-aoas1041f.

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Chen, James Ming. "Coherence Versus Elicitability in Measures of Market Risk." International Advances in Economic Research 20, no. 3 (July 26, 2014): 355–56. http://dx.doi.org/10.1007/s11294-014-9480-1.

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Holzmann, Hajo, and Bernhard Klar. "Discussion of “Elicitability and backtesting: Perspectives for banking regulation”." Annals of Applied Statistics 11, no. 4 (December 2017): 1875–82. http://dx.doi.org/10.1214/17-aoas1041a.

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Schmidt, Patrick. "Discussion of “Elicitability and backtesting: Perspectives for banking regulation”." Annals of Applied Statistics 11, no. 4 (December 2017): 1883–85. http://dx.doi.org/10.1214/17-aoas1041b.

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Davis, Mark H. A. "Discussion of “Elicitability and backtesting: Perspectives for banking regulation”." Annals of Applied Statistics 11, no. 4 (December 2017): 1886–87. http://dx.doi.org/10.1214/17-aoas1041c.

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Zhou, Chen. "Discussion on “Elicitability and backtesting: Perspectives for banking regulation”." Annals of Applied Statistics 11, no. 4 (December 2017): 1888–93. http://dx.doi.org/10.1214/17-aoas1041d.

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Kratz, Marie. "Discussion of “Elicitability and backtesting: Perspectives for banking regulation”." Annals of Applied Statistics 11, no. 4 (December 2017): 1894–900. http://dx.doi.org/10.1214/17-aoas1041e.

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Gadella, Maria C., Sebastiaan E. Dulfer, Anthony R. Absalom, Fiete Lange, Carola H. M. Scholtens-Henzen, Rob J. M. Groen, Frits H. Wapstra, et al. "Comparing Motor-Evoked Potential Characteristics of NEedle versus suRFACE Recording Electrodes during Spinal Cord Monitoring—The NERFACE Study Part I." Journal of Clinical Medicine 12, no. 4 (February 10, 2023): 1404. http://dx.doi.org/10.3390/jcm12041404.

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Muscle-recorded transcranial electrical stimulation motor-evoked potentials (mTc-MEPs) are used to assess the spinal cord integrity. They are commonly recorded with subcutaneous needle or surface electrodes, but the different characteristics of mTc-MEP signals recorded with the two types of electrodes have not been formally compared yet. In this study, mTc-MEPs were simultaneously recorded from the tibialis anterior (TA) muscles using surface and subcutaneous needle electrodes in 242 consecutive patients. Elicitability, motor thresholds, amplitude, area under the curve (AUC), signal-to-noise ratio (SNR), and the variability between mTc-MEP amplitudes were compared. Whereas amplitude and AUC were significantly higher in subcutaneous needle recordings (p < 0.01), motor thresholds and elicitability were similar for surface and subcutaneous needle recordings. Moreover, the SNRs were >2 in more than 99.5% of the surface and subcutaneous needle recordings, and the variability between consecutive amplitudes was not significantly different between the two recording electrode types (p = 0.34). Surface electrodes appear to be a good alternative to needle electrodes for spinal cord monitoring. They are non-invasive, can record signals at similar threshold intensities, have adequately high SNRs, and record signals with equivalent variability. Whether surface electrodes are non-inferior to subcutaneous needle electrodes in detecting motor warnings is investigated in part II of the NERFACE study.

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Heinke, Lars N., Axel J. Knicker, and Kirsten Albracht. "Increased shoulder muscle stretch reflex elicitability in supine subject posture." Isokinetics and Exercise Science 28, no. 2 (May 20, 2020): 139–46. http://dx.doi.org/10.3233/ies-192219.

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14

Fissler, Tobias, Jana Hlavinová, and Birgit Rudloff. "Elicitability and identifiability of set-valued measures of systemic risk." Finance and Stochastics 25, no. 1 (December 30, 2020): 133–65. http://dx.doi.org/10.1007/s00780-020-00446-z.

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AbstractIdentification and scoring functions are statistical tools to assess the calibration of risk measure estimates and to compare their performance with other estimates, e.g. in backtesting. A risk measure is called identifiable (elicitable) if it admits a strict identification function (strictly consistent scoring function). We consider measures of systemic risk introduced in Feinstein et al. (SIAM J. Financial Math. 8:672–708, 2017). Since these are set-valued, we work within the theoretical framework of Fissler et al. (preprint, available online at arXiv:1910.07912v2, 2020) for forecast evaluation of set-valued functionals. We construct oriented selective identification functions, which induce a mixture representation of (strictly) consistent scoring functions. Their applicability is demonstrated with a comprehensive simulation study.

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Strenge, H., and A. Gundel. "Intraindividual F wave amplitude variability and elicitability in normal subjects." Electroencephalography and Clinical Neurophysiology 61, no. 3 (September 1985): S63. http://dx.doi.org/10.1016/0013-4694(85)90265-2.

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Dearborn, Krisztina, and Rafael Frongillo. "On the indirect elicitability of the mode and modal interval." Annals of the Institute of Statistical Mathematics 72, no. 5 (May 16, 2019): 1095–108. http://dx.doi.org/10.1007/s10463-019-00719-1.

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17

Minetto, Marco Alessandro, and Alberto Botter. "Elicitability of muscle cramps in different leg and foot muscles." Muscle & Nerve 40, no. 4 (October 2009): 535–44. http://dx.doi.org/10.1002/mus.21382.

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18

Owusu Junior, Peterson, Imhotep Paul Alagidede, and Aviral Kumar Tiwari. "On the Elicitability and Risk Model Comparison of Emerging Markets Equities." Mathematical and Computational Applications 26, no. 3 (September 6, 2021): 63. http://dx.doi.org/10.3390/mca26030063.

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The need for comparative backtesting in the Basel III framework presents the challenge for ranking of internal value-at-risk (VaR) and expected shortfall (ES) models. We use a joint loss function to score the elicitable joint VaR and ES models to select competing tail risk models for the top 9 emerging markets equities and the emerging markets composite index. We achieve this with the model confidence set (MCS) procedure. Our analysis span two sub-sample periods representing turbulent (Eurozone and Global Financial crises periods) and tranquil (post-Global Financial crisis period) market conditions. We find that many of the markets risk models are time-invariant and independent of market conditions. But for China and South Africa this is not true because their risk models are time-varying, market conditions-dependent, percentile-dependent and heterogeneous. Tail risk modelling may be difficult compared to other markets. The resemblance between China and South Africa can stem from the closeness between their equities composition. However, generally, there is evidence of more homogeneity than heterogeneity in risk models. This is indicated by a minimum of three models (out of six) per equity in most of the countries. This may ease the burden for risk managers to find the optimal set of models. Our study is important for internal risk modelling, regulatory oversight, reduce regulatory arbitrage and may bolster confidence in international investors with respect to emerging markets equities.

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19

Burzoni, M., I. Peri, and C. M. Ruffo. "On the properties of the Lambda value at risk: robustness, elicitability and consistency." Quantitative Finance 17, no. 11 (April 3, 2017): 1735–43. http://dx.doi.org/10.1080/14697688.2017.1297535.

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20

Satar, B., C. Karaçaylı, V. K. Çoban, and S. Özdemir. "Effects of otosclerosis and stapedotomy on vestibular-evoked myogenic potentials." Journal of Laryngology & Otology 135, no. 12 (October 11, 2021): 1114–18. http://dx.doi.org/10.1017/s002221512100284x.

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AbstractObjectiveLimited data are available on the effects of otosclerosis and otosclerosis surgery on the utricle and saccule. This study aimed to determine the effect of otosclerosis and stapedotomy on vestibular-evoked myogenic potentials.MethodsThis retrospective study included 16 otosclerosis patients and 18 controls. Thirty-two ears of 16 patients with otosclerosis were divided into 2 groups based on whether the ear had been operated on or not. All patients and subjects underwent 500 Hz air- and bone-conducted ocular and cervical vestibular-evoked myogenic potentials testing.ResultsOverall comparison of response rates showed a significant difference among the groups. Further statistical tests showed that this difference arose from differences between both operated and unoperated groups and the control group, for air-conducted cervical and ocular vestibular-evoked myogenic potentials.ConclusionOtosclerosis and stapedotomy may affect the elicitability of vestibular-evoked myogenic potentials. Otosclerosis is associated with lower response rates for air-conducted ocular and cervical vestibular-evoked myogenic potentials, regardless of whether operated on. Having been operated on does not significantly increase the response rate of air-conducted vestibular-evoked myogenic potentials.

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21

Liu, Fangda, and Ruodu Wang. "A Theory for Measures of Tail Risk." Mathematics of Operations Research 46, no. 3 (August 2021): 1109–28. http://dx.doi.org/10.1287/moor.2020.1072.

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The notion of “tail risk” has been a crucial consideration in modern risk management and financial regulation, as very well documented in the recent regulatory documents. To achieve a comprehensive understanding of the tail risk, we carry out an axiomatic study for risk measures that quantify the tail risk, that is, the behaviour of a risk beyond a certain quantile. Such risk measures are referred to as tail risk measures in this paper. The two popular classes of regulatory risk measures in banking and insurance, value at risk (VaR) and expected shortfall, are prominent, yet elementary, examples of tail risk measures. We establish a connection between a tail risk measure and a corresponding law-invariant risk measure, called its generator, and investigate their joint properties. A tail risk measure inherits many properties from its generator, but not subadditivity or convexity; nevertheless, a tail risk measure is coherent if and only if its generator is coherent. We explore further relevant issues on tail risk measures, such as bounds, distortion risk measures, risk aggregation, elicitability, and dual representations. In particular, there is no elicitable tail convex risk measure other than the essential supremum, and under a continuity condition, the only elicitable and positively homogeneous monetary tail risk measures are the VaRs.

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22

Tomori, Z., V. Donic, and M. Kurpas. "Comparison of inspiratory effort in sniff-like aspiration reflex, gasping and normal breathing in cats." European Respiratory Journal 6, no. 1 (January 1, 1993): 53–59. http://dx.doi.org/10.1183/09031936.93.06010053.

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The changes in airway occlusion pressure and airflow, occurring during two spasmodic breathing patterns, were studied and compared with normal breathing pattern in 12 anaesthetized cats. The inspiratory effort developed during the sniff-like aspiration reflex elicited by mechanical stimulation of the nasopharynx under control conditions proved to be very similar in character and intensity to the activity observed during gasping which occurred on resuscitation, of the same cats, from hypoxic apnoea. The starting (P50) and maximum (Pmax) airway occlusion pressure developed in these two spasmodic breathing patterns were very high. Extremely rapid rates of contraction and relaxation were detected by computer-assisted measurements of dynamic changes in both the pressure values and the slopes of pressure curves. The results suggest common effector mechanisms, reflecting similar forceful inspiratory drives, for the aspiration reflex and gasping. These two spasmodic processes differ substantially from normal breathing. Nevertheless, the aspiration reflex differs from gasping in that it can be elicited by activation of upper airway afferents during eupnea. Moreover, as yet, there is no definitive evidence that the brainstem mechanisms responsible for generating the aspiration reflex are the same as those of the gasp. The main benefits of this reflex are its rather easy elicitability under various conditions and its capability to induce important cardiorespiratory effects (e.g.) reversal of central apnoea) owing to its powerful activity.

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Richter, Karl, and Uwe Jürgens. "A comparative study on the elicitability of vocalization by electrical brain stimulation, glutamate, aspartate and quisqualate in the squirrel monkey." Neuroscience Letters 66, no. 3 (May 1986): 239–44. http://dx.doi.org/10.1016/0304-3940(86)90025-x.

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Tatar, M., G. Sant′Ambrogio, and F. B. Sant′Ambrogio. "Laryngeal and tracheobronchial cough in anesthetized dogs." Journal of Applied Physiology 76, no. 6 (June 1, 1994): 2672–79. http://dx.doi.org/10.1152/jappl.1994.76.6.2672.

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Tussigenic sensitivity of laryngeal and tracheobronchial regions to mechanical and chemical stimuli was compared in 22 urethan-alpha-chloralose-anesthetized dogs. In addition, the contribution of myelinated and unmyelinated vagal fibers in mediating laryngeal and tracheobronchial cough was investigated. The intensity of cough was evaluated from changes in esophageal pressure. Whereas all mechanical stimulations and citric acid inhalations into tracheobronchial region elicited cough, only 56.7% of mechanical stimulation and 33.3% of citric acid challenges to larynx were effective. The intensity of tracheobronchial cough was significantly higher than that of laryngeal cough. When mechanical stimulation was conducted under visual control (bronchofiberscope), cough elicitability was found to be higher from tracheal bifurcation and main stem bronchi (62.5–87.5%) than from any laryngeal structure (0–42.9%). During partial block of vagal conduction (cooling to 6 degrees C), mechanical and citric acid tracheobronchial stimulations failed to elicit cough and mechanical laryngeal stimulation was effective only in 1 of 10 dogs. Intensity of cough was strongly decreased when mechanical stimulation followed capsaicin administration into trachea (0.3 ml; 100 micrograms/ml) or intravenously (10 micrograms/kg). We conclude that, in anesthetized dogs, stimulation of tracheobronchial region is more effective and prompt in eliciting cough than stimulation of larynx, myelinated vagal afferent fibers play an important role in mediating mechanically and citric acid-induced tracheobronchial cough and mechanically induced laryngeal cough, and stimulation of tracheobronchial and pulmonary capsaicin-sensitive receptors strongly inhibits mechanically induced cough.

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Schramm, Severin, Aashna Mehta, Kurtis I. Auguste, and Phiroz E. Tarapore. "Navigated transcranial magnetic stimulation mapping of the motor cortex for preoperative diagnostics in pediatric epilepsy." Journal of Neurosurgery: Pediatrics 28, no. 3 (September 2021): 287–94. http://dx.doi.org/10.3171/2021.2.peds20901.

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OBJECTIVE Navigated transcranial magnetic stimulation (nTMS) is a noninvasive technique often used for localization of the functional motor cortex via induction of motor evoked potentials (MEPs) in neurosurgical patients. There has, however, been no published record of its application in pediatric epilepsy surgery. In this study, the authors aimed to investigate the feasibility of nTMS-based motor mapping in the preoperative diagnostic workup within a population of children with medically refractory epilepsy. METHODS A single-institution database was screened for preoperative nTMS motor mappings obtained in pediatric patients (aged 0 to 18 years, 2012 to present) with medically refractory epilepsy. Patient clinical data, demographic information, and mapping results were extracted and used in statistical analyses. RESULTS Sixteen patients met the inclusion criteria, 15 of whom underwent resection. The median age was 9 years (range 0–17 years). No adverse effects were recorded during mapping. Specifically, no epileptic seizures were provoked via nTMS. Recordings of valid MEPs induced by nTMS were obtained in 10 patients. In the remaining patients, no MEPs could be elicited. Failure to generate MEPs was associated significantly with younger patient age (r = 0.8020, p = 0.0001863). The most frequent seizure control outcome was Engel Epilepsy Surgery Outcome Scale class I (9 patients). CONCLUSIONS Navigated TMS is a feasible, effective, and well-tolerated method for mapping the motor cortex of the upper and lower extremities in pediatric patients with epilepsy. Patient age modulates elicitability of MEPs, potentially reflecting various stages of myelination. Successful motor mapping has the potential to add to the existing presurgical diagnostic workup in this population, and further research is warranted.

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Werner, Tino. "Elicitability of Instance and Object Ranking." Decision Analysis, January 25, 2022. http://dx.doi.org/10.1287/deca.2021.0446.

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Assessing the quality of a forecasting model crucially depends on a proper scoring rule or suitable loss function. As for point forecasts, the existence of a strictly consistent loss function that allows for a fair comparison of competing forecast models has to be guaranteed, which means that the corresponding statistical functional has to be elicitable. We consider instance and object ranking problems that intend to correctly predict the ordering of instances in a data set. A ranking prediction is naturally identified with a point forecast in the respective symmetric group, that is, the forecaster predicts one single permutation of the row indices. We show that, in the presence of ties, this strategy does not allow for strictly consistent scoring functions because of multiple true permutations. Those multiple optima cannot be entirely covered by a single point forecast, which causes all corresponding optima to be minimizers of standard scoring functions that operate on symmetric groups, so these scoring functions are not strictly consistent. As a remedy, we consider accurately accounting for ties. This is done by treating each configuration of clear orderings and ties as an additional category, which induces extended decision spaces with a clearly defined single optimum. Because these decision spaces are still finite, each type of instance ranking problem that we consider in this work and corresponding ranking functional, mapping into a symmetric group, can be identified with a certain classification problem and corresponding classification functional, mapping into one of our extended decision spaces, which is elicitable.

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Embrechts, Paul, Tiantian Mao, Qiuqi Wang, and Ruodu Wang. "Bayes risk, elicitability, and the Expected Shortfall." Mathematical Finance, April 30, 2021. http://dx.doi.org/10.1111/mafi.12313.

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Embrechts, Paul, Tiantian Mao, Qiuqi Wang, and Ruodu Wang. "Bayes Risk, Elicitability, and the Expected Shortfall." SSRN Electronic Journal, 2020. http://dx.doi.org/10.2139/ssrn.3708379.

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Fissler, Tobias, and Johanna F. Ziegel. "Correction note: Higher order elicitability and Osband’s principle." Annals of Statistics 49, no. 1 (February 1, 2021). http://dx.doi.org/10.1214/20-aos2014.

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Chen, James Ming. "Coherence Versus Elicitability in Measures of Market Risk." SSRN Electronic Journal, 2014. http://dx.doi.org/10.2139/ssrn.2385137.

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Fissler, Tobias, and Johanna F. Ziegel. "On the elicitability of range value at risk." Statistics & Risk Modeling, September 25, 2021. http://dx.doi.org/10.1515/strm-2020-0037.

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Abstract The debate of which quantitative risk measure to choose in practice has mainly focused on the dichotomy between value at risk (VaR) and expected shortfall (ES). Range value at risk (RVaR) is a natural interpolation between VaR and ES, constituting a tradeoff between the sensitivity of ES and the robustness of VaR, turning it into a practically relevant risk measure on its own. Hence, there is a need to statistically assess, compare and rank the predictive performance of different RVaR models, tasks subsumed under the term “comparative backtesting” in finance. This is best done in terms of strictly consistent loss or scoring functions, i.e., functions which are minimized in expectation by the correct risk measure forecast. Much like ES, RVaR does not admit strictly consistent scoring functions, i.e., it is not elicitable. Mitigating this negative result, we show that a triplet of RVaR with two VaR-components is elicitable. We characterize all strictly consistent scoring functions for this triplet. Additional properties of these scoring functions are examined, including the diagnostic tool of Murphy diagrams. The results are illustrated with a simulation study, and we put our approach in perspective with respect to the classical approach of trimmed least squares regression.

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Rossello, Damiano. "Performance measurement with expectiles." Decisions in Economics and Finance, May 19, 2022. http://dx.doi.org/10.1007/s10203-022-00369-8.

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AbstractFinancial performance evaluation is intimately linked to risk measurement methodologies. There exists a well-developed literature on axiomatic and operational characterization of measures of performance. Hinged on the duality between coherent risk measures and reward associated with investment strategies, we investigate representation of acceptability indices of performance using expectile-based risk measures that recently attracted a lot of attention inside the financial and actuarial community. We propose two purely expectile-based performance ratios other than the classical gain-loss ratio and the Omega ratio. We complement our analysis with elicitability of expectile-based acceptability indices and their conditional version accounting for new information flow.

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Yang, Dazhi, and Jan Kleissl. "Summarizing ensemble NWP forecasts for grid operators: Consistency, elicitability, and economic value." International Journal of Forecasting, September 2022. http://dx.doi.org/10.1016/j.ijforecast.2022.08.002.

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Dulfer, S. E., F. Lange, M. M. Sahinovic, F. H. Wapstra, A. R. Absalom, C. Faber, R. J. M. Groen, and G. Drost. "Feasibility and optimal choice of stimulation parameters for supramaximal stimulation of motor evoked potentials." Journal of Clinical Monitoring and Computing, January 13, 2023. http://dx.doi.org/10.1007/s10877-022-00972-5.

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AbstractPurpose: The aim was to investigate the feasibility and optimal stimulation parameters for supramaximal stimulation of muscle recorded transcranial electrical stimulation motor evoked potentials (mTc-MEP). Methods: Forty-seven consecutive patients that underwent scoliosis surgery were included. First, the feasibility of supramaximal stimulation was assessed for two settings (setting 1: pulse duration 0.075ms, interstimulus interval (ISI) 1.5ms; setting 2: pulse duration 0.300ms, ISI 3ms). Thereafter, three mTc-MEP parameters were considered for both settings; (1) elicitability, (2) amplitude, and (3) if supramaximal stimulation was achieved with ≥ 20 V below maximum output. Finally, ISIs (1ms–4ms) were optimized for setting 1. Results: Nine patients (19.15%) were excluded. Of the remaining patients, supramaximal stimulation was achieved in all patients for setting 1, and in 26 (68.42%) for setting 2. In one patient, mTc-MEPs were elicitable in more muscles for setting (1) Amplitudes were not significantly different. Stimulation voltage could be increased ≥ 20 V in all 38 patients for setting 1 and in 10 (38.46%) for setting (2) Optimal ISI’s differed widely. Conclusion: We recommend using setting 1 when monitoring mTc-MEPs with supramaximal stimulation, after which an individualized ISI optimization can be performed. Moreover, when using supramaximal stimulation, short ISI’s (i.e. 1ms or 1.5ms) can be the optimal ISI for obtaining the highest mTc-MEP amplitude.

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Lu, Xunfa, Kang Sheng, and Zhengjun Zhang. "Forecasting VaR and ES using the joint regression combined forecasting model in the Chinese stock market." International Journal of Emerging Markets, December 29, 2022. http://dx.doi.org/10.1108/ijoem-06-2022-0941.

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PurposeThis paper aims to better jointly estimate Value at Risk (VaR) and expected shortfall (ES) by using the joint regression combined forecasting (JRCF) model.Design/methodology/approachCombining different forecasting models in financial risk measurement can improve their prediction accuracy by integrating the individual models’ information. This paper applies the JRCF model to measure VaR and ES at 5%, 2.5% and 1% probability levels in the Chinese stock market. While ES is not elicitable on its own, the joint elicitability property of VaR and ES is established by the joint consistent scoring functions, which further refines the ES’s backtest. In addition, a variety of backtesting and evaluation methods are used to analyze and compare the alternative risk measurement models.FindingsThe empirical results show that the JRCF model outperforms the competing models. Based on the evaluation results of the joint scoring functions, the proposed model obtains the minimum scoring function value compared to the individual forecasting models and the average combined forecasting model overall. Moreover, Murphy diagrams’ results further reveal that this model has consistent comparative advantages among all considered models.Originality/valueThe JRCF model of risk measures is proposed, and the application of the joint scoring functions of VaR and ES is expanded. Additionally, this paper comprehensively backtests and evaluates the competing risk models and examines the characteristics of Chinese financial market risks.

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Lu, Xunfa, Cheng Liu, Kin Keung Lai, and Hairong Cui. "Risk measurement in Bitcoin market by fusing LSTM with the joint-regression-combined forecasting model." Kybernetes, December 24, 2021. http://dx.doi.org/10.1108/k-07-2021-0620.

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Purpose The purpose of the paper is to better measure the risks and volatility of the Bitcoin market by using the proposed novel risk measurement model. Design/methodology/approach The joint regression analysis of value at risk (VaR) and expected shortfall (ES) can effectively overcome the non-elicitability problem of ES to better measure the risks and volatility of financial markets. And because of the incomparable advantages of the long- and short-term memory (LSTM) model in processing non-linear time series, the paper embeds LSTM into the joint regression combined forecasting framework of VaR and ES, constructs a joint regression combined forecasting model based on LSTM for jointly measuring VaR and ES, i.e. the LSTM-joint-combined (LSTM-J-C) model, and uses it to investigate the risks of the Bitcoin market. Findings Empirical results show that the proposed LSTM-J-C model can improve forecasting performance of VaR and ES in the Bitcoin market more effectively compared with the historical simulation, the GARCH model and the joint regression combined forecasting model. Social implications The proposed LSTM-J-C model can provide theoretical support and practical guidance to cryptocurrency market investors, policy makers and regulatory agencies for measuring and controlling cryptocurrency market risks. Originality/value A novel risk measurement model, namely LSTM-J-C model, is proposed to jointly estimate VaR and ES of Bitcoin. On the other hand, the proposed LSTM-J-C model provides risk managers more accurate forecasts of volatility in the Bitcoin market.

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Journal articles on the topic 'Elicitabilità'

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