Economics, Econometrics and Finance
3 years ago

New framework improves risk forecasts for cryptocurrency market volatility.

arXiv (Cornell University)
Honour Thesis: A Joint Value at Risk and Expected Shortfall Combination Framework and its Applications in the Cryptocurrency Market
Zhengkun Li

Paper Summary

Related papers

Economics, Econometrics and Finance
2 years ago

New risk measures revolutionize banking industry, ensuring safer investments for all.

Financial Volatility
Robust Optimization
Insurance Dynamics
2 views
Decision Sciences
2 years ago

New risk measure Expected Shortfall rewards diversification for financial institutions

Robust Optimization
2 views
Decision Sciences
8 years ago

New study reveals how risk measures impact investment strategies in finance

Robust Optimization
Asset Pricing
Reservoir Management
2 views

The article introduces a new way to predict extreme financial risks in the cryptocurrency market. By combining two methods, researchers can better forecast potential losses and prepare for sudden market changes. They tested this approach with real cryptocurrency data and found it to be effective. This work helps improve risk management in the fast-growing cryptocurrency market.