Backtesting expected shortfall for bitcoin: a joint combined LSTM-based approach

DOI10.1007/978-3-032-05551-4_11MaRDI QIDQ7296116zbMATH OpenFDO

Authors Giovanni De Luca, Anna Pia Di Iorio, Andrea Montanino

Publication date 14 July 2026

Full work available at URL https://doi.org/10.1007/978-3-032-05551-4_11

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Actuarial science and mathematical finance (91G99)

Cites work

• A joint quantile and expected shortfall regression framework
• An application of extreme value theory to cryptocurrencies
• Coherent measures of risk
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Elicitability and backtesting: perspectives for banking regulation
• Evaluating interval forecasts
• Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution
• Generalized autoregressive conditional heteroscedasticity
• Higher order elicitability and Osband's principle
• Making and evaluating point forecasts
• Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
• The Model Confidence Set
• Theory and inference for a Markov switching GARCH model
• Volatility estimation for Bitcoin: a comparison of GARCH models

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