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Forecasting the price of Bitcoin using deep learning

Liu, Mingxi; Li, Guowen; Li, Jianping; Zhu, Xiaoqian; … - In: Finance research letters 40 (2021), pp. 1-8

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A novel text-based framework for forecasting agricultural futures using massive online news headlines

Li, Jianping; Li, Guowen; Liu, Mingxi; Zhu, Xiaoqian; … - In: International journal of forecasting 38 (2022) 1, pp. 35-50

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A novel mode-characteristic-based decomposition ensemble model for nuclear energy consumption forecasting

Tang, Ling; Wang, Shuai; He, Kaijian; Wang, Shouyang - In: Intelligent knowledge management in operations research, (pp. 111-132). 2015

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Forecasting VaR and ES by using deep quantile regression, GANs-based scenario generation, and heterogeneous market hypothesis

Wang, Jianzhou; Wang, Shuai; Lv, Mengzheng; Jiang, He - In: Financial innovation : FIN 10 (2024), pp. 1-35

Value at risk (VaR) and expected shortfall (ES) have emerged as standard measures for detecting the market risk of financial assets and play essential roles in investment decisions, external regulations, and risk capital allocation. However, existing VaR estimation approaches fail to accurately...

Persistent link: https://www.econbiz.de/10014530222

Learning about tail risk : machine learning and combination with regularization in market risk management

Wang, Shuai; Wang, Qian; Lu, Helen; Zhang, Dongxue; … - In: Omega : the international journal of management science 133 (2025), pp. 1-26

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Causal estimation of COVID-19 and SARS on China's stock market : evidence from a time series counterfactual prediction

Feng, Yun; Li, Xin - In: Economic research 35 (2022) 1,2, pp. 1734-1751

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Tail risk in the Chinese stock market : an AEV model on the maximal drawdowns

Feng, Yun; Hou, Weijie; Song, Yuping - In: Finance research letters 58 (2023) 1, pp. 1-9

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Liquidity shocks and the negative premium of liquidity volatility around the world

Feng, Frank Yulin; Kang, Wenjin; Zhang, Huiping - In: Journal of international money and finance 139 (2023), pp. 1-20

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Container freight rate level forecasting with machine learning methods

Feng, Yaling - In: International journal of business performance and … 13 (2022) 3, pp. 245-263

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Tail risk forecasting and its application to margin requirements in the commodity futures market

Feng, Yun; Hou, Weijie; Song, Yuping - In: Journal of forecasting 43 (2024) 5, pp. 1513-1529

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