{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,2,11]],"date-time":"2026-02-11T13:42:25Z","timestamp":1770817345495,"version":"3.50.1"},"reference-count":51,"publisher":"Emerald","issue":"4","license":[{"start":{"date-parts":[[2021,12,24]],"date-time":"2021-12-24T00:00:00Z","timestamp":1640304000000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.emerald.com\/insight\/site-policies"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["K"],"published-print":{"date-parts":[[2023,3,24]]},"abstract":"<jats:sec><jats:title content-type=\"abstract-subheading\">Purpose<\/jats:title><jats:p>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.<\/jats:p><\/jats:sec><jats:sec><jats:title content-type=\"abstract-subheading\">Design\/methodology\/approach<\/jats:title><jats:p>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.<\/jats:p><\/jats:sec><jats:sec><jats:title content-type=\"abstract-subheading\">Findings<\/jats:title><jats:p>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.<\/jats:p><\/jats:sec><jats:sec><jats:title content-type=\"abstract-subheading\">Social implications<\/jats:title><jats:p>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.<\/jats:p><\/jats:sec><jats:sec><jats:title content-type=\"abstract-subheading\">Originality\/value<\/jats:title><jats:p>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.<\/jats:p><\/jats:sec>","DOI":"10.1108\/k-07-2021-0620","type":"journal-article","created":{"date-parts":[[2021,12,22]],"date-time":"2021-12-22T13:28:31Z","timestamp":1640179711000},"page":"1487-1502","source":"Crossref","is-referenced-by-count":11,"title":["Risk measurement in Bitcoin market by fusing LSTM with the joint-regression-combined forecasting model"],"prefix":"10.1108","volume":"52","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-8759-0378","authenticated-orcid":false,"given":"Xunfa","family":"Lu","sequence":"first","affiliation":[]},{"ORCID":"https:\/\/orcid.org\/0000-0002-9484-8234","authenticated-orcid":false,"given":"Cheng","family":"Liu","sequence":"additional","affiliation":[]},{"ORCID":"https:\/\/orcid.org\/0000-0003-0014-2095","authenticated-orcid":false,"given":"Kin Keung","family":"Lai","sequence":"additional","affiliation":[]},{"given":"Hairong","family":"Cui","sequence":"additional","affiliation":[]}],"member":"140","published-online":{"date-parts":[[2021,12,24]]},"reference":[{"key":"key2023032417271223300_ref001","article-title":"Estimating the expected shortfall of cryptocurrencies: an evaluation based on backtesting","volume":"33","year":"2020","journal-title":"Finance Research Letters"},{"key":"key2023032417271223300_ref002","doi-asserted-by":"crossref","first-page":"266","DOI":"10.1016\/j.frl.2018.08.009","article-title":"Regime changes in Bitcoin GARCH volatility dynamics","volume":"29","year":"2019","journal-title":"Finance Research Letters"},{"issue":"3","key":"key2023032417271223300_ref003","doi-asserted-by":"crossref","first-page":"203","DOI":"10.1111\/1467-9965.00068","article-title":"Coherent measures of risk","volume":"9","year":"1999","journal-title":"Mathematical Finance"},{"issue":"1","key":"key2023032417271223300_ref004","doi-asserted-by":"crossref","first-page":"30","DOI":"10.1080\/13504851.2014.916379","article-title":"Bitcoins as an investment or speculative vehicle? 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