ABSTRACT
PurposeThe 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/approachThe 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.FindingsEmpirical 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 implicationsThe 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/valueA 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.
ABSTRACT
Due to the heterogeneity of investor structure between the Chinese mainland stock market (A-share market) and the Hong Kong stock market (H-share market) as well as the limitations on arbitrage activities, most cross-listed stocks in the two markets (AH stocks) have the characteristics of “one asset, two prices”, in which AH stocks with the same vote rights and dividend streams are traded at different prices in different markets. Based on the VAR (LA-VAR as well) model and a four-variable system including AH stock indices (AHXA, AHXH), the China Securities Index 300 (CSI 300), and the Hang Seng Index (HSI), this paper applies a new time-varying causality test to examine the causalities in prices and volatilities for two pairings (AXHA-AHXH pairing and CSI 300-HSI pairing) during the sample period spanning from 4 January 2010 to 21 May 2021. The empirical results exhibit statistically significant time-varying causalities of the two pairings. Specifically, at the price level, AHXH has a significant negative causal effect on AHXA from October 2017 to February 2020 except for several months in 2018, while AHXA merely has a negative impact on AHXA during a short period from March 2017 to May 2017. Of note, the direction of causalities in volatilities between AHXA and AHXH reverses. A positive causality is found from AHXA to AHXH at the 5% significance level during the period of April 2014 through May 2021, while no causality is detected in the opposite direction during the whole sample period. Meanwhile, the volatilities of CSI 300 significantly Granger cause those of HSI over the whole sample period, but not vice versa. Implications of our results are discussed.
ABSTRACT
In order to understand the clinical manifestations and incidence of gastrointestinal symptoms of coronavirus disease (COVID-19) in children and discuss the importance of fecal nucleic acid testing.We retrospectively analyzed studies on gastrointestinal symptoms and fecal nucleic acid detection in pediatric COVID-19 patients from January 1, 2020 to August 10, 2020, including prospective clinical studies and case reports. The results of fecal nucleic acid detection were analyzed systematically. Stata12.0 software was used for meta-analysis.The results showed that the most common gastrointestinal symptoms in children with COVID-19 were vomiting and diarrhea, with a total incidence of 17.7% (95% Cl 13.9-21.5%). However, the prevalence of gastrointestinal symptoms in other countries (21.1%, 95% CI 16.5-25.7%) was higher compared to China (12.9%, 95% CI 8-17.7%). In Wuhan, the pooled prevalence was much higher (41.3%, 95% CI 3.2-79.4%) compared to areas outside Wuhan in China (7.1%, 95% CI 4.0-10.3%). The positive rate of fecal nucleic acid testing in COVID-19 children was relatively high at 85.8% (91/106). Additionally, 71.2% (52/73) were still positive for fecal nucleic acid after respiratory tract specimens turned negative. One and two weeks after the respiratory tract specimens turned nucleic acid-negative, 45.2% (33/73) and 34.2% (25/73) patients, respectively, remained fecal nucleic acid-positive. The longest interval between the respiratory tract specimens turning negative and fecal specimens turning negative exceeded 70 days. Conclusions and relevance: gastrointestinal symptoms in pediatric COVID-19 are relatively common. Attention should be paid to the detection of fecal nucleic acids in children. Fecal nucleic acid-negative status should be considered as one of the desegregation standards.