Robina Iqbal's Outputs (4)

Cryptocurrency Market Volatility and Forecasting: A Comparative Analysis of Modern Machine Learning Models for Cryptocurrencies Predicting Accuracy (2025)
Journal Article
Iqbal, R., Riaz, M., Sorwar, G., & Qadir, J. (in press). Cryptocurrency Market Volatility and Forecasting: A Comparative Analysis of Modern Machine Learning Models for Cryptocurrencies Predicting Accuracy. Review of Pacific Basin Financial Markets and Policies, 27(4), Article 2450028. https://doi.org/10.1142/s0219091524500280

Cryptocurrency (CRP) has grown in popularity over the last decade. Since there is no central body to control the Bitcoin (BTC) markets, they are extremely volatile. However, several similar variables that cause price volatility in traditional markets... Read More about Cryptocurrency Market Volatility and Forecasting: A Comparative Analysis of Modern Machine Learning Models for Cryptocurrencies Predicting Accuracy.

Analyzing the dynamic relationship between ESG scores and firm value in Chinese listed companies: insights from generalized cross-lagged panel model (2024)
Journal Article
Wedajo, A. D., Salah, A. A., Bhat, M. A., Iqbal, R., & Khan, S. T. (in press). Analyzing the dynamic relationship between ESG scores and firm value in Chinese listed companies: insights from generalized cross-lagged panel model. Discover Sustainability, 5(1), Article 336. https://doi.org/10.1007/s43621-024-00546-2

The relationship between a company’s Environment, Social and Governance (ESG) scores and market value dynamics has been the focus of extensive research. Our study aimed to provide insights into this relationship and its implications for Chinese inves... Read More about Analyzing the dynamic relationship between ESG scores and firm value in Chinese listed companies: insights from generalized cross-lagged panel model.

VINE COPULA APPROACH FOR MULTIVARIATE AND MULTI-DAY AHEAD VALUE AT RISK AND EXPECTED SHORTFALL FORECASTING (2022)
Book Chapter
Iqbal, R., Sorwar, G., & Choudhry, T. (2022). VINE COPULA APPROACH FOR MULTIVARIATE AND MULTI-DAY AHEAD VALUE AT RISK AND EXPECTED SHORTFALL FORECASTING. In Advances in Financial Planning and Forecasting (163 - 196). Airiti. https://doi.org/10.6292/AFPF.202212_%2810%29.0007

In this paper, we construct vine copula models for multivariate stock
portfolio returns to estimate one-day-ahead and multi-day ahead Value-at-Risk (VaR) and Expected Shortfall (ES) using Monte Carlo simulation. This is then compared with the VaR an... Read More about VINE COPULA APPROACH FOR MULTIVARIATE AND MULTI-DAY AHEAD VALUE AT RISK AND EXPECTED SHORTFALL FORECASTING.

Multiday expected shortfall under generalized t distributions: evidence from global stock market (2020)
Journal Article
Iqbal, R., Sorwar, G., Baker, R., & Choudhry, T. (2020). Multiday expected shortfall under generalized t distributions: evidence from global stock market. Review of Quantitative Finance and Accounting, 55(3), 803-825. https://doi.org/10.1007/s11156-019-00860-1

We apply seven alternative t-distributions to estimate the market risk measures Value at Risk (VaR) and its extension Expected Shortfall (ES). Of these seven, the twin t-distribution (TT) of Baker and Jackson (in Twin t distribution, University of Sa... Read More about Multiday expected shortfall under generalized t distributions: evidence from global stock market.