Setting the margins of hang seng index futures on different positions using an APARCH-GPD model based on extreme value theory (Q2137703)
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scientific article; zbMATH DE number 7527206
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| English | Setting the margins of hang seng index futures on different positions using an APARCH-GPD model based on extreme value theory |
scientific article; zbMATH DE number 7527206 |
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Setting the margins of hang seng index futures on different positions using an APARCH-GPD model based on extreme value theory (English)
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16 May 2022
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futures margin setting
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asymmetric power ARCH
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generalized Pareto distribution
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position
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value-at-risk
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