Setting the margins of hang seng index futures on different positions using an APARCH-GPD model based on extreme value theory (Q2137703)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Setting the margins of hang seng index futures on different positions using an APARCH-GPD model based on extreme value theory |
scientific article |
Statements
Setting the margins of hang seng index futures on different positions using an APARCH-GPD model based on extreme value theory (English)
0 references
16 May 2022
0 references
futures margin setting
0 references
asymmetric power ARCH
0 references
generalized Pareto distribution
0 references
position
0 references
value-at-risk
0 references
0 references
0 references
0 references
0 references
