Setting the margins of hang seng index futures on different positions using an APARCH-GPD model based on extreme value theory

DOI10.1016/J.PHYSA.2019.123207OpenAlexW2981346879MaRDI QIDQ2137703FDOQ2137703

Authors: Yan Chen, Wenqiang Yu 

Publication date: 16 May 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.123207

zbMATH Keywords

generalized Pareto distributionvalue-at-riskpositionasymmetric power ARCHfutures margin setting

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
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• A hybrid stock trading system using genetic network programming and mean conditional value-at-risk
• Bayesian estimation of the Gaussian mixture GARCH model
• A Student t-mixture autoregressive model with applications to heavy-tailed financial data
• The use of GARCH models in VaR estimation
• Estimation of tail-related value-at-risk measures: range-based extreme value approach
• Time-varying quantile association regression model with applications to financial contagion and VaR
• Forecasting VaR and ES of stock index portfolio: a vine copula method
• Bayesian estimation of generalized hyperbolic skewed student GARCH models

Cited In (3)

• Title not available (Why is that?)
• Title not available (Why is that?)
• The behavior of extreme values in Germany's stock index futures: An application to intradaily margin setting

Uses Software

• RiskMetrics

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