Application of extreme value theory to futures margin levels setting

zbMATH Open1174.91389MaRDI QIDQ5455604FDOQ5455604

Authors: Zhiying Dong, Liangjun Chen 

Publication date: 4 April 2008

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zbMATH Keywords

extreme value theoryfuturesmargin levels

Mathematics Subject Classification ID

Cited In (3)

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

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