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 QIDQ2137703

Wenqiang Yu, Yan Chen

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

value-at-riskpositiongeneralized Pareto distributionasymmetric power ARCHfutures margin setting

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Uses Software

• RiskMetrics

Cites Work

• Unnamed Item
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