Setting the margins of Hang Seng Index Futures on different positions using an APARCH-GPD Model based on extreme value theory

Author:

Chen Yan,Yu Wenqiang

Funder

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference40 articles.

1. Extreme-value and margin setting with and without price limits;Broussard;Q. Rev. Econ. Finance,2001

2. Opportunity Cost and Prudentiality: An Analysis of Futures Clearinghouse Behavior, Vol. 1340;Baer,1994

3. Futures Markets, Vol. 415;Duffie,1989

4. A comparative analysis of futures contract margins;Gay;J. Futures Mark.,1986

5. Margin requirements in futures markets: Their relationship to price volatility;Fishe;J. Futures Mark.,1990

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