A parsimonious parametric model for generating margin requirements for futures
Carol Alexander, Andreas Kaeck, Anannit Sumawong
| Year of publication: |
16 February 2019
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| Authors: | Alexander, Carol ; Kaeck, Andreas ; Sumawong, Anannit |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 273.2019, 1 (16.2.), p. 31-43
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| Subject: | Finance | Backtesting | Margin rules | Median tail loss | WTI crude oil | Theorie | Theory | Statistische Verteilung | Statistical distribution | Schätzung | Estimation |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2018.08.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011979406