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Both in practice and in the academic literature, models for setting margin requirements in futures markets use daily closing price changes. However, financial markets have recently shown high intraday volatility, which could bring more risk than expected. Such a phenomenon is well documented in...
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from 12 European bourses, this paper presents VaR measures based on their unconditional and conditional distributions for …
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agricultural financial risk for corn and soybean production in the US: Value at Risk (VaR), Expected Shortfall (ES) and Spectral …
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backtesting. Our comparison is completed for three risk measures:Value-at-Risk (VaR), Expected Shortfall (ES) and Spectral Risk …
Persistent link: https://www.econbiz.de/10009475663
from twelve European bourses, this paper presents VaR measures based on their unconditional and conditional distributions …
Persistent link: https://www.econbiz.de/10009194551