Initial margin model sensitivity analysis and volatility estimation
Melanie Houllier and David Murphy
| Year of publication: |
June 2017
|
|---|---|
| Authors: | Houllier, Melanie ; Murphy, David |
| Published in: |
The journal of financial market infrastructures. - London : Infopro Digital, ISSN 2049-5404, ZDB-ID 2694628-2. - Vol. 5.2017, 4, p. 77-103
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| Subject: | conditional volatility | filtered volatility | GARCH (1,1) | initial margin (IM) model | model backtesting | volatility estimation | Volatilität | Volatility | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Sensitivitätsanalyse | Sensitivity analysis | Börsenkurs | Share price | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JFMI.2017.078 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011729235