Tail risk forecasting and its application to margin requirements in the commodity futures market
Yun Feng, Weijie Hou, Yuping Song
| Year of publication: |
2024
|
|---|---|
| Authors: | Feng, Yun ; Hou, Weijie ; Song, Yuping |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 43.2024, 5, p. 1513-1529
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| Subject: | forecasting | margin requirements | tail risk | value-at-risk | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Warenbörse | Commodity exchange | Finanzmarktregulierung | Financial market regulation | Rohstoffderivat | Commodity derivative | Derivat | Derivative | Risiko | Risk | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Theorie | Theory | Statistische Verteilung | Statistical distribution |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.3094 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015108403