What can we expect from a good margin model? : observations from whole-distribution tests of risk-based initial margin models
David Murphy
| Year of publication: |
2023
|
|---|---|
| Authors: | Murphy, David |
| Subject: | backtesting | conditional volatility | filtered volatility | initial margin model | margin model testing | volatility estimation | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Schätzung | Estimation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JRMV.2023.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014485769