In this paper,we improve the EWMA Futures Margin based on normal distribution assumption and propose a new model of futures margin based on skewed EWMA estimator which based on the asymmetric laplace distribution that is sound to capture leptokurtosis and fat-tail.
本文是对建立在正态分布假设的EWMA期货保证金模型的改进。
The Model of Future Margin Based on VaR;
基于VaR的期货保证金研究
An Analysis of the Criminal Responsibility of Misappropriation of Futures Margin;
试析挪用期货保证金行为的刑事责任
Empirical Study on the Margin Setting of Index Futures:Based on Asymmetric EWMA Estimator
有偏型EWMA的股指期货保证金设定的实证研究
Futures Marginal Level Based on High Degree Expected Shortfall;
基于高阶期望损失的股指期货保证金设置
Application of Extreme Value Theory to Futures Margin Levels Setting;
极值理论在期货保证金水平设置中的应用
The Research on Shanghai Copper Future Margin System by Monte Carlo Simulation;
基于蒙特卡罗模拟的上海铜期货保证金研究
Empirical Research on Stock Index Futures Margin Setting of China Based on the Method of Extreme Value Theory;
基于极值理论方法的中国股指期货保证金设定的实证研究
The Method to Set Margin Levels of Index Futures and Its Empirical Study--The Application of EVT;
我国指数期货保证金水平设定方法及其实证研究——极值理论的应用
The Model of Stock Index Future Margin Based on VaR of Monte Carlo Simulation;
基于蒙特卡罗模拟的VaR在股指期货保证金设计中的应用
Margin requirements e ure the performance of both parties to a futures contract.
保证金要求是期货合约双方履约的保证。
A Method for Futures Broker to Decide Margin;
期货经纪公司保证金的一种确定方法
Comparative empirical study on the margin setting of stock index futures calendar spread trading;
股指期货跨期套利交易保证金设置方法的比较
The Price Relation between Futures and Forward Contract in the Case of Non-zero Margin;
考虑保证金的期货价格与远期价格的关系
Pricing Futures Contract Considering Reserve Margin Based on Lookback Option Model
基于回望期权考虑备用保证金的期货定价模型
Empirical Analysis on Gold Products Futures Hedging Functions in China
我国黄金期货套期保值绩效的实证研究
Research of Dynamic Margin Adjusted by Liquidity;
经流动性调整的期货市场动态保证金研究
Margin Level Set in Single Future Contract based on RiskMetrics Model;
基于RiskMetrics模型的单个期货合约保证金比例设计
Comment on the Crisis of the Margin Supervision and Legal Measures in Futures Market;
期货市场保证金监管制度的危机与法律对策
Moving Adjust Model of Margins in Futures Trade Based on GARCH-EWMA Model;
基于GARCH-EWMA原理的期货交易保证金随动调整模型