Stock Index Futures Margin Level Settings by Hill Estimation and Empirical Analysis

The article does empirical research on the margin level setting of Shanghai and Shenzhen 300 index futures. First of all, through the trend comparison chart of index and simulation index futures in 100 trading days, we obtain the conclusion that index data can instead of index futures. Then, 482 ful...

Ausführliche Beschreibung

Bibliographische Detailangaben

Hauptverfasser:	Manqi Wu, Sulin Pang
Format:	Tagungsbericht
Sprache:	eng
Schlagworte:	Data models Economics Estimation extreme value theory Finance Fluctuations generalized extreme value distribution Hill estimation Indexes margin levels stock index futures Testing
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