An Application of Censoring technique on Setting the Futures Margin
碩士 === 國立高雄第一科技大學 === 財務管理所 === 92 === This study considers extreme value theory base to discuss how to set futures margins under price limits.First, we observe the issue in not taking the truncated distribution into account. In this part, we apply the extreme value theory to estimate the appropriat...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/93816540367121627899 |