Examining the consistence of futures margin levels using bivariate extreme value copulas

• المؤلفون الرئيسيون: X. Gong, H. T. Nguyen, V. Kreinovich, S. Sriboonchitta
• التنسيق: دورية
• منشور في: 2018
• الوصول للمادة أونلاين: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84907242073&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/45519

© 2014 by the Mathematical Association of Thailand. All rights reserved. This study examines the consistence of the futures margin levels of different commodities and combinations in the CME group by Extreme Value Copula (EVC).We find that if we ignore the co-movements of the commodities, the margin...