Borderline: judging the adequacy of return distribution estimation techniques in initial margin models
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More about this item
Keywords
Conditional volatility; filtered volatility; GARCH(1; 1); initial margin model; model backtesting; volatility estimation;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2017-09-10 (Econometrics)
- NEP-RMG-2017-09-10 (Risk Management)
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