Open AccessMargin Setting to Short and Long Futures Contract Positions by Coherent Risk Measures
Author(s) -
Hamidreza Kordlouie,
Mir Feiz Fallah,
Alireza Nasser Pour Asad
Publication year - 2017
Publication title -
international journal of advances in management and economics
Language(s) - English
Resource type - Journals
ISSN - 2278-3369
DOI - 10.31270/ijame/07/01/2018/03
Subject(s) - margin (machine learning) , futures contract , econometrics , volatility (finance) , autoregressive conditional heteroskedasticity , economics , expected shortfall , value at risk , risk measure , statistics , mathematics , financial economics , risk management , computer science , finance , portfolio , machine learning