RePEcEconometrics & Forecasting
Jumps and Margin Level Study
The SE-SVCJ model, combined with a GPD, provides a more accurate forecast of margin levels in the stock index futures market.
Featured in No. 41 on 20 Mar 2024 ·
- Released
- 23 May 2023
- First featured
- No. 41 · 20 Mar 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 14
- Identifier
- RePEc:taf:reroxx:v:36:y:2023:i:2:p:2136228
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