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Clearing margin system in the futures markets—Applying the value-at-risk model to Taiwanese data. (2006). Chiang, Shu-Mei ; Hung, Jui-Cheng ; Chiu, Chien-Liang.
In: Physica A: Statistical Mechanics and its Applications.
RePEc:eee:phsmap:v:367:y:2006:i:c:p:353-374.

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  1. A parsimonious parametric model for generating margin requirements for futures. (2019). Alexander, Carol ; Kaeck, Andreas ; Sumawong, Anannit.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:273:y:2019:i:1:p:31-43.

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  2. Asymmetric and persistent responses in price volatility of fertilizers through stable and unstable periods. (2017). Lahmiri, Salim.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:466:y:2017:i:c:p:405-414.

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  3. Forcasting portofolio value-at-risk for international stocks, bonds, and foreign exchange emerging market evidence. (2009). Hakim, Abdul.
    In: Economic Journal of Emerging Markets.
    RePEc:uii:journl:v:1:y:2009:i:1:p:13-26.

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References

References cited by this document

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  10. Engle, R.F. Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. 1982 Econometrica. 50 987-1008

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  16. J. Engel, M. Gizycki, Conservatism, accuracy and efficiency: comparing value-at-risk models, Working Paper Series Number WP0002, Australian Prudential Regulation Authority, 1999.
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