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Extreme spectral risk measures: An application to futures clearinghouse margin requirements

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Author Info
Cotter, John
Dowd, Kevin

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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 30 (2006)
Issue (Month): 12 (December)
Pages: 3469-3485
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Handle: RePEc:eee:jbfina:v:30:y:2006:i:12:p:3469-3485

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  1. Cotter, John & Dowd, Kevin, 2007. "Estimating financial risk measures for futures positions: a non-parametric approach," MPRA Paper 3503, University Library of Munich, Germany. [Downloadable!]
  2. Henryk, Gzyl & Silvia, Mayoral, 2006. "On a relationship between distorted and spectral risk measures," MPRA Paper 916, University Library of Munich, Germany, revised 28 Jun 2007. [Downloadable!]
  3. Kevin Dowd & John Cotter & Ghulam Sorwar, 2008. "Spectral Risk Measures: Properties and Limitations," Journal of Financial Services Research, Springer, vol. 34(1), pages 61-75, August. [Downloadable!] (restricted)
  4. Douglas D. Evanoff & Daniela Russo & Robert Steigerwald, 2006. "Policymakers, researchers, and practitioners discuss the role of central counterparties," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q IV, pages 2-21. [Downloadable!]
  5. Cotter, John, 2007. "Extreme risk in Asian equity markets," MPRA Paper 3536, University Library of Munich, Germany. [Downloadable!]
  6. Cotter, John & Dowd, Kevin, 2007. "Evaluating the Precision of Estimators of Quantile-Based Risk Measures," MPRA Paper 3504, University Library of Munich, Germany. [Downloadable!]
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