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Extreme-value and margin setting with and without price limits

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Author Info
Broussard, John Paul

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Abstract

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Publisher Info
Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

Volume (Year): 41 (2001)
Issue (Month): 3 ()
Pages: 365-385
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Handle: RePEc:eee:quaeco:v:41:y:2001:i:3:p:365-385

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Web page: http://www.elsevier.com/locate/inca/620167

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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. John Cotter, 2006. "Extreme Value Estimation of Boom and Crash Statistics," European Journal of Finance, Taylor and Francis Journals, vol. 12(6-7), pages 553-566, October. [Downloadable!] (restricted)
  3. Raymond Knott & Marco Polenghi, . "Assessing central counterparty margin coverage on futures contracts using GARCH models," Bank of England working papers 287, Bank of England. [Downloadable!]
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This page was last updated on 2009-12-3.

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