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Extreme-value and margin setting with and without price limits

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  • Broussard, John Paul

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File URL: http://www.sciencedirect.com/science/article/B6W5X-43K9TTY-5/2/9d6b7f3631686e5ba239d9005a814ce0
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Bibliographic 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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References

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  1. Baer, Herbert L. & France, Virginia G. & Moser, James T., 1994. "Opportunity cost and prudentiality : an analysis of futures clearinghouse behavior," Policy Research Working Paper Series 1340, The World Bank.
  2. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
  3. Brennan, Michael J., 1986. "A theory of price limits in futures markets," Journal of Financial Economics, Elsevier, vol. 16(2), pages 213-233, June.
  4. G. Geoffrey Booth & John Paul Broussard & Teppo Martikainen & Vesa Puttonen, 1997. "Prudent Margin Levels in the Finnish Stock Index Futures Market," Management Science, INFORMS, vol. 43(8), pages 1177-1188, August.
  5. Groenendijk, Patrick A. & Lucas, Andre & de Vries, Casper G., 1995. "A note on the relationship between GARCH and symmetric stable processes," Journal of Empirical Finance, Elsevier, vol. 2(3), pages 253-264, September.
  6. G. Booth & John Broussard, 1998. "Setting NYSE Circuit Breaker Triggers," Journal of Financial Services Research, Springer, vol. 13(3), pages 187-204, June.
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Cited by:
  1. Brooks, C. & Clare, A.D. & Dalle Molle, J.W. & Persand, G., 2005. "A comparison of extreme value theory approaches for determining value at risk," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 339-352, March.
  2. John Cotter & Kevin Dowd, 2011. "Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements," Working Papers 200516, Geary Institute, University College Dublin.
  3. John Cotter, 2006. "Extreme Value Estimation of Boom and Crash Statistics," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 553-566.
  4. Shanker, Latha & Balakrishnan, Narayanaswamy, 2005. "Optimal clearing margin, capital and price limits for futures clearinghouses," Journal of Banking & Finance, Elsevier, vol. 29(7), pages 1611-1630, July.
  5. john cotter & kevin dowd, 2011. "Estimating financial risk measures for futures positions: a non-parametric approach," Papers 1103.5666, arXiv.org.
  6. Raymond Knott & Marco Polenghi, 2006. "Assessing central counterparty margin coverage on futures contracts using GARCH models," Bank of England working papers 287, Bank of England.

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