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Citations for "Margin Exceedences for European Stock Index Futures using Extreme Value Theory"

by Cotter, John

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  1. John Cotter & Kevin Dowd, 2011. "Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements," Working Papers 200516, Geary Institute, University College Dublin.
  2. Cotter, John, 2007. "Varying the VaR for unconditional and conditional environments," Journal of International Money and Finance, Elsevier, vol. 26(8), pages 1338-1354, December.
  3. John Cotter, 2005. "Extreme risk in futures contracts," Applied Economics Letters, Taylor & Francis Journals, vol. 12(8), pages 489-492.
  4. John Cotter, 2004. "Downside risk for European equity markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(10), pages 707-716.
  5. Cotter, John & Dowd, Kevin, 2006. "Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements," MPRA Paper 3495, University Library of Munich, Germany.
  6. Upper, Christian & Werner, Thomas, 2002. "Time Variation in the Tail Behaviour of Bund Futures Returns," Discussion Paper Series 1: Economic Studies 2002,25, Deutsche Bundesbank, Research Centre.
  7. Gilbert Colletaz & Christophe Hurlin & Christophe Pérignon, 2012. "The Risk Map: A New Tool for Validating Risk Models," Working Papers halshs-00746273, HAL.
  8. Cotter, John & Longin, Francois, 2004. "Margin setting with high-frequency data," MPRA Paper 3528, University Library of Munich, Germany, revised 2006.
  9. John Cotter & Francois Longin, 2011. "Margin Requirements with Intraday Dynamics," Working Papers 200519, Geary Institute, University College Dublin.
  10. John Cotter, 2004. "Realized volatility and minimum capital requirements," Money Macro and Finance (MMF) Research Group Conference 2003 20, Money Macro and Finance Research Group.
  11. Cotter, John, 2007. "Extreme risk in Asian equity markets," MPRA Paper 3536, University Library of Munich, Germany.
  12. 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.
  13. Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
  14. John Cotter, 2011. "Minimum Capital Requirement Calculations for UK Futures," Papers 1103.5416, arXiv.org.
  15. John G. Galbraith & Serguei Zernov, 2006. "Extreme Dependence In The Nasdaq And S&P Composite Indexes," Departmental Working Papers 2006-14, McGill University, Department of Economics.
  16. Kellner, Ralf & Gatzert, Nadine, 2013. "Estimating the basis risk of index-linked hedging strategies using multivariate extreme value theory," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4353-4367.
  17. Shi, Wei & Irwin, Scott H., 2006. "What Happens when Peter can't Pay Paul: Risk Management at Futures Exchange Clearinghouses," 2006 Annual meeting, July 23-26, Long Beach, CA 21087, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  18. Cotter, John, 2004. "Modelling extreme financial returns of global equity markets," MPRA Paper 3532, University Library of Munich, Germany.