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The behavior of extreme values in Germany's stock index futures: An application to intradaily margin setting

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  • Broussard, John Paul
  • Booth, G. Geoffrey

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  • Broussard, John Paul & Booth, G. Geoffrey, 1998. "The behavior of extreme values in Germany's stock index futures: An application to intradaily margin setting," European Journal of Operational Research, Elsevier, vol. 104(3), pages 393-402, February.
    • Handle: RePEc:eee:ejores:v:104:y:1998:i:3:p:393-402
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    References listed on IDEAS

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    1. Lester G. Telser, 1981. "Margins and futures contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 1(2), pages 225-253, June.
    2. Jansen, Dennis W & de Vries, Casper G, 1991. "On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective," The Review of Economics and Statistics, MIT Press, vol. 73(1), pages 18-24, February.
    3. 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.
    4. Gerald D. Gay & William C. Hunter & Robert W. Kolb, 1986. "A comparative analysis of futures contract margins," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 6(2), pages 307-324, June.
    5. Telser, Lester G, 1981. "Why There Are Organized Futures Markets," Journal of Law and Economics, University of Chicago Press, vol. 24(1), pages 1-22, April.
    6. Stephen Figlewski, 1984. "Margins and market integrity: Margin setting for stock index futures and options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 4(3), pages 385-416, September.
    7. Koedijk, Kees G. & Stork, Philip A. & de Vries, Casper G., 1992. "Differences between foreign exchange rate regimes: The view from the tails," Journal of International Money and Finance, Elsevier, vol. 11(5), pages 462-473, October.
    8. Longin, Francois M, 1996. "The Asymptotic Distribution of Extreme Stock Market Returns," The Journal of Business, University of Chicago Press, vol. 69(3), pages 383-408, July.
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    1. Daniela Castro‐Camilo & Raphaël Huser & Håvard Rue, 2022. "Practical strategies for generalized extreme value‐based regression models for extremes," Environmetrics, John Wiley & Sons, Ltd., vol. 33(6), September.
    2. Alexander, Carol & Kaeck, Andreas & Sumawong, Anannit, 2019. "A parsimonious parametric model for generating margin requirements for futures," European Journal of Operational Research, Elsevier, vol. 273(1), pages 31-43.
    3. Raj Aggarwal & Min Qi, 2009. "Distribution of extreme changes in Asian currencies: tail index estimates and value-at-risk calculations," Applied Financial Economics, Taylor & Francis Journals, vol. 19(13), pages 1083-1102.
    4. Chen-Yu Chen & Jian-Hsin Chou & Hung-Gay Fung & Yiuman Tse, 2017. "Setting the futures margin with price limits: the case for single-stock futures," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 219-237, January.
    5. Basu, Sanjay, 2011. "Comparing simulation models for market risk stress testing," European Journal of Operational Research, Elsevier, vol. 213(1), pages 329-339, August.
    6. Shovan Chowdhury, 2018. "Time Truncated Acceptance Sampling Plans for Fréchet Model," Working papers 290, Indian Institute of Management Kozhikode.
    7. Liu, Qingfu & Tse, Yiuman, 2017. "Overnight returns of stock indexes: Evidence from ETFs and futures," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 440-451.

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