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Optimal clearing margin, capital and price limits for futures clearinghouses

  • Shanker, Latha
  • Balakrishnan, Narayanaswamy
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-4F6MDF6-1/2/d4c306a58925b4a760ac78eeb164fab6
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    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 29 (2005)
    Issue (Month): 7 (July)
    Pages: 1611-1630

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    Handle: RePEc:eee:jbfina:v:29:y:2005:i:7:p:1611-1630
    Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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    1. Brennan, Michael J., 1986. "A theory of price limits in futures markets," Journal of Financial Economics, Elsevier, vol. 16(2), pages 213-233, June.
    2. Ackert, Lucy F. & Hunter, William C., 1994. "Rational price limits in futures markets: tests of a simple optimizing model," Review of Financial Economics, Elsevier, vol. 4(1), pages 93-108.
    3. Hartzmark, Michael L, 1986. "The Effects of Changing Margin Levels on Futures Market Activity, the Composition of Traders in the Market, and Price Performance," The Journal of Business, University of Chicago Press, vol. 59(2), pages S147-80, April.
    4. Hans Dewachter & Geert Gielens, 1999. "Setting futures margins: the extremes approach," Applied Financial Economics, Taylor & Francis Journals, vol. 9(2), pages 173-181.
    5. E.K. Berndt & B.H. Hall & R.E. Hall, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 103-116 National Bureau of Economic Research, Inc.
    6. James T. Moser, 1992. "Determining margin for futures contracts: the role of private interests and the relevance of excess volatility," Economic Perspectives, Federal Reserve Bank of Chicago, issue Mar, pages 2-18.
    7. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    8. Gemmill, Gordon, 1994. "Margins and the safety of clearing houses," Journal of Banking & Finance, Elsevier, vol. 18(5), pages 979-996, October.
    9. Broussard, John Paul, 2001. "Extreme-value and margin setting with and without price limits," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(3), pages 365-385.
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