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Extreme-value and margin setting with and without price limits

  • Broussard, John Paul

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File URL: http://www.sciencedirect.com/science/article/B6W5X-43K9TTY-5/2/9d6b7f3631686e5ba239d9005a814ce0
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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
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620167

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  1. 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.
  2. G. Booth & John Broussard, 1998. "Setting NYSE Circuit Breaker Triggers," Journal of Financial Services Research, Springer, vol. 13(3), pages 187-204, June.
  3. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
  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. 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.
  6. Brennan, Michael J., 1986. "A theory of price limits in futures markets," Journal of Financial Economics, Elsevier, vol. 16(2), pages 213-233, June.
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