IDEAS home Printed from
MyIDEAS: Login

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

by Cotter, John

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. 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.
  2. 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.
  3. Cotter, John, 2007. "Extreme risk in Asian equity markets," MPRA Paper 3536, University Library of Munich, Germany.
  4. Cotter, John & Dowd, Kevin, 2006. "Extreme spectral risk measures: An application to futures clearinghouse margin requirements," Journal of Banking & Finance, Elsevier, vol. 30(12), pages 3469-3485, December.
  5. Upper, Christian & Werner, Thomas, 2002. "Time variation in the tail behaviour of bunds futures returns," Working Paper Series 0199, European Central Bank.
  6. John Cotter, 2004. "Minimum capital requirement calculations for UK futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(2), pages 193-220, 02.
  7. 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.
  8. Cotter, John & Longin, Francois, 2004. "Margin setting with high-frequency data," MPRA Paper 3528, University Library of Munich, Germany, revised 2006.
  9. Abruzzo, Nicole & Park, Yang-Ho, 2014. "An Empirical Analysis of Futures Margin Changes: Determinants and Policy Implications," Finance and Economics Discussion Series 2014-86, Board of Governors of the Federal Reserve System (U.S.).
  10. John Cotter & Francois Longin, 2011. "Margin Requirements with Intraday Dynamics," Working Papers 200519, Geary Institute, University College Dublin.
  11. John Cotter, 2004. "Downside risk for European equity markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(10), pages 707-716.
  12. 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.
  13. 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.
  14. Gilbert Colletaz & Christophe Hurlin & Christophe Pérignon, 2012. "The Risk Map: A New Tool for Validating Risk Models," Working Papers halshs-00746273, HAL.
  15. Cotter, John, 2004. "Modelling extreme financial returns of global equity markets," MPRA Paper 3532, University Library of Munich, Germany.
  16. John Cotter, 2005. "Extreme risk in futures contracts," Applied Economics Letters, Taylor & Francis Journals, vol. 12(8), pages 489-492.
  17. Thomas Werner & Christian Upper, 2004. "Time variation in the tail behavior of Bund future returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(4), pages 387-398, 04.
  18. 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.
  19. 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.
  20. 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).
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.