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Margin Requirements, Price Fluctuations, and Market Participation in Metal Futures
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Margin Requirements, Price Fluctuations, and Market Participation in Metal Futures (1995)Margin Requirements, Price Fluctuations, …The Failure of a Clearinghouse: Empirical Evidence (2017)The Failure of a Clearinghous…An Empirical Analysis of Futures Margin Changes: Determinants and Policy Implications (2015)An Empirical Analysis of Futu…The Effects of Margin Changes on the Composition of Traders and Market Liquidity: Evidence from the Taiwan Futures Exchange (2014)The Effects of Margin Changes…Advances in the Commodity Futures Literature: A Review (2013)Advances in the Commodity Fut…Optimal Central Counterparty Risk Management (2009)Optimal Central Counterparty …Econometric modelling of non‐ferrous metal prices (2004)Econometric modelling of non‐…A theoretical framework to evaluate different margin‐setting methodologies (2003)A theoretical framework to ev…The impact of margins in futures markets: evidence from the gold and silver markets (2001)The impact of margins in futu…Margin requirements and futures activity: Evidence from the soybean and corn markets (1999)Margin requirements and futur…Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash? (1998)Margin Requirements, Volatili…Circuit Breakers and Program Trading Limits: What Have We Learned? (1997)Circuit Breakers and Program …The International Crash of October 1987 (1988)Using tax policy to curb speculative short-term trading (1989)When financial markets work too well: A cautious case for a securities transactions tax (1989)Speculative markets and the effectiveness of price limits (2003)The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies (2008)Examining the effectiveness of price limits in an artificial stock market (2010)The Effects of Changing Margin Levels on Futures Market Activity, the Composition of Traders in the Market, and Price Performance (1986)Margins and the safety of clearing houses (1994)Payment System Settlement and Bank Incentives (1998)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Price limits, margin requirements, and default risk (2000)ARCH modeling in finance (1992)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Market Liquidity and Funding Liquidity (2008)The Impact of CCPss Margin Policies on Repo Markets (2015)Financial Sector Stress and Risk Sharing: Evidence from the Weather Derivatives Market (2018)The (dis)advantages of clearinghouses before the Fed (2018)Forward and spot exchange rates (1984)DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES (1986)The course of realized volatility in the LME non-ferrous metal market (2015)Volatility Forecasting of Non-Ferrous Metal Futures: Covariances, Covariates or Combinations? (2017)Forecasting copper price by application of robust artificial intelligence techniques (2021)The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)Why Does Stock Market Volatility Change Over Time? (1989)The Dynamics of Stock Index and Stock Index Futures Returns (1990)Why Can Margin Requirements Increase Volatility and Benefit Margin Constrained Investors? (2015)The pricing of commodity contracts (1976)Noise Trader Risk in Financial Markets (1990)Illiquidity and stock returns: cross-section and time-series effects (2002)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Event Studies in Economics and Finance (1997)Agency Costs, Risk Management, and Capital Structure (1998)CoMargin (2017)Common risk factors in the returns on stocks and bonds (1993)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics (2016)
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Cited by

  • 2004Econometric modelling of non‐ferrous metal prices80 cited
  • 1997Circuit Breakers and Program Trading Limits: What Have We Learned?48 cited
  • 2015An Empirical Analysis of Futures Margin Changes: Determinants and Policy Implications37 cited
  • 1998Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?37 cited
  • 1999Margin requirements and futures activity: Evidence from the soybean and corn markets31 cited
  • 2017The Failure of a Clearinghouse: Empirical Evidence27 cited
  • 2013Advances in the Commodity Futures Literature: A Review25 cited
  • 2014The Effects of Margin Changes on the Composition of Traders and Market Liquidity: Evidence from the Taiwan Futures Exchange25 cited
  • 2003A theoretical framework to evaluate different margin‐setting methodologies25 cited
  • 2009Optimal Central Counterparty Risk Management23 cited
  • 2001The impact of margins in futures markets: evidence from the gold and silver markets22 cited

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