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Rational price limits in futures markets: tests of a simple optimizing model
14 references·1 citing·49 second hop
Rational price limits in futures markets: tests of a simple optimizing model (1994)Rational price limits in futures markets:…Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Proof that Properly Anticipat…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Limit moves and price resolution: The case of the treasury bond futures market (1989)Limit moves and price resolut…Extreme price movements and margin levels in futures markets (1988)Extreme price movements and m…A theory of price limits in futures markets (1986)A theory of price limits in f…A comparative analysis of futures contract margins (1986)A comparative analysis of fut…The economics of performance margins in futures markets (1985)The economics of performance …Understanding futures markets (1984)Understanding futures marketsThe Industrial organization of futures markets (1984)The Industrial organization o…Margins and market integrity: Margin setting for stock index futures and options (1984)Margins and market integrity:…The clearing association in futures markets: Guarantor and regulator (1983)The clearing association in f…Margins and futures contracts (1981)Margins and futures contractsOn the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…The pricing of commodity contracts (1976)The pricing of commodity cont…Price limit performance: New evidence from a quasi-natural experiment in China's ChiNext market (2023)Price limit performance: New …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Optimal margin level in futures markets: Extreme price movements (1999)Competition among Exchanges (2001)Extreme spectral risk measures: An application to futures clearinghouse margin requirements (2006)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Does the Stock Market Overreact? (1985)Using daily stock returns (1985)Volatility, Price Resolution, and the Effectiveness of Price Limits (1989)Volatility, price resolution, and the effectiveness of price limits (1989)Price Limit Performance: Evidence from the Tokyo Stock Exchange (1997)The General Theory of Employment, Interest and Money. (1936)The General Theory of Employment, Interest and Money. (1936)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Forwards and futures in tokugawa-period Japan:A new perspective on the Dōjima rice market (1989)Artificial neural networks with feature transformation based on domain knowledge for the prediction of stock index futures (2004)Do Behavioral Biases Affect Prices? (2005)Theory of Rational Option Pricing (1973)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Theory of rational option pricing (2005)Social Choice and Individual Values. (1951)Social Choice and Individual Values (1952)Essays on Economic Behavior Under Uncertainty. (1976)Prudential margin policy in a futures‐style settlement system (1993)Prudent Margin Levels in the Finnish Stock Index Futures Market (1997)Can the Financial Markets Privately Regulate Risk?: The Development of Derivatives Clearinghouses and Recent over-the-Counter Innovations (1999)A Monetary History of the United States 1867-1960 (1964)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Luck Versus Forecast Ability: Determinants of Trader Performance in Futures Markets (1991)A Monetary History of the United States, 1867-1960 (2017)Evaluating Natural Resource Investments (1985)Price volatility, international market links, and their implications for regulatory policies (1989)Leverage and Market Stability: The Role of Margin Rules and Price Limits (1998)The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange (2003)Time Series Regression with a Unit Root (1987)Testing for cointegration using principal components methods (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)The valuation of options for alternative stochastic processes (1976)Estimating betas from nonsynchronous data (1977)Theory of Financial Decision Making. (1988)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing when underlying stock returns are discontinuous (1976)
this work references cited by second hop

References

  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 2015Proof that Properly Anticipated Prices Fluctuate Randomly2,078 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,544 cited
  • 1986A theory of price limits in futures markets211 cited
  • 1984Margins and market integrity: Margin setting for stock index futures and options135 cited
  • 1981Margins and futures contracts127 cited
  • 1989Limit moves and price resolution: The case of the treasury bond futures market98 cited
  • 1984Understanding futures markets88 cited
  • 1986A comparative analysis of futures contract margins71 cited
  • 1983The clearing association in futures markets: Guarantor and regulator55 cited
  • 1984The Industrial organization of futures markets55 cited
  • 1988Extreme price movements and margin levels in futures markets34 cited
  • 1985The economics of performance margins in futures markets17 cited

Cited by

  • 2023Price limit performance: New evidence from a quasi-natural experiment in China's ChiNext market16 cited

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