References

• 1986Generalized autoregressive conditional heteroskedasticity22,836 cited
• 1986A theory of price limits in futures markets211 cited
• 1984Margins and market integrity: Margin setting for stock index futures and options135 cited
• 1999Optimal margin level in futures markets: Extreme price movements99 cited
• 2001Margin exceedences for European stock index futures using extreme value theory95 cited
• 1986The Effects of Changing Margin Levels on Futures Market Activity, the Composition of Traders in the Market, and Price Performance92 cited
• 2014Consolidated Financial Statements 201485 cited
• 1986A comparative analysis of futures contract margins71 cited
• 1993Prudential margin policy in a futures‐style settlement system70 cited
• 1988Extreme price movements and margin levels in futures markets34 cited
• 1994Margins and the safety of clearing houses32 cited
• 1999Valuing the Futures Market Clearinghouse's Default Exposure during the 1987 Crash29 cited
• 2001Extreme-value and margin setting with and without price limits29 cited
• 1994The performance of S&P 500 futures product margins under the SPAN margining system27 cited
• 1998Valuing the Futures Market Clearinghouse's Default Exposure During the 1987 Crash