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On the adequacy of single‐stock futures margining requirements
11 references·0 citing·50 second hop
On the adequacy of single‐stock futures margining requirements (2003)On the adequacy of single‐stock futures m…Paul Wilmott on Quantitative Finance (2006)Paul Wilmott on Quantitative …The impact of margins in futures markets: evidence from the gold and silver markets (2001)The impact of margins in futu…Margin exceedences for European stock index futures using extreme value theory (2001)Margin exceedences for Europe…Margin requirements and futures activity: Evidence from the soybean and corn markets (1999)Margin requirements and futur…Prudential margin policy in a futures‐style settlement system (1993)Prudential margin policy in a…Futures margins and stock price volatility: Is there any link? (1993)Futures margins and stock pri…Margin requirements in futures markets: Their relationship to price volatility (1990)Margin requirements in future…The effects of margins on trading in futures markets (1986)The effects of margins on tra…The Effects of Changing Margin Levels on Futures Market Activity, the Composition of Traders in the Market, and Price Performance (1986)The Effects of Changing Margi…A comparative analysis of futures contract margins (1986)A comparative analysis of fut…Margins and market integrity: Margin setting for stock index futures and options (1984)Margins and market integrity:…A theory of price limits in futures markets (1986)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Clearing and Settlement During the Crash (1990)Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash? (1998)Can the Financial Markets Privately Regulate Risk?: The Development of Derivatives Clearinghouses and Recent over-the-Counter Innovations (1999)An Empirical Analysis of Futures Margin Changes: Determinants and Policy Implications (2015)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Expected stock returns and volatility (1987)Why Does Stock Market Volatility Change Over Time? (1989)Price volatility and futures margins (1996)Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash? (1998)Stock Volatility in the New Millennium: How Wacky Is Nasdaq? (2001)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)Advances in the Commodity Futures Literature: A Review (2013)The Effects of Margin Changes on the Composition of Traders and Market Liquidity: Evidence from the Taiwan Futures Exchange (2014)Futures Trading and the Storage of Cotton and Wheat (1958)Returns to Speculators: Telser versus Keynes (1960)The Adequacy of Speculation in Agricultural Futures Markets: Too Much of a Good Thing? (2015)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)Social Choice and Individual Values. (1951)Social Choice and Individual Values (1952)Essays on Economic Behavior Under Uncertainty. (1976)Prudent Margin Levels in the Finnish Stock Index Futures Market (1997)The Economics of Information (1976)The pricing of commodity contracts (1976)On the Estimation of Security Price Volatilities from Historical Data (1980)Initial margin requirements and stock returns volatility: Another look (1989)Animal Spirits, Margin Requirements, and Stock Price Volatility (1991)Market volatility and the demand for hedging in stock index futures (2000)Organized Futures Markets: Costs and Benefits (1977)Futures Price Variability: A Test of Maturity and Volume Effects (1986)Circuit Breakers and Program Trading Limits: What Have We Learned? (1997)MEASURING THE MARKET RISK OF FREIGHT RATES: A VALUE-AT-RISK APPROACH (2008)An Overview of Value at Risk (1997)Modelling Extremal Events (1997)Time variation in the tail behavior of Bund future returns (2004)Modelling Financial Time Series (2007)Varying the VaR for unconditional and conditional environments (2007)The Risk Map: A new tool for validating risk models (2013)Universal option valuation using quadrature methods (2003)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Hitting time distributions in financial markets (2007)
this work references cited by second hop

References

  • 2006Paul Wilmott on Quantitative Finance467 cited
  • 1984Margins and market integrity: Margin setting for stock index futures and options135 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
  • 1986A comparative analysis of futures contract margins71 cited
  • 1993Prudential margin policy in a futures‐style settlement system70 cited
  • 1990Margin requirements in futures markets: Their relationship to price volatility55 cited
  • 1986The effects of margins on trading in futures markets47 cited
  • 1999Margin requirements and futures activity: Evidence from the soybean and corn markets31 cited
  • 1993Futures margins and stock price volatility: Is there any link?24 cited
  • 2001The impact of margins in futures markets: evidence from the gold and silver markets22 cited

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