Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Setting futures margins: the extremes approach

10 references·1 citing·49 second hop

FromToDepth

this work references cited by second hop

References

1990The tail index of exchange rate returns252 cited
1986A theory of price limits in futures markets211 cited
1989The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses198 cited
1984Margins and market integrity: Margin setting for stock index futures and options135 cited
1991The limiting distribution of extremal exchange rate returns133 cited
1996Excess Functions and Estimation of the Extreme-Value Index120 cited
1984Stable distributions, futures prices, and the measurement of trading performance91 cited
1984Slow Variation and Characterization of Domains of Attraction90 cited
1986A comparative analysis of futures contract margins71 cited
1993Prudential margin policy in a futures‐style settlement system70 cited

Cited by

2005Optimal clearing margin, capital and price limits for futures clearinghouses17 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work