Futures margins and stock price volatility: is there any link?
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Other versions of this item:
- Paul H. Kupiec, 1993. "Futures margins and stock price volatility: Is there any link?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(6), pages 677-691, September.
- Paul H. Kupiec, 1989. "Futures margins and stock price volatility: is there any link?," Finance and Economics Discussion Series 95, Board of Governors of the Federal Reserve System (U.S.).
Citations
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Cited by:
- Paul Kupiec, 1998.
"Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?,"
Journal of Financial Services Research, Springer;Western Finance Association, vol. 13(3), pages 231-255, June.
- Paul H. Kupiec, 1997. "Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since The Crash?," FMG Special Papers sp97, Financial Markets Group.
- Paul H. Kupiec, 1997. "Margin requirements, volatility, and market integrity: what have we learned since the crash?," Finance and Economics Discussion Series 1997-22, Board of Governors of the Federal Reserve System (U.S.).
- Alexander, Carol & Kaeck, Andreas & Sumawong, Anannit, 2019. "A parsimonious parametric model for generating margin requirements for futures," European Journal of Operational Research, Elsevier, vol. 273(1), pages 31-43.
- David Bates & Roger Craine, 1998. "Valuing the Futures Market Clearinghouse's Default Exposure During the 1987 Crash," NBER Working Papers 6505, National Bureau of Economic Research, Inc.
- William Schwert, G., 2002.
"Stock volatility in the new millennium: how wacky is Nasdaq?,"
Journal of Monetary Economics, Elsevier, vol. 49(1), pages 3-26, January.
- G. William Schwert, 2001. "Stock Volatility in the New Millennium: How Wacky Is Nasdaq?," NBER Working Papers 8436, National Bureau of Economic Research, Inc.
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