Opportunity cost and prudentiality : an analysis of futures clearinghouse behavior
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Cited by:
- James T. Moser, 1998. "Contracting innovations and the evolution of clearing and settlement methods at futures exchanges," Working Paper Series WP-98-26, Federal Reserve Bank of Chicago.
- Broussard, John Paul & Booth, G. Geoffrey, 1998. "The behavior of extreme values in Germany's stock index futures: An application to intradaily margin setting," European Journal of Operational Research, Elsevier, vol. 104(3), pages 393-402, February.
- James J. McAndrews & William Roberds, 1999.
"Payment intermediation and the origins of banking,"
Staff Reports
85, Federal Reserve Bank of New York.
- James J. McAndrews & William Roberds, 1999. "Payment intermediation and the origins of banking," FRB Atlanta Working Paper 99-11, Federal Reserve Bank of Atlanta.
- Moser, James T, 1998. "Contracting Innovations and the Evolution of Exchange Clearinghouses," MPRA Paper 35202, University Library of Munich, Germany.
- Kuan, Chung-Ming & Yeh, Jin-Huei & Hsu, Yu-Chin, 2009. "Assessing value at risk with CARE, the Conditional Autoregressive Expectile models," Journal of Econometrics, Elsevier, vol. 150(2), pages 261-270, June.
- Randall Kroszner, 2000. "Lessons from Financial Crises: The Role of Clearinghouses," Journal of Financial Services Research, Springer;Western Finance Association, vol. 18(2), pages 157-171, December.
- Broussard, John Paul, 2001. "Extreme-value and margin setting with and without price limits," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(3), pages 365-385.
- Chen, Yan & Yu, Wenqiang, 2020. "Setting the margins of Hang Seng Index Futures on different positions using an APARCH-GPD Model based on extreme value theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 544(C).
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Environmental Economics&Policies; Banks&Banking Reform; International Terrorism&Counterterrorism; Economic Theory&Research; Insurance&Risk Mitigation;All these keywords.
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