Margin exceedences for European stock index futures using extreme value theory

Article Abstract:

The extreme value theory in margin trading for European stock index futures is investigated. Common requirements for margin trading are sufficient to provide equitable trading costs.

Author: Cotter, John
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2001
Europe, Margins (Security trading), Margins (Securities trading), Margins (Futures trading)

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Sensitivity analyses of anomalies in developed stock markets

Article Abstract:

The anomalies in developed stock exchanges using a variety of analyses are discussed. There is no consensus regarding the specifications of stock market anomalies.

Author: Durham, J. Benson
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2001

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Index arbitrage with heterogeneous investors: a smooth transition error correctional analysis

Article Abstract:

A model for stock index futures using the Dow Jones Industrial Average is investigated. Price equilibrium varies with mispricing.

Author: Tse, Yiuman
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2001
United States, Investments, Arbitrage

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Subjects list: Statistical Data Included, Models, Stock-exchange, Stock exchanges, Securities industry, Stock index futures
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