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.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2001
User Contributions:
Comment about this article or add new information about this topic:
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.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2001
User Contributions:
Comment about this article or add new information about this topic:
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.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2001
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: Genome-directed primers for selective labeling of bacterial transcripts for DNA microarray analysis. High-affinity TCRs
- Abstracts: The hard impact of the soft touch: how to use brand-positioning attributes in conjoint analysis. Split-Questionnaire Designs: A New Tool in Survey Design and Panel Management
- Abstracts: Market interest rate loans: a simple and effective potential estate planning technique. Taxation of business gifts
- Abstracts: Strategic choices of quality, differentiation and pricing in financial services. The near-collapse of LTCM, US financial stock returns, and the fed