The behavior of extreme values in Germany's stock index futures: An application to intradaily margin setting

European Journal of Operational Research

Volumn 104, Issue 3, 1998, Pages 393-402

  Broussard, John Paul ^a   Booth, G Geoffrey ^b  

^a FAIRLEIGH DICKINSON UNIVERSITY   (United States)

^b LOUISIANA STATE UNIVERSITY   (United States)

Author keywords

Distributions; Extreme values; Fr chet; Futures; Germany; Margin

Indexed keywords

CONTRACTS; FINANCE; MARKETING; OPERATIONS RESEARCH; STATISTICAL METHODS;

EXTREME VALUES; FINANCIAL LOSSES; GERMANY; INTRADAILY PRICE CHANGES; MARGIN; STOCK INDEX; VALUE DISTRIBUTION;

PROBABILITY;

EID: 0031999129     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-2217(97)00014-3     Document Type: Article

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