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

DOI10.1016/S0377-2217(97)00014-3zbMath0955.91021OpenAlexW2087839936MaRDI QIDQ1291665

G. Geoffrey Booth, John Paul Broussard

Publication date: 22 February 2001

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-2217(97)00014-3

zbMATH Keywords

extreme valuesdistributionsfuturesGermanyFréchetmargin

Mathematics Subject Classification ID

Related Items

Extreme Value Models for Software Reliability, Extreme value models with application to drought data, Comparing lifetimes of series and parallel systems with heterogeneous Fréchet components, A parsimonious parametric model for generating margin requirements for futures, Stochastic comparisons in systems with Frèchet distributed components

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