The behavior of extreme values in Germany's stock index futures: An application to intradaily margin setting
type: Item
instance of: scholarly article
title: The behavior of extreme values in Germany's stock index futures: An application to intradaily margin setting
zbMATH Open document ID: 0955.91021
DOI: 10.1016/S0377-2217(97)00014-3
author: John Paul Broussard
author: G. Geoffrey Booth
published in: European Journal of Operational Research
publication date: 2001-02-22T00:00:00Z
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 1299879
zbMATH Keywords: distributions
zbMATH Keywords: Fréchet
zbMATH Keywords: extreme values
zbMATH Keywords: futures
zbMATH Keywords: margin
zbMATH Keywords: Germany
MaRDI profile type: Publication
cites work: Limit Theorems for the Maximum Term in Stationary Sequences
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cites work: Q5624436
cites work: Q3259350
cites work: A simple general approach to inference about the tail of a distribution
cites work: Extremes and related properties of random sequences and processes
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full work available at URL: s0377-2217(97)00014-3
OpenAlex ID: W2087839936
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description: scientific article; zbMATH DE number 1299879