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Original Articles

Extreme risk in futures contracts

Pages 489-492 | Published online: 19 Aug 2006

References

References

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  • Cotter , J and McKillop , DG . 2000 . The distributional characteristics of a selection of contracts traded on the London International Financial Futures Exchange . Journal of Business Finance and Accounting , 27 : 487 – 510 .
  • Dewachter , H and Gielens , G . 1999 . Setting futures margins: the extremes approach . Applied Financial Economics , 9 : 173 – 81 .
  • Feller W 1971 An Introduction to Probability Theory and its Applications, John Wiley Chichester
  • Kearns , P and Pagan , A . 1997 . Estimating the density tail index for financial time series . Review of Economics and Statistics , 79 : 171 – 5 .
  • Leadbetter MR Lindgren G Rootzen H 1983 Extremes and Related Properties of Random Sequences and Processes, Springer New York
  • Leon Li , M-Y and Lin , HW . 2004 . Estimating value at risk via Markov switching ARCH models – an empirical study on stock index returns . Applied Economic Letters , 11 : 679 – 91 .

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