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An Empirical Analysis of Futures Margin Changes: Determinants and Policy Implications
Abruzzo, Nicole; Park, Yang-Ho - Federal Reserve Board (Board of Governors of the … - 2014
various futures margins from Chicago Mercantile Exchange (CME) Group. We first find that CME Group raises margins quickly …
Persistent link: https://www.econbiz.de/10011075125
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Generating Options-Implied Probability Densities to Understand Oil Market Events
Datta, Deepa Dhume; Londono, Juan M.; Ross, Landon J - Federal Reserve Board (Board of Governors of the … - 2014
We investigate the informational content of options-implied probability density functions (PDFs) for the future price of oil. Using a semiparametric variant of the methodology in Breeden and Litzenberger (1978), we investigate the fit and smoothness of distributions derived from alternative PDF...
Persistent link: https://www.econbiz.de/10011075152
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How the stock market could learn to live with index futures and options
Kling, Arnold - Federal Reserve Board (Board of Governors of the … - 1986
Persistent link: https://www.econbiz.de/10005361177
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Futures markets and transaction costs
Kling, Arnold - Federal Reserve Board (Board of Governors of the … - 1986
Persistent link: https://www.econbiz.de/10005498230
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On the efficacy of a portfolio approach to margin setting in a futures- style settlement system
Kupiec, Paul H. - Federal Reserve Board (Board of Governors of the … - 1993
Persistent link: https://www.econbiz.de/10005394182
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Prudential margin policy in a futures-style settlement system
Fenn, George; Kupiec, Paul - Federal Reserve Board (Board of Governors of the … - 1991
Persistent link: https://www.econbiz.de/10005393920
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The performance of S&P500 futures product margins under the span margining system
Kupiec, Paul H. - Federal Reserve Board (Board of Governors of the … - 1993
Persistent link: https://www.econbiz.de/10005393951
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Futures margins and stock price volatility: is there any link?
Kupiec, Paul H. - Federal Reserve Board (Board of Governors of the … - 1989
Persistent link: https://www.econbiz.de/10005394047
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Futures margins and stock price volatility: is there any link?
Kupiec, Paul H. - Federal Reserve Board (Board of Governors of the … - 1990
Persistent link: https://www.econbiz.de/10005394126
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A survey of exchange-traded basket instruments
Kupiec, Paul H. - Federal Reserve Board (Board of Governors of the … - 1989
Persistent link: https://www.econbiz.de/10005721104