Díaz-Tinoco, Jaime; Venegas-Martínez, Francisco - In: El Trimestre Económico LXXI (3) (2004) 283, pp. 681-715
This paper provides a margin spread scheme between classes of future contracts on foreign exchange, interest rates, stocks, and stock indexes. The proposed methodology uses as a main tool the correlation between classes and/or series of futures contracts. Under our proposal the total margin, of...