2[3]Fenn G D, Kupiec P. Prudent margin policy in a futures style settlement system[J]. The Journal of Futures Markets, 1993, (13):389-408.
3[4]Embrechts P, Kluppelberg C, Mikosch T. Modeling extremal events for insurance and finance[M]. Springer, Berlin, 1997.
4Ackert and Hunt. "A Sequential Test Methodology for Detecting Futures Markets Disruptions with Applications to Futures Margin Management. " Review of Futures Markets.1990. 9(2). pp. 318-341.
5Brennan M J. "A Theory of Price Limits in Futures Markets. " Journal of Financial Economics 16, 1986. pp. 213-233.
6Cotter, J and Mckillop, D G. "The Distributional Characteristics of a Selection of Contracts Traded on the London International Financial Futures Exchange. " Journal of Business Finance and Accounting(forthcoming), 2000.
7Duffle, D. Futures Markets. Prentice-Hall, New York,1989.
8Figlewski S. "Margins and Market Integrity: Margin setting for stock Index Futures and Optins. " The Journal Futures Markets, 1984.
9Fish, Raymond P H; Goldberg, Lawrence G. ; Gosnell, Thomas F and Sinha, Sujata. " Margin Requirements in Futures Markets: The Relationship to Price Volatility. " Journal of Futures Markets 10, 1990,pp. 541-554.
10Jansen D. and De Vries, C. "On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective. " The Review of Economics and Statistics 73, 1991, pp. 18-24.