Evaluation of Value-at-Risk Models Using Historical Data

  title={Evaluation of Value-at-Risk Models Using Historical Data},
  author={Darryll Hendricks},
We study the effect of restrictions on dual trading in futures contracts. Previous studies have found that dual trading restrictions can have a positive, negative, or neutral effect on market liquidity. In this paper, we propose that trader heterogeneity may explain these conflicting empirical results. We find that, for contracts affected by restrictions, the change in market activity following restrictions differs between contracts. More important, the effect of a restriction varies among dual… 
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