Persistence and Procyclicality in Margin Requirements-Reference-Cited by-同舟云学术

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Persistence and Procyclicality in Margin Requirements

Published:2017 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Glasserman Paul,Wu Qi

Publisher

Elsevier BV

Reference35 articles.

1. Liquidity and leverage;T Adrian;Journal of Financial Intermediation,2010

2. A characterization of multivariate regular variation;B Basrak;Annals of Applied Probability,2002

3. Regular variation of GARCH processes;B Basrak;Stochastic Processes and their Applications,2002

4. Generalized autoregressive conditional heteroskedasticity;T Bollerslev;Journal of Econometrics,1986

Cited by 5 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Procyclicality of central counterparty margin models: systemic problems need systemic approaches;Journal of Financial Market Infrastructures;2022

2. Predictive classification of ICU readmission using weight decay random forest;Future Generation Computer Systems;2021-11

3. Central counterparty anti-procyclicality tools: a closer assessment;Journal of Financial Market Infrastructures;2019

4. A Supplement to the Regulation of Anti-Cyclical Margin Measures of Clearing Activities;SSRN Electronic Journal;2018

5. Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement;SSRN Electronic Journal;2017

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