Dynamic margin optimization

Author:

Berlinger EdinaORCID,Bihary Zsolt,Dömötör BarbaraORCID

Funder

National Research Development and Innovation Office

Publisher

Elsevier BV

Reference37 articles.

1. Forecasting volatility and co-volatility of crude oil and gold futures: effects of leverage, jumps, spillovers, and geopolitical risks;Asai;Int. J. Forecast.,2020

2. The countercyclical capital buffer and the composition of bank lending;Auer;J. Financ. Interm.,2022

3. The demand for central clearing: to clear or not to clear, that is the question!;Bellia;J. Financ. Stability,2024

4. Anti-cyclical versus risk-sensitive margin strategies in central clearing;Berlinger;J. Int. Financ. Markets, Institut. Money,2019

5. Optimal margin requirement;Berlinger;Finance Res. Lett.,2019

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