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An Empirical Analysis of Futures Margin Changes: Determinants and Policy Implications · Study

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ArticleAn Empirical Analysis of Futures Margin Changes: Determinants and Policy Implications

Yang‐Ho Park2015

Article2015

An Empirical Analysis of Futures Margin Changes: Determinants and Policy Implications

Yang‐Ho Park · Nicole Abruzzo

37 citations·0/0 files stored·Journal of Financial Services Research

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Banking stability, regulation, efficiency Financial Risk and Volatility Modeling Risk Management in Financial Firms

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References

2008Market Liquidity and Funding Liquidity 2003Modeling and Forecasting Realized Volatility 2001The distribution of realized stock return volatility 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 2004Power and Bipower Variation with Stochastic Volatility and Jumps 1980The Extreme Value Method for Estimating the Variance of the Rate of Return 2005Market Liquidity and Funding Liquidity 2011Does a Central Clearing Counterparty Reduce Counterparty Risk?

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2015The Impact of CCPss Margin Policies on Repo Markets 2018Financial Sector Stress and Risk Sharing: Evidence from the Weather Derivatives Market

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1998Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?chapter · 12 shared references 2009Comparison of Volatility Measures: a Risk Management Perspectivearticle · 7 shared references 2009Realized Volatilitychapter · 7 shared references 2009Stochastic Volatilityother · 7 shared references 2005Variation, Jumps, Market Frictions and High Frequency Data in Financial Econometricspreprint · 6 shared references 2010Range Volatility Models and Their Applications in Financechapter · 6 shared references

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Year2015

Typearticle

Published2015-01-15

VenueJournal of Financial Services Research

ISSN-L0920-8550

Languageen

Citations37

Files0 public / 0

ShelfBanking stability, regulation, efficiency

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doi10.1007/s10693-014-0212-8

openalex_workW2054147751

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