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An Empirical Analysis of Futures Margin Changes: Determinants and Policy Implications
16 references·2 citing·44 second hop
An Empirical Analysis of Futures Margin Changes: Determinants and Policy Implications (2015)An Empirical Analysis of Futures Margin C…Margin Requirements, Volatility, and the Transitory Component of Stock Prices (2016)Margin Requirements, Volatili…Does a Central Clearing Counterparty Reduce Counterparty Risk? (2011)Does a Central Clearing Count…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Volatility Forecasting With Range-Based EGARCH Models (2006)Volatility Forecasting With R…A No‐Arbitrage Approach to Range‐Based Estimation of Return Covariances and Correlations* (2006)A No‐Arbitrage Approach to Ra…Market Liquidity and Funding Liquidity (2005)Market Liquidity and Funding …Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations (2003)A No-Arbitrage Approach to Ra…The Asymmetric Relation Between Initial Margin Requirements and Stock Market Volatility Across Bull and Bear Markets (2002)The Asymmetric Relation Betwe…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…The distribution of realized stock return volatility (2001)The distribution of realized …Competition among Exchanges (2001)Competition among ExchangesMargin Regulation and Stock Market Volatility (1990)Margin Regulation and Stock M…Margins and market integrity: Margin setting for stock index futures and options (1984)Margins and market integrity:…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …Financial Sector Stress and Risk Sharing: Evidence from the Weather Derivatives Market (2018)Financial Sector Stress and R…The Impact of CCPss Margin Policies on Repo Markets (2015)The Impact of CCPss Margin Po…The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Generalized autoregressive conditional heteroskedasticity (1986)Filtering and forecasting with misspecified ARCH models I (1992)Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close (1992)Stock volatility in the new millennium: how wacky is Nasdaq? (2002)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Realized Variance and Market Microstructure Noise (2006)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Glossary to ARCH (GARCH) (2008)Comparison of Volatility Measures: a Risk Management Perspective (2009)How do crude oil prices co-move? (2011)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Expected Stock Returns and Variance Risk Premia (2009)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)MACROPRUDENTIAL POLICY – A LITERATURE REVIEW (2010)Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)Monetary Policy as Financial Stability Regulation (2012)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Systemic Risk in Financial Systems (2001)Securities lending, shorting, and pricing (2002)Credit Default Swaps and the Credit Crisis (2010)Credit Default Swaps and the Empty Creditor Problem (2011)Bubbles, Financial Crises, and Systemic Risk (2013)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)Liquidity and leverage (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)
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References

  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 2005Market Liquidity and Funding Liquidity863 cited
  • 2011Does a Central Clearing Counterparty Reduce Counterparty Risk?600 cited
  • 2006Volatility Forecasting With Range-Based EGARCH Models252 cited
  • 1990Margin Regulation and Stock Market Volatility209 cited
  • 2006A No‐Arbitrage Approach to Range‐Based Estimation of Return Covariances and Correlations*199 cited
  • 2003A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations185 cited
  • 1984Margins and market integrity: Margin setting for stock index futures and options135 cited
  • 2001Competition among Exchanges112 cited
  • 2002The Asymmetric Relation Between Initial Margin Requirements and Stock Market Volatility Across Bull and Bear Markets

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109 cited
  • 2016Margin Requirements, Volatility, and the Transitory Component of Stock Prices104 cited
  • Cited by

    • 2015The Impact of CCPss Margin Policies on Repo Markets29 cited
    • 2018Financial Sector Stress and Risk Sharing: Evidence from the Weather Derivatives Market27 cited