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Persistence and Procyclicality in Margin Requirements
16 references·2 citing·35 second hop
Persistence and Procyclicality in Margin Requirements (2018)Persistence and Procyclicality in Margin …The Procyclical Effects of Bank Capital Regulation (2012)The Procyclical Effects of Ba…Securitized banking and the run on repo (2011)Securitized banking and the r…Quantitative Risk Management (2011)Quantitative Risk ManagementLiquidity and leverage (2008)Liquidity and leverageRegular variation of GARCH processes (2002)Regular variation of GARCH pr…A characterization of multivariate regular variation (2002)A characterization of multiva…Market Models: A Guide to Financial Data Analysis (2001)Market Models: A Guide to Fin…Finite and infinite time ruin probabilities in a stochastic economic environment (2001)Finite and infinite time ruin…Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process (2000)Limit theory for the sample a…Modelling Extremal Events (1997)Modelling Extremal EventsTemporal Aggregation of Garch Processes (1993)Temporal Aggregation of Garch…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Stationarity and Persistence in the GARCH(1,1) Model (1990)Stationarity and Persistence …ARCH models as diffusion approximations (1990)ARCH models as diffusion appr…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…A CBA of APC: Analysing Approaches to Procyclicality Reduction in CCP Initial Margin Models (2021)A CBA of APC: Analysing Appro…Central Clearing and Systemic Liquidity Risk (2019)Central Clearing and Systemic…Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Testing Continuous-Time Models of the Spot Interest Rate (1996)Alternative models for stock price dynamics (2003)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Modelling the persistence of conditional variances (1986)THE GARCH OPTION PRICING MODEL (1995)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)A Long Memory Property of Stock Market Returns and a New Model (2010)The Limits of Arbitrage (1995)The Cross‐Section of Volatility and Expected Returns (2006)Market Liquidity and Funding Liquidity (2008)Credit Spreads and Business Cycle Fluctuations (2012)Value and Momentum Everywhere (2013)CoVaR (2016)The Determinants of Credit Spread Changes (2001)Bank lending during the financial crisis of 2008 (2009)How does capital affect bank performance during financial crises? (2013)The Employment Effects of Credit Market Disruptions: Firm-level Evidence from the 2008–9 Financial Crisis * (2013)Cross-Border Banking and Global Liquidity (2014)Coherent Measures of Risk (1999)An Introduction to Statistical Modeling of Extreme Values (2001)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Dynamic Conditional Correlation: On Properties and Estimation (2013)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Conditional value-at-risk for general loss distributions (2002)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)The MIDAS Touch: Mixed Data Sampling Regression Models (2004)Parametric and Nonparametric Volatility Measurement (2010)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1997Modelling Extremal Events4,397 cited
  • 2008Liquidity and leverage2,557 cited
  • 2011Securitized banking and the run on repo1,708 cited
  • 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
  • 2011Quantitative Risk Management985 cited
  • 1990ARCH models as diffusion approximations943 cited
  • 1993Temporal Aggregation of Garch Processes678 cited
  • 2001Market Models: A Guide to Financial Data Analysis493 cited
  • 2000Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process414 cited
  • 2012The Procyclical Effects of Bank Capital Regulation360 cited
  • 2002Regular variation of GARCH processes359 cited
  • 2002A characterization of multivariate regular variation177 cited
  • 2001Finite and infinite time ruin probabilities in a stochastic economic environment

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126 cited

Cited by

  • 2019Central Clearing and Systemic Liquidity Risk28 cited
  • 2021A CBA of APC: Analysing Approaches to Procyclicality Reduction in CCP Initial Margin Models25 cited