Procyclicality mitigation for initial margin models with asymmetric volatility
Elena Goldman and Xiangjin Shen
| Year of publication: |
2020
|
|---|---|
| Authors: | Goldman, Elena ; Shen, Xiangjin |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 22.2019/2020, 5, p. 1-41
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| Subject: | central clearing counterparty (CCP) initial margins | procyclicality | threshold generalized autoregressive conditional heteroscedasticity (GARCH) | spline | threshold autoregressive model | tail risk | ARCH-Modell | ARCH model | Volatilität | Volatility | Schätztheorie | Estimation theory | Schätzung | Estimation | Autokorrelation | Autocorrelation | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2020.435 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012421684