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The impulsive approach to procyclicality: measuring the reactiveness of risk-based initial margin models to changes in market conditions using impulse response functions

Perez, Pedro Gurrola and Murphy, David (2025) The impulsive approach to procyclicality: measuring the reactiveness of risk-based initial margin models to changes in market conditions using impulse response functions. Borsa Istanbul Review. ISSN 2214-8450 (In Press)

[img] Text (IRF Borsa Istanbul final) - Accepted Version
Pending embargo until 1 January 2100.

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Identification Number: 10.1016/j.bir.2025.06.006
Item Type: Article
Divisions: Law School
Subjects: H Social Sciences > HG Finance
H Social Sciences > HB Economic Theory
JEL classification: G - Financial Economics > G1 - General Financial Markets > G13 - Contingent Pricing; Futures Pricing
C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation and Selection
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C12 - Hypothesis Testing
Date Deposited: 07 Jul 2025 08:06
Last Modified: 10 Jul 2025 07:51
URI: http://eprints.lse.ac.uk/id/eprint/128641

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