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)

Text (IRF Borsa Istanbul final) - Accepted Version Pending embargo until 1 January 2100. Download (1MB)

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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