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)
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Text (IRF Borsa Istanbul final)
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Pending embargo until 1 January 2100. Download (1MB) |
Identification Number: 10.1016/j.bir.2025.06.006
Item Type: | Article |
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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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