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Keywords: Initial Margin
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2010) 18 (4): 51–68.
Published: 30 November 2010
...Pan-Do Sohn; Sung-Shin Kim; Jung-Soon Shin This paper investigates the asymmetric volatility between conditional volatility and initial margin using daily market return of TOPIX and Nikkei225 over 1970 to 1990. In prior studies, generally, it has been known that margin is regard as a main...
