Economics, Econometrics and Finance
4 years ago

Changes in Margin Policy Have No Impact on Crude Oil Market Volatility.

SSRN Electronic Journal
Initial Margin Policy and Stochastic Volatility in the Crude Oil Futures Market
Theodore E. Day, Craig M. Lewis

Paper Summary

The study looked at how changes in initial margin requirements affect the volatility of the crude oil futures market. By analyzing crude oil futures options prices, the researchers found that changes in margin policy do not impact future market volatility.

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