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Lubin School of Business, Pace University
CCP Initial Margins, Tail Risk, Risk Aversion, Procyclicality, Threshold GARCH, Spline, Threshold Autoregressive Model, Realized Variance
central clearing counterparty (CCP) initial margins, procyclicality, threshold generalized autoregressive conditional heteroscedasticity (GARCH), spline, threshold autoregressive model, tail risk
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