Minimum capital requirement calculations for UK futures

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dc.contributor.author Cotter, John
dc.date.accessioned 2009-06-09T14:57:36Z
dc.date.available 2009-06-09T14:57:36Z
dc.date.copyright 2004, Centre for Financial Markets en
dc.date.issued 2004
dc.identifier.uri http://hdl.handle.net/10197/1158
dc.description.abstract Key to the imposition of appropriate minimum capital requirements on a daily basis requires accurate volatility estimation. Here, measures are presented based on discrete estimation of aggregated high frequency UK futures realisations underpinned by a continuous time framework. Squared and absolute returns are incorporated into the measurement process so as to rely on the quadratic variation of a diffusion process and be robust in the presence of fat tails. The realized volatility estimates incorporate the long memory property. The dynamics of the volatility variable are adequately captured. Resulting rescaled returns are applied to minimum capital requirement calculations. en
dc.description.sponsorship CPA en
dc.format.extent 211061 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher University College Dublin. School of Business. Centre for Financial Markets en
dc.relation.ispartofseries Centre for Financial Markets working paper series en
dc.relation.ispartofseries WP-04-08 en
dc.subject.lcsh Capital--Econometric models en
dc.subject.lcsh Futures--Econometric models en
dc.subject.lcsh Analysis of variance en
dc.title Minimum capital requirement calculations for UK futures en
dc.type Working Paper en
dc.internal.authorid UCD0043
dc.internal.availability Full text available en
dc.internal.webversions Publisher's version en
dc.internal.webversions http://www.ucd.ie/bankingfinance/docs/wp/COTTER6.PDF en
dc.status Not peer reviewed en
dc.neeo.contributor Cotter|John|aut|UCD0043


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