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dc.contributor.author Cotter, John
dc.contributor.author Longin, François
dc.date.accessioned 2009-06-09T15:27:13Z
dc.date.available 2009-06-09T15:27:13Z
dc.date.copyright 2004, Centre for Financial Markets en
dc.date.issued 2004-06-14
dc.identifier.uri http://hdl.handle.net/10197/1162
dc.description.abstract Both in practice and in the academic literature, models for setting margin requirements in futures markets use daily closing price changes. However, financial markets have recently shown high intraday volatility, which could bring more risk than expected. Such a phenomenon is well documented in the literature on high-frequency data and has prompted some exchanges to set intraday margin requirements and ask intraday margin calls. This article proposes to set margin requirements by taking into account the intraday dynamics of market prices. Daily margin levels are obtained in two ways: first, by using daily price changes defined with different time-intervals (say from 3 pm to 3 pm on the following trading day instead of traditional closing times); second, by using 5-minute and 1-hour price changes and scaling the results to one day. An application to the FTSE 100 futures contract traded on LIFFE demonstrates the usefulness of this new approach. en
dc.description.sponsorship University College Dublin. Michael Smurfit Graduate School of Business en
dc.format.extent 288507 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-04-09 en
dc.subject ARCH process en
dc.subject Clearinghouse en
dc.subject Extreme value theory en
dc.subject Futures markets en
dc.subject High frequency data en
dc.subject Intraday dynamics en
dc.subject.classification G15 en
dc.subject.lcsh Futures--Econometric models en
dc.subject.lcsh Clearinghouses (Banking) en
dc.subject.lcsh Extreme value theory en
dc.title Margin requirements with intraday dynamics 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/COTTER4.PDF en
dc.status Not peer reviewed en
dc.neeo.contributor Cotter|John|aut|UCD0043
dc.neeo.contributor Longin|François|aut|


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