Realized volatility and minimum capital requirements

DSpace/Manakin Repository

Show simple item record Cotter, John 2009-12-08T14:31:16Z 2009-12-08T14:31:16Z Money Macro and Finance Research Group, 2003 en 2003
dc.description Paper presented at Money Macro and Finance Research Group 35th Annual Conference (MMF 2003), September 10-12 2003, University of Cambridge en
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 The Institute of Certified Public Accountants in Ireland (CPA) en
dc.format.extent 4304 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher Money Macro and Finance Research Group en
dc.subject.lcsh Capital en
dc.subject.lcsh Futures--Great Britain en
dc.subject.lcsh Futures--Econometric models en
dc.title Realized volatility and minimum capital requirements en
dc.type Conference Publication en
dc.internal.authorurl John Cotter (web page) en
dc.internal.authorurl en
dc.internal.authorid UCD0043 en
dc.internal.availability Full text available en
dc.status Not peer reviewed en
dc.neeo.contributor Cotter|John|aut|UCD0043 en

Files in this item

This item appears in the following Collection(s)

Show simple item record

This item is available under the Attribution-NonCommercial-NoDerivs 3.0 Ireland. No item may be reproduced for commercial purposes. For other possible restrictions on use please refer to the publisher's URL where this is made available, or to notes contained in the item itself. Other terms may apply.

If you are a publisher or author and have copyright concerns for any item, please email and the item will be withdrawn immediately. The author or person responsible for depositing the article will be contacted within one business day.

Search Research Repository

Advanced Search