Minimum capital requirement calculations for UK futures

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dc.contributor.author Cotter, John
dc.date.accessioned 2009-12-14T14:19:11Z
dc.date.available 2009-12-14T14:19:11Z
dc.date.copyright 2004 Wiley Periodicals, Inc. en
dc.date.issued 2004-02
dc.identifier.citation Journal of Futures Markets en
dc.identifier.issn 0270-7314
dc.identifier.uri http://hdl.handle.net/10197/1719
dc.description.abstract Key to the imposition of appropriate minimum capital requirements on a daily basis is accurate volatility estimation. Here, measures are presented based on discrete estimation of aggregated high-frequency UK futures realizations 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 Ireland en
dc.description.sponsorship University College Dublin’s President’s Research Awards en
dc.format.extent 4304 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher Wiley 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 Journal Article en
dc.internal.authorurl John Cotter (web page) en
dc.internal.authorurl http://www.ucd.ie/research/people/business/drjohncotter/ en
dc.internal.authorid UCD0043 en
dc.internal.availability Full text available en
dc.internal.webversions Publisher's version en
dc.internal.webversions http://dx.doi.org/10.1002/fut.10102 en
dc.status Peer reviewed en
dc.identifier.volume 24 en
dc.identifier.issue 2 en
dc.identifier.startpage 193 en
dc.identifier.endpage 220 en
dc.identifier.doi 10.1002/fut.10102
dc.neeo.contributor Cotter|John|aut|UCD0043 en


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