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Search Results for Collection: College of Business and Law
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(University College Dublin. School of Business. Centre for Financial Markets, 2004)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 ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2004-06-14)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 ...
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(Wiley, 2004-02)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 ...
Now showing items 1-3 of 3