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Realized volatility and minimum capital requirements

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Download cotterj_confpap_pub_014.pdf358.66 KB
Author(s)
Cotter, John 
Uri
http://hdl.handle.net/10197/1692
Date Issued
2003
Date Available
08T14:31:16Z December 2009
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.
Sponsorship
The Institute of Certified Public Accountants in Ireland (CPA)
Type of Material
Conference Publication
Publisher
Money Macro and Finance Research Group
Copyright (Published Version)
Money Macro and Finance Research Group, 2003
Subject – LCSH
Capital
Futures--Great Britain
Futures--Econometric models
Language
English
Status of Item
Not peer reviewed
Description
Paper presented at Money Macro and Finance Research Group 35th Annual Conference (MMF 2003), September 10-12 2003, University of Cambridge
This item is made available under a Creative Commons License
https://creativecommons.org/licenses/by-nc-sa/1.0/
Owning collection
Business Research Collection
Views
1398
Acquisition Date
Jan 27, 2023
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Downloads
319
Acquisition Date
Jan 27, 2023
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