Realized volatility and minimum capital requirements

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Title: Realized volatility and minimum capital requirements
Authors: Cotter, John
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Date: 2003
Online since: 2009-12-08T14:31:16Z
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.
Funding Details: 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: en
Status of Item: Not peer reviewed
Conference Details: Paper presented at Money Macro and Finance Research Group 35th Annual Conference (MMF 2003), September 10-12 2003, University of Cambridge
Appears in Collections:Business Research Collection

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