Minimum capital requirement calculations for UK futures

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Title: Minimum capital requirement calculations for UK futures
Authors: Cotter, John
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Date: Feb-2004
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.
Funding Details: CPA Ireland
University College Dublin’s President’s Research Awards
Type of material: Journal Article
Publisher: Wiley
Journal: Journal of Futures Markets
Volume: 24
Issue: 2
Start page: 193
End page: 220
Copyright (published version): 2004 Wiley Periodicals, Inc.
Subject LCSH: Capital--Econometric models
Futures--Econometric models
Analysis of variance
DOI: 10.1002/fut.10102
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Language: en
Status of Item: Peer reviewed
Appears in Collections:Business Research Collection

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