Absolute Return Volatility

John Cotter

MPRA Paper from University Library of Munich, Germany

Abstract: The use of absolute return volatility has many modelling benefits. An illustration is given for the market risk measure, minimum capital requirements.

JEL-codes: G0 (search for similar items in EconPapers)
Date: 2004, Revised 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Risk (2006): pp. 84-88

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/3530/1/MPRA_paper_3530.pdf original version (application/pdf)

Related works:
Working Paper: Absolute Return Volatility (2011)
Working Paper: Absolute Return Volatility (2011)
Working Paper: Absolute Return Volatility (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:3530

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().