Absolute return volatility

John Cotter

Centre for Financial Markets Working Papers from Research Repository, University College Dublin

Abstract: In recent years the finance industry from an academic and practitioner perspective has placed heavy emphasis on the analysis of volatility models. This is understandable given the importance that volatility plays for these agents and the fact that it is not directly observable representing somewhat of a holy grail. In particular, volatility modelling feeds directly into risk management practices.

Keywords: Analysis of variance; Financial risk management; Rate of return--Mathematical models (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:rru:cfmwps:10197/1139

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