Some Properties of Absolute Return: An Alternative Measure of Risk
Clive Granger and
Annals of Economics and Statistics, 1995, issue 40, 67-91
The expected absolute return belongs to a class of risk measure derived by Luce (1980) from axioms. The paper considers the time series properties of and also the marginal distribution properties, for various properties of Theta. Using a long daily stock index series it is found that the autocorrelations decline slowly for all positive Theta but this "long-memory" property is strongest for Theta = 1, the absolute return. The moments of absolute returns, after removal of a few outliers, suggest that an exponential distribution is appropriate.
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1995:i:40:p:67-91
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