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Some properties of absolute returns as a proxy for volatility

David Giles ()

Applied Financial Economics Letters, 2008, vol. 4, issue 5, 347-350

Abstract: We use the stochastic volatility model as a basis for investigating the statistical properties of absolute returns as a measure of latent volatility in financial markets. Our results are compared with existing results for squared returns.

Date: 2008
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Working Paper: Some Properties of Absolute Returns as a Proxy for Volatility (2007) Downloads
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