Absolute Return Volatility

John Cotter

Papers from arXiv.org

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

Date: 2011-03
New Economics Papers: this item is included in nep-rmg
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Citations: View citations in EconPapers (4)

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http://arxiv.org/pdf/1103.5976 Latest version (application/pdf)

Related works:
Working Paper: Absolute Return Volatility (2011)
Working Paper: Absolute Return Volatility (2005)
Working Paper: Absolute Return Volatility (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1103.5976

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