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 G1 (search for similar items in EconPapers)
Date: 2004, Revised 2005
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Published in Risk (2006): pp. 84-88

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https://mpra.ub.uni-muenchen.de/3529/1/MPRA_paper_3529.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)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:3529

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