Absolute Return Volatility

Cotter, John (2004): Absolute Return Volatility. Published in: Risk (June 2006): pp. 84-88.

Abstract

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

• Item Type: MPRA Paper
• Institution: University College Dublin
• Language: English
• Subjects: G - Financial Economics > G1 - General Financial Markets; G - Financial Economics > G0 - General

References

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