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Absolute Return Volatility

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  • John Cotter

    (University College Dublin)

Abstract

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

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File URL: http://www.ucd.ie/geary/static/publications/workingpapers/gearywp200415.pdf
File Function: First version, 2004
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Bibliographic Info

Paper provided by Geary Institute, University College Dublin in its series Working Papers with number 200415.

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Length: 17 pages
Date of creation: 05 2011
Date of revision:
Handle: RePEc:ucd:wpaper:200415

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  1. John Cotter, 2011. "Minimum Capital Requirement Calculations for UK Futures," Papers 1103.5416, arXiv.org.
  2. Longin, Francois M, 1996. "The Asymptotic Distribution of Extreme Stock Market Returns," The Journal of Business, University of Chicago Press, vol. 69(3), pages 383-408, July.
  3. Longin, Francois M., 2000. "From value at risk to stress testing: The extreme value approach," Journal of Banking & Finance, Elsevier, vol. 24(7), pages 1097-1130, July.
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