Absolute Return Volatility
AbstractThe 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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Bibliographic InfoPaper provided by Geary Institute, University College Dublin in its series Working Papers with number 200415.
Length: 17 pages
Date of creation: 05 2011
Date of revision:
Other versions of this item:
- Cotter, John, 2004. "Absolute Return Volatility," MPRA Paper 3529, University Library of Munich, Germany, revised 2005.
- John Cotter, 2011. "Absolute Return Volatility," Papers 1103.5976, arXiv.org.
- Cotter, John, 2004. "Absolute Return Volatility," MPRA Paper 3530, University Library of Munich, Germany, revised 2005.
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- John Cotter, 2011.
"Minimum Capital Requirement Calculations for UK Futures,"
- Cotter, John, 2004. "Minimum Capital Requirement Calculations for UK Futures," MPRA Paper 3527, University Library of Munich, Germany.
- John Cotter, 2011. "Minimum Capital Requirement Calculations for UK Futures," Working Papers 200418, Geary Institute, University College Dublin.
- 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.
- 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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