Absolute Return Volatility
Abstract
The use of absolute return volatility has many modelling benefits. An illustration is given for the market risk measure, minimum capital requirements.(This abstract was borrowed from another version of this item.)
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Paper 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:
Handle: RePEc:ucd:wpaper:200415
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Related research
Keywords:Other versions of this item:
- John Cotter, 2011. "Absolute Return Volatility," Papers 1103.5976, arXiv.org.
- Cotter, John, 2004. "Absolute Return Volatility," MPRA Paper 3529, University Library of Munich, Germany, revised 2005.
- Cotter, John, 2004. "Absolute Return Volatility," MPRA Paper 3530, University Library of Munich, Germany, revised 2005.
- G0 - Financial Economics - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-06-11 (All new papers)
- NEP-RMG-2011-06-11 (Risk Management)
References
References listed on IDEASPlease 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.:
- 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.
- Cotter, John, 2004.
"Minimum capital requirement calculations for UK futures,"
Open Access publications from University College Dublin
urn:hdl:10197/1719, University College Dublin.
- John Cotter, 2011. "Minimum Capital Requirement Calculations for UK Futures," Papers 1103.5416, arXiv.org.
- John Cotter, 2011. "Minimum Capital Requirement Calculations for UK Futures," Working Papers 200418, Geary Institute, University College Dublin.
- Cotter, John, 2004. "Minimum Capital Requirement Calculations for UK Futures," MPRA Paper 3527, University Library of Munich, Germany.
- 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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