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Some Properties of Absolute Returns as a Proxy for Volatility

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Abstract

We use the stochastic volatility model as a basis for investigating the statistical properties of absolute returns as a measure of latent volatility in financial markets. Our results are compared with existing results for squared returns.

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File URL: http://www.uvic.ca/socialsciences/economics/assets/docs/econometrics/ewp0706.pdf
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Bibliographic Info

Paper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 0706.

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Length: 8 pages
Date of creation: 09 Aug 2007
Date of revision:
Handle: RePEc:vic:vicewp:0706

Note: ISSN 1485-6441
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Postal: PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2
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Web page: http://web.uvic.ca/econ
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Keywords: Volatility; stochastic volatility model; absolute returns; squared returns;

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Cited by:
  1. Virginie Coudert & Cécile Couharde & Valérie Mignon, 2013. "On the Impact of Oil Price Volatility on the Real Exchange Rate - Terms of Trade Nexus : Revisiting Commodity Currencies," Working Papers 2013-40, CEPII research center.

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