IDEAS home Printed from
   My bibliography  Save this article

Some Properties of Absolute Return: An Alternative Measure of Risk


  • C. W. J. Granger
  • Zhuanxin Ding


The expected absolute return belongs to a class of risk measure derived by Luce (1980) from axioms. The paper considers the time series properties of and also the marginal distribution properties, for various properties of Theta. Using a long daily stock index series it is found that the autocorrelations decline slowly for all positive Theta but this "long-memory" property is strongest for Theta = 1, the absolute return. The moments of absolute returns, after removal of a few outliers, suggest that an exponential distribution is appropriate.

Suggested Citation

  • C. W. J. Granger & Zhuanxin Ding, 1995. "Some Properties of Absolute Return: An Alternative Measure of Risk," Annals of Economics and Statistics, GENES, issue 40, pages 67-91.
  • Handle: RePEc:adr:anecst:y:1995:i:40:p:67-91

    Download full text from publisher

    File URL:
    Download Restriction: no

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:adr:anecst:y:1995:i:40:p:67-91. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Secretariat General) or (Laurent Linnemer). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.