On the variance of the error associated to the squared return as proxy of volatility
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- David Giles, 2008.
"Some properties of absolute returns as a proxy for volatility,"
Applied Financial Economics Letters,
Taylor and Francis Journals, vol. 4(5), pages 347-350.
- David E. Giles, 2007. "Some Properties of Absolute Returns as a Proxy for Volatility," Econometrics Working Papers 0706, Department of Economics, University of Victoria.
- Awartani, Basel & Aktham, Maghyereh & Cherif, Guermat, 2016. "The connectedness between crude oil and financial markets: Evidence from implied volatility indices," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 56-69.
- Maghyereh, Aktham I. & Awartani, Basel & Bouri, Elie, 2016. "The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes," Energy Economics, Elsevier, vol. 57(C), pages 78-93.
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