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Absolute Return Volatility

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  • John Cotter

Abstract

The use of absolute return volatility has many modelling benefits says John Cotter. An illustration is given for the market risk measure, minimum capital requirements.

Suggested Citation

  • John Cotter, 2011. "Absolute Return Volatility," Papers 1103.5976, arXiv.org.
  • Handle: RePEc:arx:papers:1103.5976
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    File URL: http://arxiv.org/pdf/1103.5976
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    References listed on IDEAS

    as
    1. John Cotter, 2004. "Minimum capital requirement calculations for UK futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(2), pages 193-220, February.
    2. 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.
    3. 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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    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G0 - Financial Economics - - General

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