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Absolute return volatility

Author

Listed:
  • John Cotter

Abstract

In recent years the finance industry from an academic and practitioner perspective has placed heavy emphasis on the analysis of volatility models. This is understandable given the importance that volatility plays for these agents and the fact that it is not directly observable representing somewhat of a holy grail. In particular, volatility modelling feeds directly into risk management practices.

Suggested Citation

  • John Cotter, 2004. "Absolute return volatility," Centre for Financial Markets Working Papers 10197/1139, Research Repository, University College Dublin.
    • Handle: RePEc:rru:cfmwps:10197/1139
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    File URL: http://hdl.handle.net/10197/1139
    File Function: First version, 2004
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    Cited by:

    1. Luisa Bisaglia & Matteo Grigoletto, 2018. "A new time-varying model for forecasting long-memory series," Papers 1812.07295, arXiv.org.
    2. Luisa Bisaglia & Matteo Grigoletto, 2021. "A new time-varying model for forecasting long-memory series," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(1), pages 139-155, March.
    3. Arouxet, M. Belén & Bariviera, Aurelio F. & Pastor, Verónica E. & Vampa, Victoria, 2022. "Covid-19 impact on cryptocurrencies: Evidence from a wavelet-based Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 596(C).

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    Keywords

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    JEL classification:

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

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