Absolute Return Volatility
The use of absolute return volatility has many modelling benefits. An illustration is given for the market risk measure, minimum capital requirements.
(This abstract was borrowed from another version of this item.)
|Date of creation:||05 2011|
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- John Cotter, 2004.
"Minimum capital requirement calculations for UK futures,"
Journal of Futures Markets,
John Wiley & Sons, Ltd., vol. 24(2), pages 193-220, 02.
- Cotter, John, 2004. "Minimum Capital Requirement Calculations for UK Futures," MPRA Paper 3527, University Library of Munich, Germany.
- John Cotter, 2011. "Minimum Capital Requirement Calculations for UK Futures," Papers 1103.5416, arXiv.org.
- John Cotter, 2011. "Minimum Capital Requirement Calculations for UK Futures," Working Papers 200418, Geary Institute, University College Dublin.
- 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.
- 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. Full references (including those not matched with items on IDEAS)
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