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|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: +353 1 7164615
Fax: +353 1 7161108
Web page: http://www.ucd.ie/geary/
More information through EDIRC
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.:
- 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.
- John Cotter, 2011.
"Minimum Capital Requirement Calculations for UK Futures,"
200418, Geary Institute, University College Dublin.
- John Cotter, 2011. "Minimum Capital Requirement Calculations for UK Futures," Papers 1103.5416, arXiv.org.
- Cotter, John, 2004. "Minimum Capital Requirement Calculations for UK Futures," MPRA Paper 3527, University Library of Munich, Germany.
- 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.
When requesting a correction, please mention this item's handle: RePEc:ucd:wpaper:200415. 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: (Geary Tech)
If references are entirely missing, you can add them using this form.