Some Properties of Absolute Returns as a Proxy for Volatility
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Other versions of this item:
- 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.
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- Virginie Coudert & Cécile Couharde & Valérie Mignon, 2013.
"On the Impact of Oil Price Volatility on the Real Exchange Rate - Terms of Trade Nexus : Revisiting Commodity Currencies,"
2013-40, CEPII research center.
- Virginie Coudert & Cécile Couharde & Valérie Mignon, 2014. "On the impact of oil price volatility on the real exchange rate–terms of trade nexus: Revisiting commodity currencies," EconomiX Working Papers 2014-3, University of Paris Nanterre, EconomiX.
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KeywordsVolatility; stochastic volatility model; absolute returns; squared returns;
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-08-18 (All new papers)
- NEP-FMK-2007-08-18 (Financial Markets)
- NEP-RMG-2007-08-18 (Risk Management)
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