Some Properties of Absolute Returns as a Proxy for Volatility
We use the stochastic volatility model as a basis for investigating the statistical properties of absolute returns as a measure of latent volatility in financial markets. Our results are compared with existing results for squared returns.
|Date of creation:||09 Aug 2007|
|Date of revision:|
|Contact details of provider:|| Postal: PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2|
Web page: http://web.uvic.ca/econ
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