Absolute Return Volatility
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- Cotter, John, 2004. "Absolute Return Volatility," MPRA Paper 3529, University Library of Munich, Germany, revised 2005.
- John Cotter, 2011. "Absolute Return Volatility," Papers 1103.5976, arXiv.org.
- John Cotter, 2011. "Absolute Return Volatility," Working Papers 200415, Geary Institute, University College Dublin.
References listed on IDEAS
- repec:bla:manchs:v:70:y:2002:i:5:p:666-81 is not listed on IDEAS
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- 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.
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Cited by:
- Luisa Bisaglia & Matteo Grigoletto, 2018. "A new time-varying model for forecasting long-memory series," Papers 1812.07295, arXiv.org.
- 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.
- 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).
- M. Bel'en Arouxet & Aurelio F. Bariviera & Ver'onica E. Pastor & Victoria Vampa, 2020. "Covid-19 impact on cryptocurrencies: evidence from a wavelet-based Hurst exponent," Papers 2009.05652, arXiv.org.
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JEL classification:
- G0 - Financial Economics - - General
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