Absolute Return Volatility
Statistical Finance
2011-03-31 v1
Authors:
John Cotter
Abstract
The use of absolute return volatility has many modelling benefits says John Cotter. An illustration is given for the market risk measure, minimum capital requirements.
Cite
@article{arxiv.1103.5976,
title = {Absolute Return Volatility},
author = {John Cotter},
journal= {arXiv preprint arXiv:1103.5976},
year = {2011}
}
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