Absolute Return Volatility

15 Pages Posted: 6 Jul 2007

See all articles by John Cotter

John Cotter

University College Dublin; UCLA Anderson School of Management

Date Written: 2005

Abstract

The use of absolute return volatility has many modelling benefits. An illustration is given for the market risk measure, minimum capital requirements.

Suggested Citation

Cotter, John, Absolute Return Volatility (2005). Available at SSRN: https://ssrn.com/abstract=998770 or http://dx.doi.org/10.2139/ssrn.998770

John Cotter (Contact Author)

University College Dublin ( email )

School of Business, Carysfort Avenue
Blackrock, Co. Dublin
Ireland
353 1 716 8900 (Phone)
353 1 283 5482 (Fax)

HOME PAGE: http://www.ucd.ie/bankingfinance/staff/professorjohncotter/

UCLA Anderson School of Management ( email )

110 Westwood Plaza
Los Angeles, CA 90095-1481
United States

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