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Absolute return volatility
Author(s)
Date Issued
2004
Date Available
2009-05-26T14:06:37Z
Abstract
In recent years the finance industry from an academic and practitioner perspective has
placed heavy emphasis on the analysis of volatility models. This is understandable
given the importance that volatility plays for these agents and the fact that it is not
directly observable representing somewhat of a holy grail. In particular, volatility
modelling feeds directly into risk management practices.
placed heavy emphasis on the analysis of volatility models. This is understandable
given the importance that volatility plays for these agents and the fact that it is not
directly observable representing somewhat of a holy grail. In particular, volatility
modelling feeds directly into risk management practices.
Sponsorship
CPA; University College Dublin
Type of Material
Working Paper
Publisher
University College Dublin. School of Business. Centre for Financial Markets
Series
Centre for Financial Markets working paper series
WP-04-11
Subject – LCSH
Analysis of variance
Financial risk management
Rate of return--Mathematical models
Language
English
Status of Item
Not peer reviewed
This item is made available under a Creative Commons License
File(s)
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WP-04-11.pdf
Size
215.55 KB
Format
Adobe PDF
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280be15e1f00c6f605456195eed81dac
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