Absolute return volatility

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Title: Absolute return volatility
Authors: Cotter, John
Permanent link: http://hdl.handle.net/10197/1139
Date: 2004
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.
Funding Details: CPA; University College Dublin
Type of material: Working Paper
Publisher: University College Dublin. School of Business. Centre for Financial Markets
Series/Report no.: Centre for Financial Markets working paper series; WP-04-11
Subject LCSH: Analysis of variance
Financial risk management
Rate of return--Mathematical models
Other versions: http://www.ucd.ie/bankingfinance/docs/wp/COTTER5.PDF
Language: en
Status of Item: Not peer reviewed
Appears in Collections:Centre for Financial Markets Working Papers

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