Some Properties of Absolute Returns as a Proxy for Volatility
Year of publication: |
2007-08-09
|
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Authors: | Giles, David E. |
Institutions: | Department of Economics, University of Victoria |
Subject: | Volatility | stochastic volatility model | absolute returns | squared returns |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | ISSN 1485-6441 Number 0706 8 pages |
Classification: | C10 - Econometric and Statistical Methods: General. General ; c46 ; G10 - General Financial Markets. General |
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