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dc.contributor.author Cotter, John
dc.date.accessioned 2009-11-19T16:55:31Z
dc.date.available 2009-11-19T16:55:31Z
dc.date.copyright Copyright Incisive Media, Plc Apr 2006 en
dc.date.issued 2006-06
dc.identifier.citation Risk en
dc.identifier.issn 0952-8776
dc.identifier.uri http://hdl.handle.net/10197/1631
dc.description.abstract Volatility modelling is a key issue for the finance industry from an academic and practitioner perspective. This is understandable given the importance that volatility plays in risk management and the development of accurate risk measures in a univariate or multivariate framework. To illustrate, successful market risk management requires the use of accurate risk measures such as minimum capital requirements. These risk measures are underpinned by the input of volatility estimates. An important question thus arises: how to people obtain accurate volatility measures that can be used in market risk management? This article addresses this by exploring the asymptotic and finite sample properties of absolute return volatility. These measures are model-free and avoid model risk with other frameworks such as autoregressive conditional heteroscedasticity processes. Absolute return volatility is obtained by aggregating high-frequency absolute returns into relatively low-frequency, for example, daily volatility estimates. The use of these measures is illustrated by obtaining the commonly used market risk measure, minimum capital requirements. en
dc.format.extent 4304 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher Risk Magazine Limited en
dc.subject Volatility en
dc.subject Economic models en
dc.subject Rates of return en
dc.subject Measurement techniques en
dc.subject Risk assessment en
dc.subject Capital requirements en
dc.subject.lcsh Analysis of variance en
dc.subject.lcsh Financial risk management en
dc.subject.lcsh Rate of return--Econometric models en
dc.title Absolute return volatility en
dc.type Journal Article en
dc.internal.authorurl John Cotter (web page) en
dc.internal.authorurl http://www.ucd.ie/research/people/business/drjohncotter/ en
dc.internal.authorid UCD0043 en
dc.internal.availability Full text not available en
dc.status Peer reviewed en
dc.identifier.volume 19 en
dc.identifier.issue 6 en
dc.identifier.startpage 84 en
dc.identifier.endpage 88 en
dc.neeo.contributor Cotter|John|aut|UCD0043 en


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