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Department of Economics SOME PROPERTIES OF ABSOLUTE RETURNS AS A PROXY FOR VOLATILITY (2007)
by
David E. Giles
BibTeX
@MISC{Giles07departmentof,
author = {David E. Giles},
title = {Department of Economics SOME PROPERTIES OF ABSOLUTE RETURNS AS A PROXY FOR VOLATILITY},
year = {2007}
}
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Abstract
We use the stochastic volatility model as a basis for investigating the statistical properties of absolute returns as a measure of latent volatility in financial markets. Our results are compared with existing results for squared returns.
