Realized Volatility and Absolute Return Volatility: A Comparison Indicating Market Risk
نویسندگان
چکیده
منابع مشابه
Realized Volatility and Absolute Return Volatility: A Comparison Indicating Market Risk
Measuring volatility in financial markets is a primary challenge in the theory and practice of risk management and is essential when developing investment strategies. Although the vast literature on the topic describes many different models, two nonparametric measurements have emerged and received wide use over the past decade: realized volatility and absolute return volatility. The former is s...
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ژورنال
عنوان ژورنال: PLoS ONE
سال: 2014
ISSN: 1932-6203
DOI: 10.1371/journal.pone.0102940