{"title":"绝对收益的一些属性作为波动性的代表","authors":"D. Giles","doi":"10.1080/17446540701720709","DOIUrl":null,"url":null,"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.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"17 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2008-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"15","resultStr":"{\"title\":\"Some properties of absolute returns as a proxy for volatility\",\"authors\":\"D. Giles\",\"doi\":\"10.1080/17446540701720709\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":345744,\"journal\":{\"name\":\"Applied Financial Economics Letters\",\"volume\":\"17 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2008-09-26\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"15\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Applied Financial Economics Letters\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1080/17446540701720709\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Applied Financial Economics Letters","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/17446540701720709","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Some properties of absolute returns as a proxy for volatility
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.
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