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Original Articles

Some properties of absolute returns as a proxy for volatility

Pages 347-350 | Published online: 26 Sep 2008

References

  • Forsberg , L. and Ghysels , E. 2007 . Why do absolute returns predict volatility so well? . Journal of Financial Econometrics , 5 : 31 – 67 .
  • Ghysels , E. Santa-Clara , P. and Valkanov , R. 2006 . Predicting volatility: getting the most out of return data sampled at different frequencies . Journal of Econometrics , 131 : 59 – 95 .
  • Guégan , D. and Diebolt , J. 1994 . Probabilistic properties of the β-arch model . Statistica Sinica , 4 : 71 – 87 .
  • Rogers , L. C. G. , Satchell , S. E. and Yoon , Y. 1994 . Estimating the volatility of stock prices: a comparison of methods that use high and low prices . Applied Financial Economics , 4 : 241 – 7 .
  • Taylor , S. J. 1986 . Modeling Financial Time Series , New York, NY : Wiley .
  • Taylor , S. J. 2005 . Asset Price Dynamics, Volatility, and Prediction , Princeton, NJ : Princeton University Press .
  • Triacca , U. 2007 . On the variance of the error associated to the squared return as proxy for volatility . Applied Financial Economics Letters , 3 : 255 – 27 .

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