Absolute return volatility

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Volatility modelling is a key issue for the finance industryfrom an academic and practitioner perspective.This is understandable given the importance that volatilityplays in risk management and the development of accurate risk measures

in a univariate or multivariate framework. To illustrate, successfulmarket risk management requires the use of accurate risk measuressuch as minimum capital requirements. These risk measures areunderpinned by the input of volatility esti

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