Comportement temporel de la volatilité et biais de scaling
(2001) Revue Bancaire et Financière — Vol. 7, p. 395-400 (2001)
Files
No attached file found for this publication.
Details
- Authors
- Abstract
- (en) Volatility plays a central role in finance, particularly in risk management. The strong need to work in a multi-temporal world implies the necessity to have a good temporal aggregation tool. This paper emphasizes the analysis of the ‘square root of time method' (‘scaling') and its restrictive application environment. We also study, through an empirical analysis, the bias associated to its use.
- Affiliations
Louvain School of Management
Citations
Van Wynendaele, P. (2001). Comportement temporel de la volatilité et biais de scaling. Revue Bancaire et Financière, 7, 395-400. https://hdl.handle.net/2078.5/129510 (Original work published 2001)