Returns interval and variability in risk measurement

Authors

  • A. Corhay Department of Management, FEGSS University of Liége
  • A. Tourani Rad Limburg Institute of Financial Economics, Maastricht University

Abstract

In this paper we show the variability of beta estimates for each differencing interval. Betas depend on the manner daily prices are juxtaposed to calculate runs. A method is proposed to reduce this variability.

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Published

1996-01-01

How to Cite

Corhay, A., & Tourani Rad, A. (1996). Returns interval and variability in risk measurement. JORBEL - Belgian Journal of Operations Research, Statistics, and Computer Science, 36(1), 3–10. Retrieved from https://www.orbel.be/jorbel/index.php/jorbel/article/view/247

Issue

Vol. 36 No. 1 (1996)

Section

Articles