A note on the periodic conversin of measures of risk
Brown, G.R.
A note on the periodic conversin of measures of risk - 1996 - Journal of Property Research 13(1) March 1996, 13-16(4) .
Conversion of monthly or quarterly standard deviations to their annual equivalent presents few problems if the underlying returns series is serially uncorrelated. if however the same procedure is used to convert serially correlated returns then the annual equivalent risk measures may be seriously understated. Using continuous rates of return this paper presents a compact solution which makes allowance for serial correlation and can be used for making the convesion over any interval. (Journal abstract)
RISK MEASURES
SERIAL CORRELATION
A note on the periodic conversin of measures of risk - 1996 - Journal of Property Research 13(1) March 1996, 13-16(4) .
Conversion of monthly or quarterly standard deviations to their annual equivalent presents few problems if the underlying returns series is serially uncorrelated. if however the same procedure is used to convert serially correlated returns then the annual equivalent risk measures may be seriously understated. Using continuous rates of return this paper presents a compact solution which makes allowance for serial correlation and can be used for making the convesion over any interval. (Journal abstract)
RISK MEASURES
SERIAL CORRELATION