A note on the periodic conversin of measures of risk
Language: English Series: Journal of Property Research ; 13(1) March 1996, 13-16(4)Publication details: 1996Subject(s): Summary: 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)| Item type | Current library | Call number | Copy number | Status | Barcode | |
|---|---|---|---|---|---|---|
| Journal article | London Journal article | X3243 (Browse shelf(Opens below)) | 1 | Available | 29407-1001 |
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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)