The volatility of returns plays a pivotal role in modern finance and an accurate evaluation of this parameter is crucial in portfolio and risk management decisions. Until quite recent it was common practice in the literature to use the squared return as proxy of volatility. However, as pointed...

The volatility of returns plays a pivotal role in modern finance and an accurate evaluation of this parameter is crucial in portfolio and risk management decisions. Until quite recent it was common practice in the literature to use the squared return as proxy of volatility. However, as pointed...

The simple linear regression model tries to explain the observed values of the dependent variable in terms of those of the explanatory variable. In particular, this note considers the assumption concerning the mean square deviation of the explanatory variable. It is showed that it is not a...