Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2005
Department of Finance, Kellogg School of Management, Northwestern University, Evanston, IL 60208, and
NBER; phone: 847 …
phone: 919-660-1846, e-mail: boller@econ.duke.edu
3 Faculty of Management, McGill University, Montreal, Quebec, H3A 1G5 … from the use of volatility forecasts in portfolio allocation to
density forecasting in risk management. Sections 3, 4 and …