Christoffersen, Peter F.; Diebold, Francis X.; … - McGill University <Montréal> / Department of Economics; … - 1998
In this paper, we address this question, exploringthe interface between long-horizon financial riskmanagement and long-horizon volatility forecastabilityand, in particular, whether long-horizon volatility isforecastable enough such that volatility models are usefulfor long-horizon risk...