Bollerslev, Tim; Christoffersen, Peter F.; Diebold, Francis - National Bureau of Economic Research (NBER) - 2005
Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then …