Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - 2006
correlations, and Section 7 discusses volatility forecast evaluation methods in both univariate and multivariate cases. Section 8 …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 …