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Volatility forecasting

Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2005

Persistent link: https://www.econbiz.de/10002636128

Volatility forecasting

Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2005

Persistent link: https://www.econbiz.de/10002685057

Volatility and correlation forecasting

Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2006

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 …

Persistent link: https://www.econbiz.de/10003338446

Chapter 17. Financial Risk Measurement for Financial Risk Management

Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - 2013

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit recent developments in financial econometrics and are likely to produce more accurate risk assessments, treating...

Persistent link: https://www.econbiz.de/10014025361