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 …

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 …

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 …

particularly challenging because the demands of real-world risk management in financial institutions—in particular, real-time risk …Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is …

assessments of market risk. Clearly, the demands of real-world risk management in financial institutions -- in particular, real …What do academics have to offer market risk management practitioners in financial institutions? Current industry …-time risk tracking in very high-dimensional situations -- impose strict limits on model complexity. Hence we stress parsimonious …

assessments of market risk. Clearly, the demands of real-world risk management in financial institutions -- in particular, real …What do academics have to offer market risk management practitioners in financial institutions? Current industry …-time risk tracking in very high-dimensional situations -- impose strict limits on model complexity. Hence we stress parsimonious …