Poon, Ser-Huang; Granger, Clive W.J. - In: Journal of Economic Literature 41 (2003) 2, pp. 478-539
Financial market volatility is an important input for investment, option pricing, and financial market regulation. The emphasis of this review article is on forecasting instead of modelling; it compares the volatility forecasting findings in 93 papers published and written in the last two...