Chapter 15 Volatility and Correlation Forecasting

Handbook of Economic Forecasting

Volumn 1, Issue , 2006, Pages 777-878

  Andersen, Torben G ^a,b,c,d   Bollerslev, Tim ^a,b,c,d   Christoffersen, Peter F ^a,b,c,d   Diebold, Francis X ^a,b,c,d  

^a NORTHWESTERN UNIVERSITY   (United States)

^b DUKE UNIVERSITY   (United States)

^c MCGILL UNIVERSITY   (Canada)

^d UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

covariance forecasting; GARCH; realized volatility; stochastic volatility; volatility modeling

Indexed keywords

EID: 67649547774     PISSN: 15740706     EISSN: None     Source Type: Book Series    
DOI: 10.1016/S1574-0706(05)01015-3     Document Type: Review

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