SStudyAcademic Library

Shelves Open access My library Review

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Chapter 15 Volatility and Correlation Forecasting · Study

Home/Financial Risk and Volatility Modeling

ChapterChapter 15 Volatility and Correlation Forecasting

Torben G. Andersen2006

Chapter 15 Volatility and Correlation Forecasting

Torben G. Andersen, Tim Bollerslev, Peter Christoffersen, Francis X. Diebold

2006-01-01chapterHandbook of economic forecasting330 citationsclosed

No readable copy stored yet — this record is metadata only.

Financial Risk and Volatility Modeling Forecasting Techniques and Applications Stock Market Forecasting Methods

Abstract

No abstract was published for this record.

Citations in this library

Stored only when both papers are in the corpus — 330 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities

1986Generalized autoregressive conditional heteroskedasticity

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

1952PORTFOLIO SELECTION*

1991Conditional Heteroskedasticity in Asset Returns: A New Approach

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

Cited by

2014Forecasting stock returns under economic constraints

2006Financial econometric analysis at ultra-high frequency: Data handling concerns

2019Dynamic semiparametric models for expected shortfall (and Value-at-Risk)

2017Forecasting oil price realized volatility using information channels from other asset classes

2012A comprehensive look at financial volatility prediction by economic variables

2012Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability

2010Realized volatility forecasting and market microstructure noise

2009Evaluating Volatility and Correlation Forecasts

Details

Year2006

Typechapter

VenueHandbook of economic forecasting

Languageen

Files0 public / 0

Identifiers

doi10.1016/s1574-0706(05)01015-3

openalex_workW124040795

Links

Imported from OpenAlex (CC0) — nothing here is generated.