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How Relevant is Volatility Forecasting for Financial Risk Management? · Study

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PreprintHow Relevant is Volatility Forecasting for Financial Risk Management?

Peter Christoffersen1998

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Preprintgreen1998

How Relevant is Volatility Forecasting for Financial Risk Management?

Peter Christoffersen · Francis X. Diebold

65 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Forecasting Techniques and Applications

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1958The Cost of Capital, Corporation Finance and the Theory of Investment 2008The cost of capital, corporation finance and the theory of investment 1985A Theory of the Term Structure of Interest Rates 2012The Econometrics of Financial Markets 1997Modelling Extremal Events 1992ARCH modeling in finance 1993Risk Management: Coordinating Corporate Investment and Financing Policies

Cited by

2000High Frequency Deutsche Mark-US Dollar Returns: FIGARCH Representations and Non Linearities 2004Term Structure of Risk Under Alternative Econometric Specifications 2005Predictive Density Evaluation 2014Realized Volatility and Absolute Return Volatility: A Comparison Indicating Market Risk 2011Value-at-risk for long and short trading positions: Evidence from developed and emerging equity markets 2016Multiple-Days-Ahead Value-At-Risk and Expected Shortfall Forecasting for Stock Indices, Commodities and Exchange Rates: Inter-Day Versus Intra-Day Data

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2000How Relevant is Volatility Forecasting for Financial Risk Management?article · 21 shared references 2005Volatility Forecastingreport · 11 shared references 2006VOLATILITY AND CORRELATION FORECASTINGarticle · 11 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 10 shared references 2008Glossary to ARCH (GARCH)preprint · 9 shared references 1999Horizon Problems and Extreme Events in Financial Risk Managementpreprint · 9 shared references

Details

Year1998

Typepreprint

Published1998-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations65

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.54001

openalex_workW2149395501

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2010Longer-Term Time-Series Volatility Forecasts

2011A cyclical model of exchange rate volatility