Publications [#325432] of Tim Bollerslev

Chapters in Books

1. Andersen, TG; Bollerslev, T; Christoffersen, PF; Diebold, FX, Volatility and Correlation Forecasting, in Handbook of Economic Forecasting, edited by Elliott, G; Granger, C; Timmermann, A, vol. 1 (May, 2006), pp. 777-878, ISBN 0-444-51395-7
   (last updated on 2024/04/17)

   Abstract:
   Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and 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 discusses a series of different economic situations in which volatility plays a crucial role, ranging from the use of volatility forecasts in portfolio allocation to density forecasting in risk management. Sections 3-5 present a variety of alternative procedures for univariate volatility modeling and forecasting based on the GARCH, stochastic volatility and realized volatility paradigms, respectively. Section 6 extends the discussion to the multivariate problem of forecasting conditional covariances and correlations, and Section 7 discusses volatility forecast evaluation methods in both univariate and multivariate cases. Section 8 concludes briefly.