| Publications [#325432] of Tim Bollerslev
Chapters in Books
- 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.
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