Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - Center for Financial Studies - 2005
volatility paradigms, respectively. Section 6 extends the discussion to the multivariate problem of forecasting conditional …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 …