Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2005
No. 2005/02
Practical Volatility and Correlation Modeling
for Financial Market Risk Management … thanks
FQRSC, SSHRC and IFM2.
1
Department of Finance, Kellogg School of Management, Northwestern University, Evanston … University, Durham, NC 27708, and NBER
phone: 919-660-1846, e-mail: boller@econ.duke.edu
3 Faculty of Management, McGill …