Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2005
No. 2005/08
Volatility Forecasting
Torben G. Andersen, Tim Bollerslev,
Peter F. Christoffersen,
and …/08
Volatility Forecasting*
Torben G. Andersen
1
, Tim Bollerslev
2
,
Peter F. Christoffersen
3
,
and Francis X. Diebold
4 …
February 22, 2005
Abstract:
Volatility has been one of the most active and successful areas of research in time series …