Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2005
volatilities are central to finance, whether in
asset pricing, portfolio allocation, or market risk measurement. Hence the field of … financial
econometrics devotes considerable attention to time-varying volatility and associated tools for its
measurement …-varying volatility, focusing exclusively on practical applications to the measurement and
management of market risk, stressing …