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Practical volatility and correlation modeling for financial market risk management

Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - 2005

What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in...

Persistent link: https://www.econbiz.de/10010298295

Practical volatility and correlation modeling for financial market risk management

Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2005 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002636035

Practical volatility and correlation modeling for financial market risk management

Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2005

Persistent link: https://www.econbiz.de/10002569521

Practical volatility and correlation modeling for financial market risk management

Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2005

Persistent link: https://www.econbiz.de/10003350610

Practical volatility and correlation modeling for financial market risk management

Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - In: The risks of financial institutions : [...papers and …, (pp. 513-548). 2006

Persistent link: https://www.econbiz.de/10003445632

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Andersen, Torben G. - 2005

What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in...

Persistent link: https://www.econbiz.de/10012467618

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Andersen, Torben - 2005

What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in...

Persistent link: https://www.econbiz.de/10012784980

Modeling and forecasting realized volatility

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - In: Econometrica : journal of the Econometric Society, an … 71 (2003) 2, pp. 579-625

Persistent link: https://www.econbiz.de/10001750369

A framework for exploring the macroeconomic determinants of systematic risk

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2005

Persistent link: https://www.econbiz.de/10002634153

A framework for exploring the macroeconomic determinants of systematic risk

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2005

Persistent link: https://www.econbiz.de/10002636085

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