| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11188 |
| 来源ID | Working Paper 11188 |
| Volatility Forecasting | |
| Torben G. Andersen; Tim Bollerslev; Peter F. Christoffersen; Francis X. Diebold | |
| 发表日期 | 2005-03-14 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | 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 empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then discusses a series of different economic situations in which volatility plays a crucial role, ranging from the use of volatility forecasts in portfolio allocation to density forecasting in risk management. Sections 3, 4 and 5 present a variety of alternative procedures for univariate volatility modeling and forecasting based on the GARCH, stochastic volatility and realized volatility paradigms, respectively. Section 6 extends the discussion to the multivariate problem of forecasting conditional covariances and correlations, and Section 7 discusses volatility forecast evaluation methods in both univariate and multivariate cases. Section 8 concludes briefly. |
| 主题 | Econometrics ; Estimation Methods ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w11188 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568825 |
| 推荐引用方式 GB/T 7714 | Torben G. Andersen,Tim Bollerslev,Peter F. Christoffersen,et al. Volatility Forecasting. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w11188.pdf（1967KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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