EconPapers    
Economics at your fingertips  
 

Volatility and Correlation Forecasting

Torben Andersen (), Tim Bollerslev (), Peter Christoffersen and Francis Diebold ()

Chapter 15 in Handbook of Economic Forecasting, 2006, vol. 1, pp 777-878 from Elsevier

Abstract: 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 3-5 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.

JEL-codes: B0 (search for similar items in EconPapers)
Date: 2006
ISBN: 0-444-51395-7
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (257) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/B7P5J ... 07bc02dd8447f2dadc02
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofch:1-15

Access Statistics for this chapter

More chapters in Handbook of Economic Forecasting from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2022-09-24
Handle: RePEc:eee:ecofch:1-15