TY  - UNPD
A1  - Andersen, Torben G.
A1  - Bollerslev, Tim
A1  - Christoffersen, Peter F.
A1  - Diebold, Francis X.
T1  - Volatility forecasting
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2005,08
N2  - 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. JEL Klassifikation: C10, C53, G1.
T3  - CFS working paper series - 2005, 08 
KW  - Europäische Union
KW  - Währungsunion
KW  - Volatilität
KW  - Prognose
KW  - Konjunkturzyklus
Y1  - 2005
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4408
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-10791
IS  - February 22, 2005
ER  -