Thursday, March 31, 2005
A summary article on volatility forecasting
When I was looking at research-Finance.com,I stumbled upon this one by Andersen, Bollerslev, Christoffersen, and Diebold.They provide a very interesting look at the volatility forecasting. The piece is largely a summary article that shows what has been done and the results. VERY good! It is part of a forthcoming Handbook of Economic Forecasting edited by Elliott, Granger, and Timmermann.A warning
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