search query: @author Christoffersen, P. / total: 4
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| Author: | Christoffersen, P. Diebold, F. |
| Title: | How relevant is volatility forecasting for financial risk management? |
| Journal: | Review of Economics and Statistics
2000 : FEB, VOL. 82:1, p. 12-22 |
| Index terms: | ECONOMICS VOLATILITY FINANCIAL RISK |
| Language: | eng |
| Abstract: | It depends. If volatility fluctuates in a forecastable way, volatility forecasts are useful for risk management (hence the interest in volatility forecastability, however, varies with horizon, and different horizons are relevant in different applications. Moreover, existing assessments of volatility forecastability are plagued by the fact that they are joint assessments of volatility forecastability and an assumed model, and the results can vary not only with the horizon, but also with the assumed model. |
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