Practical Volatility and Correlation Modeling for Financial Market Risk Management

Torben G Andersen, Tim Bollerslev, Peter F Kristoffersen, Francis X Diebold

Research output: Chapter in Book/Report/Conference proceeding › Chapter

Original language	English
Title of host publication	The Risks of Financial Institutions
Editors	Mark Carey, René M Stutz
Place of Publication	Chicago
Publisher	University of Chicago Press
Pages	513-548
State	Published - 2006

Cite this

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title = "Practical Volatility and Correlation Modeling for Financial Market Risk Management",

author = "Andersen, {Torben G} and Tim Bollerslev and Kristoffersen, {Peter F} and Diebold, {Francis X}",

year = "2006",

language = "English",

pages = "513--548",

editor = "Mark Carey and Stutz, {Ren{\'e} M}",

booktitle = "The Risks of Financial Institutions",

publisher = "University of Chicago Press",

}

TY - CHAP

T1 - Practical Volatility and Correlation Modeling for Financial Market Risk Management

AU - Andersen, Torben G

AU - Bollerslev, Tim

AU - Kristoffersen, Peter F

AU - Diebold, Francis X

PY - 2006

Y1 - 2006

M3 - Chapter

SP - 513

EP - 548

BT - The Risks of Financial Institutions

A2 - Carey, Mark

A2 - Stutz, René M

PB - University of Chicago Press

CY - Chicago

ER -