Christoffersen, P., and F. Diebold (2000): "How relevant is volatility forecasting for financial risk management?," Review of Economics and Statistics, 82, 1--11. Home/Search Document Details and Download
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Towards A Global Financial Architecture: Capital Mobility .. - Christoffersen, Errunza (1999) Self-citation (Christoffersen) (Correct)
....high. This volatility contained useful information, which would be completely ignored in forecasting models based purely on low frequency macroeconomic indicators. Further evidence on the usefulness of high frequency information in forecasting low frequency extreme events can be found in Christoffersen and Diebold (1998). Suggestion: Apply Forecast Combination Using Information in Derivatives Prices In addition to the macro based forecasting models outlined above, risk managers can rely on information in risk neutral probability distribution functions derived from observed options prices (Soderlind and ....
Christoffersen, P., and F. Diebold (1998), "How Relevant is Volatility Forecasting For Financial Risk Management?" Revised for the Review of Economics and Statistics.
Modeling And Forecasting Realized Volatility - Andersen, Bollerslev, Diebold, .. (2001) Self-citation (Diebold) (Correct)
.... function exists for the ex post evaluation and comparison of nonlinear model forecasts, and in the context of volatility modeling, several statistical procedures have been used for assessing the quality of competing forecasts (see, e.g. the discussion in Andersen, Bollerslev, and Lange, 1999, and Christoffersen and Diebold, 1999). Following the analysis in Andersen and Bollerslev (1998) and in the tradition of Mincer Zarnowitz (1969) and Chong and Hendry (1986) we focus our evaluations on regressions of the realized volatilities on a constant and the various model forecasts. For the one day ahead in sample and ....
Christoffersen, P.F. and F.X. Diebold (1999), "How Relevant is Volatility Forecasting for Financial Risk Management," Review of Economics and Statistics, 82, 12-22.
The Distribution of Exchange Rate Volatility - Andersen, Bollerslev, Diebold, .. (1999) (16 citations) Self-citation (Diebold) (Correct)
....h = 20, with only 122 observations, all of the test statistics are highly significant. This contrasts with other sorts of evidence, which tends to show little or no significant evidence of volatility clustering by the time one aggregates to monthly returns, as in Baillie and Bollerslev (1989) and Christoffersen and Diebold (2000). The estimates for d in Section 4 all suggest that the realized daily volatilities are fractionally integrated. The class of fractionally integrated models is self similar, so that the degree of fractional integration should be invariant to the sampling frequency; see, e.g. Beran (1994) This ....
Christoffersen, P.F. and Diebold, F.X. (2000), "How Relevant is Volatility Forecasting for Financial Risk Management?," Review of Economics and Statistics, 82, forthcoming.
The Distribution of Exchange Rate Volatility - Andersen, Bollerslev, Diebold, .. (1999) (16 citations) Self-citation (Diebold) (Correct)
....return horizons has recently been observed by Mller et al. 1997) They suggest that a multivariate extension of their heterogeneous ARCH volatility structure may be able to accommodate this asymmetry in the cross correlations. 33 See, for example, Diebold, Schuermann and Inoue (1998) and Christoffersen and Diebold (1998). 17 order mean reverting models used in stochastic volatility models for option pricing . Our results are also constructive, however, in that they indicate that simple and parsimonious long memory models should accurately capture the long lag autoregressive effects. 31 In contrast to ....
.... analyzed by Giraitis, Robinson and Surgailis (1998) Taqqu, Teverovsky and Willinger (1995) and Teverovsky and Taqqu (1997) 19 significant evidence of volatility clustering by the time one aggregates to monthly returns; see, for example, Diebold (1988) Baillie and Bollerslev (1989) and Christoffersen and Diebold (1998). However, as previously noted, squared monthly returns are a very noisy proxy for the latent integrated volatility over the month. Using numerical techniques, Andersen, Bollerslev and Lange (1998) have recently shown that, given the estimates typically obtained at the daily level, from a ....
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Christoffersen, P.F. and F.X. Diebold (1998), "How Relevant is Volatility Forecasting for Financial Risk Management?," Wharton Financial Institutions Center Working Paper 97-45 and NBER Working Paper 6844.
Value-At-Risk For Long And Short Trading Positions - Giot, Laurent (2001) (Correct)
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Christoffersen, P., and F. Diebold (2000): "How relevant is volatility forecasting for financial risk management?," Review of Economics and Statistics, 82, 1--11.
Value-at-Risk and Extreme Returns - Danielsson, de Vries (2000) (7 citations) (Correct)
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Christoffersen, P. F., and F. X. Diebold (2000): "How Relevant is VolatilityForecasting for Financial Risk Management?," Review of Economics and Statistics, 82, 1--11.
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