NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Torben G. Andersen, Tim Bollerslev, Peter Christoffersen, Francis X. Diebold

Chapter in NBER book The Risks of Financial Institutions (2006), Mark Carey and René M. Stulz, editors (p. 513 - 548)
Conference held October 22-23, 2004
Published in January 2007 by University of Chicago Press
© 2006 by the National Bureau of Economic Research

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This chapter first appeared as NBER working paper w11069, Practical Volatility and Correlation Modeling for Financial Market Risk Management, Torben G. Andersen, Tim Bollerslev, Peter F. Christoffersen, Francis X. Diebold
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