NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Practical Volatility and Correlation Modeling for Financial Market Risk Management

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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)*
Published in January 2007

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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