Evaluating Volatility and Correlation Forecasts (Q3646983)

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Evaluating Volatility and Correlation Forecasts
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    title
    Evaluating Volatility and Correlation Forecasts (English)
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    author
    Andrew J. Patton
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    Kevin Sheppard
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    publication date
    27 November 2009
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    Mathematics Subject Classification ID
    91G70
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    91-02
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    62P05
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    91G10
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    zbMATH DE Number
    5640063
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    zbMATH Keywords
    volatility proxy
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    volatility forecast
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    unobservable volatility
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    portfolio optimization
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    OpenAlex ID
    W1543755524
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