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How Relevant is Volatility Forecasting for Financial Risk Management?

Christoffersen, Peter F. et al.
NYU Faculty Digital Archive · Papers
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multidisciplinary
It depends. If volatility fluctuates in a forecastable way, then volatility forecasts are useful for risk management; hence the interest in volatility forecastability in the risk management literature. Volatility forecastability, however, varies with horizon, and different horizons are relevant in d
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