Chapter 15 Volatility and Correlation Forecasting

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Forecasting oil price realized volatility using information channels from other asset classes (2017, background): “Andersen et al. (2006) suggested the construction of the volatility signature plot, which depicts the average realized volatility against the sampling frequency.”
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns (2010, background): “…also consistent with the accumulating evidence that price jumps associated with the release of macroeconomic announcements are much more readily 21 Related volatility signature plots, including plots for various integrated quarticity measures, have recently been explored by Andersen et al. (2006b).”
Non-Negativity Conditions for the Hyperbolic GARCH Model (2010, unknown): “It is important to notice that our recursive representation of the ARCH(∞) coefficients has a powerful direct application in constructing multi-step-ahead volatility forecasts for e.g. option pricing or Value-at-Risk computations as suggested by Andersen et al. (2006).”
Oil price shocks and uncertainty: How stable is their relationship over time? (2018, background): “1 See, Sadorsky (1999), Park and Ratti (2008), Filis (2010), Cunado and de Gracia (2014), Angelidis et al. (2015), Boldanov et al. (2016) and Antonakakis et al.”