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Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange

Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. - 1998

Persistent link: https://www.econbiz.de/10000682409

Stock returns and expected business conditions : half a century of direct evidence

Campbell, Sean D. (contributor); … - 2005 - Rev.

Persistent link: https://www.econbiz.de/10003726399

Direction-of-change forecasts based on conditional variance, skewness and kurtosis dynamics : international evidence

Christoffersen, Peter F.; Diebold, Francis X.; Mariano, … - 2007

Persistent link: https://www.econbiz.de/10003729191

Global yield curve dynamics and interactions : a dynamic Nelson-Siegel approach

Diebold, Francis X.; Li, Canlin; Yue, Vivian Z. - In: Journal of econometrics 146 (2008) 2, pp. 351-363

Persistent link: https://www.econbiz.de/10003782998

Forecasting the term structure of government bond yields

Diebold, Francis X.; Li, Canlin - In: Journal of econometrics 130 (2006) 2, pp. 337-364

Persistent link: https://www.econbiz.de/10003277971

Stock returns and expected business conditions: half a century of direct evidence

Campbell, Sean D.; Diebold, Francis X. - In: Journal of business & economic statistics : JBES ; a … 27 (2009) 2, pp. 266-278

Persistent link: https://www.econbiz.de/10003885790

Roughing it up : including jump components in the measurement, modeling and forecasting of return volatility

Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2005

Persistent link: https://www.econbiz.de/10003586300

Global yield curve dynamics and interactions : a dynamic Nelson-Siegel approach

Diebold, Francis X.; Li, Canlin; Yue, Vivian Z. - 2007

Persistent link: https://www.econbiz.de/10003595017

Roughing it up : including jump components in the measurement, modeling, and forecasting of return volatility

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - In: The review of economics and statistics 89 (2007) 4, pp. 701-720

Persistent link: https://www.econbiz.de/10003567164

On the network topology of variance decompositions : measuring the connectedness of financial firms

Diebold, Francis X.; Yılmaz, Kamil - 2011

We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...

Persistent link: https://www.econbiz.de/10009310942