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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

A Markov-switching multifractal inter-trade duration model, with application to US equities

Chen, Fei; Diebold, Francis X.; Schorfheide, Frank - In: Journal of econometrics 177 (2013) 2, pp. 320-342

Persistent link: https://www.econbiz.de/10010255140

The affine arbitrage-free class of Nelson-Siegel term structure models

Christensen, Jens H. E.; Diebold, Francis X.; … - In: Journal of econometrics 164 (2011) 1, pp. 4-20

Persistent link: https://www.econbiz.de/10009270418

Why are estimates of agricultural supply response so variable?

Diebold, Francis X. - In: Journal of econometrics 76 (1997) 1, pp. 357-373

Persistent link: https://www.econbiz.de/10001211352

Long memory and regime switching

Diebold, Francis X.; Inoue, Atsushi - In: Journal of econometrics 105 (2001) 1, pp. 131-159

Persistent link: https://www.econbiz.de/10001617152

Annals of econometrics: forecasting and empirical methods in finance and macroeconomics

Diebold, Francis X. (contributor); … - 2001

Persistent link: https://www.econbiz.de/10001617180

On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean

Cheung, Yin-Wong - In: Journal of econometrics 62 (1994) 2, pp. 301-316

Persistent link: https://www.econbiz.de/10001162295

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

Diebold, Francis X.; Yılmaz, Kamil - In: Journal of econometrics 182 (2014) 1, pp. 119-134

Persistent link: https://www.econbiz.de/10010497110

On the Correlation Structure of Microstructure Noise : A Financial Economic Approach

Diebold, Francis X. - 2013

We introduce the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise, which feature...

Persistent link: https://www.econbiz.de/10013077120

Big data in dynamic predictive econometric modeling

Diebold, Francis X.; Ghysels, Eric; Mykland, Per A.; … - In: Journal of econometrics 212 (2019) 1, pp. 1-3

Persistent link: https://www.econbiz.de/10012303857