Similar Search Results

Modeling volatility dynamics

Diebold, Francis X.; García López, José A. - 1995

Persistent link: https://www.econbiz.de/10000920972

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

Fractional integration and interval prediction

Diebold, Francis X. - In: Economics letters 50 (1996) 3, pp. 305-313

Persistent link: https://www.econbiz.de/10001197813

On the power of Dickey-Fuller tests against fractional alternatives

Diebold, Francis X. - In: Economics letters 35 (1991) 2, pp. 155-160

Persistent link: https://www.econbiz.de/10001102138

Comparing predictive accuracy

Diebold, Francis X.; Mariano, Roberto S. - 1994

Persistent link: https://www.econbiz.de/10000920919

Modeling and forecasting realized volatility

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - In: Econometrica : journal of the Econometric Society, an … 71 (2003) 2, pp. 579-625

Persistent link: https://www.econbiz.de/10001750369

Real-Time Measurement of Business Conditions, Second Version

Aruoba, S. Borağan - 2008

We construct a framework for measuring economic activity at high frequency, potentially in real time. We use a variety of stock and flow data observed at mixed frequencies (including very high frequencies), and we use a dynamic factor model that permits exact filtering. We illustrate the...

Persistent link: https://www.econbiz.de/10012724680

Time Series Analysis

Diebold, Francis X. - 2006

Persistent link: https://www.econbiz.de/10012733371

Improving GDP measurement : a measurement-error perspective

Aruoba, S. Borağan; Diebold, Francis X.; Nalewaik, Jeremy - In: Journal of econometrics 191 (2016) 2, pp. 384-397

Persistent link: https://www.econbiz.de/10011610607