Narrow search
Showing 1 - 10 of 12
Cover Image
Some like it smooth, and some like it rough : untangling continuous and jump components in measuring, modeling, and forecasting asset return volatility
Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001899970
Cover Image
A no-arbitrage approach to range-based estimation of return covariances and correlations
Brandt, Michael W. (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001785523
Cover Image
A Markov-switching multi-fractal inter-trade duration model, with application to U.S. equities
Chen, Fei; Diebold, Francis X.; Schorfheide, Frank - 2012
Persistent link: https://www.econbiz.de/10009625203
Cover Image
Stock returns and expected business conditions : half a century of direct evidence
Campbell, Sean D. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003182373
Cover Image
Financial asset returns, direction-of-change forecasting, and volatility dynamics
Christoffersen, Peter F. (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002100081
Cover Image
Forecasting the term structure of government bond yields
Diebold, Francis X. (contributor); Li, Canlin (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001727236
Cover Image
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
Cover Image
Measuring financial asset return and volatility spillovers, with application to global equity markets
Diebold, Francis X. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003415390
Cover Image
The affine arbitrage-free class of Nelson-Siegel term structure models
Christensen, Jens H. E. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003586276
Cover Image
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