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Dynamic equilibrium economies : a framework for comparing models and data
Diebold, Francis X. - In: The review of economic studies 65 (1998) 3, pp. 433-451
Persistent link: https://www.econbiz.de/10001244374
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Macroeconomic Volatility and Stock Market Volatility, Worldwide
Diebold, Francis X. - 2010
volatility literature, namely its relative neglect of the connection between macroeconomic fundamentals and asset return … volatility. We progress by analyzing a broad international cross section of stock markets covering approximately forty countries …
Persistent link: https://www.econbiz.de/10012758496
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Macroeconomic Volatility and Stock Market Volatility, Worldwide
Diebold, Francis X. - 2008
volatility literature, namely its relative neglect of the connection between macroeconomic fundamentals and asset return … volatility. We progress by analyzing a broad international cross section of stock markets covering approximately forty countries …
Persistent link: https://www.econbiz.de/10012464380
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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
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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
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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
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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
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Better to give than to receive : predictive directional measurement of volatility spillovers
Diebold, Francis X.; Yılmaz, Kamil - In: International journal of forecasting 28 (2012) 1, pp. 57-66
Persistent link: https://www.econbiz.de/10009581397
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A framework for exploring the macroeconomic determinants of systematic risk
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - In: The American economic review 95 (2005) 2, pp. 398-404
Persistent link: https://www.econbiz.de/10003214098
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A framework for exploring the macroeconomic determinants of systematic risk
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2005
Persistent link: https://www.econbiz.de/10002634153