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Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2006

Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical insights to emerge from this burgeoning...

Persistent link: https://www.econbiz.de/10003338446

Parametric and nonparametric volatility measurement

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - 2010

Persistent link: https://www.econbiz.de/10003900630

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

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

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

Range-based estimation of stochastic volatility models

Alizadeh, Sassan; Brandt, Michael W.; Diebold, Francis X. - In: The journal of finance : the journal of the American … 57 (2002) 3, pp. 1047-1091

Persistent link: https://www.econbiz.de/10001684742

How relevant is volatility forecasting for financial risk management?

Christoffersen, Peter F.; Diebold, Francis X. - In: The review of economics and statistics 82 (2000) 1, pp. 12-22

Persistent link: https://www.econbiz.de/10001456328

Horizon problems and extreme events in financial risk management

Christoffersen, Peter F. - In: Economic policy review 4 (1998) 3, pp. 109-118

Persistent link: https://www.econbiz.de/10001338729

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

On the evolution of US temperature dynamics

Diebold, Francis X.; Rudebusch, Glenn D. - In: Essays in honor of M. Hashem Pesaran : prediction and …, (pp. 9-28). 2022

Persistent link: https://www.econbiz.de/10013201751