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On the correlation structure of microstructure noise in theory and practice
Diebold, Francis X. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003769457
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On the correlation structure of microstructure noise in theory and practice
Diebold, Francis X. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003790675
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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
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On the correlation structure of microstructure noise in theory and practice
Diebold, Francis X.; Strasser, Georg H. - 2008
return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function … informed conjectures as to improved volatility estimation methods. -- Realized Volatility ; Market Microstructure Theory ; High …
Persistent link: https://www.econbiz.de/10003831222
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Symposium on forecasting and empirical methods in macroeconomics and finance
Diebold, Francis X. (contributor);  … - In: International economic review 39 (1998) 4, pp. 811-1146
Persistent link: https://www.econbiz.de/10001252224
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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
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On the Correlation Structure of Microstructure Noise : A Financial Economic Approach
Diebold, Francis X. - 2010
volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent …
Persistent link: https://www.econbiz.de/10013137011
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On the Correlation Structure of Microstructure Noise : A Financial Economic Approach
Diebold, Francis X. - 2013
volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent …
Persistent link: https://www.econbiz.de/10013077120
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A Markov-Switching Multifractal Inter-Trade Duration Model, with Application to US Equities
Chen, Fei - 2013
We propose and illustrate a Markov-switching multi-fractal duration (MSMD) model for analysis of inter-trade durations in financial markets. We establish several of its key properties with emphasis on high persistence (indeed long memory). Empirical exploration suggests MSMD's superiority...
Persistent link: https://www.econbiz.de/10013077131
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On the Correlation Structure of Microstructure Noise : A Financial Economic Approach
Diebold, Francis X. - 2010
volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent …
Persistent link: https://www.econbiz.de/10012462188