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On the correlation structure of microstructure noise : a financial economic approach
Diebold, Francis X.; Strasser, Georg - In: The review of economic studies 80 (2013) 4, pp. 1304-1337
Persistent link: https://www.econbiz.de/10010202113
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A new test for market efficiency and uncovered interest parity
Baillie, Richard; Diebold, Francis X.; Kapetanios, George; … - In: Journal of international money and finance 130 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014248790
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On robust inference in time series regression
Baillie, Richard; Diebold, Francis X.; Kapetanios, George; … - 2022
Persistent link: https://www.econbiz.de/10013384711
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Parametric and nonparametric volatility measurement
Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001685965
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Parametric and nonparametric volatility measurement
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - 2010
Persistent link: https://www.econbiz.de/10003900630
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Parametric and nonparametric volatility measurement
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - 2002
Persistent link: https://www.econbiz.de/10001689115
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Parametric and nonparametric volatility measurement
Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2002
Persistent link: https://www.econbiz.de/10003229526
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Parametric and Nonparametric Volatility Measurement
Andersen, Torben G. - 2002
Volatility has been one of the most active areas of research in empirical finance and time series econometrics during the past decade. This chapter provides a unified continuous-time, frictionless, no-arbitrage framework for systematically categorizing the various volatility concepts,...
Persistent link: https://www.econbiz.de/10012469613
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Parametric and Nonparametric Volatility Measurement
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X. - 2002
Volatility has been one of the most active areas of research in empirical finance and time series econometrics during the past decade. This chapter provides a unified continuous-time, frictionless, no-arbitrage framework for systematically categorizing the various volatility concepts,...
Persistent link: https://www.econbiz.de/10014112858
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Parametric and Nonparametric Volatility Measurement
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X. - 2022
Volatility has been one of the most active areas of research in empirical finance and time series econometrics during the past decade. This chapter provides a unified continuous-time, frictionless, no-arbitrage framework for systematically categorizing the various volatility concepts,...
Persistent link: https://www.econbiz.de/10013324645