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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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Modeling and forecasting realized volatility
Anderson, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002020013
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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
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Measuring financial asset return and volatility spillovers, with application to global equity markets
Diebold, Francis X. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003726982
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Macroeconomic volatility and stock market volatility, world-wide
Diebold, Francis X. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003769413
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Macroeconomic volatility and stock market volatility, world-wide
Diebold, Francis X. (contributor);  … - 2008 - Rev.
Persistent link: https://www.econbiz.de/10003790656
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Measuring financial asset return and volatility spillovers, with application to global equity markets
Diebold, Francis X.; Yılmaz, Kamil - In: The economic journal : the journal of the Royal … 119 (2009), pp. 158-171
Persistent link: https://www.econbiz.de/10003805251
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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
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Measuring financial asset return and volatility spillovers, with application to global equity markets
Diebold, Francis X. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003448318
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Measuring financial asset return and volatilty spillovers, with application to global equity markets
Diebold, Francis X.; Yılmaz, Kamil - 2008
formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts. -- Contagion ; Herd …
Persistent link: https://www.econbiz.de/10003831195