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Chapter 15 Volatility and Correlation Forecasting
Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - 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/10014023691
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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 no-arbitrage approach to range-based estimation of return covariances and correlations
Brandt, Michael W.; Diebold, Francis X. - 2003
Persistent link: https://www.econbiz.de/10001756564
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A no-arbitrage approach to range-based estimation of return covariances and correlations
Brandt, Michael W. (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001785523
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A no-arbitrage approach to range-based estimation of return covariances and correlations
Brandt, Michael W. (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002023808
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A no-arbitrage approach to range-based estimation of return covariances and correlations
Brandt, Michael W.; Diebold, Francis X. - In: The journal of business : B 79 (2006) 1, pp. 61-74
Persistent link: https://www.econbiz.de/10003301931
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A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
Brandt, Michael W. - 2003
We extend range-based volatility estimation to the multivariate case. In particular, we propose a range-based covariance estimator motivated by a key financial economic consideration, the absence of arbitrage, in addition to statistical considerations. We show that this estimator is highly...
Persistent link: https://www.econbiz.de/10012469034
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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 … returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation … geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted. Our results are …
Persistent link: https://www.econbiz.de/10012462188
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A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
Diebold, Francis X. - 2003
We extend range-based volatility estimation to the multivariate case. In particular, we propose a range-based covariance estimator motivated by a key financial economic consideration, the absence of arbitrage, in addition to statistical considerations. We show that this estimator is highly...
Persistent link: https://www.econbiz.de/10012786604
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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 … returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation … geometrically. If market makers are su fficiently risk averse, however, the cross-correlation pattern is inverted. We derive model …
Persistent link: https://www.econbiz.de/10013077120