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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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Stock returns and expected business conditions : half a century of direct evidence
Campbell, Sean D. (contributor);  … - 2005 - Rev.
Persistent link: https://www.econbiz.de/10003726399
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Stock returns and expected business conditions: half a century of direct evidence
Campbell, Sean D.; Diebold, Francis X. - In: Journal of business & economic statistics : JBES ; a … 27 (2009) 2, pp. 266-278
Persistent link: https://www.econbiz.de/10003885790
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Stock returns and expected business conditions : half a century of direct evidence
Campbell, Sean D.; Diebold, Francis X. - 2005
Persistent link: https://www.econbiz.de/10003204042
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Stock returns and expected business conditions : half a century of direct evidence
Campbell, Sean D. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003210688
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Stock returns and expected business conditions : half a century of direct evidence
Campbell, Sean D. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003182373
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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. (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