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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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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 … between latent returns and market microstructure noise, which feature prominently in the recent volatility literature. The …
Persistent link: https://www.econbiz.de/10003831222
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On the correlation structure of microstructure noise : a financial economic approach
Diebold, Francis X.; Strasser, Georg - 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 … regarding improved volatility estimation methods"--National Bureau of Economic Research web site …
Persistent link: https://www.econbiz.de/10008697775
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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 … regarding improved volatility estimation methods …
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 … returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross …-based volatility estimators, which we apply to stock and oil prices. Our results are useful for assessing the validity of the …
Persistent link: https://www.econbiz.de/10013077120
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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 … regarding improved volatility estimation methods …
Persistent link: https://www.econbiz.de/10012462188
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Chapter 17. Financial Risk Measurement for Financial Risk Management
Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - 2013
Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit recent developments in financial econometrics and are likely to produce more accurate risk assessments, treating...
Persistent link: https://www.econbiz.de/10014025361