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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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Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting than You Think
Alizadeh, Sassan; Brandt, Michael W.; Diebold, Francis X. - 2000
We propose using the price range, a recently-neglected volatility proxy with a long histoy in finance, in the … estimation of stochastic volatility models. We show both theoretically and empirically that the log range is approximately … Gaussian, in sharp contrast to popular volatility proxies, such as log absolute or squared returns. Hence Gaussian quasi …
Persistent link: https://www.econbiz.de/10014154661
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On Robust Inference in Time Series Regression
Baillie, Richard; Diebold, Francis X.; Kapetanios, George; … - National Bureau of Economic Research - 2024
Least squares regression with heteroskedasticity consistent standard errors ("OLS-HC regression") has proved very useful in cross section environments. However, several major difficulties, which are generally overlooked, must be confronted when transferring the HC technology to time series...
Persistent link: https://www.econbiz.de/10014576582
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Dynamic Equilibrium Economies : A Framework for Comparing Models and Data
Berkowitz, Jeremy; Diebold, Francis X.; Ohanian, Lee E. - 2019
We propose a constructive, multivariate framework for assessing agreement between (generally misspecified) dynamic equilibrium models and data, which enables a complete second-order comparison of the dynamic properties of models and data. We use bootstrap algorithms to evaluate the significance...
Persistent link: https://www.econbiz.de/10014201439
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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 … categorizing the various volatility concepts, measurement procedures, and modeling procedures. We define three different volatility … concepts: (i) the notional volatility corresponding to the ex-post sample-path return variability over a fixed time interval …
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 … categorizing the various volatility concepts, measurement procedures, and modeling procedures. We define three different volatility … concepts: (i) the notional volatility corresponding to the ex-post sample-path return variability over a fixed time interval …
Persistent link: https://www.econbiz.de/10014112858