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A no-arbitrage approach to range-based estimation of return covariances and correlations
Brandt, Michael W.; Diebold, Francis X. - 2004
We extend the important idea of range-based volatility estimation to the multivariate case. In particular, we propose a … addition to statistical considerations. We show that, unlike other univariate and multivariate volatility estimators, the range …
Persistent link: https://www.econbiz.de/10010298281
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A no-arbitrage approach to range-based estimation of return covariances and correlations
Brandt, Michael W.; Diebold, Francis X. - Center for Financial Studies - 2004
We extend the important idea of range-based volatility estimation to the multivariate case. In particular, we propose a … addition to statistical considerations. We show that, unlike other univariate and multivariate volatility estimators, the range …
Persistent link: https://www.econbiz.de/10010958542
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A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
Brandt, Michael W.; Diebold, Francis X.; April - Financial Institutions Center, Wharton School of Business
We extend range-based volatility estimation to the multivariate case. In particular, we propose a range …
Persistent link: https://www.econbiz.de/10005794415
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A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
Brandt, Michael W.; Diebold, Francis X. - Department of Economics, University of Pennsylvania - 2001
We extend range-based volatility estimation to the multivariate case. In particular, we propose a range …
Persistent link: https://www.econbiz.de/10005109594
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A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
Brandt, Michael W.; Diebold, Francis X. - Center for Financial Studies - 2004
We extend the important idea of range-based volatility estimation to the multivariate case. In particular, we propose a … addition to statistical considerations. We show that, unlike other univariate and multivariate volatility estimators, the range …
Persistent link: https://www.econbiz.de/10005600448
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Real-Time Real Economic Activity : Exiting the Great Recession and Entering the Pandemic Recession
Diebold, Francis X. - 2020
We study the real-time signals provided by the Aruoba-Diebold-Scotti Index of Business conditions (ADS) for tracking economic activity at high frequency. We start with exit from the Great Recession, comparing the evolution of real-time vintage beliefs to a "final" late-vintage chronology. We...
Persistent link: https://www.econbiz.de/10012826653
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Real-time real economic activity : entering and exiting the pandemic recession of 2020
Diebold, Francis X. - 2022
Persistent link: https://www.econbiz.de/10013206234
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Real-Time Real Economic Activity : Exiting the Great Recession and Entering the Pandemic Recession
Diebold, Francis X. - 2020
We study the real-time signals provided by the Aruoba-Diebold-Scotti Index of Business conditions (ADS) for tracking economic activity at high frequency. We start with exit from the Great Recession, comparing the evolution of real-time vintage beliefs to a "final" late-vintage chronology. We...
Persistent link: https://www.econbiz.de/10012481337
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Real-time real economic activity entering the Pandemic Recession
Diebold, Francis X. - In: Covid economics : vetted and real-time papers (2020) 62, pp. 1-19
Persistent link: https://www.econbiz.de/10012395208
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Real-time real economic activity : exiting the Great Recession and entering the pandemic recession
Diebold, Francis X. - 2020 - This version June 26, 2020
Persistent link: https://www.econbiz.de/10012299187