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Forecasting and empirical methods in finance and macroeconomics

Diebold, Francis X. - In: NBER reporter online (1999/2000) 4, pp. 11-14

Persistent link: https://www.econbiz.de/10011367506

Measuring financial asset return and volatility spillovers, with application to global equity markets

Diebold, Francis X. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003726982

On the correlation structure of microstructure noise in theory and practice

Diebold, Francis X. (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003769457

On the correlation structure of microstructure noise in theory and practice

Diebold, Francis X. (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003790675

Measuring financial asset return and volatility spillovers, with application to global equity markets

Diebold, Francis X.; Yılmaz, Kamil - In: The economic journal : the journal of the Royal … 119 (2009), pp. 158-171

Persistent link: https://www.econbiz.de/10003805251

The known, the unknown, and the unknowable in financial risk management : measurement and theory advancing practice

Diebold, Francis X. (ed.); Doherty, Neil A. (contributor); … - 2010

Persistent link: https://www.econbiz.de/10003887774

Measuring financial asset return and volatility spillovers, with application to global equity markets

Diebold, Francis X. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003415390

Measuring financial asset return and volatility spillovers, with application to global equity markets

Diebold, Francis X. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003448318

A three-factor yield curve model : non- affine structure, systematic risk sources and gereralized duration

Diebold, Francis X.; Ji, Lei; Li, Canlin - In: Long-run growth and short-run stabilization : essays in …, (pp. 240-274). 2006

Persistent link: https://www.econbiz.de/10003374092

On the correlation structure of microstructure noise : a financial economic approach

Diebold, Francis X.; Strasser, Georg - 2010

"We introduce the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise, which feature...

Persistent link: https://www.econbiz.de/10008697775