Similar Search Results

Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange

Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. - 1998

Persistent link: https://www.econbiz.de/10000682409

Global yield curve dynamics and interactions : a dynamic Nelson-Siegel approach

Diebold, Francis X.; Li, Canlin; Yue, Vivian Z. - In: Journal of econometrics 146 (2008) 2, pp. 351-363

Persistent link: https://www.econbiz.de/10003782998

Real-time price discovery in global stock, bond and foreign exchange markets

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - In: Journal of international economics 73 (2007) 2, pp. 251-277

Persistent link: https://www.econbiz.de/10003586320

Global yield curve dynamics and interactions : a dynamic Nelson-Siegel approach

Diebold, Francis X.; Li, Canlin; Yue, Vivian Z. - 2007

Persistent link: https://www.econbiz.de/10003595017

Real-time price discovery in global stock, bond and foreign exchange markets

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2006

Persistent link: https://www.econbiz.de/10003393564

Global yield curve dynamics and interactions : a dynamic Nelson-Siegel approach

Diebold, Francis X.; Li, Canlin; Yue, Vivian Z. - 2007

The popular Nelson-Siegel (1987) yield curve is routinely fit to cross sections of intra-country bond yields, and Diebold and Li (2006) have recently proposed a dynamized version. In this paper we extend Diebold-Li to a global context, modeling a potentially large set of country yield curves in...