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Roughing it up : including jump components in the measurement, modeling, and forecasting of return volatility
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - In: The review of economics and statistics 89 (2007) 4, pp. 701-720
Persistent link: https://www.econbiz.de/10003567164
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How relevant is volatility forecasting for financial risk management?
Christoffersen, Peter F.; Diebold, Francis X. - In: The review of economics and statistics 82 (2000) 1, pp. 12-22
Persistent link: https://www.econbiz.de/10001456328
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Multivariate density forecast evaluation and calibration in financial risk management : high-frequency returns on foreign exchange
Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. A. - In: The review of economics and statistics 81 (1999) 4, pp. 661-673
Persistent link: https://www.econbiz.de/10001437391
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Bootstrapping multivariate spectra
Berkowitz, Jeremy - In: The review of economics and statistics 80 (1998) 4, pp. 664-666
Persistent link: https://www.econbiz.de/10001254685
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Measuring business cycles : a modern perspective
Diebold, Francis X. - In: The review of economics and statistics 78 (1996) 1, pp. 67-77
Persistent link: https://www.econbiz.de/10001334370
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Is consumption too smooth? : long memory and the Deaton paradox
Diebold, Francis X. - In: The review of economics and statistics 73 (1991) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10001107501
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A conditionally heteroskedastic time series model for speculative prices and rates of return
Bollerslev, Tim - In: The review of economics and statistics 69 (1987) 3, pp. 542-547
Persistent link: https://www.econbiz.de/10001032369
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Modelling the coherence in short-run nominal exchange rates : a multivariate generalized ARCH model
Bollerslev, Tim - In: The review of economics and statistics 72 (1990) 3, pp. 498-505
Persistent link: https://www.econbiz.de/10001093160
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High-frequency data, frequency domain inference, and volatility forecasting
Bollerslev, Tim; Wright, Jonathan H. - In: The review of economics and statistics 83 (2001) 4, pp. 596-602
Persistent link: https://www.econbiz.de/10001627219
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Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X. - In: The review of economics and statistics 89 (2007) 4, pp. 701-720
Persistent link: https://www.econbiz.de/10007861554