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New and Old Models of Business Investment: A Comparison of Forecasting Performance
Oliner, Stephen; Rudebusch, Glenn; Sichel, Daniel - In: Journal of money, credit and banking : JMCB 27 (1995) 3, pp. 806-826
Persistent link: https://www.econbiz.de/10006680695
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Scale Models - Why scaling up risk by the square root of time is an even worse approximation than you might expect
Diebold, Francis; Hickman, Adrew; Inoue, Atsushi; … - In: Risk : managing risk in the world's financial markets 11 (1998) 1, pp. 104-107
Persistent link: https://www.econbiz.de/10007065402
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Scale Models - Why scaling up risk by the square root of time is an even worse approximation than you might expect
Diebold, Francis; Hickman, Adrew; Inoue, Atsushi; … - In: Risk : managing risk in the world's financial markets 11 (1998) 1, pp. 104-107
Persistent link: https://www.econbiz.de/10007065420
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VOLATILITY ESTIMATION: GREAT REALISATIONS - In a world of continuous trading, accurate estimation of realised volatility is vital. In the first of two empirically flavoured papers, the authors show how high-frequency data can be used in an optimal way.
Andersen, Torben; Bollerslev, Tim; Diebold, Francis; … - In: Risk : managing risk in the world's financial markets 13 (2000) 3, pp. 105-109
Persistent link: https://www.econbiz.de/10007051059
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LIQUIDITY: LIQUIDITY ON THE OUTSIDE - There is a demand for porfolio-independent measures that reflect market behaviour. The authors suggest a possible route towards this goal.
Bangia, Anil; Diebold, Francis; Schuermann, Til; … - In: Risk : managing risk in the world's financial markets 12 (1999) 6, pp. 68-74
Persistent link: https://www.econbiz.de/10007056823