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On cointegration and exchange rate dynamics
Diebold, Francis X.; Gardeazabal, Javier; Yılmaz, Kamil - 1993 - [Rev.]
Persistent link: https://www.econbiz.de/10000854420
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On cointegration and exchange rate dynamics
Diebold, Francis X. - In: The journal of finance : the journal of the American … 49 (1994) 2, pp. 727-735
Persistent link: https://www.econbiz.de/10001169036
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On cointegration and exchange rate dynamics
Diebold, Francis X.; Gardeazabal, Javier; Yılmaz, Kamil - 1993 - [rev.]
Persistent link: https://www.econbiz.de/10000145066
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Measuring dynamic connectedness with large Bayesian VAR models
Korobilis, Dimitris; Yılmaz, Kamil - 2018
We estimate a large Bayesian time-varying parameter vector autoregressive (TVP-VAR) model of daily stock return volatilities for 35 U.S. and European financial institutions. Based on that model we extract a connectedness index in the spirit of Diebold and Yilmaz (2014) (DYCI). We show that the...
Persistent link: https://www.econbiz.de/10011778195
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Exact maximum-likelihood estimation of autoregressive models via the Kalman filter
Diebold, Francis X. - In: Economics letters 22 (1986) 2, pp. 197-201
Persistent link: https://www.econbiz.de/10001026524
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Serial correlation and the combination of forecasts
Diebold, Francis X. - In: Journal of business & economic statistics : JBES ; a … 6 (1988) 1, pp. 105-111
Persistent link: https://www.econbiz.de/10001044765
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Long memory and regime switching
Diebold, Francis X.; Inoue, Atsushi - 2000
Persistent link: https://www.econbiz.de/10001534206
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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. A. - 1999
Persistent link: https://www.econbiz.de/10001426216
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Range-based estimation of stochastic volatility models or exchange rate dynamics are more interesting than you think
Alizadeh, Sassan; Brandt, Michael W.; Diebold, Francis X. - 2000
Persistent link: https://www.econbiz.de/10001477772
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On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean
Cheung, Yin-Wong; Diebold, Francis X. - 1990
Persistent link: https://www.econbiz.de/10000807109