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Real-time forecast evaluation of DSGE models with stochastic volatility

Diebold, Francis X.; Schorfheide, Frank; Shin, Minchul - In: Journal of econometrics 201 (2017) 2, pp. 322-332

Persistent link: https://www.econbiz.de/10011920505

Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility

Diebold, Francis X. - 2016

Recent work has analyzed the forecasting performance of standard dynamic stochastic general equilibrium (DSGE) models, but little attention has been given to DSGE models that incorporate nonlinearities in exogenous driving processes. Against that background, we explore whether incorporating...

Persistent link: https://www.econbiz.de/10012983417

Real-time forecast evaluation of DSGE models with stochastic volatility

Diebold, Francis X.; Schorfheide, Frank; Shin, Minchul - 2017 - This Version: August 18, 2016

Recent work has analyzed the forecasting performance of standard dynamic stochastic general equilibrium (DSGE) models, but little attention has been given to DSGE models that incorporate nonlinearities in exogenous driving processes. Against that background, we explore whether incorporating...

Persistent link: https://www.econbiz.de/10011755749

Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility

Diebold, Francis X. - 2015

Recent work has analyzed the forecasting performance of standard dynamic stochastic general equilibrium (DSGE) models, but little attention has been given to DSGE models that incorporate nonlinearities in exogenous driving processes. Against that background, we explore whether incorporating...

Persistent link: https://www.econbiz.de/10013022416

The Nobel Memorial Prize for Robert F. Engle

Diebold, Francis X. - 2004

Persistent link: https://www.econbiz.de/10002025610

The Nobel memorial prize for Robert Engle

Diebold, Francis X. (contributor); Engle, Robert F. (honouree) - 2004

Persistent link: https://www.econbiz.de/10003229527

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

Exchange rate returns standardized by realized volatility are (nearly) Gaussian

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2000

Persistent link: https://www.econbiz.de/10001440693

Financial risk management in a volatile global environment

Diebold, Francis X.; Santomero, Anthony M. - 1999

Persistent link: https://www.econbiz.de/10001427787

How relevant is volatility forecasting for financial risk

Christoffersen, Peter F.; Diebold, Francis X. - 1999

Persistent link: https://www.econbiz.de/10001463947

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