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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. - 1998

Persistent link: https://www.econbiz.de/10000998139

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

Evaluating density forecasts with applications to financial risk management

Diebold, Francis X. - In: International economic review 39 (1998) 4, pp. 863-883

Persistent link: https://www.econbiz.de/10001338810

Modeling and forecasting realized volatility

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - In: Econometrica : journal of the Econometric Society, an … 71 (2003) 2, pp. 579-625

Persistent link: https://www.econbiz.de/10001750369

Forecasting the term structure of government bond yields

Diebold, Francis X.; Li, Canlin - 2003

Persistent link: https://www.econbiz.de/10001816437

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

Forecasting the term structure of government bond yields

Diebold, Francis X. (contributor); Li, Canlin (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001727236

Modeling and forecasting realized volatility

Anderson, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002020013

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...

Persistent link: https://www.econbiz.de/10003831205

Stock returns and expected business conditions: half a century of direct evidence

Campbell, Sean D.; Diebold, Francis X. - In: Journal of business & economic statistics : JBES ; a … 27 (2009) 2, pp. 266-278

Persistent link: https://www.econbiz.de/10003885790