Browsing by Author "Diebold, FX"

Now showing items 1-3 of 3

    • A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 

      Andersen, TG; Bollerslev, T; Diebold, FX; Wu, J; Brandt, M (2005)
      The increasing availability of high-frequency asset return data has had a fundamental impact on empirical financial economics, focusing attention on asset return volatility and correlation dynamics, with key applications ...

    • "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange" 

      Andersen, TG; Bollerslev, T; Diebold, FX; Vega, C (2003)
      Using a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic expectations, and macroeconomic realizations (announcements), we characterize the conditional means of U.S. dollar spot exchange ...

    • "Modeling and Forecasting Realized Volatility" 

      Andersen, TG; Bollerslev, T; Diebold, FX; Labys, P (2003)
      We provide a general framework for integration of high-frequency intraday data into the measurement, modeling, and forecasting of daily and lower frequency return volatilities and return distributions. Most procedures for ...