59
H index
104
i10 index
20548
Citations
University of Pennsylvania | 59 H index 104 i10 index 20548 Citations RESEARCH PRODUCTION: 102 Articles 258 Papers 4 Books 10 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Francis Diebold. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2020 | A Scoring Rule for Factor and Autoregressive Models Under Misspecification. (2020). Corradin, Fausto ; Casarin, Roberto ; Wong, Wing-Keung ; Sartore, Nguyen Domenico ; Ravazzolo, Francesco. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:2:p:66-103. Full description at Econpapers || Download paper | |
2020 | Targeting predictors in random forest regression. (2020). Nielsen, Mikkel S ; Muhlbach, Nicolaj N ; Christensen, Bent Jesper ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-03. Full description at Econpapers || Download paper | |
2020 | Adaptive Inference in Heteroskedastic Fractional Time Series Models. (2020). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe. In: CREATES Research Papers. RePEc:aah:create:2020-08. Full description at Econpapers || Download paper | |
2020 | Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09. Full description at Econpapers || Download paper | |
2020 | Temperature Anomalies, Long Memory, and Aggregation. (2020). Vera-Valdes, Eduardo J. In: CREATES Research Papers. RePEc:aah:create:2020-16. Full description at Econpapers || Download paper | |
2020 | Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings. (2020). Mikkelsen, Jakob ; Hillebrand, Eric ; Urga, Giovanni ; Spreng, Lars. In: CREATES Research Papers. RePEc:aah:create:2020-19. Full description at Econpapers || Download paper | |
2021 | Now- and Backcasting Initial Claims with High-Dimensional Daily Internet Search-Volume Data. (2021). Montes, Erik Christian ; Rapach, David E ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2021-02. Full description at Econpapers || Download paper | |
2021 | A machine learning approach to volatility forecasting. (2021). Siggaard, Mathias ; Christensen, Kim ; Veliyev, Bezirgen. In: CREATES Research Papers. RePEc:aah:create:2021-03. Full description at Econpapers || Download paper | |
2020 | On bootstrapping tests of equal forecast accuracy for nested models. (2020). Haque, Qazi ; Doko Tchatoka, Firmin. In: School of Economics Working Papers. RePEc:adl:wpaper:2020-03. Full description at Econpapers || Download paper | |
2020 | Model Averaging and Its Use in Economics. (2020). , Mark. In: Journal of Economic Literature. RePEc:aea:jeclit:v:58:y:2020:i:3:p:644-719. Full description at Econpapers || Download paper | |
2020 | Beating the naive: Combining LASSO with naive intraday electricity price forecasts. (2020). Weron, Rafał ; Uniejewski, Bartosz ; Marcjasz, Grzegorz. In: WORking papers in Management Science (WORMS). RePEc:ahh:wpaper:worms2001. Full description at Econpapers || Download paper | |
2020 | PCA forecast averaging - predicting day-ahead and intraday electricity prices. (2020). Uniejewski, Bartosz ; Serafin, Tomasz ; Maciejowska, Katarzyna. In: WORking papers in Management Science (WORMS). RePEc:ahh:wpaper:worms2002. Full description at Econpapers || Download paper | |
2020 | A Scoring Rule for Factor and Autoregressive Models Under Misspecification. (2020). Wong, Wing-Keung ; Sartore, Nguyen Domenico ; Ravazzolo, Francesco ; Corradin, Fausto ; Casarin, Roberto. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:24:y:2020:i:2:p:66-103. Full description at Econpapers || Download paper | |
2020 | Systemic Risk: a Network Approach. (2020). Hasse, Jean-Baptiste. In: AMSE Working Papers. RePEc:aim:wpaimx:2025. Full description at Econpapers || Download paper | |
2020 | Optimal and robust combination of forecasts via constrained optimization and shrinkage. (2020). Vrins, Frédéric ; Gambetti, Paolo ; Roccazzella, Francesco. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2020006. Full description at Econpapers || Download paper | |
2020 | THE INTER-RELATIONS BETWEEN CHINESE HOUSING MARKET, STOCK MARKET AND CONSUMPTION MARKET. (2020). Liu, Yang. In: Review of Socio - Economic Perspectives. RePEc:aly:journl:202051. Full description at Econpapers || Download paper | |
2020 | Global Recessions. (2020). Terrones, Marco ; Kose, Ayhan ; Sugawara, Naotaka. In: Working Papers. RePEc:apc:wpaper:162. Full description at Econpapers || Download paper | |
2021 | Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332. Full description at Econpapers || Download paper | |
2020 | Interconnectedness in the Global Financial Market. (2017). Raddant, Matthias ; Kenett, Dror Y. In: Papers. RePEc:arx:papers:1704.01028. Full description at Econpapers || Download paper | |
2020 | Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520. Full description at Econpapers || Download paper | |
2020 | Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479. Full description at Econpapers || Download paper | |
2020 | Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective. (2018). Liu, Laura. In: Papers. RePEc:arx:papers:1805.04178. Full description at Econpapers || Download paper | |
2020 | State-Varying Factor Models of Large Dimensions. (2019). Xiong, Ruoxuan ; Pelger, Markus. In: Papers. RePEc:arx:papers:1807.02248. Full description at Econpapers || Download paper | |
2021 | A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Chen, Qian ; Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1807.02422. Full description at Econpapers || Download paper | |
2020 | DeepLOB: Deep Convolutional Neural Networks for Limit Order Books. (2019). Roberts, Stephen ; Zohren, Stefan ; Zhang, Zihao. In: Papers. RePEc:arx:papers:1808.03668. Full description at Econpapers || Download paper | |
2020 | Asymmetric Connectedness of Fears in the U.S. Financial Sector. (2018). BarunÃÂÂk, Jozef ; Tunaru, Radu ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:1810.12022. Full description at Econpapers || Download paper | |
2020 | Econophysics of Asset Price, Return and Multiple Expectations. (2019). Olkhov, Victor. In: Papers. RePEc:arx:papers:1901.05024. Full description at Econpapers || Download paper | |
2020 | Elicitability of Range Value at Risk. (2019). Ziegel, Johanna F ; Fissler, Tobias. In: Papers. RePEc:arx:papers:1902.04489. Full description at Econpapers || Download paper | |
2020 | Bayesian MIDAS Penalized Regressions: Estimation, Selection, and Prediction. (2019). Mogliani, Matteo. In: Papers. RePEc:arx:papers:1903.08025. Full description at Econpapers || Download paper | |
2020 | Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077. Full description at Econpapers || Download paper | |
2020 | A Dynamic Bayesian Model for Interpretable Decompositions of Market Behaviour. (2019). Griveau-Billion, Théophile ; Calderhead, Ben. In: Papers. RePEc:arx:papers:1904.08153. Full description at Econpapers || Download paper | |
2020 | Forecasting the US GDP Components in the short run. (2019). Celov, Dmitrij ; Jokubaitis, Saulius. In: Papers. RePEc:arx:papers:1906.07992. Full description at Econpapers || Download paper | |
2020 | Forecast Encompassing Tests for the Expected Shortfall. (2019). Schnaitmann, Julie ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1908.04569. Full description at Econpapers || Download paper | |
2020 | Quantitative portfolio selection: using density forecasting to find consistent portfolios. (2019). Beasley, John ; Adcock, C J ; Meade, N. In: Papers. RePEc:arx:papers:1908.08442. Full description at Econpapers || Download paper | |
2020 | Equity Premium Puzzle or Faulty Economic Modelling?. (2019). Rachev, Svetlozar T ; Fabozzi, Frank J ; Stoyanov, Stoyan V ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:1909.13019. Full description at Econpapers || Download paper | |
2020 | Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144. Full description at Econpapers || Download paper | |
2020 | Identifying Network Ties from Panel Data: Theory and an Application to Tax Competition. (2019). de Paula, Aureo ; Rasul, Imran ; Souza, Pedro. In: Papers. RePEc:arx:papers:1910.07452. Full description at Econpapers || Download paper | |
2020 | Testing Forecast Rationality for Measures of Central Tendency. (2019). Schmidt, Patrick ; Patton, Andrew J ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1910.12545. Full description at Econpapers || Download paper | |
2020 | Disentangling shock diffusion on complex networks: Identification through graph planarity. (2020). Chakrabarti, Anindya S ; di Matteo, Tiziana ; Kumar, Sudarshan. In: Papers. RePEc:arx:papers:2001.01518. Full description at Econpapers || Download paper | |
2020 | Refined model of the covariance/correlation matrix between securities. (2020). Valeyre, Sebastien. In: Papers. RePEc:arx:papers:2001.08911. Full description at Econpapers || Download paper | |
2020 | Forecasting Realized Volatility Matrix With Copula-Based Models. (2020). Tao, Minjing ; Wang, Wenjing. In: Papers. RePEc:arx:papers:2002.08849. Full description at Econpapers || Download paper | |
2020 | Sector connectedness in the Chinese stock markets. (2020). Zhou, Wei-Xing ; Wang, Gang-Jin ; Ma, Jun-Chao ; Jiang, Zhi-Qiang ; Shen, Ying-Ying. In: Papers. RePEc:arx:papers:2002.09097. Full description at Econpapers || Download paper | |
2020 | A New Decomposition Ensemble Approach for Tourism Demand Forecasting: Evidence from Major Source Countries. (2020). Sun, Shaolong ; Wang, Shouyang ; Jiang, Fuxin ; Zhang, Chengyuan. In: Papers. RePEc:arx:papers:2002.09201. Full description at Econpapers || Download paper | |
2020 | Forecasting the Intra-Day Spread Densities of Electricity Prices. (2020). Bunn, Derek ; Abramova, Ekaterina. In: Papers. RePEc:arx:papers:2002.10566. Full description at Econpapers || Download paper | |
2020 | Equal Predictive Ability Tests for Panel Data with an Application to OECD and IMF Forecasts. (2020). Yang, Zhenlin ; Urga, Giovanni ; Pirotte, Alain ; Akgun, Oguzhan. In: Papers. RePEc:arx:papers:2003.02803. Full description at Econpapers || Download paper | |
2020 | Machine Learning Treasury Yields. (2020). Yu, Willie ; Kakushadze, Zura. In: Papers. RePEc:arx:papers:2003.05095. Full description at Econpapers || Download paper | |
2020 | Investigating the influence Brexit had on Financial Markets, in particular the GBP/EUR exchange rate. (2020). Filletti, Michael. In: Papers. RePEc:arx:papers:2003.05895. Full description at Econpapers || Download paper | |
2020 | Coronavirus and oil price crash. (2020). Albulescu, Claudiu. In: Papers. RePEc:arx:papers:2003.06184. Full description at Econpapers || Download paper | |
2020 | Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. (2020). Fernandez Bariviera, Aurelio ; Merediz-Sola, Ignasi. In: Papers. RePEc:arx:papers:2003.09723. Full description at Econpapers || Download paper | |
2021 | Cryptocurrency Trading: A Comprehensive Survey. (2020). Wu, Fan ; Martinez-Regoband, David ; Li, Lingbo ; Kanthan, Leslie ; Kong, Hoiliong ; Basios, Michail ; Ventre, Carmine ; Fang, Fan. In: Papers. RePEc:arx:papers:2003.11352. Full description at Econpapers || Download paper | |
2020 | Streaming Perspective in Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2020). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2003.13062. Full description at Econpapers || Download paper | |
2020 | The effects of targeting predictors in a random forest regression model. (2020). Christensen, Bent Jesper ; Nielsen, Mikkel Slot ; Muhlbach, Nicolaj Norgaard ; Borup, Daniel. In: Papers. RePEc:arx:papers:2004.01411. Full description at Econpapers || Download paper | |
2020 | Bias optimal vol-of-vol estimation: the role of window overlapping. (2020). Recchioni, Maria Cristina ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2004.04013. Full description at Econpapers || Download paper | |
2020 | Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. (2020). Mancino, Maria Elvira ; Toscano, Giacomo ; Scotti, Simone. In: Papers. RePEc:arx:papers:2004.04015. Full description at Econpapers || Download paper | |
2020 | Clustering volatility regimes for dynamic trading strategies. (2020). Prakash, Arjun ; Menzies, Max ; James, Nick ; Francis, Gilad. In: Papers. RePEc:arx:papers:2004.09963. Full description at Econpapers || Download paper | |
2020 | Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. (2020). Cerqueti, Roy ; Mattera, Raffaele ; Giacalone, Massimiliano. In: Papers. RePEc:arx:papers:2004.11674. Full description at Econpapers || Download paper | |
2020 | A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400. Full description at Econpapers || Download paper | |
2020 | Ensemble Forecasting for Intraday Electricity Prices: Simulating Trajectories. (2020). Ziel, Florian ; Narajewski, Michal. In: Papers. RePEc:arx:papers:2005.01365. Full description at Econpapers || Download paper | |
2020 | The Murphy Decomposition and the Calibration-Resolution Principle: A New Perspective on Forecast Evaluation. (2020). Pohle, Marc-Oliver. In: Papers. RePEc:arx:papers:2005.01835. Full description at Econpapers || Download paper | |
2020 | Long short-term memory networks and laglasso for bond yield forecasting: Peeping inside the black box. (2020). Niranjan, Mahesan ; McGroarty, Frank ; Gerding, Enrico ; Nunes, Manuel. In: Papers. RePEc:arx:papers:2005.02217. Full description at Econpapers || Download paper | |
2021 | Arctic Amplification of Anthropogenic Forcing: A Vector Autoregressive Analysis. (2020). Gobel, Maximilian ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2005.02535. Full description at Econpapers || Download paper | |
2020 | Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204. Full description at Econpapers || Download paper | |
2020 | Fractional trends and cycles in macroeconomic time series. (2020). Weber, Enzo ; Hartl, Tobias ; Tschernig, Rolf. In: Papers. RePEc:arx:papers:2005.05266. Full description at Econpapers || Download paper | |
2020 | The impacts of asymmetry on modeling and forecasting realized volatility in Japanese stock markets. (2020). Ota, Yasushi ; Maki, Daiki. In: Papers. RePEc:arx:papers:2006.00158. Full description at Econpapers || Download paper | |
2020 | Dynamic Network Risk. (2020). BarunÃÂÂk, Jozef ; Ellington, Michael ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2006.04639. Full description at Econpapers || Download paper | |
2020 | A Bayesian Time-Varying Autoregressive Model for Improved Short- and Long-Term Prediction. (2020). Rugamer, David ; Stocker, Almond ; Berninger, Christoph. In: Papers. RePEc:arx:papers:2006.05750. Full description at Econpapers || Download paper | |
2020 | Horseshoe Prior Bayesian Quantile Regression. (2020). Kohns, David ; Szendrei, Tibor. In: Papers. RePEc:arx:papers:2006.07655. Full description at Econpapers || Download paper | |
2020 | The Gauss2++ Model -- A Comparison of Different Measure Change Specifications for a Consistent Risk Neutral and Real World Calibration. (2020). Pfeiffer, Julian ; Berninger, Christoph. In: Papers. RePEc:arx:papers:2006.08004. Full description at Econpapers || Download paper | |
2020 | Hidden Markov Models Applied To Intraday Momentum Trading With Side Information. (2020). Turner, Richard ; Godsill, Simon ; Christensen, Hugh. In: Papers. RePEc:arx:papers:2006.08307. Full description at Econpapers || Download paper | |
2020 | Approximate Maximum Likelihood for Complex Structural Models. (2020). Frazier, David T ; Czellar, Veronika ; Renault, Eric. In: Papers. RePEc:arx:papers:2006.10245. Full description at Econpapers || Download paper | |
2020 | Proper scoring rules for evaluating asymmetry in density forecasting. (2020). Ravazzolo, Francesco ; Iacopini, Matteo ; Rossini, Luca. In: Papers. RePEc:arx:papers:2006.11265. Full description at Econpapers || Download paper | |
2020 | The Macroeconomy as a Random Forest. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2006.12724. Full description at Econpapers || Download paper | |
2020 | A Model of the Feds View on Inflation. (2020). Pellegrino, Filippo ; Hasenzagl, Thomas ; Ricco, Giovanni ; Reichlin, Lucrezia. In: Papers. RePEc:arx:papers:2006.14110. Full description at Econpapers || Download paper | |
2020 | How does stock market reflect the change in economic demand? A study on the industry-specific volatility spillover networks of Chinas stock market during the outbreak of COVID-19. (2020). Yan, Yan ; Qiao, FU. In: Papers. RePEc:arx:papers:2007.07487. Full description at Econpapers || Download paper | |
2020 | Dynamic Networks in Large Financial and Economic Systems. (2020). BarunÃÂÂk, Jozef ; Ellington, Michael. In: Papers. RePEc:arx:papers:2007.07842. Full description at Econpapers || Download paper | |
2020 | Estimation of time-varying kernel densities and chronology of the impact of COVID-19 on financial markets. (2020). Klein, Jules ; Garcin, Matthieu ; Laaribi, Sana. In: Papers. RePEc:arx:papers:2007.09043. Full description at Econpapers || Download paper | |
2020 | Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics. (2020). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Papers. RePEc:arx:papers:2007.10727. Full description at Econpapers || Download paper | |
2020 | Tile test for back-testing risk evaluation. (2020). Zumbach, Gilles. In: Papers. RePEc:arx:papers:2007.12431. Full description at Econpapers || Download paper | |
2020 | The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model. (2020). Zhou, Wei-Xing ; Xiong, Xiong ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2007.12838. Full description at Econpapers || Download paper | |
2020 | Are low frequency macroeconomic variables important for high frequency electricity prices?. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Papers. RePEc:arx:papers:2007.13566. Full description at Econpapers || Download paper | |
2020 | Testing error distribution by kernelized Stein discrepancy in multivariate time series models. (2020). Li, Dong ; Gong, Huan ; Zhu, KE ; Luo, Donghang. In: Papers. RePEc:arx:papers:2008.00747. Full description at Econpapers || Download paper | |
2020 | Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.01714. Full description at Econpapers || Download paper | |
2020 | Tail risk forecasting using Bayesian realized EGARCH models. (2020). Wang, Chao ; Gerlach, Richard ; Tendenan, Vica. In: Papers. RePEc:arx:papers:2008.05147. Full description at Econpapers || Download paper | |
2020 | To Bag is to Prune. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.07063. Full description at Econpapers || Download paper | |
2020 | Long vs Short Time Scales: the Rough Dilemma and Beyond. (2020). Grasselli, Martino ; Garcin, Matthieu. In: Papers. RePEc:arx:papers:2008.07822. Full description at Econpapers || Download paper | |
2020 | Volatility Depend on Market Trades and Macro Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2008.07907. Full description at Econpapers || Download paper | |
2020 | Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark. (2020). Weron, Rafał ; Marcjasz, Grzegorz ; de Schutter, Bart ; Lago, Jesus. In: Papers. RePEc:arx:papers:2008.08004. Full description at Econpapers || Download paper | |
2020 | Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs. (2020). Weron, Rafał ; Marcjasz, Grzegorz ; Lago, Jesus. In: Papers. RePEc:arx:papers:2008.08006. Full description at Econpapers || Download paper | |
2020 | A Novel Approach to Predictive Accuracy Testing in Nested Environments. (2020). Pitarakis, Jean-Yves. In: Papers. RePEc:arx:papers:2008.08387. Full description at Econpapers || Download paper | |
2020 | How is Machine Learning Useful for Macroeconomic Forecasting?. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.12477. Full description at Econpapers || Download paper | |
2020 | Time-Varying Parameters as Ridge Regressions. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2009.00401. Full description at Econpapers || Download paper | |
2020 | Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361. Full description at Econpapers || Download paper | |
2020 | Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). BarunÃÂÂk, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394. Full description at Econpapers || Download paper | |
2020 | Forecasting financial markets with semantic network analysis in the COVID-19 crisis. (2020). Violante, Francesco ; Ravazzolo, F ; Grassi, S ; Colladon, Fronzetti A. In: Papers. RePEc:arx:papers:2009.04975. Full description at Econpapers || Download paper | |
2020 | Volatility Forecasting with 1-dimensional CNNs via transfer learning. (2020). , J'Ozsef ; Petneh, G'Abor ; Aradi, Bernadett. In: Papers. RePEc:arx:papers:2009.05508. Full description at Econpapers || Download paper | |
2020 | Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary. (2020). Schnaitmann, Julie ; Liu, Xiaochun ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2009.07341. Full description at Econpapers || Download paper | |
2020 | Optimal probabilistic forecasts: When do they work?. (2020). Loaiza Maya, Rubén ; Frazier, David T ; Loaiza-Maya, Rub'En ; Martin, Gael M ; Hassan, Andr'Es Ram'Irez ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:2009.09592. Full description at Econpapers || Download paper | |
2020 | Regularization Approach for Network Modeling of German Power Derivative Market. (2020). L'Opez, Brenda ; Hardle, Wolfgang Karl ; Chen, Shi. In: Papers. RePEc:arx:papers:2009.09739. Full description at Econpapers || Download paper | |
2020 | Distillation of News Flow into Analysis of Stock Reactions. (2020). Bommes, Elisabeth ; Chen, Cathy Y ; Hardle, Wolfgang Karl ; Zhang, Junni L. In: Papers. RePEc:arx:papers:2009.10392. Full description at Econpapers || Download paper | |
2020 | Price, Volatility and the Second-Order Economic Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2009.14278. Full description at Econpapers || Download paper | |
2020 | Are cryptocurrencies becoming more interconnected?. (2020). Perez-Laborda, Alejandro ; Fernandez Bariviera, Aurelio ; Aslanidis, Nektarios. In: Papers. RePEc:arx:papers:2009.14561. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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Year | Title | Type | Cited |
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2007 | Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 603 |
2005 | Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 603 | paper | |
2007 | Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility.(2007) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 603 | article | |
2007 | Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 381 |
2007 | Real-time price discovery in global stock, bond and foreign exchange markets.(2007) In: Journal of International Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 381 | article | |
2006 | Real-time price discovery in global stock, bond and foreign exchange markets.(2006) In: International Finance Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 381 | paper | |
2011 | Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 24 |
2013 | Financial Risk Measurement for Financial Risk Management.(2013) In: Handbook of the Economics of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | chapter | |
2012 | Financial Risk Measurement for Financial Risk Management.(2012) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | paper | |
2011 | Financial Risk Measurement for Financial Risk Management.(2011) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | paper | |
2010 | Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions In: American Economic Review. [Full Text][Citation analysis] | article | 40 |
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2010 | Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
2010 | Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions.(2010) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
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2002 | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 624 | paper | |
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1996 | Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers.(1996) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
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2008 | Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets.(2008) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 824 | paper | |
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2012 | A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities.(2012) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | paper | |
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2000 | Long Memory and Regime Switching.(2000) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 602 | paper | |
2006 | Forecasting the term structure of government bond yields In: Journal of Econometrics. [Full Text][Citation analysis] | article | 647 |
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2002 | Forecasting the Term Structure of Government Bond Yields.(2002) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 647 | paper | |
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2007 | Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach.(2007) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 108 | paper | |
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2007 | The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 166 | paper | |
2007 | The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models.(2007) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 166 | paper | |
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2011 | On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms.(2011) In: Koç University-TUSIAD Economic Research Forum Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 669 | paper | |
2011 | On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 669 | paper | |
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1993 | On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean.(1993) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 70 | paper | |
1996 | Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures In: Journal of Econometrics. [Full Text][Citation analysis] | article | 123 |
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2010 | Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers.(2010) In: Koç University-TUSIAD Economic Research Forum Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 795 | paper | |
2019 | Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 23 |
2018 | Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives.(2018) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
2018 | Machine Learning for Regularized Survey Forecast Combination: Partially Egalitarian Lasso and its Derivatives.(2018) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
1989 | Forecast combination and encompassing: Reconciling two divergent literatures In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 60 |
1989 | Forecast combination and encompassing: reconciling two divergent literatures.(1989) In: Finance and Economics Discussion Series. [Citation analysis] This paper has another version. Agregated cites: 60 | paper | |
1990 | The use of prior information in forecast combination In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 78 |
1987 | The use of prior information in forecast combination.(1987) In: Special Studies Papers. [Citation analysis] This paper has another version. Agregated cites: 78 | paper | |
2002 | Ratings migration and the business cycle, with application to credit portfolio stress testing In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 204 |
2000 | Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing.(2000) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 204 | paper | |
2001 | The distribution of realized stock return volatility In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 793 |
1989 | Long memory and persistence in aggregate output In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 274 |
1988 | Long memory and persistence in aggregate output.(1988) In: Finance and Economics Discussion Series. [Citation analysis] This paper has another version. Agregated cites: 274 | paper | |
2006 | A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources and Generalized Duration In: Chapters. [Full Text][Citation analysis] | chapter | 7 |
2006 | A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration.(2006) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2001 | Five questions about business cycles In: Economic Review. [Full Text][Citation analysis] | article | 12 |
2003 | The macroeconomy and the yield curve: a nonstructural analysis In: Working Paper Series. [Full Text][Citation analysis] | paper | 13 |
2003 | The Macroeconomy and the Yield Curve: A Nonstructural Analysis.(2003) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2003 | The Macroeconomy and the Yield Curve: A Nonstructural Analysis.(2003) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
1988 | On the solution of dynamic linear rational expectations models In: Finance and Economics Discussion Series. [Citation analysis] | paper | 0 |
1997 | Dynamic equilibrium economies: a framework for comparing models and data In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 110 |
1998 | Dynamic equilibrium economies: a framework for comparing models and data.(1998) In: Staff Report. [Full Text][Citation analysis] This paper has another version. Agregated cites: 110 | paper | |
1997 | Dynamic equilibrium economies: a framework for comparing models and data.(1997) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 110 | paper | |
1995 | Dynamic Equilibrium Economies: A Framework for Comparing Models and Data.(1995) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 110 | paper | |
1998 | Dynamic Equilibrium Economies: A Framework for Comparing Models and Data.(1998) In: Review of Economic Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 110 | article | |
1992 | Near-rationality and strategic complementarity in a macroeconomic model: policy effects, persistence and multipliers In: Finance and Economics Discussion Series. [Citation analysis] | paper | 1 |
1988 | Ex ante turning point forecasting with the composite leading index In: Finance and Economics Discussion Series. [Citation analysis] | paper | 0 |
1988 | Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function In: Finance and Economics Discussion Series. [Citation analysis] | paper | 3 |
1988 | Conditional heteroskedasticity in the market In: Finance and Economics Discussion Series. [Citation analysis] | paper | 2 |
1988 | Unit roots in economic time series: a selective survey In: Finance and Economics Discussion Series. [Citation analysis] | paper | 27 |
1989 | Is consumption too smooth? Long memory and the Deaton paradox In: Finance and Economics Discussion Series. [Citation analysis] | paper | 39 |
1991 | Is Consumption Too Smooth? Long Memory and the Deaton Paradox..(1991) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 39 | article | |
1988 | Post-deregulation deposit rate pricing: the multivariate dynamics In: Finance and Economics Discussion Series. [Citation analysis] | paper | 2 |
1989 | Forecasting output with the composite leading index: an ex ante analysis In: Finance and Economics Discussion Series. [Citation analysis] | paper | 70 |
2005 | Robust estimation - discussion In: Proceedings. [Citation analysis] | article | 0 |
2005 | From the horse’s mouth: gauging conditional expected stock returns from investor surveys In: Proceedings. [Full Text][Citation analysis] | article | 1 |
1986 | Temporal aggregation of ARCH processes and the distribution of asset returns In: Special Studies Papers. [Citation analysis] | paper | 4 |
1986 | Structural change and the combination of forecasts In: Special Studies Papers. [Citation analysis] | paper | 6 |
1986 | The dynamics of exchange rate volatility: a multivariate latent factor ARCH model In: Special Studies Papers. [Citation analysis] | paper | 294 |
1989 | The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model..(1989) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 294 | article | |
1987 | Scoring the leading indicators In: Special Studies Papers. [Citation analysis] | paper | 180 |
1989 | Scoring the Leading Indicators..(1989) In: The Journal of Business. [Full Text][Citation analysis] This paper has another version. Agregated cites: 180 | article | |
1987 | Does the business cycle have duration memory? In: Special Studies Papers. [Citation analysis] | paper | 3 |
1987 | Deviations from random-walk behavior: tests based on the variance-time function In: Special Studies Papers. [Citation analysis] | paper | 0 |
1988 | A nonparametric investigation of duration dependence in the American business cycle In: Working Paper Series / Economic Activity Section. [Citation analysis] | paper | 101 |
1990 | A Nonparametric Investigation of Duration Dependence in the American Business Cycle..(1990) In: Journal of Political Economy. [Full Text][Citation analysis] This paper has another version. Agregated cites: 101 | article | |
1990 | International evidence on business cycle duration dependence In: Discussion Paper / Institute for Empirical Macroeconomics. [Full Text][Citation analysis] | paper | 5 |
1990 | Real exchange rates under the gold standard In: Discussion Paper / Institute for Empirical Macroeconomics. [Full Text][Citation analysis] | paper | 219 |
1991 | Real Exchange Rates under the Gold Standard..(1991) In: Journal of Political Economy. [Full Text][Citation analysis] This paper has another version. Agregated cites: 219 | article | |
1991 | Comparing predictive accuracy I: an asymptotic test In: Discussion Paper / Institute for Empirical Macroeconomics. [Full Text][Citation analysis] | paper | 4 |
1998 | Horizon problems and extreme events in financial risk management In: Economic Policy Review. [Full Text][Citation analysis] | article | 24 |
1998 | Horizon Problems and Extreme Events in Financial Risk Management.(1998) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | paper | |
1995 | Modeling volatility dynamics In: Research Paper. [Full Text][Citation analysis] | paper | 45 |
Modeling Volatility Dynamics.() In: Home Pages. [Full Text][Citation analysis] This paper has another version. Agregated cites: 45 | paper | ||
1995 | Forecast evaluation and combination In: Research Paper. [Full Text][Citation analysis] | paper | 226 |
1996 | Forecast Evaluation and Combination.(1996) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 226 | paper | |
1991 | Shorter recessions and longer expansions In: Business Review. [Full Text][Citation analysis] | article | 0 |
1993 | Are long expansions followed by short contractions? In: Business Review. [Full Text][Citation analysis] | article | 1 |
2011 | Improving GDP measurement: a forecast combination perspective In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
2011 | Improving GDP Measurement: A Forecast Combination Perspective.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2011 | Improving GDP Measurement: A Forecast Combination Perspective.(2011) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
1991 | Further evidence on business cycle duration dependence In: Working Papers. [Citation analysis] | paper | 76 |
1993 | Further Evidence on Business-Cycle Duration Dependence.(1993) In: NBER Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 76 | chapter | |
1993 | Regime switching with time-varying transition probabilities In: Working Papers. [Citation analysis] | paper | 32 |
1993 | Exact maximum likelihood estimation of ARCH models In: Working Papers. [Citation analysis] | paper | 1 |
1993 | On comparing information in forecasts from econometric models: a comment on Fair and Shiller In: Working Papers. [Citation analysis] | paper | 0 |
1997 | Evaluating density forecasts In: Working Papers. [Full Text][Citation analysis] | paper | 49 |
1997 | Evaluating Density Forecasts.(1997) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
1997 | Evaluating Density Forecasts.(1997) In: CARESS Working Papres. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
1997 | Evaluating Density Forecasts.(1997) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
1998 | Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 3 |
1998 | Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange.(1998) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
1998 | Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange.(1998) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
1998 | How Relevant is Volatility Forecasting for Financial Risk Management? In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 116 |
1998 | How Relevant is Volatility Forecasting for Financial Risk Management?.(1998) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 116 | paper | |
2000 | How Relevant is Volatility Forecasting for Financial Risk Management?.(2000) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 116 | article | |
1997 | How Relevant is Volatility Forecasting for Financial Risk Management?.(1997) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 116 | paper | |
1998 | Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Citation analysis] | paper | 50 |
1998 | Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management.(1998) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 50 | paper | |
1999 | The Distribution of Exchange Rate Volatility In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 79 |
1999 | The Distribution of Exchange Rate Volatility.(1999) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 79 | paper | |
1999 | The Distribution of Exchange Rate Volatility.(1999) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 79 | paper | |
1999 | Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 81 |
2000 | Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian.(2000) In: Multinational Finance Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 81 | article | |
2000 | Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 81 | paper | |
1999 | Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian.(1999) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 81 | paper | |
1999 | (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 35 |
1998 | Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 15 |
1998 | Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management.(1998) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
1998 | Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors Introduction. In: International Economic Review. [Citation analysis] | article | 3 |
1998 | Evaluating Density Forecasts with Applications to Financial Risk Management. In: International Economic Review. [Citation analysis] | article | 638 |
2011 | Globalization, the Business Cycle, and Macroeconomic Monitoring In: IMF Working Papers. [Full Text][Citation analysis] | paper | 10 |
2010 | Globalization, the Business Cycle, and Macroeconomic Monitoring.(2010) In: NBER Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | chapter | |
2010 | Globalization, the Business Cycle, and Macroeconomic Monitoring.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2011 | Globalization, the Business Cycle, and Macroeconomic Monitoring.(2011) In: NBER International Seminar on Macroeconomics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
2006 | Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics In: Management Science. [Full Text][Citation analysis] | article | 97 |
2003 | Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics.(2003) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 97 | paper | |
2003 | Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics.(2003) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 97 | paper | |
2003 | Financial asset returns, direction-of-change forecasting, and volatility dynamics.(2003) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 97 | paper | |
1996 | Further Results on Forecasting and Model Selection under Asymmetric Loss. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 60 |
Further Results on Forecasting and Model Selection Under Asymmetric Loss.() In: Home Pages. [Full Text][Citation analysis] This paper has another version. Agregated cites: 60 | paper | ||
1989 | Structural Time Series Analysis and Modelling Package: A Review. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 0 |
2007 | Macroeconomic Volatility and Stock Market Volatility,World-Wide In: Koç University-TUSIAD Economic Research Forum Working Papers. [Full Text][Citation analysis] | paper | 42 |
2008 | Macroeconomic Volatility and Stock Market Volatility, Worldwide.(2008) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 42 | paper | |
2008 | Macroeconomic Volatility and Stock Market Volatility, World-Wide.(2008) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 42 | paper | |
2015 | Estimating Global Bank Network Connectedness In: Koç University-TUSIAD Economic Research Forum Working Papers. [Full Text][Citation analysis] | paper | 119 |
2017 | Estimating Global Bank Network Connectedness.(2017) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 119 | paper | |
2015 | Estimating Global Bank Network Connectedness.(2015) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 119 | paper | |
2018 | Estimating global bank network connectedness.(2018) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 119 | article | |
2007 | Practical Volatility and Correlation Modeling for Financial Market Risk Management In: NBER Chapters. [Full Text][Citation analysis] | chapter | 17 |
2005 | Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
2005 | Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
2005 | Practical volatility and correlation modeling for financial market risk management.(2005) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
1995 | Measuring Volatility Dynamics In: NBER Technical Working Papers. [Full Text][Citation analysis] | paper | 0 |
1996 | Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models In: NBER Technical Working Papers. [Full Text][Citation analysis] | paper | 6 |
2002 | Parametric and Nonparametric Volatility Measurement In: NBER Technical Working Papers. [Full Text][Citation analysis] | paper | 50 |
2002 | Parametric and Nonparametric Volatility Measurement.(2002) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 50 | paper | |
2005 | Volatility Forecasting In: NBER Working Papers. [Full Text][Citation analysis] | paper | 46 |
2005 | Volatility Forecasting.(2005) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 46 | paper | |
2005 | Volatility forecasting.(2005) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 46 | paper | |
2005 | Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets In: NBER Working Papers. [Full Text][Citation analysis] | paper | 94 |
2004 | Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets.(2004) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 94 | paper | |
2004 | Real-time price discovery in stock, bond and foreign exchange markets.(2004) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 94 | paper | |
2012 | Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests In: NBER Working Papers. [Full Text][Citation analysis] | paper | 125 |
2012 | Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests.(2012) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 125 | paper | |
2015 | Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests.(2015) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 125 | article | |
2016 | Assessing Point Forecast Accuracy by Stochastic Error Distance In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
2014 | Assessing Point Forecast Accuracy by Stochastic Error Distance.(2014) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2017 | Assessing point forecast accuracy by stochastic error distance.(2017) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2020 | Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession In: NBER Working Papers. [Full Text][Citation analysis] | paper | 5 |
2020 | Real-Time Real Economic Activity:Exiting the Great Recession and Entering the Pandemic Recession.(2020) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
1994 | Measuring Business Cycles: A Modern Perspective In: NBER Working Papers. [Full Text][Citation analysis] | paper | 250 |
1996 | Measuring Business Cycles: A Modern Perspective..(1996) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 250 | article | |
Measuring Business Cycle: A Modern Perspective.() In: Home Pages. [Full Text][Citation analysis] This paper has another version. Agregated cites: 250 | paper | ||
1994 | Job Stability in the United States In: NBER Working Papers. [Full Text][Citation analysis] | paper | 58 |
1997 | Job Stability in the United States..(1997) In: Journal of Labor Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 58 | article | |
1996 | Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again In: NBER Working Papers. [Full Text][Citation analysis] | paper | 8 |
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again.() In: Home Pages. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | ||
1997 | Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters In: NBER Working Papers. [Full Text][Citation analysis] | paper | 40 |
1998 | Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters.(1998) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
2000 | The Distribution of Stock Return Volatility In: NBER Working Papers. [Full Text][Citation analysis] | paper | 34 |
2000 | The Distribution of Stock Return Volatility.(2000) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
2001 | High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models In: NBER Working Papers. [Full Text][Citation analysis] | paper | 7 |
2003 | A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations In: NBER Working Papers. [Full Text][Citation analysis] | paper | 108 |
2003 | A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations.(2003) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 108 | paper | |
2006 | A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations.(2006) In: The Journal of Business. [Full Text][Citation analysis] This paper has another version. Agregated cites: 108 | article | |
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations.() In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 108 | paper | ||
2004 | A no-arbitrage approach to range-based estimation of return covariances and correlations.(2004) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 108 | paper | |
2016 | Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 63 |
2020 | Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I).() In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | ||
2015 | Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring In: OUP Catalogue. [Citation analysis] | book | 132 |
2002 | Symposium on Forecasting Performance: An Introduction In: IMF Staff Papers. [Full Text][Citation analysis] | article | 0 |
2003 | Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 28 |
2003 | Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility.(2003) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | paper | |
2004 | Realized Beta: Persistence and Predictability In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 9 |
2004 | Realized beta: Persistence and predictability.(2004) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2008 | Real-Time Measurement of Business Conditions, Second Version In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 5 |
2008 | On the Correlation Structure of Microstructure Noise in Theory and Practice In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 11 |
2008 | On the correlation structure of microstructure noise in theory and practice.(2008) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2012 | On the Origin(s) and Development of the Term “Big Data In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 1 |
2012 | A Personal Perspective on the Origin(s) and Development of “Big Data: The Phenomenon, the Term, and the Discipline, Second Version In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 1 |
2013 | Measuring the Dynamics of Global Business Cycle Connectedness In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 26 |
2017 | Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 3 |
2010 | Introduction In: Introductory Chapters. [Full Text][Citation analysis] | chapter | 0 |
2012 | Facts, Factors, and Questions In: Introductory Chapters. [Full Text][Citation analysis] | chapter | 0 |
1999 | Business Cycles: Durations, Dynamics, and Forecasting In: Economics Books. [Citation analysis] | book | 48 |
2010 | The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice In: Economics Books. [Citation analysis] | book | 6 |
2012 | Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach In: Economics Books. [Citation analysis] | book | 8 |
2008 | Priors from Frequency-Domain Dummy Observations In: 2008 Meeting Papers. [Full Text][Citation analysis] | paper | 0 |
2005 | Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
1988 | Has the EMS Reduced Member-Country Exchange Rate Volatility? In: Empirical Economics. [Citation analysis] | article | 10 |
2015 | Rejoinder In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
1998 | Bootstrapping Multivariate Spectra In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 31 |
1999 | Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 129 |
Stamp 5.0: A Review In: Home Pages. [Full Text][Citation analysis] | paper | 0 | |
1999 | Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] | paper | 10 |
1997 | Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] | paper | 17 |
1999 | Financial Risk Management in a Volatile Global Environment In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] | paper | 4 |
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