Francis Diebold : Citation Profile

Are you Francis Diebold?

University of Pennsylvania

57

H index

104

i10 index

18981

Citations

RESEARCH PRODUCTION:

99

Articles

248

Papers

4

Books

10

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   33 years (1986 - 2019). See details.
   Cites by year: 575
   Journals where Francis Diebold has often published
   Relations with other researchers
   Recent citing documents: 1568.    Total self citations: 172 (0.9 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pdi1
   Updated: 2020-07-04    RAS profile: 2019-12-27    
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Relations with other researchers

Works with:

Shin, Minchul (12)

Yilmaz, Kamil (8)

Liu, Laura (7)

Schorfheide, Frank (7)

Rudebusch, Glenn (4)

Authors registered in RePEc who have co-authored more than one work in the last five years with Francis Diebold.

Is cited by:

Gil-Alana, Luis (272)

GUPTA, RANGAN (243)

Swanson, Norman (168)

Bollerslev, Tim (167)

McAleer, Michael (154)

Degiannakis, Stavros (145)

van Dijk, Dick (127)

Baruník, Jozef (122)

Clements, Michael (118)

Shephard, Neil (117)

Caporale, Guglielmo Maria (105)

Cites to:

Bollerslev, Tim (139)

Andersen, Torben (95)

Engle, Robert (67)

Rudebusch, Glenn (53)

Shephard, Neil (49)

Christoffersen, Peter (44)

Campbell, John (28)

Granger, Clive (24)

Pesaran, M (24)

Meddahi, Nour (24)

Watson, Mark (23)

Main data

Where Francis Diebold has published?

Journals with more than one article published# docs
Journal of Econometrics16
Journal of Business & Economic Statistics10
The Review of Economics and Statistics6
American Economic Review6
Economics Letters5
Journal of Applied Econometrics4
International Journal of Forecasting4
Econometric Theory3
Proceedings3
The Journal of Business2
Business Review2
Journal of International Economics2
Journal of the American Statistical Association2
Review of Economic Studies2
Journal of Business & Economic Statistics2
International Economic Review2
Journal of Economic Dynamics and Control2
Economic Journal2
Journal of Political Economy2

Working Papers Series with more than one paper published# docs
Working Papers / Federal Reserve Bank of Philadelphia20
CFS Working Paper Series / Center for Financial Studies (CFS)20
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)18
Special Studies Papers / Board of Governors of the Federal Reserve System (U.S.)7
Koç University-TUSIAD Economic Research Forum Working Papers / Koc University-TUSIAD Economic Research Forum5
Working Paper Series / Federal Reserve Bank of San Francisco5
Discussion Paper / Institute for Empirical Macroeconomics / Federal Reserve Bank of Minneapolis5
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)2
Papers / arXiv.org2
Working Papers / Duke University, Department of Economics2
Working Papers / University of Pennsylvania, Wharton School, Weiss Center2
Research Paper / Federal Reserve Bank of New York2
Working Paper Series / Economic Activity Section / Board of Governors of the Federal Reserve System (U.S.)2
Finance Working Papers / East Asian Bureau of Economic Research2
IMF Working Papers / International Monetary Fund2

Recent works citing Francis Diebold (2020 and 2019)

YearTitle of citing document
2019Opinion Dynamics and Disagreements on Financial Networks. (2019). Casarin, Roberto ; Billio, Monica ; Frattarolo, Lorenzo ; Costola, Michele. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:23:y:2019:i:4:p:24-51.

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2017Dynamics of Variance Risk Premia, Investors Sentiment and Return Predictability. (2017). Violante, Francesco ; Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2017-10.

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2017Inference from the futures: ranking the noise cancelling accuracy of realized measures. (2017). Mirone, Giorgio. In: CREATES Research Papers. RePEc:aah:create:2017-24.

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2019Assessing predictive accuracy in panel data models with long-range dependence. (2019). Christensen, Bent Jesper ; Borup, Daniel ; Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2019-04.

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2019Explaining Bond Return Predictability in an Estimated New Keynesian Model. (2019). Andreasen, Martin M. In: CREATES Research Papers. RePEc:aah:create:2019-11.

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2019In search of a job: Forecasting employment growth using Google Trends. (2019). Montes, Erik Christian ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2019-13.

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2019The Economic Value of VIX ETPs. (2019). Christiansen, Charlotte ; Posselt, Anders M ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2019-14.

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2020Targeting 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.

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2019Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility. (2019). Fantazzini, Dean ; Bazhenov, T. In: Russian Journal of Industrial Economics. RePEc:ach:journl:y:2019:id:724.

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2020On 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.

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2019Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors. (2019). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:03-19.

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2019Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model. (2019). Mishra, Tapas ; DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:07-19.

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2019Measuring Success: Does Predictive Ability of an Asset Price Rest in Memory? Insights from a New Approach. (2019). Mishra, Tapas ; DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:11-19.

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2017Surprise and Dispersion: Informational Impact of USDA Announcements. (2017). Frijns, Bart ; Tourani-Rad, Alireza ; Indriawan, Ivan ; Fernandez-Perez, Adrian. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:259208.

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2018The Dynamic Properties of Natural Resource Prices. (2018). Ghoshray, Atanu. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277210.

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2020Beating 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.

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2020PCA 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.

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2019Potential Growth and Natural Yield Curve in Japan. (2019). Vaccaro-Grange, Etienne ; Rhouzlane, Meryem ; Dufrenot, Gilles. In: AMSE Working Papers. RePEc:aim:wpaimx:1912.

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2019Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach. (2019). Rossi, Eduardo ; Palomba, Giulio ; Bucci, Andrea. In: Working Papers. RePEc:anc:wpaper:440.

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2018Forecasting Methods in Finance. (2018). Timmermann, Allan. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:10:y:2018:p:449-479.

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2020Global Recessions. (2020). Terrones, Marco ; Kose, Ayhan ; Sugawara, Naotaka. In: Working Papers. RePEc:apc:wpaper:162.

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2017Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1602.05489.

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2019Detecting a Structural Change in Functional Time Series Using Local Wilcoxon Statistic. (2016). Snarska, Malgorzata ; Rydlewski, Jerzy P ; Kosiorowski, Daniel. In: Papers. RePEc:arx:papers:1604.03776.

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2019Quantile Graphical Models: Prediction and Conditional Independence with Applications to Systemic Risk. (2017). Chernozhukov, Victor ; Chen, Mingli ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1607.00286.

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2020Interconnectedness in the Global Financial Market. (2017). Raddant, Matthias ; Kenett, Dror Y. In: Papers. RePEc:arx:papers:1704.01028.

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2019Dynamic Quantile Function Models. (2017). Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W ; Ye, Wilson . In: Papers. RePEc:arx:papers:1707.02587.

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2019Spectral backtests of forecast distributions with application to risk management. (2019). Gordy, Michael ; McNeil, Alexander J ; Lok, Hsiao Yen . In: Papers. RePEc:arx:papers:1708.01489.

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2017Optimum thresholding using mean and conditional mean square error. (2017). Mancini, Cecilia . In: Papers. RePEc:arx:papers:1708.04339.

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2020Dynamic 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.

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2019Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2019). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1709.02502.

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2019Arbitrage-Free Regularization. (2018). Hyndman, Cody B ; Kratsios, Anastasis. In: Papers. RePEc:arx:papers:1710.05114.

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2019Forecasting dynamic return distributions based on ordered binary choice. (2019). Baruník, Jozef ; Anatolyev, Stanislav. In: Papers. RePEc:arx:papers:1711.05681.

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2017On Long Memory Origins and Forecast Horizons. (2017). Vera-Valdés, J. Eduardo. In: Papers. RePEc:arx:papers:1712.08057.

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2019Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration. (2018). Rossini, Luca ; Ravazzolo, Francesco ; Gianfreda, Angelica. In: Papers. RePEc:arx:papers:1801.01093.

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2018Econophysics Beyond General Equilibrium: the Business Cycle Model. (2018). Olkhov, Victor. In: Papers. RePEc:arx:papers:1804.04721.

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2019Total, asymmetric and frequency connectedness between oil and forex markets. (2019). Kocenda, Evzen ; Baruník, Jozef ; Kovcenda, Evvzen. In: Papers. RePEc:arx:papers:1805.03980.

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2020Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective. (2018). Liu, Laura. In: Papers. RePEc:arx:papers:1805.04178.

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2020State-Varying Factor Models of Large Dimensions. (2019). Xiong, Ruoxuan ; Pelger, Markus. In: Papers. RePEc:arx:papers:1807.02248.

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2020DeepLOB: Deep Convolutional Neural Networks for Limit Order Books. (2019). Roberts, Stephen ; Zohren, Stefan ; Zhang, Zihao. In: Papers. RePEc:arx:papers:1808.03668.

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2019Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations. (2019). Omori, Yasuhiro ; Yamauchi, Yuta. In: Papers. RePEc:arx:papers:1809.09928.

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2019Probabilistic forecasting and simulation of electricity prices. (2018). Ziel, Florian ; Muniain, Peru. In: Papers. RePEc:arx:papers:1810.08418.

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2019An analysis of cryptocurrencies conditional cross correlations. (2019). Fernandez Bariviera, Aurelio ; Martinez-Ibanez, Oscar ; Aslanidis, Nektarios. In: Papers. RePEc:arx:papers:1811.08365.

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2019Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2019). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045.

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2019Improved Inference on the Rank of a Matrix. (2019). Fang, Zheng ; Chen, Qihui. In: Papers. RePEc:arx:papers:1812.02337.

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2019Econometric modelling and forecasting of intraday electricity prices. (2019). Ziel, Florian ; Narajewski, Michal. In: Papers. RePEc:arx:papers:1812.09081.

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2019Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory. (2019). Huang, Nan-Jing ; He, Xinjiang ; Yang, Ben-Zhang. In: Papers. RePEc:arx:papers:1901.00345.

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2019Dynamic tail inference with log-Laplace volatility. (2019). Chavez, Gordon V. In: Papers. RePEc:arx:papers:1901.02419.

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2019Econophysics of Asset Price, Return and Multiple Expectations. (2019). Olkhov, Victor. In: Papers. RePEc:arx:papers:1901.05024.

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2019A copula based Markov Reward approach to the credit spread in European Union. (2019). Storchi, Loriano ; Scocchera, Stefania ; Regnault, Philippe ; Petroni, Filippo ; D'Amico, Guglielmo. In: Papers. RePEc:arx:papers:1902.00691.

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2019Bayesian Nonparametric Adaptive Spectral Density Estimation for Financial Time Series. (2019). Cripps, Sally ; Gerlach, Richard ; Marchant, Roman ; James, Nick . In: Papers. RePEc:arx:papers:1902.03350.

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2019Elicitability of Range Value at Risk. (2019). Ziegel, Johanna F ; Fissler, Tobias. In: Papers. RePEc:arx:papers:1902.04489.

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2019Semiparametric correction for endogenous truncation bias with Vox Populi based participation decision. (2019). Kim, Moshe ; Billfeld, Nir. In: Papers. RePEc:arx:papers:1902.06286.

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2019Nowcasting Recessions using the SVM Machine Learning Algorithm. (2019). Qiao, Xiao ; Abu-Mostafa, Yaser S ; James, Alexander. In: Papers. RePEc:arx:papers:1903.03202.

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2019Estimating Dynamic Conditional Spread Densities to Optimise Daily Storage Trading of Electricity. (2019). Bunn, Derek ; Abramova, Ekaterina. In: Papers. RePEc:arx:papers:1903.06668.

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2020Bayesian MIDAS Penalized Regressions: Estimation, Selection, and Prediction. (2019). Mogliani, Matteo. In: Papers. RePEc:arx:papers:1903.08025.

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2019The impact of renewable energy forecasts on intraday electricity prices. (2019). Ziel, Florian ; Kulakov, Sergei. In: Papers. RePEc:arx:papers:1903.09641.

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2019Time 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.

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2019Fat Tails in Financial Return Distributions Revisited: Evidence from the Korean Stock Market. (2019). Kaizoji, Taisei ; Scalas, Enrico ; Eom, Cheoljun. In: Papers. RePEc:arx:papers:1904.02567.

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2020A Dynamic Bayesian Model for Interpretable Decompositions of Market Behaviour. (2019). Griveau-Billion, Théophile ; Calderhead, Ben. In: Papers. RePEc:arx:papers:1904.08153.

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2019Co-jumping of Treasury Yield Curve Rates. (2019). Baruník, Jozef ; Fiser, Pavel. In: Papers. RePEc:arx:papers:1905.01541.

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2019Bayesian nonparametric graphical models for time-varying parameters VAR. (2019). Rossini, Luca ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:1906.02140.

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2019Forecasting the US GDP Components in the short run. (2019). Celov, Dmitrij ; Jokubaitis, Saulius. In: Papers. RePEc:arx:papers:1906.07992.

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2019Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall. (2019). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1906.09961.

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2019A Vine-copula extension for the HAR model. (2019). Magris, Martin. In: Papers. RePEc:arx:papers:1907.08522.

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2019Marked Hawkes process modeling of price dynamics and volatility estimation. (2019). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:1907.12025.

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2019An instantaneous market volatility estimation. (2019). Bland, Bruce ; Danyliv, Oleh . In: Papers. RePEc:arx:papers:1908.02847.

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2019Forecast Encompassing Tests for the Expected Shortfall. (2019). Schnaitmann, Julie ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1908.04569.

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2019Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2019). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:1908.05089.

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2019Performance of tail hedged portfolio with third moment variation swap. (2019). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:1908.05105.

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2019A lognormal type stochastic volatility model with quadratic drift. (2019). Willems, Sander ; Carr, Peter. In: Papers. RePEc:arx:papers:1908.07417.

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2019Quantitative portfolio selection: using density forecasting to find consistent portfolios. (2019). Beasley, John ; Adcock, C J ; Meade, N. In: Papers. RePEc:arx:papers:1908.08442.

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2019Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2019). Francq, Christian ; Zakoian, Jean-Michel. In: Papers. RePEc:arx:papers:1909.04661.

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2019Comparing the forecasting of cryptocurrencies by Bayesian time-varying volatility models. (2019). Rossini, Luca ; Bohte, Rick. In: Papers. RePEc:arx:papers:1909.06599.

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2019Implied volatility surface predictability: the case of commodity markets. (2019). Shang, Han Lin ; Sheenan, Lisa ; Kearney, Fearghal. In: Papers. RePEc:arx:papers:1909.11009.

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2020Equity 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.

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2020Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144.

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2019Multivariate Forecasting Evaluation: On Sensitive and Strictly Proper Scoring Rules. (2019). Ziel, Florian ; Berk, Kevin. In: Papers. RePEc:arx:papers:1910.07325.

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2020Identifying 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.

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2019Forecasting under Long Memory and Nonstationarity. (2019). Hassler, Uwe ; Pohle, Marc-Oliver. In: Papers. RePEc:arx:papers:1910.08202.

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2019A multilevel analysis to systemic exposure: insights from local and system-wide information. (2019). Gnabo, Jean-Yves ; Gandica, Y'Erali. In: Papers. RePEc:arx:papers:1910.08611.

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2019Testing Forecast Rationality for Measures of Central Tendency. (2019). Schmidt, Patrick ; Patton, Andrew J ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1910.12545.

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2019The Fourier Transform Method for Volatility Functional Inference by Asynchronous Observations. (2019). Chen, Richard Y. In: Papers. RePEc:arx:papers:1911.02205.

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2019Predicting Indian stock market using the psycho-linguistic features of financial news. (2019). Miglani, Rishabh ; Ravi, Vadlamani ; Kumar, Shravan B. In: Papers. RePEc:arx:papers:1911.06193.

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2019Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2019). Kuo, Weiyu ; Hardle, Wolfgang Karl ; Hu, Junjie. In: Papers. RePEc:arx:papers:1912.05228.

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2019Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2019). Azencott, Robert ; Zhu, Hongliang ; Kong, AO. In: Papers. RePEc:arx:papers:1912.07165.

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2019Design of High-Frequency Trading Algorithm Based on Machine Learning. (2019). Feng, Yutong ; Fang, Boyue. In: Papers. RePEc:arx:papers:1912.10343.

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2019Forecasting Implied Volatility Smile Surface via Deep Learning and Attention Mechanism. (2019). Zhang, Zili ; Chen, Shengli. In: Papers. RePEc:arx:papers:1912.11059.

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2020Disentangling 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.

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2020Refined model of the covariance/correlation matrix between securities. (2020). Valeyre, Sebastien. In: Papers. RePEc:arx:papers:2001.08911.

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2020Forecasting Realized Volatility Matrix With Copula-Based Models. (2020). Tao, Minjing ; Wang, Wenjing. In: Papers. RePEc:arx:papers:2002.08849.

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2020Sector 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.

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2020A 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.

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2020Forecasting the Intra-Day Spread Densities of Electricity Prices. (2020). Bunn, Derek ; Abramova, Ekaterina. In: Papers. RePEc:arx:papers:2002.10566.

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2020Equal 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.

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2020Machine Learning Treasury Yields. (2020). Yu, Willie ; Kakushadze, Zura. In: Papers. RePEc:arx:papers:2003.05095.

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2020Investigating the influence Brexit had on Financial Markets, in particular the GBP/EUR exchange rate. (2020). Filletti, Michael. In: Papers. RePEc:arx:papers:2003.05895.

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2020Coronavirus and oil price crash. (2020). Albulescu, Claudiu. In: Papers. RePEc:arx:papers:2003.06184.

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2020Where 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.

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2020Cryptocurrency 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.

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2020Streaming Perspective in Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2020). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2003.13062.

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2020Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach. (2020). Rudebusch, Glenn ; Zhang, Boyuan ; Coulombe, Philippe Goulet ; Gobel, Maximilian ; Diebold, Francis X. In: Papers. RePEc:arx:papers:2003.14276.

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More than 100 citations found, this list is not complete...

Francis Diebold has edited the books:

YearTitleTypeCited

Works by Francis Diebold:

YearTitleTypeCited
2007Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper551
2005Roughing 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: 551		paper
2007Roughing 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: 551		article
2007Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers.
[Full Text][Citation analysis]		paper363
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1998How Relevant is Volatility Forecasting for Financial Risk Management? In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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2004Real-time price discovery in stock, bond and foreign exchange markets.(2004) In: CFS Working Paper Series.
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2001High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models In: NBER Working Papers.
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2003A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations In: NBER Working Papers.
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2006A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations.(2006) In: The Journal of Business.
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2016Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 In: Journal of Financial Econometrics.
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2008On the Correlation Structure of Microstructure Noise in Theory and Practice In: PIER Working Paper Archive.
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2008On the correlation structure of microstructure noise in theory and practice.(2008) In: CFS Working Paper Series.
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1999Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think In: Center for Financial Institutions Working Papers.
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1997Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think In: Center for Financial Institutions Working Papers.
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