50
H index
95
i10 index
13970
Citations
Francis Diebold : Citation Profile
University of Pennsylvania | RESEARCH PRODUCTION: 98 Articles 233 Papers 4 Books 9 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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31 years (1986 - 2017). Relations with other researchers
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:
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Main data
Where Francis Diebold has published?
Recent works citing Francis Diebold (2017 and 2016)
| Year | Title of citing document | |
|---|---|---|
| 2016 | Fixed-b Inference in the Presence of Time-Varying Volatility. (2016). Kruse, Robinson ; Demetrescu, Matei ; Hanck, Christoph . In: CREATES Research Papers. RePEc:aah:create:2016-01. Full description at Econpapers || Download paper | |
| 2016 | Dynamic Global Currency Hedging. (2016). Christensen, Bent Jesper ; Varneskov, Rasmus T. In: CREATES Research Papers. RePEc:aah:create:2016-03. Full description at Econpapers || Download paper | |
| 2016 | Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim . In: CREATES Research Papers. RePEc:aah:create:2016-10. Full description at Econpapers || Download paper | |
| 2016 | Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting. (2016). Leschinski, Christian ; Kruse, Robinson ; Will, Michael . In: CREATES Research Papers. RePEc:aah:create:2016-17. Full description at Econpapers || Download paper | |
| 2016 | Volume, Volatility and Public News Announcements. (2016). Li, Jia ; Xue, Yuan . In: CREATES Research Papers. RePEc:aah:create:2016-19. Full description at Econpapers || Download paper | |
| 2016 | A Dynamic Multi-Level Factor Model with Long-Range Dependence. (2016). RodrÃguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; RodrÃÂguez Caballero, Carlos ; Ergemen, Yunus Emre ; Rodriguez-Caballero, Carlos Vladimir . In: CREATES Research Papers. RePEc:aah:create:2016-23. Full description at Econpapers || Download paper | |
| 2016 | Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia. (2016). Engsted, Tom ; Andreasen, Martin M ; Sander, Magnus ; Moller, Stig V. In: CREATES Research Papers. RePEc:aah:create:2016-26. Full description at Econpapers || Download paper | |
| 2016 | The Drift Burst Hypothesis. (2016). Oomen, Roel ; Christensen, Kim ; Reno, Roberto . In: CREATES Research Papers. RePEc:aah:create:2016-28. Full description at Econpapers || Download paper | |
| 2016 | Panel Data with Cross-Sectional Dependence Characterized by a Multi-Level Factor Structure. (2016). RodrÃguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; RodrÃÂguez Caballero, Carlos ; Rodriguez-Caballero, Carlos Vladimir . In: CREATES Research Papers. RePEc:aah:create:2016-31. Full description at Econpapers || Download paper | |
| 2017 | Dynamics of Variance Risk Premia, Investors Sentiment and Return Predictability. (2017). Stentoft, Lars ; Violante, Francesco . In: CREATES Research Papers. RePEc:aah:create:2017-10. Full description at Econpapers || Download paper | |
| 2017 | Does the ARFIMA really shift?. (2017). delle Monache, Davide ; de Magistris, Paolo Santucci ; Grassi, Stefano . In: CREATES Research Papers. RePEc:aah:create:2017-16. Full description at Econpapers || Download paper | |
| 2017 | Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin . In: CREATES Research Papers. RePEc:aah:create:2017-19. Full description at Econpapers || Download paper | |
| 2016 | State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models. (2016). Uzeda, Luis . In: ANU Working Papers in Economics and Econometrics. RePEc:acb:cbeeco:2016-632. Full description at Econpapers || Download paper | |
| 2016 | The Response of Tail Risk Perceptions to Unconventional Monetary Policy. (2016). Sushko, Vladyslav ; Schrimpf, Andreas ; Hattori, Masazumi . In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:8:y:2016:i:2:p:111-36. Full description at Econpapers || Download paper | |
| 2016 | The Impact of Stochastic Extraction Cost on the Value of an Exhaustible Resource: An Application to the Alberta Oil Sands. (2016). Insley, Margaret ; Almansour, Abdullah . In: The Energy Journal. RePEc:aen:journl:ej37-2-insley. Full description at Econpapers || Download paper | |
| 2016 | Price duration versus trading volume in high-frequency data for selected DAX companies. (2016). Gurgul, Henryk ; Syrek, Robert ; Mitterer, Christoph . In: Managerial Economics. RePEc:agh:journl:v:17:y:2016:i:2:p:241-260. Full description at Econpapers || Download paper | |
| 2016 | Comovements and Volatility Spillover in Commodity Markets. (2016). Chen, Sihong ; Wu, Ximing . In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:235686. Full description at Econpapers || Download paper | |
| 2016 | Forward‐Looking USDA Price Forecasts. (2016). Robe, Michel ; Adjemian, Michael ; Bruno, Valentina G. In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:235931. Full description at Econpapers || Download paper | |
| 2016 | Informed Trading in Oil-Futures Market. (2016). Sévi, Benoît ; Rousse, Olivier . In: ESP: Energy Scenarios and Policy. RePEc:ags:feemes:249788. Full description at Econpapers || Download paper | |
| 2017 | Statistical and Economic Evaluation of Time Series Models for Forecasting Arrivals at Call Centers. (2017). Manera, Matteo ; Bastianin, Andrea ; Galeotti, Marzio . In: ET: Economic Theory. RePEc:ags:feemet:253725. Full description at Econpapers || Download paper | |
| 2017 | Temperature Anomalies, Radiative Forcing and ENSO. (2017). Morana, Claudio ; Sbrana, Giacomo . In: MITP: Mitigation, Innovation,and Transformation Pathways. RePEc:ags:feemmi:253732. Full description at Econpapers || Download paper | |
| 2016 | INVESTIGATION ON THE CAUSAL RELATIONSHIP BETWEEN INFLATION, OUTPUT GROWTH AND THEIR UNCERTAINTIES IN ROMANIA. (2016). Asandului, Mircea ; Pintilescu, Carmen ; JEMNA, Danut-Vasile ; VIORICA, Elena-Daniela . In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2016:j:17:pintilescuc. Full description at Econpapers || Download paper | |
| 2016 | FORECASTING THE YIELD CURVE WITH THE ARBITRAGE-FREE DYNAMIC NELSON-SIEGEL MODEL: BRAZILIAN EVIDENCE. (2016). Santos, Andre ; Moura, Guilherme ; Tourrucoo, Fabricio ; Caldeira, Joo F. In: Anais do XLII Encontro Nacional de Economia [Proceedings of the 42ndd Brazilian Economics Meeting]. RePEc:anp:en2014:028. Full description at Econpapers || Download paper | |
| 2016 | FROM REAL BUSINESS CYCLE AND NEW KEYNESIAN TO DSGE MACROECONOMICS: FACTS AND MODELS IN THE EMERGENCE OF A CONSENSUS. (2016). Duarte, Pedro. In: Anais do XLIII Encontro Nacional de Economia [Proceedings of the 43rd Brazilian Economics Meeting]. RePEc:anp:en2015:009. Full description at Econpapers || Download paper | |
| 2016 | Principal Components Analysis for Semimartingales and Stochastic PDE. (2016). Ohashi, Alberto ; Simas, Alexandre B. In: Papers. RePEc:arx:papers:1503.05909. Full description at Econpapers || Download paper | |
| 2016 | Switching-GAS Copula Models With Application to Systemic Risk. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1504.03733. Full description at Econpapers || Download paper | |
| 2016 | Semimartingale detection and goodness-of-fit tests. (2016). Bull, Adam D.. In: Papers. RePEc:arx:papers:1506.00088. Full description at Econpapers || Download paper | |
| 2017 | Measuring the frequency dynamics of financial connectedness and systemic risk. (2017). Krehlik, Tomas ; BarunÃk, Jozef. In: Papers. RePEc:arx:papers:1507.01729. Full description at Econpapers || Download paper | |
| 2016 | Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series. (2016). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1510.05118. Full description at Econpapers || Download paper | |
| 2016 | FX Options in Target Zone. (2016). Carr, Peter ; Kakushadze, Zura . In: Papers. RePEc:arx:papers:1512.01527. Full description at Econpapers || Download paper | |
| 2017 | Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2017). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159. Full description at Econpapers || Download paper | |
| 2016 | Portfolio Optimisation Under Flexible Dynamic Dependence Modelling. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1601.05199. Full description at Econpapers || Download paper | |
| 2016 | Should employers pay their employees better? An asset pricing approach. (2016). Aboura, Sofiane ; Bonnin, Francois ; Liu, Qian ; Grebenkov, Denis ; Valeyre, Sebastien . In: Papers. RePEc:arx:papers:1602.00931. Full description at Econpapers || Download paper | |
| 2017 | Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; BarunÃk, Jozef ; Barunik, Jozef . In: Papers. RePEc:arx:papers:1602.05489. Full description at Econpapers || Download paper | |
| 2016 | Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308. Full description at Econpapers || Download paper | |
| 2016 | Financial contagion in investment funds. (2016). Santos, Leonardo Dos ; Coelho, Flavio Codeco . In: Papers. RePEc:arx:papers:1603.03458. Full description at Econpapers || Download paper | |
| 2017 | Local Parametric Estimation in High Frequency Data. (2017). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700. Full description at Econpapers || Download paper | |
| 2017 | Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets. (2017). BarunÃk, Jozef ; Krehlik, Tomas . In: Papers. RePEc:arx:papers:1603.07020. Full description at Econpapers || Download paper | |
| 2016 | Commodity Dynamics: A Sparse Multi-class Approach. (2016). Barbaglia, Luca ; Croux, Christophe ; Wilms, Ines . In: Papers. RePEc:arx:papers:1604.01224. Full description at Econpapers || Download paper | |
| 2016 | Copula--based Specification of vector MEMs. (2016). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:1604.01338. Full description at Econpapers || Download paper | |
| 2016 | Detecting 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. Full description at Econpapers || Download paper | |
| 2016 | Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models. (2016). Catania, Leopoldo ; Nonejad, Nima . In: Papers. RePEc:arx:papers:1605.00230. Full description at Econpapers || Download paper | |
| 2016 | Discrete Wavelet Transform-Based Prediction of Stock Index: A Study on National Stock Exchange Fifty Index. (2016). Jothimani, Dhanya ; Yadav, Surendra S ; Shankar, Ravi . In: Papers. RePEc:arx:papers:1605.07278. Full description at Econpapers || Download paper | |
| 2016 | What does past correlation structure tell us about the future? An answer from network filtering. (2016). di Matteo, Tiziana ; Aste, Tomaso . In: Papers. RePEc:arx:papers:1605.08908. Full description at Econpapers || Download paper | |
| 2016 | Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring. (2016). Ormos, Mihály ; Timotity, Dusan . In: Papers. RePEc:arx:papers:1606.03597. Full description at Econpapers || Download paper | |
| 2016 | Asymmetric volatility connectedness on forex markets. (2016). Vacha, Lukas ; Kočenda, Evžen ; BarunÃk, Jozef. In: Papers. RePEc:arx:papers:1607.08214. Full description at Econpapers || Download paper | |
| 2016 | Bayesian Nonparametric Sparse Seemingly Unrelated Regression Model (SUR). (2016). Rossini, Luca ; Billio, Monica ; Casarin, Roberto . In: Papers. RePEc:arx:papers:1608.02740. Full description at Econpapers || Download paper | |
| 2016 | Timing in the Presence of Directional Predictability: Optimal Stopping of Skew Brownian Motion. (2016). Alvarez, Luis ; Luis , ; Salminen, Paavo . In: Papers. RePEc:arx:papers:1608.04537. Full description at Econpapers || Download paper | |
| 2016 | Quantile Dependence between Stock Markets and its Application in Volatility Forecasting. (2016). Han, Heejoon. In: Papers. RePEc:arx:papers:1608.07193. Full description at Econpapers || Download paper | |
| 2016 | Volatility Inference and Return Dependencies in Stochastic Volatility Models. (2016). Pfante, Oliver ; Bertschinger, Nils . In: Papers. RePEc:arx:papers:1610.00312. Full description at Econpapers || Download paper | |
| 2016 | Decoupling the short- and long-term behavior of stochastic volatility. (2016). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger . In: Papers. RePEc:arx:papers:1610.00332. Full description at Econpapers || Download paper | |
| 2016 | Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall. (2016). Kratz, Marie ; McNeil, Alexander J ; Lok, Yen H. In: Papers. RePEc:arx:papers:1611.04851. Full description at Econpapers || Download paper | |
| 2016 | S&P500 Forecasting and Trading using Convolution Analysis of Major Asset Classes. (2016). Siettos, Constantinos ; Papaioannou, Panagiotis ; Dionysopoulos, Thomas ; Janetzko, Dietmar . In: Papers. RePEc:arx:papers:1612.04370. Full description at Econpapers || Download paper | |
| 2016 | Optimal Kernel Estimation of Spot Volatility of Stochastic Differential Equations. (2016). Li, Cheng . In: Papers. RePEc:arx:papers:1612.04507. Full description at Econpapers || Download paper | |
| 2016 | Predictability Hidden by Anomalous Observations. (2016). Scaillet, Olivier ; Camponovo, Lorenzo ; Trojani, Fabio . In: Papers. RePEc:arx:papers:1612.05072. Full description at Econpapers || Download paper | |
| 2016 | Optimal Investment under Information Driven Contagious Distress. (2016). Bo, Lijun ; Capponi, Agostino . In: Papers. RePEc:arx:papers:1612.06133. Full description at Econpapers || Download paper | |
| 2016 | Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures. (2016). Wang, Chao ; Gerlach, Richard . In: Papers. RePEc:arx:papers:1612.08488. Full description at Econpapers || Download paper | |
| 2016 | The Random Walk behind Volatility Clustering. (2016). Inoua, Sabiou . In: Papers. RePEc:arx:papers:1612.09344. Full description at Econpapers || Download paper | |
| 2017 | Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2017). Potiron, Yoann ; Clinet, Simon . In: Papers. RePEc:arx:papers:1701.01185. Full description at Econpapers || Download paper | |
| 2017 | Contagion in financial systems: A Bayesian network approach. (2017). Chong, Carsten ; Kluppelberg, Claudia . In: Papers. RePEc:arx:papers:1702.04287. Full description at Econpapers || Download paper | |
| 2017 | Relation between regional uncertainty spillovers in the global banking system. (2017). Tungsong, Sachapon ; Aste, Tomaso ; Caccioli, Fabio . In: Papers. RePEc:arx:papers:1702.05944. Full description at Econpapers || Download paper | |
| 2017 | Robust and Consistent Estimation of Generators in Credit Risk. (2017). Smith, Greig ; Reis, Goncalo Dos . In: Papers. RePEc:arx:papers:1702.08867. Full description at Econpapers || Download paper | |
| 2017 | Media Network and Return Predictability. (2017). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715. Full description at Econpapers || Download paper | |
| 2017 | A New Class of Discrete-time Stochastic Volatility Model with Correlated Errors. (2017). Ranjan, Pritam ; Mukhoti, Sujay . In: Papers. RePEc:arx:papers:1703.06603. Full description at Econpapers || Download paper | |
| 2017 | 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 | |
| 2017 | Murphy Diagrams: Forecast Evaluation of Expected Shortfall. (2017). Ziegel, Johanna F ; Fasciati, Fernando ; Jordan, Alexander ; Kruger, Fabian . In: Papers. RePEc:arx:papers:1705.04537. Full description at Econpapers || Download paper | |
| 2017 | Using Macroeconomic Forecasts to Improve Mean Reverting Trading Strategies. (2017). Sharma, Yash . In: Papers. RePEc:arx:papers:1705.08022. Full description at Econpapers || Download paper | |
| 2016 | Order Invariant Evaluation of Multivariate Density Forecasts. (2016). Dovern, Jonas ; Manner, Hans . In: Working Papers. RePEc:awi:wpaper:0608. Full description at Econpapers || Download paper | |
| 2017 | Murphy Diagrams: Forecast Evaluation of Expected Shortfall. (2017). Ziegel, Johanna F ; Fasciati, Fernando ; Jordan, Alexander ; Krueger, Fabian . In: Working Papers. RePEc:awi:wpaper:0632. Full description at Econpapers || Download paper | |
| 2016 | Stock Market Volatility: Does Our Fundamentals Matter?. (2016). Isola, Lawal Adedoyin . In: Economic Studies journal. RePEc:bas:econst:y:2016:i:3:p:33-42. Full description at Econpapers || Download paper | |
| 2016 | Adaptive models and heavy tails with an application to inflation forecasting. (2016). Petrella, Ivan ; Delle Monache, Davide. In: BCAM Working Papers. RePEc:bbk:bbkcam:1603. Full description at Econpapers || Download paper | |
| 2016 | The evasive predictive ability of core inflation. (2016). Selaive, Jorge ; Pincheira, Pablo ; Nolazco, Jose. In: Working Papers. RePEc:bbv:wpaper:1534. Full description at Econpapers || Download paper | |
| 2016 | Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil. (2016). Accioly, Victor Bello ; de Melo, Beatriz Vaz . In: Brazilian Business Review. RePEc:bbz:fcpbbr:v:13:y:2016:i:2:p1-26. Full description at Econpapers || Download paper | |
| 2017 | Assessing the Business Outlook Survey Indicator Using Real-Time Data. (2017). Pichette, Lise ; Robitaille, Marie-Noelle . In: Discussion Papers. RePEc:bca:bocadp:17-5. Full description at Econpapers || Download paper | |
| 2016 | A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil. (2016). Kilian, Lutz ; Baumeister, Christiane. In: Staff Working Papers. RePEc:bca:bocawp:16-18. Full description at Econpapers || Download paper | |
| 2016 | Starting from a Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility. (2016). Talmi, Jonathan ; Ehrmann, Michael. In: Staff Working Papers. RePEc:bca:bocawp:16-37. Full description at Econpapers || Download paper | |
| 2017 | Markov-Switching Three-Pass Regression Filter. (2017). Leiva-Leon, Danilo ; Guérin, Pierre ; Marcellino, Massimiliano ; Guerin, Pierre . In: Staff Working Papers. RePEc:bca:bocawp:17-13. Full description at Econpapers || Download paper | |
| 2016 | Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets. (2016). Mauad, Roberto ; Laurini, Márcio ; Aiube, Fernando Antonio ; Lucena, Fernando Antonio . In: Working Papers Series. RePEc:bcb:wpaper:415. Full description at Econpapers || Download paper | |
| 2016 | Applying a Microfounded-Forecasting Approach to Predict Brazilian Inflation. (2016). Issler, João ; Gaglianone, Wagner ; Matos, Silvia Maria . In: Working Papers Series. RePEc:bcb:wpaper:436. Full description at Econpapers || Download paper | |
| 2016 | Evaluation of Exchange Rate Point and Density Forecasts: an application to Brazil. (2016). Gaglianone, Wagner ; Terra, Gabriel Jaqueline . In: Working Papers Series. RePEc:bcb:wpaper:446. Full description at Econpapers || Download paper | |
| 2017 | Expected Currency Returns and Volatility Risk Premia. (2017). ORNELAS, JOSE ; Haas, Jose Renato . In: Working Papers Series. RePEc:bcb:wpaper:454. Full description at Econpapers || Download paper | |
| 2016 | GDP Nowcasting: Assessing the Cyclical Conditions of the Argentine Economy. (2016). D'Amato, Laura ; Blanco, Emilio ; Garegnani, Lorena . In: Ensayos Económicos. RePEc:bcr:ensayo:v:1:y:2016:i:74:p:7-26. Full description at Econpapers || Download paper | |
| 2016 | The evolution of inflation expectations in euro area markets. (2016). Ortega, Eva ; Gimeno, Ricardo. In: Working Papers. RePEc:bde:wpaper:1627. Full description at Econpapers || Download paper | |
| 2016 | Adaptive models and heavy tails. (2016). Petrella, Ivan ; Delle Monache, Davide. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1052_16. Full description at Econpapers || Download paper | |
| 2016 | BTP futures and cash relationships: a high frequency data analysis. (2016). Puorro, Alfonso ; Potente, Francesco ; Panzarino, Onofrio . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1083_16. Full description at Econpapers || Download paper | |
| 2016 | Changes in Inflation Predictability in Major Latin American Countries. (2016). Daniel, Garces Diaz . In: Working Papers. RePEc:bdm:wpaper:2016-20. Full description at Econpapers || Download paper | |
| 2016 | Equity Markets’ Clustering and the Global Financial Crisis. (2016). MartÃnez, Constanza ; León, Carlos ; Leon, Carlos ; Lee, Daeyup ; Martinez, Constanza ; Kim, Geun-Young . In: Borradores de Economia. RePEc:bdr:borrec:937. Full description at Econpapers || Download paper | |
| 2016 | Stock Market Volatility Spillovers: Evidence for Latin America. (2016). Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Gamba, Santiago ; Gamba-Santamaria, Santiago ; Hurtado-Guarin, Jorge Luis . In: Borradores de Economia. RePEc:bdr:borrec:943. Full description at Econpapers || Download paper | |
| 2017 | Volatility Spillovers among Global Stock Markets: Measuring Total and Directional Effects. (2017). Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Gamba, Santiago ; Gamba-Santamaria, Santiago ; Hurtado-Guarin, Jorge Luis . In: Borradores de Economia. RePEc:bdr:borrec:983. Full description at Econpapers || Download paper | |
| 2016 | Monetary Policy and the Stock Market: Time-Series Evidence. (2016). Weber, Michael ; Neuhierl, Andreas . In: Working Papers. RePEc:bfi:wpaper:2016-26. Full description at Econpapers || Download paper | |
| 2016 | UK term structure decompositions at the zero lower bound.. (2016). Mouabbi, Sarah ; Carriero, Andrea ; Vangelista, E. In: Working papers. RePEc:bfr:banfra:589. Full description at Econpapers || Download paper | |
| 2016 | Rationality of announcements, business cycle asymmetry, and predictability of revisions. The case of French GDP.. (2016). Mogliani, Matteo ; Ferriere, T. In: Working papers. RePEc:bfr:banfra:600. Full description at Econpapers || Download paper | |
| 2016 | Economic policy uncertainty in advanced countries and portfolio capital flows to emerging markets. (2016). Reinhardt, Dennis ; Gauvin, Ludovic ; McLoughlin, C. In: Rue de la Banque. RePEc:bfr:rueban:2016:34. Full description at Econpapers || Download paper | |
| 2016 | Financial globalisation and monetary independence. (2016). Disyatat, Piti ; Rungcharoenkitkul, Phurichai . In: BIS Papers chapters. RePEc:bis:bisbpc:88-14. Full description at Econpapers || Download paper | |
| 2016 | When the walk is not random: commodity prices and exchange rates. (2016). Schrimpf, Andreas ; Kohlscheen, Emanuel ; Avalos, Fernando. In: BIS Working Papers. RePEc:bis:biswps:551. Full description at Econpapers || Download paper | |
| 2016 | Regional pull vs global push factors: China and US influence on Asia-Pacific financial markets. (2016). He, Dong ; Shu, Chang ; Wang, Honglin . In: BIS Working Papers. RePEc:bis:biswps:579. Full description at Econpapers || Download paper | |
| 2016 | Intuitive and reliable estimates of the output gap from a Beveridge-Nelson filter. (2016). Wong, Benjamin ; Morley, James ; Kamber, Gunes. In: BIS Working Papers. RePEc:bis:biswps:584. Full description at Econpapers || Download paper | |
| 2017 | Market volatility, monetary policy and the term premium. (2017). Mohanty, Madhusudan ; Mallick, Sushanta ; Zampolli, Fabrizio . In: BIS Working Papers. RePEc:bis:biswps:606. Full description at Econpapers || Download paper | |
| 2017 | Oil, equities, and the zero lower bound. (2017). Datta, Deepa ; Vigfusson, Robert J ; Kwon, Hannah ; Johannsen, Benjamin K. In: BIS Working Papers. RePEc:bis:biswps:617. Full description at Econpapers || Download paper | |
| 2017 | Volatility risk premia and future commodities returns. (2017). Mauad, Roberto ; Haas, Jose Renato . In: BIS Working Papers. RePEc:bis:biswps:619. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Francis Diebold has edited the books:
| Year | Title | Type | Cited |
|---|
Works by Francis Diebold:
| Year | Title | Type | Cited |
|---|---|---|---|
| 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 | 354 |
| 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: 354 | 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: 354 | article | |
| 2007 | Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 251 |
| 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: 251 | 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: 251 | paper | |
| 2011 | Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 15 |
| 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: 15 | 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: 15 | 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: 15 | paper | |
| 2010 | Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions In: American Economic Review. [Full Text][Citation analysis] | article | 24 |
| 2010 | Real-time macroeconomic monitoring: real activity, inflation, and interactions.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | paper | |
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| 2012 | On the Correlation Structure of Microstructure Noise: A Financial Economic Approach In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 15 |
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| 1992 | Forecasting, Structural Time Series Models and the Kalman Filter, Andrew C. Harvey Cambridge University Press, 1939 Fore Casting, Structural Time Series Models and The Kalman Filter Adrew C. Harvey Ca In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
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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: 7 | 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: 364 | paper | |
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| 2006 | Forecasting the term structure of government bond yields In: Journal of Econometrics. [Full Text][Citation analysis] | article | 419 |
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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: 419 | 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: 103 | paper | |
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| 2012 | A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities.(2012) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
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| 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: 184 | paper | |
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| 1996 | Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures In: Journal of Econometrics. [Full Text][Citation analysis] | article | 97 |
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| 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: 12 | 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: 12 | 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 | 99 |
| 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: 99 | 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: 99 | 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: 99 | 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: 99 | 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 | 1 |
| 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 | 38 |
| 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: 38 | 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 | 2 |
| 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 | 228 |
| 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: 228 | article | |
| 1987 | Scoring the leading indicators In: Special Studies Papers. [Citation analysis] | paper | 155 |
| 1989 | Scoring the Leading Indicators..(1989) In: The Journal of Business. [Full Text][Citation analysis] This paper has another version. Agregated cites: 155 | 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 | 77 |
| 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: 77 | article | |
| 1990 | International evidence on business cycle duration dependence In: Discussion Paper / Institute for Empirical Macroeconomics. [Full Text][Citation analysis] | paper | 4 |
| 1990 | Real exchange rates under the gold standard In: Discussion Paper / Institute for Empirical Macroeconomics. [Full Text][Citation analysis] | paper | 193 |
| 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: 193 | 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 | 18 |
| 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: 18 | paper | |
| 1995 | Modeling volatility dynamics In: Research Paper. [Full Text][Citation analysis] | paper | 44 |
| Modeling Volatility Dynamics.() In: Home Pages. [Full Text][Citation analysis] This paper has another version. Agregated cites: 44 | paper | ||
| 1995 | Forecast evaluation and combination In: Research Paper. [Full Text][Citation analysis] | paper | 201 |
| 1996 | Forecast Evaluation and Combination.(1996) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 201 | 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 | 6 |
| 2011 | Improving GDP Measurement: A Forecast Combination Perspective.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | 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: 6 | paper | |
| 1991 | Further evidence on business cycle duration dependence In: Working Papers. [Citation analysis] | paper | 54 |
| 1993 | Further Evidence on Business-Cycle Duration Dependence.(1993) In: NBER Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 54 | 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 | 48 |
| 1997 | Evaluating Density Forecasts.(1997) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 48 | paper | |
| 1997 | Evaluating Density Forecasts.(1997) In: CARESS Working Papres. [Full Text][Citation analysis] This paper has another version. Agregated cites: 48 | paper | |
| 1997 | Evaluating Density Forecasts.(1997) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 48 | 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 | 2 |
| 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: 2 | 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: 2 | 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 | 93 |
| 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: 93 | 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: 93 | 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: 93 | 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 | 46 |
| 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: 46 | 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 | 78 |
| 1999 | The Distribution of Exchange Rate Volatility.(1999) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 78 | 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: 78 | 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 | 58 |
| 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: 58 | 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: 58 | 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: 58 | 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 | 17 |
| 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 | 2 |
| 1998 | Evaluating Density Forecasts with Applications to Financial Risk Management. In: International Economic Review. [Citation analysis] | article | 488 |
| 2011 | Globalization, the Business Cycle, and Macroeconomic Monitoring In: IMF Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2010 | Globalization, the Business Cycle, and Macroeconomic Monitoring.(2010) In: NBER Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | 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: 7 | 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: 7 | article | |
| 2006 | Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics In: Management Science. [Full Text][Citation analysis] | article | 50 |
| 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: 50 | 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: 50 | 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: 50 | paper | |
| 1996 | Further Results on Forecasting and Model Selection under Asymmetric Loss. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 47 |
| Further Results on Forecasting and Model Selection Under Asymmetric Loss.() In: Home Pages. [Full Text][Citation analysis] This paper has another version. Agregated cites: 47 | 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 | 28 |
| 2008 | Macroeconomic Volatility and Stock Market Volatility, Worldwide.(2008) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | 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: 28 | paper | |
| 2015 | Estimating Global Bank Network Connectedness In: Koç University-TUSIAD Economic Research Forum Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2017 | Estimating Global Bank Network Connectedness.(2017) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 2007 | Practical Volatility and Correlation Modeling for Financial Market Risk Management In: NBER Chapters. [Full Text][Citation analysis] | chapter | 13 |
| 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: 13 | 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: 13 | 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: 13 | 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 | 42 |
| 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: 42 | paper | |
| 2005 | Volatility Forecasting In: NBER Working Papers. [Full Text][Citation analysis] | paper | 41 |
| 2005 | Volatility Forecasting.(2005) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 41 | paper | |
| 2005 | Volatility forecasting.(2005) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 41 | paper | |
| 2005 | Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets In: NBER Working Papers. [Full Text][Citation analysis] | paper | 96 |
| 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: 96 | 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: 96 | 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 | 41 |
| 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: 41 | 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: 41 | article | |
| 2016 | Assessing Point Forecast Accuracy by Stochastic Error Distance In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 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: 1 | paper | |
| 2016 | Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility In: NBER Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 1994 | Measuring Business Cycles: A Modern Perspective In: NBER Working Papers. [Full Text][Citation analysis] | paper | 200 |
| 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: 200 | article | |
| Measuring Business Cycle: A Modern Perspective.() In: Home Pages. [Full Text][Citation analysis] This paper has another version. Agregated cites: 200 | paper | ||
| 1994 | Job Stability in the United States In: NBER Working Papers. [Full Text][Citation analysis] | paper | 47 |
| 1997 | Job Stability in the United States..(1997) In: Journal of Labor Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 47 | article | |
| 1996 | Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again In: NBER Working Papers. [Full Text][Citation analysis] | paper | 6 |
| Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again.() In: Home Pages. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | ||
| 1997 | Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters In: NBER Working Papers. [Full Text][Citation analysis] | paper | 39 |
| 1998 | Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters.(1998) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 39 | paper | |
| 2000 | The Distribution of Stock Return Volatility In: NBER Working Papers. [Full Text][Citation analysis] | paper | 32 |
| 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: 32 | 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 | 3 |
| 2003 | A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations In: NBER Working Papers. [Full Text][Citation analysis] | paper | 88 |
| 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: 88 | 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: 88 | 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: 88 | 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: 88 | paper | |
| 2015 | Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 4 |
| 2015 | Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring In: OUP Catalogue. [Citation analysis] | book | 31 |
| 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 | 23 |
| 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: 23 | 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 | |
| 2006 | A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 4 |
| 2008 | Real-Time Measurement of Business Conditions, Second Version In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 3 |
| 2008 | On the Correlation Structure of Microstructure Noise in Theory and Practice In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 10 |
| 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: 10 | paper | |
| 2012 | On the Origin(s) and Development of the Term “Big Data In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 0 |
| 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 | 0 |
| 2013 | Measuring the Dynamics of Global Business Cycle Connectedness In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 10 |
| 2010 | Introduction In: Introductory Chapters. [Full Text][Citation analysis] | chapter | 2 |
| 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 | 31 |
| 2010 | The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice In: Economics Books. [Citation analysis] | book | 1 |
| 2012 | Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach In: Economics Books. [Citation analysis] | book | 5 |
| 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 | 8 |
| 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 | 17 |
| 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 | 101 |
| 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 | 12 |
| 1999 | Financial Risk Management in a Volatile Global Environment In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] | paper | 4 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated June, 1st 2017. Contact: CitEc Team