Francis Diebold : Citation Profile


Are you Francis Diebold?

University of Pennsylvania

63

H index

112

i10 index

25383

Citations

RESEARCH PRODUCTION:

105

Articles

261

Papers

4

Books

10

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   36 years (1986 - 2022). See details.
   Cites by year: 705
   Journals where Francis Diebold has often published
   Relations with other researchers
   Recent citing documents: 1782.    Total self citations: 191 (0.75 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pdi1
   Updated: 2022-06-25    RAS profile: 2022-03-24    
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Relations with other researchers


Works with:

Shin, Minchul (13)

Rudebusch, Glenn (9)

Liu, Laura (5)

Yilmaz, Kamil (5)

Schorfheide, Frank (4)

ZHANG, BOYUAN (2)

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

Is cited by:

GUPTA, RANGAN (373)

Gil-Alana, Luis (321)

Swanson, Norman (190)

Bollerslev, Tim (185)

Degiannakis, Stavros (165)

Baruník, Jozef (152)

van Dijk, Dick (142)

McAleer, Michael (141)

Clements, Michael (133)

Caporale, Guglielmo Maria (129)

Shephard, Neil (128)

Cites to:

Bollerslev, Tim (169)

Andersen, Torben (110)

Engle, Robert (77)

Rudebusch, Glenn (57)

Shephard, Neil (56)

Christoffersen, Peter (48)

Watson, Mark (37)

Campbell, John (32)

Aruoba, S. Boragan (32)

Ghysels, Eric (27)

Granger, Clive (27)

Main data


Where Francis Diebold has published?


Journals with more than one article published# docs
Journal of Econometrics16
Journal of Business & Economic Statistics10
American Economic Review6
International Journal of Forecasting6
The Review of Economics and Statistics6
Economics Letters5
Journal of Applied Econometrics4
Journal of Financial Econometrics3
Econometric Theory3
Proceedings3
Journal of the American Statistical Association2
International Economic Review2
Economic Journal2
Journal of Finance2
Business Review2
Journal of Economic Dynamics and Control2
Journal of International Economics2
Review of Economic Studies2
Journal of Political Economy2
The Journal of Business2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc51
Working Papers / Federal Reserve Bank of Philadelphia21
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
Papers / arXiv.org7
Special Studies Papers / Board of Governors of the Federal Reserve System (U.S.)7
Working Paper Series / Federal Reserve Bank of San Francisco5
Discussion Paper / Institute for Empirical Macroeconomics / Federal Reserve Bank of Minneapolis5
Ko University-TUSIAD Economic Research Forum Working Papers / Koc University-TUSIAD Economic Research Forum5
Research Paper / Federal Reserve Bank of New York2
Working Papers / Duke University, Department of Economics2
Working Papers / University of Pennsylvania, Wharton School, Weiss Center2
Finance Working Papers / East Asian Bureau of Economic Research2
IMF Working Papers / International Monetary Fund2
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)2
Working Paper Series / Economic Activity Section / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing Francis Diebold (2022 and 2021)


YearTitle of citing document
2020Adaptive Inference in Heteroskedastic Fractional Time Series Models. (2020). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe. In: CREATES Research Papers. RePEc:aah:create:2020-08.

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2021Now- 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.

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2021A machine learning approach to volatility forecasting. (2021). Veliyev, Bezirgen ; Christensen, Kim ; Siggaard, Mathias. In: CREATES Research Papers. RePEc:aah:create:2021-03.

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2021Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models. (2021). Kruse-Becher, Robinson ; Demetrescu, Matei. In: CREATES Research Papers. RePEc:aah:create:2021-07.

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2021Economic vulnerability is state dependent. (2021). Vallarino, Pierluigi ; Luati, Alessandra ; Catania, Leopoldo. In: CREATES Research Papers. RePEc:aah:create:2021-09.

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2021The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2021-11.

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2021Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics. (2021). , Almut ; Shephard, Neil ; Lunde, Asger ; Bennedsen, Mikkel. In: CREATES Research Papers. RePEc:aah:create:2021-12.

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2021Long and short memory in dynamic term structure models. (2021). Huseynov, Salman. In: CREATES Research Papers. RePEc:aah:create:2021-15.

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2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02.

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2021Dating business cycles in France: A reference chronology. (2021). DIEBOLT, Claude ; Pionnier, Pierre-Alain ; Mignon, Valrie ; Heyer, Eric ; Ferrara, Laurent ; Doz, Catherine ; BEC, Frdrique ; Aviat, Antonin. In: Working Papers. RePEc:afc:wpaper:08-21.

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2021TESTING THE WEAK FORM EFFICIENCY OF THE FRENCH ETF MARKET WITH LSTAR-ANLSTGARCH APPROACH USING A SEMIPARAMETRIC ESTIMATION. (2021). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:09-21.

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2021Price Forecasting Accuracy of the OECD-FAOs Agricultural Outlook and the European Commission DG AGRIs Medium-Term Agricultural Outlook Report. (2021). Fronk, Pavel ; Pokorn, Jii. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:320298.

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2021Information Diffusion and Spillover Dynamics in Renewable Energy Markets. (2021). Uddin, Gazi Salah ; Manera, Matteo ; Mahmoud, Alwan ; Cedic, Samir. In: FEEM Working Papers. RePEc:ags:feemwp:310361.

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2021Evaluating U.S. Department of Agriculture’s Long-Term Forecasts for U.S. Harvested Area. (2021). MacLachlan, Matthew ; Skorbiansky, Sharon Raszap ; Boussios, David. In: USDA Miscellaneous. RePEc:ags:usdami:309616.

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2021Evaluating U.S. Department of Agriculture’s Long-Term Forecasts for U.S. Harvested Area. (2021). MacLachlan, Matthew ; Skoriansky, Sharon Raszap ; Boussios, David. In: USDA Miscellaneous. RePEc:ags:usdami:309619.

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2021Forecasting Electricity Prices: Autoregressive Hybrid Nearest Neighbors (ARHNN) method. (2021). Sotiros, Dimitrios ; Serafin, Tomasz ; Nitka, Weronika. In: WORking papers in Management Science (WORMS). RePEc:ahh:wpaper:worms2106.

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2021Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx. (2021). Weron, Rafał ; Marcjasz, Grzegorz ; Dubrawski, Artur ; Challu, Cristian ; Olivares, Kin G. In: WORking papers in Management Science (WORMS). RePEc:ahh:wpaper:worms2107.

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2021Network Analysis of Economic and Financial Uncertainties in Advanced Economies: Evidence from Graph-Theory. (2021). Tiwari, Aviral ; GUPTA, RANGAN ; Boachie, Micheal Kofi. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:25:y:2021:i:1:p:188-215.

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2021The Effect of ENSO Shocks on Commodity Prices: A Multi-Time Scale Approach. (2021). Dufrenot, Gilles ; Pourroy, Marc ; Ginn, William. In: AMSE Working Papers. RePEc:aim:wpaimx:2130.

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2021Impact of rough stochastic volatility models on long-term life insurance pricing. (2021). Hainaut, Donatien ; Barbarin, Jerome ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021017.

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2021Macrofinancial information on the post- COVID-19 economic recovery: will it be V, U or L-shaped?. (2021). Dewachter, Hans ; De Backer, Bruno ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021002.

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2021Machine Learning Time Series Regressions With an Application to Nowcasting. (2021). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021004.

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2021Unpacking the black box of ICO white papers: a topic modeling approach. (2021). Torsin, Wouter ; Thewissen, James ; Shrestha, Prabal ; Pastwa, Anna M. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021018.

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2021Modelación de la Volatilidad del Tipo de Cambio del Dólar en el Perú: Aplicación de los Modelos GARCH y EGARCH.. (2021). Alva, Victor Chung. In: Revista de Análisis Económico y Financiero. RePEc:alp:revaef:07-02.

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2021Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach. (2021). Polat, Onur. In: World Journal of Applied Economics. RePEc:ana:journl:v:7:y:2021:i:2:p:47-59.

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2021Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332.

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2021Dynamic 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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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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2021Density 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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2021A 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.

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2020Boosting the Hodrick-Prescott Filter. (2019). Phillips, Peter ; Shi, Zhentao ; PEter, . In: Papers. RePEc:arx:papers:1905.00175.

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2021Testing 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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2021Risk 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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2021Estimation and HAC-based Inference for Machine Learning Time Series Regressions. (2019). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:1912.06307.

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2022Equal 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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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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2022Cryptocurrency 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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2021Streaming 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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2021Bias optimal vol-of-vol estimation: the role of window overlapping. (2020). Recchioni, Maria Cristina ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2004.04013.

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2021Clustering volatility regimes for dynamic trading strategies. (2020). Prakash, Arjun ; Menzies, Max ; James, Nick ; Francis, Gilad. In: Papers. RePEc:arx:papers:2004.09963.

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2021Arctic Amplification of Anthropogenic Forcing: A Vector Autoregressive Analysis. (2020). Gobel, Maximilian ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2005.02535.

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2022Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204.

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2020The 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.

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2021A 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.

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2021Horseshoe Prior Bayesian Quantile Regression. (2020). Kohns, David ; Szendrei, Tibor. In: Papers. RePEc:arx:papers:2006.07655.

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2021The Macroeconomy as a Random Forest. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2006.12724.

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2021Dynamic Networks in Large Financial and Economic Systems. (2020). Baruník, Jozef ; Ellington, Michael. In: Papers. RePEc:arx:papers:2007.07842.

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2022Estimation 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.

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2021Efficiency 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.

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2021Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.01714.

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2021Machine Learning Panel Data Regressions with an Application to Nowcasting Price Earnings Ratios. (2020). Striaukas, Jonas ; Ghysels, Eric ; Ball, Ryan T ; Babii, Andrii. In: Papers. RePEc:arx:papers:2008.03600.

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2021To Bag is to Prune. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.07063.

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2021Long vs Short Time Scales: the Rough Dilemma and Beyond. (2020). Grasselli, Martino ; Garcin, Matthieu. In: Papers. RePEc:arx:papers:2008.07822.

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2021Time-Varying Parameters as Ridge Regressions. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2009.00401.

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2022Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361.

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2021Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394.

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2021Price, Volatility and the Second-Order Economic Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2009.14278.

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2021Tail-risk protection: Machine Learning meets modern Econometrics. (2020). Hardle, Wolfgang Karl ; Spilak, Bruno. In: Papers. RePEc:arx:papers:2010.03315.

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2022Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Papers. RePEc:arx:papers:2010.04610.

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2021Deep Learning for Individual Heterogeneity. (2020). Misra, Sanjog ; Liang, Tengyuan ; Farrell, Max H. In: Papers. RePEc:arx:papers:2010.14694.

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2021Learning from Forecast Errors: A New Approach to Forecast Combinations. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.02077.

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2021On Classifying the Effects of Policy Announcements on Volatility. (2020). Otranto, Edoardo ; Gallo, Giampiero ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2011.14094.

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2021Quantum Technology for Economists. (2021). Hull, Isaiah ; Sattath, OR ; Wendin, Goran ; Diamanti, Eleni. In: Papers. RePEc:arx:papers:2012.04473.

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2020Business Cycles as Collective Risk Fluctuations. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2012.04506.

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2021Estimating real-world probabilities: A forward-looking behavioral framework. (2020). Crisóstomo, Ricardo. In: Papers. RePEc:arx:papers:2012.09041.

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2021Machine Learning Advances for Time Series Forecasting. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:2012.12802.

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2020Filtering the intensity of public concern from social media count data with jumps. (2020). , Carlo ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:2012.13267.

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2021COVID-19 spreading in financial networks: A semiparametric matrix regression model. (2021). Billio, Monica ; Matteo, Iacopini ; Michele, Costola ; Roberto, Casarin ; Monica, Billio. In: Papers. RePEc:arx:papers:2101.00422.

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2021Dynamic industry uncertainty networks and the business cycle. (2021). Baruník, Jozef ; Faff, Robert ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:2101.06957.

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2021To VaR, or Not to VaR, That is the Question. (2021). Olkhov, Victor. In: Papers. RePEc:arx:papers:2101.08559.

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2021Uncertainty Network Risk and Currency Returns. (2021). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2101.09738.

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2021A nowcasting approach to generate timely estimates of Mexican economic activity: An application to the period of COVID-19. (2021). Corona, Francisco ; Gonz, Graciela ; L'Opez, Jes'Us. In: Papers. RePEc:arx:papers:2101.10383.

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2021Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules. (2021). Alexander, Carol ; Coulon, Michael ; Han, Yang ; Meng, Xiaochun. In: Papers. RePEc:arx:papers:2101.12693.

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2021Monitoring the pandemic: A fractional filter for the COVID-19 contact rate. (2021). Hartl, Tobias. In: Papers. RePEc:arx:papers:2102.10067.

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2021Bridging factor and sparse models. (2021). Medeiros, Marcelo C ; Masini, Ricardo ; Fan, Jianqing. In: Papers. RePEc:arx:papers:2102.11341.

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2022Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions. (2021). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2102.11780.

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2021General Bayesian time-varying parameter VARs for predicting government bond yields. (2021). Pfarrhofer, Michael ; Huber, Florian ; Hauzenberger, Niko ; Fischer, Manfred M. In: Papers. RePEc:arx:papers:2102.13393.

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2021Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467.

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2021The Kernel Trick for Nonlinear Factor Modeling. (2021). Kutateladze, Varlam. In: Papers. RePEc:arx:papers:2103.01266.

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2021Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference. (2021). Perron, Pierre ; Deng, Taosong ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.01604.

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2021Slow-Growing Trees. (2021). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2103.01926.

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2021Minimax MSE Bounds and Nonlinear VAR Prewhitening for Long-Run Variance Estimation Under Nonstationarity. (2021). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02235.

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2021Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models. (2021). Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02981.

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2021High-dimensional estimation of quadratic variation based on penalized realized variance. (2021). Podolskij, Mark ; Nielsen, Mikkel Slot ; Christensen, Kim. In: Papers. RePEc:arx:papers:2103.03237.

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2021Tail forecasts of inflation using time-varying parameter quantile regressions. (2021). Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:2103.03632.

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2022Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs. (2021). Pfarrhofer, Michael ; Huber, Florian ; Feldkircher, Martin ; Koop, Gary. In: Papers. RePEc:arx:papers:2103.04944.

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2021Support Vector Regression Parameters Optimization using Golden Sine Algorithm and its application in stock market. (2021). Goldani, Mahdi ; Ghanbari, Mohammadreza. In: Papers. RePEc:arx:papers:2103.11459.

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2021Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

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2022Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. (2021). Fissler, Tobias ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2104.10673.

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2022Learning Financial Network with Focally Sparse Structure. (2021). Chernozhukov, Victor ; Wang, Weining ; Huang, Chen. In: Papers. RePEc:arx:papers:2105.07424.

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2021Vector autoregression models with skewness and heavy tails. (2021). Karlsson, Sune ; Nguyen, Hoang ; Mazur, Stepan. In: Papers. RePEc:arx:papers:2105.11182.

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2021Three Remarks On Asset Pricing. (2021). Olkhov, Victor. In: Papers. RePEc:arx:papers:2105.13903.

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2021Asset volatility forecasting:The optimal decay parameter in the EWMA model. (2021). Araneda, Axel A. In: Papers. RePEc:arx:papers:2105.14382.

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2021A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting. (2021). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:2106.00288.

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2021Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation. (2021). Raponi, Valentina ; Petrella, Lea ; Merlo, Luca. In: Papers. RePEc:arx:papers:2106.06518.

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2021An Information Filtering approach to stress testing: an application to FTSE markets. (2021). Aste, Tomaso ; Caccioli, Fabio ; Seabrook, Isobel. In: Papers. RePEc:arx:papers:2106.08778.

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2021Emotions in Macroeconomic News and their Impact on the European Bond Market. (2021). Tosetti, Elisa ; Pezzoli, Luca Tiozzo ; Consoli, Sergio. In: Papers. RePEc:arx:papers:2106.15698.

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2021Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics. (2021). , Almut ; Shephard, Neil ; Lunde, Asger ; Bennedsen, Mikkel. In: Papers. RePEc:arx:papers:2107.03674.

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2021Multiplicative Error Models: 20 years on. (2021). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2107.05923.

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2021On the short term stability of financial ARCH price processes. (2021). Zumbach, Gilles. In: Papers. RePEc:arx:papers:2107.06758.

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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.
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paper760
2005Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility.(2005) In: NBER Working Papers.
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paper
2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility.(2007) In: The Review of Economics and Statistics.
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This paper has another version. Agregated cites: 760
article
2007Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers.
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paper489
2007Real-time price discovery in global stock, bond and foreign exchange markets.(2007) In: Journal of International Economics.
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This paper has another version. Agregated cites: 489
article
2006Real-time price discovery in global stock, bond and foreign exchange markets.(2006) In: International Finance Discussion Papers.
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This paper has another version. Agregated cites: 489
paper
2011Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers.
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paper45
2013Financial Risk Measurement for Financial Risk Management.(2013) In: Handbook of the Economics of Finance.
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chapter
2012Financial Risk Measurement for Financial Risk Management.(2012) In: NBER Working Papers.
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paper
2011Financial Risk Measurement for Financial Risk Management.(2011) In: PIER Working Paper Archive.
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paper
2010Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions In: American Economic Review.
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article56
2010Real-time macroeconomic monitoring: real activity, inflation, and interactions.(2010) In: Working Papers.
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paper
2010Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions.(2010) In: NBER Working Papers.
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paper
2010Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions.(2010) In: PIER Working Paper Archive.
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This paper has another version. Agregated cites: 56
paper
1992Have Postwar Economic Fluctuations Been Stabilized? In: American Economic Review.
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article71
1991Have postwar economic fluctuations been stabilized?.(1991) In: Working Paper Series / Economic Activity Section.
[Citation analysis]
This paper has another version. Agregated cites: 71
paper
1990Have postwar economic fluctuations been stabilized?.(1990) In: Discussion Paper / Institute for Empirical Macroeconomics.
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paper
1996The Uncertain Unit Root in Real GNP: Comment. In: American Economic Review.
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article84
2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange In: American Economic Review.
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article782
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers.
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This paper has another version. Agregated cites: 782
paper
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers.
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This paper has another version. Agregated cites: 782
paper
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: NBER Working Papers.
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This paper has another version. Agregated cites: 782
paper
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?.(2002) In: Center for Financial Institutions Working Papers.
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This paper has another version. Agregated cites: 782
paper
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk In: American Economic Review.
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article70
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: NBER Working Papers.
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This paper has another version. Agregated cites: 70
paper
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: PIER Working Paper Archive.
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This paper has another version. Agregated cites: 70
paper
2005A framework for exploring the macroeconomic determinants of systematic risk.(2005) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 70
paper
2005Modeling Bond Yields in Finance and Macroeconomics In: American Economic Review.
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article137
2005Modeling bond yields in finance and macroeconomics.(2005) In: Working Paper Series.
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paper
2005Modeling Bond Yields in Finance and Macroeconomics.(2005) In: NBER Working Papers.
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paper
2005Modeling Bond Yields in Finance and Macroeconomics.(2005) In: PIER Working Paper Archive.
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paper
2005Modeling bond yields in finance and macroeconomics.(2005) In: CFS Working Paper Series.
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paper
1998The Past, Present, and Future of Macroeconomic Forecasting In: Journal of Economic Perspectives.
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article108
1997The past, present, and future of macroeconomic forecasting.(1997) In: Working Papers.
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paper
1997The Past, Present, and Future of Macroeconomic Forecasting.(1997) In: NBER Working Papers.
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paper
2006Time Series Analysis In: Working Papers.
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paper16
2006Time Series Analysis.(2006) In: PIER Working Paper Archive.
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This paper has another version. Agregated cites: 16
paper
2021On the Evolution of U.S. Temperature Dynamics In: Papers.
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paper1
2019On the Evolution of U.S. Temperature Dynamics.(2019) In: PIER Working Paper Archive.
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This paper has another version. Agregated cites: 1
paper
2021Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections In: Papers.
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paper2
2020Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections.(2020) In: Working Paper Series.
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paper
2020Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections.(2020) In: NBER Working Papers.
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paper
2019Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections.(2019) In: PIER Working Paper Archive.
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paper
2020Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach In: Papers.
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paper4
2021Optimal combination of Arctic sea ice extent measures: A dynamic factor modeling approach.(2021) In: International Journal of Forecasting.
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article
2020Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach.(2020) In: PIER Working Paper Archive.
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This paper has another version. Agregated cites: 4
paper
2022Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 In: Papers.
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paper4
2021Big Data and its Origins In: Papers.
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paper0
2021On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates In: Papers.
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paper1
2021On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates.(2021) In: Working Papers.
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This paper has another version. Agregated cites: 1
paper
2022On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates.(2022) In: NBER Working Papers.
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paper
2021On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone In?ation and Real Interest Rates.(2021) In: PIER Working Paper Archive.
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This paper has another version. Agregated cites: 1
paper
2022A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting In: Papers.
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paper0
2005Weather Forecasting for Weather Derivatives In: Journal of the American Statistical Association.
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article122
2003Weather Forecasting for Weather Derivatives.(2003) In: NBER Working Papers.
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paper
2002Weather Forecasting for Weather Derivatives.(2002) In: Center for Financial Institutions Working Papers.
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paper
2004Weather forecasting for weather derivatives.(2004) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 122
paper
2001The Distribution of Realized Exchange Rate Volatility In: Journal of the American Statistical Association.
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article984
1995Comparing Predictive Accuracy. In: Journal of Business & Economic Statistics.
[Citation analysis]
article4666
2002Comparing Predictive Accuracy..(2002) In: Journal of Business & Economic Statistics.
[Citation analysis]
This paper has another version. Agregated cites: 4666
article
1994Comparing Predictive Accuracy.(1994) In: NBER Technical Working Papers.
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This paper has another version. Agregated cites: 4666
paper
1998Cointegration and Long-Horizon Forecasting. In: Journal of Business & Economic Statistics.
[Citation analysis]
article122
1997Cointegration and long-horizon forecasting.(1997) In: Working Papers.
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paper
1997Cointegration and Long-Horizon Forecasting.(1997) In: IMF Working Papers.
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paper
1997Cointegration and Long-Horizon Forecasting.(1997) In: NBER Technical Working Papers.
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paper
2000Unit-Root Tests Are Useful for Selecting Forecasting Models. In: Journal of Business & Economic Statistics.
[Citation analysis]
article99
1999Unit Root Tests are Useful for Selecting Forecasting Models.(1999) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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paper
1999Unit Root Tests Are Useful for Selecting Forecasting Models.(1999) In: NBER Working Papers.
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paper
2006Comment In: Journal of Business & Economic Statistics.
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article0
2009Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence In: Journal of Business & Economic Statistics.
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article71
2005Stock returns and expected business conditions: half a century of direct evidence.(2005) In: Proceedings.
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article
2005Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence.(2005) In: NBER Working Papers.
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paper
2005Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence.(2005) In: PIER Working Paper Archive.
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paper
2005Stock returns and expected business conditions: Half a century of direct evidence.(2005) In: CFS Working Paper Series.
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paper
2009Real-Time Measurement of Business Conditions In: Journal of Business & Economic Statistics.
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article358
2007Real-time measurement of business conditions.(2007) In: International Finance Discussion Papers.
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This paper has another version. Agregated cites: 358
paper
2008Real-time measurement of business conditions.(2008) In: Working Papers.
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paper
2008Real-Time Measurement of Business Conditions.(2008) In: NBER Working Papers.
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paper
2007Real-Time Measurement of Business Conditions.(2007) In: PIER Working Paper Archive.
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paper
2006Real-Time Measurement of Business Conditions.(2006) In: Computing in Economics and Finance 2006.
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This paper has another version. Agregated cites: 358
paper
1988Serial Correlation and the Combination of Forecasts. In: Journal of Business & Economic Statistics.
[Citation analysis]
article28
1988An Application of Operational-Subjective Statistical Methods to Rational Expectations: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]
article0
1988An application of operational-subjective statistical methods to rational expectations: comment.(1988) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1990Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics. In: Journal of Business & Economic Statistics.
[Citation analysis]
article30
1994 On Cointegration and Exchange Rate Dynamics. In: Journal of Finance.
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article136
1993On cointegration and exchange rate dynamics.(1993) In: Working Papers.
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paper
2002Range?Based Estimation of Stochastic Volatility Models In: Journal of Finance.
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article425
2018On the Comparison of Interval Forecasts In: Journal of Time Series Analysis.
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article10
2018On the Comparison of Interval Forecasts.(2018) In: PIER Working Paper Archive.
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This paper has another version. Agregated cites: 10
paper
2004The Nobel Memorial Prize for Robert F. Engle In: Scandinavian Journal of Economics.
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article12
2004The Nobel Memorial Prize for Robert F. Engle.(2004) In: NBER Working Papers.
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paper
2004The Nobel Memorial Prize for Robert F. Engle.(2004) In: PIER Working Paper Archive.
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paper
2004The Nobel Memorial Prize for Robert F. Engle.(2004) In: CFS Working Paper Series.
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paper
2012On the Correlation Structure of Microstructure Noise: A Financial Economic Approach In: Boston College Working Papers in Economics.
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paper32
2010On the Correlation Structure of Microstructure Noise: A Financial Economic Approach.(2010) In: NBER Working Papers.
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paper
2013On the Correlation Structure of Microstructure Noise: A Financial Economic Approach.(2013) In: Review of Economic Studies.
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article
2009Equity Market Spillovers in the Americas In: Journal Economía Chilena (The Chilean Economy).
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article26
2011Equity Market Spillovers in the Americas.(2011) In: Central Banking, Analysis, and Economic Policies Book Series.
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chapter
2018Commodity Connectedness In: Central Banking, Analysis, and Economic Policies Book Series.
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chapter20
2017Commodity Connectedness.(2017) In: NBER Working Papers.
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2017Commodity Connectedness.(2017) In: PIER Working Paper Archive.
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2017Commodity connectedness.(2017) In: CFS Working Paper Series.
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2002Financial Asset Returns, Market Timing, and Volatility Dynamics In: CIRANO Working Papers.
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paper7
2000Measuring Predictability: Theory And Macroeconomic Applications In: CEPR Discussion Papers.
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paper62
1997Measuring predictability: theory and macroeconomic applications.(1997) In: Working Papers.
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2001Measuring predictability: theory and macroeconomic applications.(2001) In: Journal of Applied Econometrics.
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1997Measuring Predictability: Theory and Macroeconomic Applications.(1997) In: NBER Technical Working Papers.
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1998Measuring Predictability: Theory and Macroeconomic Applications.(1998) In: Working Papers.
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1997Measuring Predictability: Theory and Macroeconomic Applications.(1997) In: CARESS Working Papres.
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paper
1997Optimal Prediction Under Asymmetric Loss In: Econometric Theory.
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article170
1997Optimal prediction under asymmetric loss.(1997) In: Working Papers.
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1994Optimal Prediction Under Asymmetric Loss.(1994) In: NBER Technical Working Papers.
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1997Optimal Prediction Under Asymmetric Loss.(1997) In: CARESS Working Papres.
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Optimal Prediction Under Asymmetric Loss.() In: Home Pages.
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2003THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003 In: Econometric Theory.
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article4
1992Forecasting, Structural Time Series Models and the Kalman Filter, Andrew C. Harvey Cambridge University Press, 1939 - Fore Casting, Structural Time Series Models and The Kalman FilterAdrew C. Harvey C In: Econometric Theory.
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article0
2002Modeling and Forecasting Realized Volatility In: Working Papers.
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paper1702
2003Modeling and Forecasting Realized Volatility.(2003) In: Econometrica.
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article
2001Modeling and Forecasting Realized Volatility.(2001) In: NBER Working Papers.
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paper
2001Modeling and Forecasting Realized Volatility.(2001) In: Center for Financial Institutions Working Papers.
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paper
2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence In: Finance Working Papers.
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paper8
2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence.(2006) In: Finance Working Papers.
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paper
2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence.(2006) In: PIER Working Paper Archive.
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paper
1997Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers. In: Economic Journal.
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article11
1997Bounded rationality and strategic complementarity in a macroeconomic model: policy effects, persistence, and multipliers.(1997) In: Working Papers.
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paper
1996Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers.(1996) In: NBER Working Papers.
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paper
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers.() In: Home Pages.
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2009Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets In: Economic Journal.
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article1135
2008Measuring financial asset return and volatility spillovers, with application to global equity markets.(2008) In: Working Papers.
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paper
2007Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets.(2007) In: Koç University-TUSIAD Economic Research Forum Working Papers.
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This paper has another version. Agregated cites: 1135
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2008Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets.(2008) In: NBER Working Papers.
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paper
2007Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets.(2007) In: PIER Working Paper Archive.
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paper
2009Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets.(2009) In: Economic Journal.
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article
2007Measuring financial asset return and volatility spillovers, with application to global equity markets.(2007) In: CFS Working Paper Series.
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paper
2008Measuring financial asset return and volatilty spillovers, with application to global equity markets.(2008) In: CFS Working Paper Series.
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paper
2012A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities In: Working Papers.
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paper28
2013A Markov-switching multifractal inter-trade duration model, with application to US equities.(2013) In: Journal of Econometrics.
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article
2012A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities.(2012) In: NBER Working Papers.
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2012A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities.(2012) In: PIER Working Paper Archive.
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2004Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics In: Econometric Society 2004 Australasian Meetings.
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2009An arbitrage-free generalized Nelson--Siegel term structure model In: Econometrics Journal.
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2008An arbitrage-free generalized Nelson-Siegel term structure model.(2008) In: Working Paper Series.
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2008An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model.(2008) In: NBER Working Papers.
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2008An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model.(2008) In: PIER Working Paper Archive.
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1988Testing for bubbles, reflecting barriers and other anomalies In: Journal of Economic Dynamics and Control.
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1989State space modeling of time series : A review essay In: Journal of Economic Dynamics and Control.
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1988State space modeling of time series: a review essay.(1988) In: Finance and Economics Discussion Series.
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2006Volatility and Correlation Forecasting In: Handbook of Economic Forecasting.
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2015Assessing point forecast accuracy by stochastic loss distance In: Economics Letters.
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1986The exact initial covariance matrix of the state vector of a general MA(q) process In: Economics Letters.
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1986Exact maximum-likelihood estimation of autoregressive models via the Kalman filter In: Economics Letters.
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1991On the power of Dickey-Fuller tests against fractional alternatives In: Economics Letters.
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1990On the power of Dickey-Fuller tests against fractional alternatives.(1990) In: Finance and Economics Discussion Series.
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1996Fractional integration and interval prediction In: Economics Letters.
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article15
2001Econometrics: Retrospect and prospect In: Journal of Econometrics.
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article2
2001Forecasting and empirical methods in finance and macroeconomics In: Journal of Econometrics.
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article0
2001Long memory and regime switching In: Journal of Econometrics.
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article652
2000Long Memory and Regime Switching.(2000) In: NBER Technical Working Papers.
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paper
2006Forecasting the term structure of government bond yields In: Journal of Econometrics.
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article742
2003Forecasting the Term Structure of Government Bond Yields.(2003) In: NBER Working Papers.
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2002Forecasting the Term Structure of Government Bond Yields.(2002) In: Center for Financial Institutions Working Papers.
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2003Forecasting the term structure of government bond yields.(2003) In: CFS Working Paper Series.
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paper
2006The econometrics of macroeconomics, finance, and the interface In: Journal of Econometrics.
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article0
2006The macroeconomy and the yield curve: a dynamic latent factor approach In: Journal of Econometrics.
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article516
2004The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach.(2004) In: NBER Working Papers.
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This paper has another version. Agregated cites: 516
paper
2008Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach In: Journal of Econometrics.
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article133
2007Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach.(2007) In: NBER Working Papers.
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paper
2007Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach.(2007) In: PIER Working Paper Archive.
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2003Some 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.
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2003Some 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.
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2004Realized Beta: Persistence and Predictability In: PIER Working Paper Archive.
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2008Real-Time Measurement of Business Conditions, Second Version In: PIER Working Paper Archive.
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1999Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange In: The Review of Economics and Statistics.
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