54
H index
100
i10 index
17096
Citations
Francis Diebold : Citation Profile
University of Pennsylvania | RESEARCH PRODUCTION: 97 Articles 235 Papers 4 Books 9 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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32 years (1986 - 2018). 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 (2018 and 2017)
| Year | Title of citing document | |
|---|---|---|
| 2017 | Dynamics of Variance Risk Premia, Investors Sentiment and Return Predictability. (2017). Violante, Francesco ; Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2017-10. Full description at Econpapers || Download paper | |
| 2017 | Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Delle Monache, Davide ; 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 | |
| 2017 | Inference from the futures: ranking the noise cancelling accuracy of realized measures. (2017). Mirone, Giorgio . In: CREATES Research Papers. RePEc:aah:create:2017-24. Full description at Econpapers || Download paper | |
| 2017 | The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode. (2017). Ravazzolo, Francesco ; Natvik, Gisle ; Caporin, Massimiliano ; de Magistris, Paolo Santucci. In: CREATES Research Papers. RePEc:aah:create:2017-25. Full description at Econpapers || Download paper | |
| 2017 | Decoupling the short- and long-term behavior of stochastic volatility. (2017). Pakkanen, Mikko S ; Lunde, Asger ; Bennedsen, Mikkel . In: CREATES Research Papers. RePEc:aah:create:2017-26. Full description at Econpapers || Download paper | |
| 2018 | The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-02. Full description at Econpapers || Download paper | |
| 2018 | A Parametric Factor Model of the Term Structure of Mortality. (2018). , Carsten ; Haldrup, Niels. In: CREATES Research Papers. RePEc:aah:create:2018-06. Full description at Econpapers || Download paper | |
| 2017 | Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation. (2017). Christiansen, Charlotte ; Jun, AI ; Asgharian, Hossein. In: CREATES Research Papers. RePEc:aah:create:2018-12. Full description at Econpapers || Download paper | |
| 2018 | Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14. Full description at Econpapers || Download paper | |
| 2018 | Forecasters’ utility and forecast coherence. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-23. Full description at Econpapers || Download paper | |
| 2018 | A mixed-frequency Bayesian vector autoregression with a steady-state prior. (2018). Yang, Yukai ; Ankargren, Sebastian ; Unosson, Mns. In: CREATES Research Papers. RePEc:aah:create:2018-32. Full description at Econpapers || Download paper | |
| 2017 | Economic significance of commodity return forecasts from the fractionally cointegrated VAR model. (2017). Nielsen, Morten ; Xu, KE ; Narayan, Paresh Kumar ; Dolatabadi, Sepideh. In: CREATES Research Papers. RePEc:aah:create:2018-35. Full description at Econpapers || Download paper | |
| 2018 | Realizing Correlations Across Asset Classes. (2018). Elst, Harry Vander ; Olesen, Kasper V ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-37. Full description at Econpapers || Download paper | |
| 2018 | Fiscal Policy, Wages, and Jobs in the U.S.. (2018). Kim, Hyeongwoo. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2018-02. Full description at Econpapers || Download paper | |
| 2017 | Speculation in Commodity Futures Markets, Inventories and the Price of Crude Oil. (2017). Byun, Sung Je ; Je, Sung. In: The Energy Journal. RePEc:aen:journl:ej38-5-byun. Full description at Econpapers || Download paper | |
| 2018 | Macroeconomic uncertainty and FDI in developing countries. (2018). Das, Pradeep Kumar . In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(614):y:2018:i:1(614):p:15-30. Full description at Econpapers || Download paper | |
| 2017 | Surprise and Dispersion: Informational Impact of USDA Announcements. (2017). Frijns, Bart ; Tourani-Rad, Alireza ; Indriawan, Ivan ; Fernandez-Perez, Adrian. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:259208. Full description at Econpapers || Download paper | |
| 2018 | Does Economic Policy Uncertainty Affect Energy Market Volatility and Vice-Versa?. (2018). Scarcioffolo, Alexandre Ribeiro ; Etienne, Xiaoli L. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:273976. Full description at Econpapers || Download paper | |
| 2018 | Using Bayesian Kriging for Spatial Smoothing of Trends in the Means and Variances of Crop Yield Densities. (2018). park, eunchun ; Brorsen, B ; Niyibizi, Bart. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274403. Full description at Econpapers || Download paper | |
| 2017 | SYSTEMATIC RISK FACTORS AND STOCK RETURN VOLATILITY. (2017). Ali, Syed Kamran ; Ahmed, Ishtiaq ; Hashmi, Shujahat Haider. In: APSTRACT: Applied Studies in Agribusiness and Commerce. RePEc:ags:apstra:265587. Full description at Econpapers || Download paper | |
| 2017 | Statistical and Economic Evaluation of Time Series Models for Forecasting Arrivals at Call Centers. (2017). Galeotti, Marzio ; Bastianin, Andrea ; Manera, Matteo. In: Economic Theory and Applications Working Papers. RePEc:ags:feemet:253725. Full description at Econpapers || Download paper | |
| 2017 | Temperature Anomalies, Radiative Forcing and ENSO. (2017). Sbrana, Giacomo ; MORANA, CLAUDIO. In: MITP: Mitigation, Innovation and Transformation Pathways. RePEc:ags:feemmi:253732. Full description at Econpapers || Download paper | |
| 2018 | The Dynamic Properties of Natural Resource Prices. (2018). Ghoshray, Atanu. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277210. Full description at Econpapers || Download paper | |
| 2018 | International interdependence between cash crop and staple food futures price indices: A wavelet-BEKK-GARCH assessment. (2018). Heckelei, T ; Grosche, S ; Amrouk, E M. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277376. Full description at Econpapers || Download paper | |
| 2017 | An analysis of the interdependence between cash crop and staple food futures prices. (2017). Heckelei, Thomas ; Grosche, Stephanie-Carolin ; Mamoun, EL. In: Discussion Papers. RePEc:ags:ubfred:265665. Full description at Econpapers || Download paper | |
| 2017 | Financial Weather Derivatives for Corn Production in Northeastern China: Modelling the Underlying Weather Index. (2017). Sun, Baojing. In: Working Papers. RePEc:ags:uvicwp:257083. Full description at Econpapers || Download paper | |
| 2017 | Financial Weather Derivatives for Corn Production in Northeastern China: Modelling the underlying Weather Index. (2017). Sun, Baojing. In: Working Papers. RePEc:ags:uvicwp:263197. Full description at Econpapers || Download paper | |
| 2018 | An Analysis of the Behaviour of Prime Lending Rates in Sri Lanka. (2018). Navin, W S. In: Asian Journal of Economics and Empirical Research. RePEc:aoj:ajeaer:2018:p:121-138. Full description at Econpapers || Download paper | |
| 2018 | “A new metric of consensus for Likert scales”. (2018). Claveria, Oscar. In: AQR Working Papers. RePEc:aqr:wpaper:201810. Full description at Econpapers || Download paper | |
| 2018 | Modeling the Volatility and Forecasting the Stock Price of the German Stock Index (DAX30). (2018). Nguyen, Tristan ; Mai, Thi Thanh. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2018:p:72-92. 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 | |
| 2018 | Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2018). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159. 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 | |
| 2018 | Local Parametric Estimation in High Frequency Data. (2018). 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). Krehlik, Tomas ; BarunÃk, Jozef. In: Papers. RePEc:arx:papers:1603.07020. Full description at Econpapers || Download paper | |
| 2017 | Quantile Graphical Models: Prediction and Conditional Independence with Applications to Systemic Risk. (2017). Chernozhukov, Victor ; Chen, Mingli ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1607.00286. Full description at Econpapers || Download paper | |
| 2018 | Bayesian nonparametric sparse VAR models. (2018). Rossini, Luca ; Billio, Monica ; Casarin, Roberto. In: Papers. RePEc:arx:papers:1608.02740. Full description at Econpapers || Download paper | |
| 2017 | Elicitability and backtesting: Perspectives for banking regulation. (2017). Nolde, Natalia ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1608.05498. Full description at Econpapers || Download paper | |
| 2017 | Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332. Full description at Econpapers || Download paper | |
| 2018 | Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). 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 | |
| 2018 | News Co-Occurrence, Attention Spillover and Return Predictability. (2018). 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). Mukhoti, Sujay ; Ranjan, Pritam . 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 | |
| 2017 | Realized volatility and parametric estimation of Heston SDEs. (2017). Azencott, Robert ; Timofeyev, Ilya ; Ren, Peng. In: Papers. RePEc:arx:papers:1706.04566. Full description at Econpapers || Download paper | |
| 2018 | Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science. (2018). Gnabo, Jean-Yves ; Geraci, Marco Valerio ; Gandica, Y'Erali . In: Papers. RePEc:arx:papers:1707.00296. Full description at Econpapers || Download paper | |
| 2017 | Option Pricing and Hedging for Discrete Time Autoregressive Hidden Markov Model. (2017). Caccia, Massimo ; Bruno, . In: Papers. RePEc:arx:papers:1707.02019. Full description at Econpapers || Download paper | |
| 2017 | Dynamic Quantile Function Models. (2017). Ye, Wilson ; Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W. In: Papers. RePEc:arx:papers:1707.02587. Full description at Econpapers || Download paper | |
| 2017 | Residual Value Forecasting Using Asymmetric Cost Functions. (2017). von Mettenheim, Hans-Jörg ; Lessmann, Stefan ; Dress, Korbinian . In: Papers. RePEc:arx:papers:1707.02736. Full description at Econpapers || Download paper | |
| 2017 | Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution. (2017). Wang, Chao ; Gerlach, Richard ; Chen, Qian. In: Papers. RePEc:arx:papers:1707.03715. Full description at Econpapers || Download paper | |
| 2017 | Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk). (2017). Patton, Andrew J ; Chen, Rui ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1707.05108. Full description at Econpapers || Download paper | |
| 2018 | Spectral backtests of forecast distributions with application to risk management. (2018). Gordy, Michael ; McNeil, Alexander J ; Lok, Hsiao Yen . In: Papers. RePEc:arx:papers:1708.01489. Full description at Econpapers || Download paper | |
| 2017 | Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach. (2017). Barbaglia, Luca ; Wilms, Ines ; Croux, Christophe. In: Papers. RePEc:arx:papers:1708.02073. Full description at Econpapers || Download paper | |
| 2017 | Optimum thresholding using mean and conditional mean square error. (2017). , ; Mancini, Cecilia . In: Papers. RePEc:arx:papers:1708.04339. Full description at Econpapers || Download paper | |
| 2017 | Systematic Noise: Micro-movements in Equity Options Markets. (2017). Wu, Adam . In: Papers. RePEc:arx:papers:1708.06855. Full description at Econpapers || Download paper | |
| 2017 | Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587. Full description at Econpapers || Download paper | |
| 2017 | Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns. (2017). BarunÃk, Jozef ; Cech, Frantisek . In: Papers. RePEc:arx:papers:1708.08622. Full description at Econpapers || Download paper | |
| 2018 | Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520. Full description at Econpapers || Download paper | |
| 2019 | Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1709.02502. Full description at Econpapers || Download paper | |
| 2017 | Computational Analysis of the structural properties of Economic and Financial Networks. (2017). Emmert-Streib, Frank ; Dehmer, Matthias ; Jodlbauer, Herbert ; Yli-Harja, Olli ; Tripathi, Shailesh ; Kanniainen, Juho ; Baltakys, Kestutis ; Musa, Aliyu. In: Papers. RePEc:arx:papers:1710.04455. Full description at Econpapers || Download paper | |
| 2018 | Arbitrage-Free Regularization. (2018). Kratsios, Anastasis ; Hyndman, Cody B. In: Papers. RePEc:arx:papers:1710.05114. Full description at Econpapers || Download paper | |
| 2018 | Non-Euclidean Conditional Expectation and Filtering. (2018). Kratsios, Anastasis ; Hyndman, Cody B. In: Papers. RePEc:arx:papers:1710.05829. Full description at Econpapers || Download paper | |
| 2019 | Forecasting dynamic return distributions based on ordered binary choice. (2019). BarunÃk, Jozef ; Anatolyev, Stanislav. In: Papers. RePEc:arx:papers:1711.05681. Full description at Econpapers || Download paper | |
| 2017 | Option pricing for Informed Traders. (2017). Stoyanov, Stoyan V ; Fabozzi, Frank J ; Rachev, Svetlozar T ; Kim, Yong Shin. In: Papers. RePEc:arx:papers:1711.09445. Full description at Econpapers || Download paper | |
| 2017 | Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479. Full description at Econpapers || Download paper | |
| 2018 | A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering. (2018). Verma, Anshul ; di Matteo, Tiziana ; Buonocore, Riccardo Junior . In: Papers. RePEc:arx:papers:1712.02138. Full description at Econpapers || Download paper | |
| 2017 | On Long Memory Origins and Forecast Horizons. (2017). Vera-Valdés, J. In: Papers. RePEc:arx:papers:1712.08057. Full description at Econpapers || Download paper | |
| 2018 | Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration. (2018). Ravazzolo, Francesco ; Rossini, Luca ; Gianfreda, Angelica. In: Papers. RePEc:arx:papers:1801.01093. Full description at Econpapers || Download paper | |
| 2018 | Predicting crypto-currencies using sparse non-Gaussian state space models. (2018). Zoerner, Thomas ; Huber, Florian ; Zorner, Thomas O ; Hotz-Behofsits, Christian. In: Papers. RePEc:arx:papers:1801.06373. Full description at Econpapers || Download paper | |
| 2018 | Nonfractional Memory: Filtering, Antipersistence, and Forecasting. (2018). Vera-Valdés, J. In: Papers. RePEc:arx:papers:1801.06677. Full description at Econpapers || Download paper | |
| 2018 | Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2018). Crisóstomo, Ricardo ; Couso, Lorena. In: Papers. RePEc:arx:papers:1801.08007. Full description at Econpapers || Download paper | |
| 2018 | Short- to Mid-term Day-Ahead Electricity Price Forecasting Using Futures. (2018). Steinert, Rick ; Ziel, Florian. In: Papers. RePEc:arx:papers:1801.10583. Full description at Econpapers || Download paper | |
| 2018 | Efficient Pricing of Barrier Options on High Volatility Assets using Subset Simulation. (2018). Mendonca, Keegan ; Zuev, Konstantin M ; Pantelous, Athanasios A ; Kontosakos, Vasileios E. In: Papers. RePEc:arx:papers:1803.03364. Full description at Econpapers || Download paper | |
| 2018 | Exploring the predictability of range-based volatility estimators using RNNs. (2018). Petneh, G'Abor. In: Papers. RePEc:arx:papers:1803.07152. Full description at Econpapers || Download paper | |
| 2018 | Econophysics Beyond General Equilibrium: the Business Cycle Model. (2018). Olkhov, Victor. In: Papers. RePEc:arx:papers:1804.04721. Full description at Econpapers || Download paper | |
| 2018 | Deep Learning for Predicting Asset Returns. (2018). Feng, Guanhao ; Polson, Nicholas G ; He, Jingyu. In: Papers. RePEc:arx:papers:1804.09314. Full description at Econpapers || Download paper | |
| 2019 | Total, asymmetric and frequency connectedness between oil and forex markets. (2018). Kočenda, Evžen ; BarunÃk, Jozef ; Kovcenda, Evvzen. In: Papers. RePEc:arx:papers:1805.03980. Full description at Econpapers || Download paper | |
| 2018 | Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective. (2018). Liu, Laura. In: Papers. RePEc:arx:papers:1805.04178. Full description at Econpapers || Download paper | |
| 2018 | Effects of a Price limit Change on Market Stability at the Intraday Horizon in the Korean Stock Market. (2018). Kim, Wonse ; Jun, Sung Jae. In: Papers. RePEc:arx:papers:1805.04728. Full description at Econpapers || Download paper | |
| 2018 | Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks. (2018). Weron, Rafał ; Ziel, Florian. In: Papers. RePEc:arx:papers:1805.06649. Full description at Econpapers || Download paper | |
| 2018 | Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures. (2018). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1805.08653. Full description at Econpapers || Download paper | |
| 2018 | Determining the dimension of factor structures in non-stationary large datasets. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1806.03647. Full description at Econpapers || Download paper | |
| 2018 | Multifractal characteristics and return predictability in the Chinese stock markets. (2018). Fu, Xin-Lan ; Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Shan, Zheng ; Gao, Xing-Lu. In: Papers. RePEc:arx:papers:1806.07604. Full description at Econpapers || Download paper | |
| 2018 | State-Varying Factor Models of Large Dimensions. (2018). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1807.02248. Full description at Econpapers || Download paper | |
| 2018 | A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Wang, Chao ; Chen, Qian ; Gerlach, Richard. In: Papers. RePEc:arx:papers:1807.02422. Full description at Econpapers || Download paper | |
| 2018 | Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities. (2018). BarunÃk, Jozef ; Vcech, Frantivsek. In: Papers. RePEc:arx:papers:1807.11823. Full description at Econpapers || Download paper | |
| 2018 | DeepLOB: Deep Convolutional Neural Networks for Limit Order Books. (2018). Zhang, Zihao ; Roberts, Stephen ; Zohren, Stefan. In: Papers. RePEc:arx:papers:1808.03668. Full description at Econpapers || Download paper | |
| 2018 | Modeling Nelson-Siegel Yield Curve using Bayesian Approach. (2018). Das, Sourish. In: Papers. RePEc:arx:papers:1809.06077. Full description at Econpapers || Download paper | |
| 2018 | Focused econometric estimation for noisy and small datasets: A Bayesian Minimum Expected Loss estimator approach. (2018). RamÃrez Hassan, Andrés ; Correa-Giraldo, Manuel ; Ramirez-Hassan, Andres. In: Papers. RePEc:arx:papers:1809.06996. Full description at Econpapers || Download paper | |
| 2018 | Central Bank Communication and the Yield Curve: A Semi-Automatic Approach using Non-Negative Matrix Factorization. (2018). Crayton, Ancil. In: Papers. RePEc:arx:papers:1809.08718. Full description at Econpapers || Download paper | |
| 2019 | Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations. (2018). Yamauchi, Yuta ; Omori, Yasuhiro. In: Papers. RePEc:arx:papers:1809.09928. Full description at Econpapers || Download paper | |
| 2018 | Probabilistic forecasting and simulation of electricity prices. (2018). Muniain, Peru ; Ziel, Florian. In: Papers. RePEc:arx:papers:1810.08418. Full description at Econpapers || Download paper | |
| 2018 | Asymmetric Connectedness of Fears in the U.S. Financial Sector. (2018). BarunÃk, Jozef ; Tunaru, Radu ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:1810.12022. Full description at Econpapers || Download paper | |
| 2018 | Option market (in)efficiency and implied volatility dynamics after return jumps. (2018). Kanniainen, Juho ; Magris, Martin. In: Papers. RePEc:arx:papers:1810.12200. Full description at Econpapers || Download paper | |
| 2018 | How does stock market volatility react to oil shocks?. (2018). Manera, Matteo ; Bastianin, Andrea. In: Papers. RePEc:arx:papers:1811.03820. 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 | 457 |
| 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: 457 | 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: 457 | article | |
| 2007 | Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 324 |
| 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: 324 | 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: 324 | paper | |
| 2011 | Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 19 |
| 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: 19 | 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: 19 | 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: 19 | paper | |
| 2010 | Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions In: American Economic Review. [Full Text][Citation analysis] | article | 33 |
| 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: 33 | paper | |
| 2010 | Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | paper | |
| 2010 | Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions.(2010) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | paper | |
| 1992 | Have Postwar Economic Fluctuations Been Stabilized? In: American Economic Review. [Full Text][Citation analysis] | article | 62 |
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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: 345 | paper | |
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| 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 | 104 |
| 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: 104 | 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: 104 | 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: 104 | 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: 104 | 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 | 39 |
| 1991 | Is Consumption Too Smooth? Long Memory and the Deaton Paradox..(1991) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 39 | article | |
| 1988 | Post-deregulation deposit rate pricing: the multivariate dynamics In: Finance and Economics Discussion Series. [Citation analysis] | paper | 2 |
| 1989 | Forecasting output with the composite leading index: an ex ante analysis In: Finance and Economics Discussion Series. [Citation analysis] | paper | 70 |
| 2005 | Robust estimation - discussion In: Proceedings. [Citation analysis] | article | 0 |
| 2005 | From the horse’s mouth: gauging conditional expected stock returns from investor surveys In: Proceedings. [Full Text][Citation analysis] | article | 1 |
| 1986 | Temporal aggregation of ARCH processes and the distribution of asset returns In: Special Studies Papers. [Citation analysis] | paper | 4 |
| 1986 | Structural change and the combination of forecasts In: Special Studies Papers. [Citation analysis] | paper | 6 |
| 1986 | The dynamics of exchange rate volatility: a multivariate latent factor ARCH model In: Special Studies Papers. [Citation analysis] | paper | 264 |
| 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: 264 | article | |
| 1987 | Scoring the leading indicators In: Special Studies Papers. [Citation analysis] | paper | 169 |
| 1989 | Scoring the Leading Indicators..(1989) In: The Journal of Business. [Full Text][Citation analysis] This paper has another version. Agregated cites: 169 | 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 | 88 |
| 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: 88 | article | |
| 1990 | International evidence on business cycle duration dependence In: Discussion Paper / Institute for Empirical Macroeconomics. [Full Text][Citation analysis] | paper | 5 |
| 1990 | Real exchange rates under the gold standard In: Discussion Paper / Institute for Empirical Macroeconomics. [Full Text][Citation analysis] | paper | 209 |
| 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: 209 | 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 | 22 |
| 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: 22 | paper | |
| 1995 | Modeling volatility dynamics In: Research Paper. [Full Text][Citation analysis] | paper | 45 |
| Modeling Volatility Dynamics.() In: Home Pages. [Full Text][Citation analysis] This paper has another version. Agregated cites: 45 | paper | ||
| 1995 | Forecast evaluation and combination In: Research Paper. [Full Text][Citation analysis] | paper | 217 |
| 1996 | Forecast Evaluation and Combination.(1996) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 217 | 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 | 65 |
| 1993 | Further Evidence on Business-Cycle Duration Dependence.(1993) In: NBER Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 65 | chapter | |
| 1993 | Regime switching with time-varying transition probabilities In: Working Papers. [Citation analysis] | paper | 31 |
| 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 | 47 |
| 1997 | Evaluating Density Forecasts.(1997) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 47 | paper | |
| 1997 | Evaluating Density Forecasts.(1997) In: CARESS Working Papres. [Full Text][Citation analysis] This paper has another version. Agregated cites: 47 | paper | |
| 1997 | Evaluating Density Forecasts.(1997) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 47 | paper | |
| 1998 | Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 3 |
| 1998 | Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange.(1998) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 1998 | Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange.(1998) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 1998 | How Relevant is Volatility Forecasting for Financial Risk Management? In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 110 |
| 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: 110 | 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: 110 | 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: 110 | 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 | 49 |
| 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: 49 | paper | |
| 1999 | The Distribution of Exchange Rate Volatility In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 79 |
| 1999 | The Distribution of Exchange Rate Volatility.(1999) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 79 | paper | |
| 1999 | The Distribution of Exchange Rate Volatility.(1999) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 79 | paper | |
| 1999 | Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 70 |
| 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: 70 | 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: 70 | 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: 70 | 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 | 25 |
| 1998 | Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 15 |
| 1998 | Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management.(1998) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
| 1998 | Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors Introduction. In: International Economic Review. [Citation analysis] | article | 3 |
| 1998 | Evaluating Density Forecasts with Applications to Financial Risk Management. In: International Economic Review. [Citation analysis] | article | 566 |
| 2011 | Globalization, the Business Cycle, and Macroeconomic Monitoring In: IMF Working Papers. [Full Text][Citation analysis] | paper | 9 |
| 2010 | Globalization, the Business Cycle, and Macroeconomic Monitoring.(2010) In: NBER Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | 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: 9 | 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: 9 | article | |
| 2006 | Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics In: Management Science. [Full Text][Citation analysis] | article | 73 |
| 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: 73 | 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: 73 | 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: 73 | paper | |
| 1996 | Further Results on Forecasting and Model Selection under Asymmetric Loss. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 54 |
| Further Results on Forecasting and Model Selection Under Asymmetric Loss.() In: Home Pages. [Full Text][Citation analysis] This paper has another version. Agregated cites: 54 | 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 | 37 |
| 2008 | Macroeconomic Volatility and Stock Market Volatility, Worldwide.(2008) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | 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: 37 | paper | |
| 2015 | Estimating Global Bank Network Connectedness In: Koç University-TUSIAD Economic Research Forum Working Papers. [Full Text][Citation analysis] | paper | 35 |
| 2017 | Estimating Global Bank Network Connectedness.(2017) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 35 | paper | |
| 2007 | Practical Volatility and Correlation Modeling for Financial Market Risk Management In: NBER Chapters. [Full Text][Citation analysis] | chapter | 16 |
| 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: 16 | 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: 16 | 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: 16 | 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 | 45 |
| 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: 45 | paper | |
| 2005 | Volatility Forecasting In: NBER Working Papers. [Full Text][Citation analysis] | paper | 40 |
| 2005 | Volatility Forecasting.(2005) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
| 2005 | Volatility forecasting.(2005) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
| 2005 | Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets In: NBER Working Papers. [Full Text][Citation analysis] | paper | 94 |
| 2004 | Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets.(2004) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 94 | paper | |
| 2004 | Real-time price discovery in stock, bond and foreign exchange markets.(2004) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 94 | paper | |
| 2012 | Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests In: NBER Working Papers. [Full Text][Citation analysis] | paper | 75 |
| 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: 75 | 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: 75 | article | |
| 2016 | Assessing Point Forecast Accuracy by Stochastic Error Distance In: NBER Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 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: 2 | paper | |
| 2016 | Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility In: NBER Working Papers. [Full Text][Citation analysis] | paper | 16 |
| 2017 | Commodity Connectedness In: NBER Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2018 | Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1994 | Measuring Business Cycles: A Modern Perspective In: NBER Working Papers. [Full Text][Citation analysis] | paper | 225 |
| 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: 225 | article | |
| Measuring Business Cycle: A Modern Perspective.() In: Home Pages. [Full Text][Citation analysis] This paper has another version. Agregated cites: 225 | paper | ||
| 1994 | Job Stability in the United States In: NBER Working Papers. [Full Text][Citation analysis] | paper | 51 |
| 1997 | Job Stability in the United States..(1997) In: Journal of Labor Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 51 | article | |
| 1996 | Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again In: NBER Working Papers. [Full Text][Citation analysis] | paper | 8 |
| Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again.() In: Home Pages. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | ||
| 1997 | Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters In: NBER Working Papers. [Full Text][Citation analysis] | paper | 40 |
| 1998 | Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters.(1998) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
| 2000 | The Distribution of Stock Return Volatility In: NBER Working Papers. [Full Text][Citation analysis] | paper | 34 |
| 2000 | The Distribution of Stock Return Volatility.(2000) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
| 2001 | High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models In: NBER Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2003 | A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations In: NBER Working Papers. [Full Text][Citation analysis] | paper | 99 |
| 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: 99 | 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: 99 | paper | |
| 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: 99 | 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: 99 | article | |
| 2015 | Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring In: OUP Catalogue. [Citation analysis] | book | 80 |
| 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 | 27 |
| 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: 27 | paper | |
| 2004 | Realized Beta: Persistence and Predictability In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 9 |
| 2004 | Realized beta: Persistence and predictability.(2004) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2008 | Real-Time Measurement of Business Conditions, Second Version In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 4 |
| 2008 | On the Correlation Structure of Microstructure Noise in Theory and Practice In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 11 |
| 2008 | On the correlation structure of microstructure noise in theory and practice.(2008) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
| 2012 | On the Origin(s) and Development of the Term “Big Data In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 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 | 20 |
| 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 | 39 |
| 2010 | The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice In: Economics Books. [Citation analysis] | book | 4 |
| 2012 | Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach In: Economics Books. [Citation analysis] | book | 6 |
| 2008 | Priors from Frequency-Domain Dummy Observations In: 2008 Meeting Papers. [Full Text][Citation analysis] | paper | 0 |
| 2005 | Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1988 | Has the EMS Reduced Member-Country Exchange Rate Volatility? In: Empirical Economics. [Citation analysis] | article | 10 |
| 2015 | Rejoinder In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
| 1998 | Bootstrapping Multivariate Spectra In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 27 |
| 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 | 122 |
| 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 | 14 |
| 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 February, 1st 2019. Contact: CitEc Team