Francis Diebold : Citation Profile


Are you Francis Diebold?

University of Pennsylvania

50

H index

93

i10 index

13619

Citations

RESEARCH PRODUCTION:

98

Articles

233

Papers

4

Books

9

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   31 years (1986 - 2017). See details.
   Cites by year: 439
   Journals where Francis Diebold has often published
   Relations with other researchers
   Recent citing documents: 862.    Total self citations: 159 (1.15 %)

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   Permalink: http://citec.repec.org/pdi1
   Updated: 2017-03-25    RAS profile: 2016-12-29    
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Relations with other researchers


Works with:

Schorfheide, Frank (8)

Yilmaz, Kamil (6)

Aruoba, S. Boragan (4)

Song, Dongho (3)

Strasser, Georg (2)

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

Is cited by:

Gil-Alana, Luis (184)

Swanson, Norman (165)

Bollerslev, Tim (138)

McAleer, Michael (133)

van Dijk, Dick (127)

Shephard, Neil (115)

GUPTA, RANGAN (104)

Clements, Michael (96)

Pesaran, M (88)

Baruník, Jozef (86)

Andersen, Torben (79)

Cites to:

Bollerslev, Tim (121)

Andersen, Torben (86)

Rudebusch, Glenn (52)

Engle, Robert (51)

Shephard, Neil (33)

Christoffersen, Peter (31)

Campbell, John (25)

Yilmaz, Kamil (22)

Ghysels, Eric (22)

Granger, Clive (20)

Watson, Mark (20)

Main data


Where Francis Diebold has published?


Journals with more than one article published# docs
Journal of Econometrics15
Journal of Business & Economic Statistics10
American Economic Review6
The Review of Economics and Statistics6
Economics Letters5
Econometric Theory5
International Journal of Forecasting4
Journal of Applied Econometrics4
Proceedings3
Journal of International Economics2
Journal of Economic Dynamics and Control2
The Journal of Business2
Economic Journal2
Business Review2
International Economic Review2
Journal of Political Economy2
Journal of Business & Economic Statistics2
Journal of Finance2
Review of Economic Studies2
Journal of the American Statistical Association2

Working Papers Series with more than one paper published# docs
Working Papers / Federal Reserve Bank of Philadelphia20
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)18
CFS Working Paper Series / Center for Financial Studies (CFS)18
Special Studies Papers / Board of Governors of the Federal Reserve System (U.S.)7
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
Working Paper Series / Federal Reserve Bank of San Francisco4
Finance Working Papers / East Asian Bureau of Economic Research2
Research Paper / Federal Reserve Bank of New York2
Working Paper Series / Economic Activity Section / Board of Governors of the Federal Reserve System (U.S.)2
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)2
IMF Working Papers / International Monetary Fund2
Working Papers / Duke University, Department of Economics2

Recent works citing Francis Diebold (2017 and 2016)


YearTitle of citing document
2016Fixed-b Inference in the Presence of Time-Varying Volatility. (2016). Kruse, Robinson ; Demetrescu, Matei ; Hanck, Christoph . In: CREATES Research Papers. RePEc:aah:create:2016-01.

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2016Dynamic Global Currency Hedging. (2016). Christensen, Bent Jesper ; Varneskov, Rasmus T. In: CREATES Research Papers. RePEc:aah:create:2016-03.

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2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim . In: CREATES Research Papers. RePEc:aah:create:2016-10.

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2016Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting. (2016). Leschinski, Christian ; Kruse, Robinson ; Will, Michael . In: CREATES Research Papers. RePEc:aah:create:2016-17.

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2016Volume, Volatility and Public News Announcements. (2016). Li, Jia ; Xue, Yuan . In: CREATES Research Papers. RePEc:aah:create:2016-19.

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2016A Dynamic Multi-Level Factor Model with Long-Range Dependence. (2016). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Ergemen, Yunus Emre ; Rodriguez-Caballero, Carlos Vladimir . In: CREATES Research Papers. RePEc:aah:create:2016-23.

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2016Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia. (2016). Engsted, Tom ; Andreasen, Martin M ; Sander, Magnus ; Moller, Stig V. In: CREATES Research Papers. RePEc:aah:create:2016-26.

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2016The Drift Burst Hypothesis. (2016). Oomen, Roel ; Christensen, Kim ; Reno, Roberto . In: CREATES Research Papers. RePEc:aah:create:2016-28.

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2016Panel Data with Cross-Sectional Dependence Characterized by a Multi-Level Factor Structure. (2016). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodriguez-Caballero, Carlos Vladimir . In: CREATES Research Papers. RePEc:aah:create:2016-31.

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

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2016State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models. (2016). Uzeda, Luis . In: ANU Working Papers in Economics and Econometrics. RePEc:acb:cbeeco:2016-632.

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2016The Response of Tail Risk Perceptions to Unconventional Monetary Policy. (2016). Sushko, Vladyslav ; Schrimpf, Andreas ; Hattori, Masazumi . In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:8:y:2016:i:2:p:111-36.

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2016The Impact of Stochastic Extraction Cost on the Value of an Exhaustible Resource: An Application to the Alberta Oil Sands. (2016). Insley, Margaret ; Almansour, Abdullah . In: The Energy Journal. RePEc:aen:journl:ej37-2-insley.

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2016Price duration versus trading volume in high-frequency data for selected DAX companies. (2016). Gurgul, Henryk ; Syrek, Robert ; Mitterer, Christoph . In: Managerial Economics. RePEc:agh:journl:v:17:y:2016:i:2:p:241-260.

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2016Comovements and Volatility Spillover in Commodity Markets. (2016). Chen, Sihong ; Wu, Ximing . In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:235686.

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2016Forward‐Looking USDA Price Forecasts. (2016). Robe, Michel ; Adjemian, Michael ; Bruno, Valentina G. In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:235931.

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2016Informed Trading in Oil-Futures Market. (2016). Sévi, Benoît ; Rousse, Olivier . In: ESP: Energy Scenarios and Policy. RePEc:ags:feemes:249788.

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2016INVESTIGATION ON THE CAUSAL RELATIONSHIP BETWEEN INFLATION, OUTPUT GROWTH AND THEIR UNCERTAINTIES IN ROMANIA. (2016). Asandului, Mircea ; Pintilescu, Carmen ; JEMNA, Danut-Vasile ; VIORICA, Elena-Daniela . In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2016:j:17:pintilescuc.

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2016FORECASTING THE YIELD CURVE WITH THE ARBITRAGE-FREE DYNAMIC NELSON-SIEGEL MODEL: BRAZILIAN EVIDENCE. (2016). Santos, Andre ; Moura, Guilherme ; Tourrucoo, Fabricio ; Caldeira, Joo F. In: Anais do XLII Encontro Nacional de Economia [Proceedings of the 42ndd Brazilian Economics Meeting]. RePEc:anp:en2014:028.

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2016FROM REAL BUSINESS CYCLE AND NEW KEYNESIAN TO DSGE MACROECONOMICS: FACTS AND MODELS IN THE EMERGENCE OF A CONSENSUS. (2016). Duarte, Pedro. In: Anais do XLIII Encontro Nacional de Economia [Proceedings of the 43rd Brazilian Economics Meeting]. RePEc:anp:en2015:009.

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2016Principal Components Analysis for Semimartingales and Stochastic PDE. (2016). Ohashi, Alberto ; Simas, Alexandre B. In: Papers. RePEc:arx:papers:1503.05909.

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2016Switching-GAS Copula Models With Application to Systemic Risk. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1504.03733.

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2016Semimartingale detection and goodness-of-fit tests. (2016). Bull, Adam D.. In: Papers. RePEc:arx:papers:1506.00088.

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2016Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series. (2016). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1510.05118.

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2016FX Options in Target Zone. (2016). Carr, Peter ; Kakushadze, Zura . In: Papers. RePEc:arx:papers:1512.01527.

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2017Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2017). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159.

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2016Portfolio Optimisation Under Flexible Dynamic Dependence Modelling. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1601.05199.

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2016Should employers pay their employees better? An asset pricing approach. (2016). Aboura, Sofiane ; Valeyre, Sebastien ; Bonnin, Francois ; Liu, Qian ; Grebenkov, Denis . In: Papers. RePEc:arx:papers:1602.00931.

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2016Do co-jumps impact correlations in currency markets?. (2016). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef . In: Papers. RePEc:arx:papers:1602.05489.

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2016Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

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2016Financial contagion in investment funds. (2016). Santos, Leonardo Dos ; Coelho, Flavio Codeco . In: Papers. RePEc:arx:papers:1603.03458.

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2017Local Parametric Estimation in High Frequency Data. (2017). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

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2017Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets. (2017). Baruník, Jozef ; Krehlik, Tomas . In: Papers. RePEc:arx:papers:1603.07020.

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2016Commodity Dynamics: A Sparse Multi-class Approach. (2016). Barbaglia, Luca ; Croux, Christophe ; Wilms, Ines . In: Papers. RePEc:arx:papers:1604.01224.

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2016Copula--based Specification of vector MEMs. (2016). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio . In: Papers. RePEc:arx:papers:1604.01338.

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

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2016Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models. (2016). Catania, Leopoldo ; Nonejad, Nima . In: Papers. RePEc:arx:papers:1605.00230.

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2016Discrete Wavelet Transform-Based Prediction of Stock Index: A Study on National Stock Exchange Fifty Index. (2016). Jothimani, Dhanya ; Yadav, Surendra S ; Shankar, Ravi . In: Papers. RePEc:arx:papers:1605.07278.

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2016What does past correlation structure tell us about the future? An answer from network filtering. (2016). di Matteo, Tiziana ; Aste, Tomaso . In: Papers. RePEc:arx:papers:1605.08908.

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2016Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring. (2016). Ormos, Mihály ; Timotity, Dusan . In: Papers. RePEc:arx:papers:1606.03597.

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2016Asymmetric volatility connectedness on forex markets. (2016). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef. In: Papers. RePEc:arx:papers:1607.08214.

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2016Bayesian Nonparametric Sparse Seemingly Unrelated Regression Model (SUR). (2016). Rossini, Luca ; Billio, Monica ; Casarin, Roberto . In: Papers. RePEc:arx:papers:1608.02740.

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2016Timing in the Presence of Directional Predictability: Optimal Stopping of Skew Brownian Motion. (2016). Alvarez, Luis ; Luis , ; Salminen, Paavo . In: Papers. RePEc:arx:papers:1608.04537.

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2016Quantile Dependence between Stock Markets and its Application in Volatility Forecasting. (2016). Han, Heejoon. In: Papers. RePEc:arx:papers:1608.07193.

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2016Volatility Inference and Return Dependencies in Stochastic Volatility Models. (2016). Pfante, Oliver ; Bertschinger, Nils . In: Papers. RePEc:arx:papers:1610.00312.

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2016Decoupling the short- and long-term behavior of stochastic volatility. (2016). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger . In: Papers. RePEc:arx:papers:1610.00332.

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2016Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall. (2016). Kratz, Marie ; McNeil, Alexander J ; Lok, Yen H. In: Papers. RePEc:arx:papers:1611.04851.

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2016S&P500 Forecasting and Trading using Convolution Analysis of Major Asset Classes. (2016). Siettos, Constantinos ; Papaioannou, Panagiotis ; Dionysopoulos, Thomas ; Janetzko, Dietmar . In: Papers. RePEc:arx:papers:1612.04370.

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2016Optimal Kernel Estimation of Spot Volatility of Stochastic Differential Equations. (2016). Li, Cheng . In: Papers. RePEc:arx:papers:1612.04507.

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2016Predictability Hidden by Anomalous Observations. (2016). Scaillet, Olivier ; Camponovo, Lorenzo ; Trojani, Fabio . In: Papers. RePEc:arx:papers:1612.05072.

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2016Optimal Investment under Information Driven Contagious Distress. (2016). Bo, Lijun ; Capponi, Agostino . In: Papers. RePEc:arx:papers:1612.06133.

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2016Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures. (2016). Wang, Chao ; Gerlach, Richard . In: Papers. RePEc:arx:papers:1612.08488.

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2016The Random Walk behind Volatility Clustering. (2016). Inoua, Sabiou . In: Papers. RePEc:arx:papers:1612.09344.

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2017Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2017). Potiron, Yoann ; Clinet, Simon . In: Papers. RePEc:arx:papers:1701.01185.

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2017Contagion in financial systems: A Bayesian network approach. (2017). Chong, Carsten ; Kluppelberg, Claudia . In: Papers. RePEc:arx:papers:1702.04287.

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2017Relation between regional uncertainty spillovers in the global banking system. (2017). Tungsong, Sachapon ; Aste, Tomaso ; Caccioli, Fabio . In: Papers. RePEc:arx:papers:1702.05944.

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2017Robust and Consistent Estimation of Generators in Credit Risk. (2017). Smith, Greig ; Reis, Goncalo dos . In: Papers. RePEc:arx:papers:1702.08867.

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2016Order Invariant Evaluation of Multivariate Density Forecasts. (2016). Dovern, Jonas ; Manner, Hans . In: Working Papers. RePEc:awi:wpaper:0608.

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2016Stock Market Volatility: Does Our Fundamentals Matter?. (2016). Isola, LAWAL Adedoyin . In: Economic Studies journal. RePEc:bas:econst:y:2016:i:3:p:33-42.

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2016Adaptive models and heavy tails with an application to inflation forecasting. (2016). Petrella, Ivan ; Delle Monache, Davide. In: BCAM Working Papers. RePEc:bbk:bbkcam:1603.

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2016The evasive predictive ability of core inflation. (2016). Selaive, Jorge ; Pincheira, Pablo ; Nolazco, Jose. In: Working Papers. RePEc:bbv:wpaper:1534.

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2016Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil. (2016). Accioly, Victor Bello ; de Melo, Beatriz Vaz . In: Brazilian Business Review. RePEc:bbz:fcpbbr:v:13:y:2016:i:2:p1-26.

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2016A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil. (2016). Kilian, Lutz ; Baumeister, Christiane. In: Staff Working Papers. RePEc:bca:bocawp:16-18.

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2016Starting from a Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility. (2016). Talmi, Jonathan ; Ehrmann, Michael. In: Staff Working Papers. RePEc:bca:bocawp:16-37.

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2016Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets. (2016). Laurini, Márcio ; Aiube, Fernando Antonio ; Lucena, Fernando Antonio ; Mauad, Roberto Baltieri . In: Working Papers Series. RePEc:bcb:wpaper:415.

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2016Applying a Microfounded-Forecasting Approach to Predict Brazilian Inflation. (2016). Issler, João ; Gaglianone, Wagner ; Matos, Silvia Maria . In: Working Papers Series. RePEc:bcb:wpaper:436.

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2016Evaluation of Exchange Rate Point and Density Forecasts: an application to Brazil. (2016). Gaglianone, Wagner ; Terra, Gabriel Jaqueline . In: Working Papers Series. RePEc:bcb:wpaper:446.

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2017Expected Currency Returns and Volatility Risk Premia. (2017). ORNELAS, JOSE ; Haas, Jose Renato . In: Working Papers Series. RePEc:bcb:wpaper:454.

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2016GDP Nowcasting: Assessing the Cyclical Conditions of the Argentine Economy. (2016). D'Amato, Laura ; Blanco, Emilio ; Garegnani, Lorena . In: Ensayos Económicos. RePEc:bcr:ensayo:v:1:y:2016:i:74:p:7-26.

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2016The evolution of inflation expectations in euro area markets. (2016). Ortega, Eva ; Gimeno, Ricardo. In: Working Papers. RePEc:bde:wpaper:1627.

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2016Adaptive models and heavy tails. (2016). Petrella, Ivan ; Delle Monache, Davide. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1052_16.

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2016BTP futures and cash relationships: a high frequency data analysis. (2016). Puorro, Alfonso ; Potente, Francesco ; Panzarino, Onofrio . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1083_16.

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2016Changes in Inflation Predictability in Major Latin American Countries. (2016). Daniel, Garces Diaz . In: Working Papers. RePEc:bdm:wpaper:2016-20.

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2016Equity Markets’ Clustering and the Global Financial Crisis. (2016). Martínez, Constanza ; León, Carlos ; Leon, Carlos ; Lee, Daeyup ; Martinez, Constanza ; Kim, Geun-Young . In: Borradores de Economia. RePEc:bdr:borrec:937.

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2016Stock Market Volatility Spillovers: Evidence for Latin America. (2016). Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Gamba, Santiago ; Gamba-Santamaria, Santiago ; Hurtado-Guarin, Jorge Luis . In: Borradores de Economia. RePEc:bdr:borrec:943.

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2017Volatility Spillovers among Global Stock Markets: Measuring Total and Directional Effects. (2017). Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Gamba, Santiago ; Hurtado-Guarin, Jorge Luis ; Gamba-Santamaria, Santiago . In: Borradores de Economia. RePEc:bdr:borrec:983.

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2016Monetary Policy and the Stock Market: Time-Series Evidence. (2016). Weber, Michael ; Neuhierl, Andreas . In: Working Papers. RePEc:bfi:wpaper:2016-26.

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2016UK term structure decompositions at the zero lower bound.. (2016). Mouabbi, Sarah ; Carriero, Andrea ; Vangelista, E. In: Working papers. RePEc:bfr:banfra:589.

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2016Rationality of announcements, business cycle asymmetry, and predictability of revisions. The case of French GDP.. (2016). Mogliani, Matteo ; Ferriere, T. In: Working papers. RePEc:bfr:banfra:600.

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2016Economic policy uncertainty in advanced countries and portfolio capital flows to emerging markets. (2016). Reinhardt, Dennis ; Gauvin, Ludovic ; McLoughlin, C. In: Rue de la Banque. RePEc:bfr:rueban:2016:34.

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2016Financial globalisation and monetary independence. (2016). Disyatat, Piti ; Rungcharoenkitkul, Phurichai . In: BIS Papers chapters. RePEc:bis:bisbpc:88-14.

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2016When the walk is not random: commodity prices and exchange rates. (2016). Schrimpf, Andreas ; Kohlscheen, Emanuel ; Avalos, Fernando. In: BIS Working Papers. RePEc:bis:biswps:551.

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2016Regional pull vs global push factors: China and US influence on Asia-Pacific financial markets. (2016). He, Dong ; Shu, Chang ; Wang, Honglin . In: BIS Working Papers. RePEc:bis:biswps:579.

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2016Intuitive and reliable estimates of the output gap from a Beveridge-Nelson filter. (2016). Wong, Benjamin ; Morley, James ; Kamber, Gunes. In: BIS Working Papers. RePEc:bis:biswps:584.

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2017Market volatility, monetary policy and the term premium. (2017). Mallick, Sushanta ; Zampolli, Fabrizio ; Mohanty, Madhusudan . In: BIS Working Papers. RePEc:bis:biswps:606.

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2016The Chinese Stock Market Does not React to the Japanese Market: Using Intraday Data to Analyse Return and Volatility Spillover Effects. (2016). Tsutsui, Yoshiro ; Nishimura, Yusaku ; Hirayama, Kenjiro . In: The Japanese Economic Review. RePEc:bla:jecrev:v:67:y:2016:i:3:p:280-294.

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2016Information in the Term Structure of Yield Curve Volatility. (2016). Cieslak, Anna ; Povala, Pavol . In: Journal of Finance. RePEc:bla:jfinan:v:71:y:2016:i:3:p:1393-1436.

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2016Business Cycle Spillovers in the European Union: What is the Message Transmitted to the Core?. (2016). Filis, George ; Antonakakis, Nikolaos ; Chatziantoniou, Ioannis . In: Manchester School. RePEc:bla:manchs:v:84:y:2016:i:4:p:437-481.

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2016Measuring the Real and Financial Connectedness of Selected African Economies with the Global Economy. (2016). Orji, Anthony ; Erdene-Urnukh, Oyun ; Aneke, Gladys C ; Ogbuabor, Jonathan E. In: South African Journal of Economics. RePEc:bla:sajeco:v:84:y:2016:i:3:p:364-399.

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2016AN EVALUATION OF INFLATION EXPECTATIONS IN TURKEY. (2016). Yazgan, Ege ; Soybilgen, Bara . In: Working Papers. RePEc:bli:wpaper:1601.

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2016Words are the new numbers: A newsy coincident index of business cycles. (2016). Thorsrud, Leif. In: Working Papers. RePEc:bny:wpaper:0044.

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2016Nowcasting using news topics Big Data versus big bank. (2016). Thorsrud, Leif. In: Working Papers. RePEc:bny:wpaper:0046.

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2016Adaptive models and heavy tails. (2016). Petrella, Ivan ; Delle Monache, Davide. In: Bank of England working papers. RePEc:boe:boeewp:0577.

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2016Policy and macro signals as inputs to inflation expectation formation. (2016). Hubert, Paul ; Maule, Becky . In: Bank of England working papers. RePEc:boe:boeewp:0581.

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2016Tracking the slowdown in long-run GDP growth. (2016). Petrella, Ivan ; Antolin-Diaz, Juan ; Drechsel, Thomas . In: Bank of England working papers. RePEc:boe:boeewp:0587.

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2016Financial market volatility, macroeconomic fundamentals and investor sentiment. (2016). Stoja, Evarist ; Harris, Richard ; Chiu, Ching-Wai (Jeremy). In: Bank of England working papers. RePEc:boe:boeewp:0608.

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2016Overseas unspanned factors and domestic bond returns. (2016). Raczko, Marek ; Spencer, Peter ; Meldrum, Andrew . In: Bank of England working papers. RePEc:boe:boeewp:0618.

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2016The diffusion and dynamics of producer prices, deflationary pressure across Asian countries, and the role of China. (2016). Funke, Michael ; Chen, Hongyi ; Tsang, Andrew . In: BOFIT Discussion Papers. RePEc:bof:bofitp:2016_011.

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2016A shadow rate model with time-varying lower bound of interest rates. (2016). Kortela, Tomi . In: Research Discussion Papers. RePEc:bof:bofrdp:2016_019.

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2016Exhange rate linkages between the Asean currencies, the US dollar and the Chinese RMB. (2016). Caporale, Guglielmo Maria ; Gil-Alana, Luis A ; You, Kefei . In: Research Discussion Papers. RePEc:bof:bofrdp:2016_020.

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2016Testing the Q theory of investment in the frequency domain. (2016). Verona, Fabio ; Kilponen, Juha . In: Research Discussion Papers. RePEc:bof:bofrdp:2016_032.

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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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paper339
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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article
2007Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers.
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paper240
2007Real-time price discovery in global stock, bond and foreign exchange markets.(2007) In: Journal of International Economics.
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article
2006Real-time price discovery in global stock, bond and foreign exchange markets.(2006) In: International Finance Discussion Papers.
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paper
2011Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers.
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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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article22
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: 22
paper
1992Have Postwar Economic Fluctuations Been Stabilized? In: American Economic Review.
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article58
1991Have postwar economic fluctuations been stabilized?.(1991) In: Working Paper Series / Economic Activity Section.
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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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article65
2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange In: American Economic Review.
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article479
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers.
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paper
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers.
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paper
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: NBER Working Papers.
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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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paper
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk In: American Economic Review.
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article43
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: NBER Working Papers.
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paper
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: PIER Working Paper Archive.
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paper
2005A framework for exploring the macroeconomic determinants of systematic risk.(2005) In: CFS Working Paper Series.
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paper
2005Modeling Bond Yields in Finance and Macroeconomics In: American Economic Review.
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article81
2005Modeling bond yields in finance and macroeconomics.(2005) In: Working Paper Series.
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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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article57
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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paper13
2006Time Series Analysis.(2006) In: PIER Working Paper Archive.
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This paper has another version. Agregated cites: 13
paper
2005Weather Forecasting for Weather Derivatives In: Journal of the American Statistical Association.
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article63
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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paper
2001The Distribution of Realized Exchange Rate Volatility In: Journal of the American Statistical Association.
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article571
1995Comparing Predictive Accuracy. In: Journal of Business & Economic Statistics.
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article2606
2002Comparing Predictive Accuracy..(2002) In: Journal of Business & Economic Statistics.
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article
1994Comparing Predictive Accuracy.(1994) In: NBER Technical Working Papers.
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paper
1998Cointegration and Long-Horizon Forecasting. In: Journal of Business & Economic Statistics.
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article77
1997Cointegration and long-horizon forecasting.(1997) In: Working Papers.
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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.
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article68
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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1999Unit Root Tests Are Useful for Selecting Forecasting Models.(1999) In: NBER Working Papers.
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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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article42
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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article171
2007Real-time measurement of business conditions.(2007) In: International Finance Discussion Papers.
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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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paper
1988Serial Correlation and the Combination of Forecasts. In: Journal of Business & Economic Statistics.
[Citation analysis]
article18
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.
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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]
article21
1994 On Cointegration and Exchange Rate Dynamics. In: Journal of Finance.
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article116
1993On cointegration and exchange rate dynamics.(1993) In: Working Papers.
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This paper has another version. Agregated cites: 116
paper
2002Range-Based Estimation of Stochastic Volatility Models In: Journal of Finance.
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article260
2004The Nobel Memorial Prize for Robert F. Engle In: Scandinavian Journal of Economics.
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article7
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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paper13
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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article16
2011Equity Market Spillovers in the Americas.(2011) In: Central Banking, Analysis, and Economic Policies Book Series.
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chapter
2002Financial Asset Returns, Market Timing, and Volatility Dynamics In: CIRANO Working Papers.
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paper6
2000Measuring Predictability: Theory And Macroeconomic Applications In: CEPR Discussion Papers.
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paper46
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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article
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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article126
1997Optimal prediction under asymmetric loss.(1997) In: Working Papers.
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paper
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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paper
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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article3
1987Prediction, Extraction, and Estimation in Unobserved Components Models In: Econometric Theory.
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article0
1988Prediction, Extraction, and Estimation in Unobserved Components Model.(1988) In: Econometric Theory.
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article
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 Filter Adrew C. Harvey Ca In: Econometric Theory.
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article0
2002Modeling and Forecasting Realized Volatility In: Working Papers.
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paper978
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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paper5
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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1997Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers. In: Economic Journal.
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article7
1997Bounded rationality and strategic complementarity in a macroeconomic model: policy effects, persistence, and multipliers.(1997) In: Working Papers.
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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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article341
2008Measuring financial asset return and volatility spillovers, with application to global equity markets.(2008) In: Working Papers.
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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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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
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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2004Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics In: Econometric Society 2004 Australasian Meetings.
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paper0
2009An arbitrage-free generalized Nelson--Siegel term structure model In: Econometrics Journal.
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article49
2008An arbitrage-free generalized Nelson-Siegel term structure model.(2008) In: Working Paper Series.
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paper
2008An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model.(2008) In: NBER Working Papers.
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paper
2008An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model.(2008) In: PIER Working Paper Archive.
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paper
1988Testing for bubbles, reflecting barriers and other anomalies In: Journal of Economic Dynamics and Control.
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article2
1989State space modeling of time series : A review essay In: Journal of Economic Dynamics and Control.
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article3
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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chapter90
2015Assessing point forecast accuracy by stochastic loss distance In: Economics Letters.
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article0
1986The exact initial covariance matrix of the state vector of a general MA(q) process In: Economics Letters.
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article2
1986Exact maximum-likelihood estimation of autoregressive models via the Kalman filter In: Economics Letters.
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article3
1991On the power of Dickey-Fuller tests against fractional alternatives In: Economics Letters.
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article166
1990On the power of Dickey-Fuller tests against fractional alternatives.(1990) In: Finance and Economics Discussion Series.
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paper
1996Fractional integration and interval prediction In: Economics Letters.
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article13
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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article469
2000Long Memory and Regime Switching.(2000) In: NBER Technical Working Papers.
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2006Forecasting the term structure of government bond yields In: Journal of Econometrics.
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article409
2003Forecasting the Term Structure of Government Bond Yields.(2003) In: NBER Working Papers.
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paper
2002Forecasting the Term Structure of Government Bond Yields.(2002) In: Center for Financial Institutions Working Papers.
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paper
2003Forecasting the term structure of government bond yields.(2003) In: CFS Working Paper Series.
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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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article283
2004The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach.(2004) In: NBER Working Papers.
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2008Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach In: Journal of Econometrics.
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article72
2007Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach.(2007) In: NBER Working Papers.
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2007Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach.(2007) In: PIER Working Paper Archive.
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2007Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach.(2007) In: CFS Working Paper Series.
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2011The affine arbitrage-free class of Nelson-Siegel term structure models In: Journal of Econometrics.
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2007The affine arbitrage-free class of Nelson-Siegel term structure models.(2007) In: Working Paper Series.
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2007The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models.(2007) In: NBER Working Papers.
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2007The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models.(2007) In: PIER Working Paper Archive.
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2013A Markov-switching multifractal inter-trade duration model, with application to US equities In: Journal of Econometrics.
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article15
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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2014On the network topology of variance decompositions: Measuring the connectedness of financial firms In: Journal of Econometrics.
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article165
2011On the network topology of variance decompositions: Measuring the connectedness of financial firms.(2011) In: Working Papers.
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2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms.(2011) In: Koç University-TUSIAD Economic Research Forum Working Papers.
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2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms.(2011) In: NBER Working Papers.
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2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms.(2011) In: PIER Working Paper Archive.
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2016Improving GDP measurement: A measurement-error perspective In: Journal of Econometrics.
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article18
2013Improving GDP measurement: a measurement-error perspective.(2013) In: Working Papers.
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2013Improving GDP Measurement: A Measurement-Error Perspective.(2013) In: NBER Working Papers.
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2013Improving GDP Measurement: A Measurement-Error Perspective.(2013) In: PIER Working Paper Archive.
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1993Discussion : The effect of seasonal adjustment filters on tests for a unit root In: Journal of Econometrics.
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article2
1994On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean In: Journal of Econometrics.
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article61
1990On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean.(1990) In: Discussion Paper / Institute for Empirical Macroeconomics.
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1993On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean.(1993) In: Working Papers.
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paper
1996Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures In: Journal of Econometrics.
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article94
1993Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures.(1993) In: Working Papers.
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paper
1997Why are estimates of agricultural supply response so variable? In: Journal of Econometrics.
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article10
1996Why Are Estimates of Agricultural Supply Response so Variable?.(1996) In: Finance and Economics Discussion Series.
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paper
1996Why are estimates of agricultural supply response so variable?.(1996) In: Finance and Economics Discussion Series.
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paper
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2001High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models In: NBER Working Papers.
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