Francis Diebold : Citation Profile


Are you Francis Diebold?

University of Pennsylvania

54

H index

100

i10 index

16670

Citations

RESEARCH PRODUCTION:

97

Articles

235

Papers

4

Books

9

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   32 years (1986 - 2018). See details.
   Cites by year: 520
   Journals where Francis Diebold has often published
   Relations with other researchers
   Recent citing documents: 1488.    Total self citations: 160 (0.95 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pdi1
   Updated: 2018-12-15    RAS profile: 2017-09-03    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Schorfheide, Frank (6)

Yilmaz, Kamil (5)

Shin, Minchul (4)

Aruoba, S. Boragan (4)

Song, Dongho (4)

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

Is cited by:

Gil-Alana, Luis (249)

GUPTA, RANGAN (170)

Swanson, Norman (167)

McAleer, Michael (151)

Bollerslev, Tim (139)

van Dijk, Dick (127)

Shephard, Neil (118)

Clements, Michael (116)

Baruník, Jozef (112)

Nielsen, Morten (106)

Degiannakis, Stavros (95)

Cites to:

Bollerslev, Tim (142)

Andersen, Torben (99)

Engle, Robert (69)

Rudebusch, Glenn (52)

Shephard, Neil (50)

Christoffersen, Peter (43)

Campbell, John (29)

Meddahi, Nour (24)

Granger, Clive (24)

Yilmaz, Kamil (23)

Pesaran, M (23)

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
Econometric Theory5
Economics Letters5
International Journal of Forecasting4
Journal of Applied Econometrics4
Proceedings3
Business Review2
Journal of Political Economy2
Journal of International Economics2
Journal of Finance2
Journal of the American Statistical Association2
Journal of Business & Economic Statistics2
Economic Journal2
International Economic Review2
Journal of Economic Dynamics and Control2
Review of Economic Studies2
The Journal of Business2

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

Recent works citing Francis Diebold (2018 and 2017)


YearTitle of citing document
2017Dynamics 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

2017Does 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

2017Statistical 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

2017The 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

2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: CREATES Research Papers. RePEc:aah:create:2017-26.

Full description at Econpapers || Download paper

2018A Parametric Factor Model of the Term Structure of Mortality. (2018). Haldrup, Niels. In: CREATES Research Papers. RePEc:aah:create:2018-06.

Full description at Econpapers || Download paper

2018Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation. (2018). Christiansen, Charlotte ; Jun, AI ; Asgharian, Hossein. In: CREATES Research Papers. RePEc:aah:create:2018-12.

Full description at Econpapers || Download paper

2018Models 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

2018Forecasters’ utility and forecast coherence. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-23.

Full description at Econpapers || Download paper

2018Fiscal 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

2017Speculation 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

2018Macroeconomic 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

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

Full description at Econpapers || Download paper

2018Does 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

2018Using 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

2017SYSTEMATIC 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

2017Statistical 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

2017Temperature 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

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

Full description at Econpapers || Download paper

2018International 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

2017Economic significance of commodity return forecasts from the fractionally cointegrated VAR model. (2017). Nielsen, Morten ; Xu, KE ; Narayan, Paresh Kumar ; Dolatabadi, Sepideh. In: Queen's Economics Department Working Papers. RePEc:ags:quedwp:274663.

Full description at Econpapers || Download paper

2017An 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

2017Financial 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

2017Financial 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

2018An 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

2018Modeling 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

2017Measuring the frequency dynamics of financial connectedness and systemic risk. (2017). Krehlik, Tomas ; Baruník, Jozef. In: Papers. RePEc:arx:papers:1507.01729.

Full description at Econpapers || Download paper

2018Model-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

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

Full description at Econpapers || Download paper

2018Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017Quantile 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

2018Bayesian nonparametric sparse VAR models. (2018). Rossini, Luca ; Billio, Monica ; Casarin, Roberto. In: Papers. RePEc:arx:papers:1608.02740.

Full description at Econpapers || Download paper

2017Elicitability 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

2017Decoupling 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

2018Efficient 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

2017Contagion 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

2017Relation 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

2017Robust 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

2017Media Network and Return Predictability. (2017). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715.

Full description at Econpapers || Download paper

2017A 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

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

Full description at Econpapers || Download paper

2017Murphy 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

2017Using Macroeconomic Forecasts to Improve Mean Reverting Trading Strategies. (2017). Sharma, Yash . In: Papers. RePEc:arx:papers:1705.08022.

Full description at Econpapers || Download paper

2017Realized 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

2018Fragmentation, 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

2017Option 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

2017Dynamic 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

2017Residual 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

2017Bayesian 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

2017Dynamic 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

2018Spectral 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

2017Volatility 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

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

Full description at Econpapers || Download paper

2017Systematic Noise: Micro-movements in Equity Options Markets. (2017). Wu, Adam . In: Papers. RePEc:arx:papers:1708.06855.

Full description at Econpapers || Download paper

2017Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587.

Full description at Econpapers || Download paper

2017Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns. (2017). Baruník, Jozef ; Cech, Frantisek . In: Papers. RePEc:arx:papers:1708.08622.

Full description at Econpapers || Download paper

2018Dynamic 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

2018Testing 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

2017Computational 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

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

Full description at Econpapers || Download paper

2018Non-Euclidean Conditional Expectation and Filtering. (2018). Kratsios, Anastasis ; Hyndman, Cody B. In: Papers. RePEc:arx:papers:1710.05829.

Full description at Econpapers || Download paper

2018Forecasting dynamic return distributions based on ordered binary choice and cross-quantile predictability connection. (2018). Baruník, Jozef ; Anatolyev, Stanislav. In: Papers. RePEc:arx:papers:1711.05681.

Full description at Econpapers || Download paper

2017Option 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

2017Estimation 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

2018A 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

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

Full description at Econpapers || Download paper

2018Comparing 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

2018Predicting 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

2018Nonfractional Memory: Filtering, Antipersistence, and Forecasting. (2018). Vera-Valdés, J. In: Papers. RePEc:arx:papers:1801.06677.

Full description at Econpapers || Download paper

2018Financial 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

2018Short- 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

2018Efficient 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

2018Exploring 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

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

Full description at Econpapers || Download paper

2018Deep 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

2018Total, asymmetric and frequency connectedness between oil and forex markets. (2018). Kočenda, Evžen ; Baruník, Jozef ; Kovcenda, Evvzen. In: Papers. RePEc:arx:papers:1805.03980.

Full description at Econpapers || Download paper

2018Density 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

2018Effects 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

2018Day-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

2018Semi-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

2018Determining 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

2018Multifractal 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

2018State-Varying Factor Models of Large Dimensions. (2018). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1807.02248.

Full description at Econpapers || Download paper

2018A 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

2018Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities. (2018). Baruník, Jozef ; Vcech, Frantivsek. In: Papers. RePEc:arx:papers:1807.11823.

Full description at Econpapers || Download paper

2018DeepLOB: 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

2018Modeling Nelson-Siegel Yield Curve using Bayesian Approach. (2018). Das, Sourish . In: Papers. RePEc:arx:papers:1809.06077.

Full description at Econpapers || Download paper

2018Focused econometric estimation for noisy and small datasets: A Bayesian Minimum Expected Loss estimator approach. (2018). Ramirez-Hassan, Andres ; Correa-Giraldo, Manuel. In: Papers. RePEc:arx:papers:1809.06996.

Full description at Econpapers || Download paper

2018Central 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

2018Multivariate 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

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

Full description at Econpapers || Download paper

2018Asymmetric Connectedness of Fears in the U.S. Financial Sector. (2018). Baruník, Jozef ; Tunaru, Radu ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:1810.12022.

Full description at Econpapers || Download paper

2018Option 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

2018How does stock market volatility react to oil shocks?. (2018). Bastianin, Andrea ; Manera, Matteo. In: Papers. RePEc:arx:papers:1811.03820.

Full description at Econpapers || Download paper

2018An analysis of cryptocurrencies conditional cross correlations. (2018). Fernandez Bariviera, Aurelio ; Martinez-Ibanez, Oscar ; Aslanidis, Nektarios. In: Papers. RePEc:arx:papers:1811.08365.

Full description at Econpapers || Download paper

2018The value of forecasts: Quantifying the economic gains of accurate quarter-hourly electricity price forecasts. (2018). Kath, Christopher ; Ziel, Florian. In: Papers. RePEc:arx:papers:1811.08604.

Full description at Econpapers || Download paper

2018Efficacy of Monetary Policy Instruments on Economic Growth: Evidence from Nigeria. (2018). Tule, Moses K ; Apinran, Martins O ; Ogundele, Oloruntoba S. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2018:p:1239-1256.

Full description at Econpapers || Download paper

2017Oil Price Volatility and Fiscal Behaviour if Government in Nigeria. (2017). fasanya, Ismail ; Aregbeyen, Omo . In: Asian Journal of Economic Modelling. RePEc:asi:ajemod:2017:p:118-134.

Full description at Econpapers || Download paper

2017Murphy Diagrams: Forecast Evaluation of Expected Shortfall. (2017). Ziegel, Johanna F ; Fasciati, Fernando ; Jordan, Alexander ; Krueger, Fabian . In: Working Papers. RePEc:awi:wpaper:0632.

Full description at Econpapers || Download paper

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

Francis Diebold has edited the books:


YearTitleTypeCited

Works by Francis Diebold:


YearTitleTypeCited
2007Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]
paper447
2005Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 447
paper
2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility.(2007) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 447
article
2007Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers.
[Full Text][Citation analysis]
paper312
2007Real-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: 312
article
2006Real-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: 312
paper
2011Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers.
[Full Text][Citation analysis]
paper19
2013Financial 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
2012Financial Risk Measurement for Financial Risk Management.(2012) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19
paper
2011Financial 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
2010Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions In: American Economic Review.
[Full Text][Citation analysis]
article32
2010Real-time macroeconomic monitoring: real activity, inflation, and interactions.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32
paper
2010Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32
paper
2010Real-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: 32
paper
1992Have Postwar Economic Fluctuations Been Stabilized? In: American Economic Review.
[Full Text][Citation analysis]
article61
1991Have postwar economic fluctuations been stabilized?.(1991) In: Working Paper Series / Economic Activity Section.
[Citation analysis]
This paper has another version. Agregated cites: 61
paper
1990Have postwar economic fluctuations been stabilized?.(1990) In: Discussion Paper / Institute for Empirical Macroeconomics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 61
paper
1996The Uncertain Unit Root in Real GNP: Comment. In: American Economic Review.
[Full Text][Citation analysis]
article71
2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange In: American Economic Review.
[Full Text][Citation analysis]
article549
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 549
paper
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 549
paper
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 549
paper
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?.(2002) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 549
paper
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk In: American Economic Review.
[Full Text][Citation analysis]
article49
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 49
paper
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 49
paper
2005A framework for exploring the macroeconomic determinants of systematic risk.(2005) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 49
paper
2005Modeling Bond Yields in Finance and Macroeconomics In: American Economic Review.
[Full Text][Citation analysis]
article102
2005Modeling Bond Yields in Finance and Macroeconomics.(2005) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 102
paper
2005Modeling Bond Yields in Finance and Macroeconomics.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 102
paper
2005Modeling bond yields in finance and macroeconomics.(2005) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 102
paper
2005Modeling bond yields in finance and macroeconomics.(2005) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 102
paper
1998The Past, Present, and Future of Macroeconomic Forecasting In: Journal of Economic Perspectives.
[Full Text][Citation analysis]
article74
1997The past, present, and future of macroeconomic forecasting.(1997) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 74
paper
1997The Past, Present, and Future of Macroeconomic Forecasting.(1997) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 74
paper
2006Time Series Analysis In: Working Papers.
[Full Text][Citation analysis]
paper14
2006Time Series Analysis.(2006) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2005Weather Forecasting for Weather Derivatives In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
article84
2003Weather Forecasting for Weather Derivatives.(2003) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 84
paper
2002Weather Forecasting for Weather Derivatives.(2002) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 84
paper
2004Weather forecasting for weather derivatives.(2004) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 84
paper
2001The Distribution of Realized Exchange Rate Volatility In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
article699
1995Comparing Predictive Accuracy. In: Journal of Business & Economic Statistics.
[Citation analysis]
article3224
2002Comparing Predictive Accuracy..(2002) In: Journal of Business & Economic Statistics.
[Citation analysis]
This paper has another version. Agregated cites: 3224
article
1994Comparing Predictive Accuracy.(1994) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3224
paper
1998Cointegration and Long-Horizon Forecasting. In: Journal of Business & Economic Statistics.
[Citation analysis]
article87
1997Cointegration and long-horizon forecasting.(1997) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 87
paper
1997Cointegration and Long-Horizon Forecasting.(1997) In: IMF Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 87
paper
1997Cointegration and Long-Horizon Forecasting.(1997) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 87
paper
2000Unit-Root Tests Are Useful for Selecting Forecasting Models. In: Journal of Business & Economic Statistics.
[Citation analysis]
article79
1999Unit Root Tests are Useful for Selecting Forecasting Models.(1999) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 79
paper
1999Unit Root Tests Are Useful for Selecting Forecasting Models.(1999) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 79
paper
2006Comment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article0
2009Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article52
2005Stock returns and expected business conditions: half a century of direct evidence.(2005) In: Proceedings.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52
article
2005Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52
paper
2005Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence.(2005) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52
paper
2005Stock returns and expected business conditions: Half a century of direct evidence.(2005) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52
paper
2009Real-Time Measurement of Business Conditions In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article208
2007Real-time measurement of business conditions.(2007) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 208
paper
2008Real-time measurement of business conditions.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 208
paper
2008Real-Time Measurement of Business Conditions.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 208
paper
2007Real-Time Measurement of Business Conditions.(2007) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 208
paper
2006Real-Time Measurement of Business Conditions.(2006) In: Computing in Economics and Finance 2006.
[Citation analysis]
This paper has another version. Agregated cites: 208
paper
1988Serial Correlation and the Combination of Forecasts. In: Journal of Business & Economic Statistics.
[Citation analysis]
article21
1988An Application of Operational-Subjective Statistical Methods to Rational Expectations: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]
article0
1988An application of operational-subjective statistical methods to rational expectations: comment.(1988) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1990Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics. In: Journal of Business & Economic Statistics.
[Citation analysis]
article25
1994 On Cointegration and Exchange Rate Dynamics. In: Journal of Finance.
[Full Text][Citation analysis]
article122
1993On cointegration and exchange rate dynamics.(1993) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 122
paper
2002Range-Based Estimation of Stochastic Volatility Models In: Journal of Finance.
[Full Text][Citation analysis]
article312
2004The Nobel Memorial Prize for Robert F. Engle In: Scandinavian Journal of Economics.
[Full Text][Citation analysis]
article11
2004The Nobel Memorial Prize for Robert F. Engle.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
paper
2004The Nobel Memorial Prize for Robert F. Engle.(2004) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
paper
2004The Nobel Memorial Prize for Robert F. Engle.(2004) In: CFS Working Paper Series.
[Citation analysis]
This paper has another version. Agregated cites: 11
paper
2012On the Correlation Structure of Microstructure Noise: A Financial Economic Approach In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]
paper18
2010On the Correlation Structure of Microstructure Noise: A Financial Economic Approach.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18
paper
2013On the Correlation Structure of Microstructure Noise: A Financial Economic Approach.(2013) In: Review of Economic Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18
article
2009Equity Market Spillovers in the Americas In: Journal Economía Chilena (The Chilean Economy).
[Full Text][Citation analysis]
article19
2011Equity Market Spillovers in the Americas.(2011) In: Central Banking, Analysis, and Economic Policies Book Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19
chapter
2002Financial Asset Returns, Market Timing, and Volatility Dynamics In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper6
2000Measuring Predictability: Theory And Macroeconomic Applications In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper52
1997Measuring predictability: theory and macroeconomic applications.(1997) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52
paper
2001Measuring predictability: theory and macroeconomic applications.(2001) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52
article
1997Measuring Predictability: Theory and Macroeconomic Applications.(1997) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52
paper
1998Measuring Predictability: Theory and Macroeconomic Applications.(1998) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 52
paper
1997Measuring Predictability: Theory and Macroeconomic Applications.(1997) In: CARESS Working Papres.
[Citation analysis]
This paper has another version. Agregated cites: 52
paper
1997Optimal Prediction Under Asymmetric Loss In: Econometric Theory.
[Full Text][Citation analysis]
article143
1997Optimal prediction under asymmetric loss.(1997) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 143
paper
1994Optimal Prediction Under Asymmetric Loss.(1994) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 143
paper
1997Optimal Prediction Under Asymmetric Loss.(1997) In: CARESS Working Papres.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 143
paper
Optimal Prediction Under Asymmetric Loss.() In: Home Pages.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 143
paper
2003THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003 In: Econometric Theory.
[Full Text][Citation analysis]
article4
1987Prediction, Extraction, and Estimation in Unobserved Components Models In: Econometric Theory.
[Full Text][Citation analysis]
article0
1988Prediction, Extraction, and Estimation in Unobserved Components Model.(1988) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
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.
[Full Text][Citation analysis]
article0
2002Modeling and Forecasting Realized Volatility In: Working Papers.
[Full Text][Citation analysis]
paper1203
2003Modeling and Forecasting Realized Volatility.(2003) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1203
article
2001Modeling and Forecasting Realized Volatility.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1203
paper
2001Modeling and Forecasting Realized Volatility.(2001) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1203
paper
2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence In: Finance Working Papers.
[Full Text][Citation analysis]
paper7
2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence.(2006) In: Finance Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence.(2006) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
1997Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers. In: Economic Journal.
[Full Text][Citation analysis]
article9
1997Bounded rationality and strategic complementarity in a macroeconomic model: policy effects, persistence, and multipliers.(1997) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 9
paper
1996Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers.(1996) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers.() In: Home Pages.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2009Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets In: Economic Journal.
[Full Text][Citation analysis]
article511
2008Measuring financial asset return and volatility spillovers, with application to global equity markets.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 511
paper
2007Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets.(2007) In: Koç University-TUSIAD Economic Research Forum Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 511
paper
2008Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 511
paper
2007Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets.(2007) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 511
paper
2007Measuring financial asset return and volatility spillovers, with application to global equity markets.(2007) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 511
paper
2008Measuring financial asset return and volatilty spillovers, with application to global equity markets.(2008) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 511
paper
2004Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics In: Econometric Society 2004 Australasian Meetings.
[Citation analysis]
paper0
2009An arbitrage-free generalized Nelson--Siegel term structure model In: Econometrics Journal.
[Full Text][Citation analysis]
article60
2008An arbitrage-free generalized Nelson-Siegel term structure model.(2008) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 60
paper
2008An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 60
paper
2008An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model.(2008) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 60
paper
1988Testing for bubbles, reflecting barriers and other anomalies In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article2
1989State space modeling of time series : A review essay In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article4
1988State space modeling of time series: a review essay.(1988) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has another version. Agregated cites: 4
paper
2006Volatility and Correlation Forecasting In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]
chapter107
2015Assessing point forecast accuracy by stochastic loss distance In: Economics Letters.
[Full Text][Citation analysis]
article2
1986The exact initial covariance matrix of the state vector of a general MA(q) process In: Economics Letters.
[Full Text][Citation analysis]
article3
1986Exact maximum-likelihood estimation of autoregressive models via the Kalman filter In: Economics Letters.
[Full Text][Citation analysis]
article4
1991On the power of Dickey-Fuller tests against fractional alternatives In: Economics Letters.
[Full Text][Citation analysis]
article193
1990On the power of Dickey-Fuller tests against fractional alternatives.(1990) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has another version. Agregated cites: 193
paper
1996Fractional integration and interval prediction In: Economics Letters.
[Full Text][Citation analysis]
article13
2001Econometrics: Retrospect and prospect In: Journal of Econometrics.
[Full Text][Citation analysis]
article2
2001Forecasting and empirical methods in finance and macroeconomics In: Journal of Econometrics.
[Full Text][Citation analysis]
article0
2001Long memory and regime switching In: Journal of Econometrics.
[Full Text][Citation analysis]
article541
2000Long Memory and Regime Switching.(2000) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 541
paper
2006Forecasting the term structure of government bond yields In: Journal of Econometrics.
[Full Text][Citation analysis]
article507
2003Forecasting the Term Structure of Government Bond Yields.(2003) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 507
paper
2002Forecasting the Term Structure of Government Bond Yields.(2002) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 507
paper
2003Forecasting the term structure of government bond yields.(2003) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 507
paper
2006The econometrics of macroeconomics, finance, and the interface In: Journal of Econometrics.
[Full Text][Citation analysis]
article0
2006The macroeconomy and the yield curve: a dynamic latent factor approach In: Journal of Econometrics.
[Full Text][Citation analysis]
article357
2004The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 357
paper
2008Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach In: Journal of Econometrics.
[Full Text][Citation analysis]
article89
2007Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 89
paper
2007Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach.(2007) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 89
paper
2007Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach.(2007) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 89
paper
2011The affine arbitrage-free class of Nelson-Siegel term structure models In: Journal of Econometrics.
[Full Text][Citation analysis]
article127
2007The affine arbitrage-free class of Nelson-Siegel term structure models.(2007) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 127
paper
2007The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 127
paper
2007The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models.(2007) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 127
paper
2013A Markov-switching multifractal inter-trade duration model, with application to US equities In: Journal of Econometrics.
[Full Text][Citation analysis]
article20
2012A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities.(2012) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20
paper
2012A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities.(2012) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20
paper
2014On the network topology of variance decompositions: Measuring the connectedness of financial firms In: Journal of Econometrics.
[Full Text][Citation analysis]
article315
2011On the network topology of variance decompositions: Measuring the connectedness of financial firms.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 315
paper
2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms.(2011) In: Koç University-TUSIAD Economic Research Forum Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 315
paper
2011On 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: 315
paper
2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms.(2011) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 315
paper
2016Improving GDP measurement: A measurement-error perspective In: Journal of Econometrics.
[Full Text][Citation analysis]
article23
2013Improving GDP measurement: a measurement-error perspective.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23
paper
2013Improving GDP Measurement: A Measurement-Error Perspective.(2013) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23
paper
2013Improving GDP Measurement: A Measurement-Error Perspective.(2013) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23
paper
1993Discussion : The effect of seasonal adjustment filters on tests for a unit root In: Journal of Econometrics.
[Full Text][Citation analysis]
article2
1994On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean In: Journal of Econometrics.
[Full Text][Citation analysis]
article68
1990On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean.(1990) In: Discussion Paper / Institute for Empirical Macroeconomics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 68
paper
1993On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean.(1993) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 68
paper
1996Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures In: Journal of Econometrics.
[Full Text][Citation analysis]
article108
1993Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures.(1993) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 108
paper
1997Why are estimates of agricultural supply response so variable? In: Journal of Econometrics.
[Full Text][Citation analysis]
article14
1996Why Are Estimates of Agricultural Supply Response so Variable?.(1996) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
1996Why are estimates of agricultural supply response so variable?.(1996) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
Why Are Estimates of Agricultural Supply Response So Variable?.() In: Home Pages.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
1988Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate In: European Economic Review.
[Full Text][Citation analysis]
article10
1990Nonparametric exchange rate prediction? In: Journal of International Economics.
[Full Text][Citation analysis]
article218
1989Nonparametric exchange rate prediction?.(1989) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has another version. Agregated cites: 218
paper
1996Software review In: International Journal of Forecasting.
[Full Text][Citation analysis]
article1
2012Better to give than to receive: Predictive directional measurement of volatility spillovers In: International Journal of Forecasting.
[Full Text][Citation analysis]
article400
2010Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers.(2010) In: Koç University-TUSIAD Economic Research Forum Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 400
paper
1989Forecast combination and encompassing: Reconciling two divergent literatures In: International Journal of Forecasting.
[Full Text][Citation analysis]
article52
1989Forecast combination and encompassing: reconciling two divergent literatures.(1989) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has another version. Agregated cites: 52
paper
1990The use of prior information in forecast combination In: International Journal of Forecasting.
[Full Text][Citation analysis]
article69
1987The use of prior information in forecast combination.(1987) In: Special Studies Papers.
[Citation analysis]
This paper has another version. Agregated cites: 69
paper
2002Ratings migration and the business cycle, with application to credit portfolio stress testing In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article180
2000Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing.(2000) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 180
paper
2001The distribution of realized stock return volatility In: Journal of Financial Economics.
[Full Text][Citation analysis]
article641
1989Long memory and persistence in aggregate output In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article252
1988Long memory and persistence in aggregate output.(1988) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has another version. Agregated cites: 252
paper
2006A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources and Generalized Duration In: Chapters.
[Full Text][Citation analysis]
chapter6
2006A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration.(2006) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
2001Five questions about business cycles In: Economic Review.
[Full Text][Citation analysis]
article12
2003The macroeconomy and the yield curve: a nonstructural analysis In: Working Paper Series.
[Full Text][Citation analysis]
paper12
2003The Macroeconomy and the Yield Curve: A Nonstructural Analysis.(2003) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
paper
2003The 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
1988On the solution of dynamic linear rational expectations models In: Finance and Economics Discussion Series.
[Citation analysis]
paper0
1997Dynamic equilibrium economies: a framework for comparing models and data In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
paper103
1998Dynamic equilibrium economies: a framework for comparing models and data.(1998) In: Staff Report.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 103
paper
1997Dynamic equilibrium economies: a framework for comparing models and data.(1997) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 103
paper
1995Dynamic 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: 103
paper
1998Dynamic 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: 103
article
1992Near-rationality and strategic complementarity in a macroeconomic model: policy effects, persistence and multipliers In: Finance and Economics Discussion Series.
[Citation analysis]
paper1
1988Ex ante turning point forecasting with the composite leading index In: Finance and Economics Discussion Series.
[Citation analysis]
paper0
1988Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function In: Finance and Economics Discussion Series.
[Citation analysis]
paper3
1988Conditional heteroskedasticity in the market In: Finance and Economics Discussion Series.
[Citation analysis]
paper1
1988Unit roots in economic time series: a selective survey In: Finance and Economics Discussion Series.
[Citation analysis]
paper27
1989Is consumption too smooth? Long memory and the Deaton paradox In: Finance and Economics Discussion Series.
[Citation analysis]
paper40
1991Is 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: 40
article
1988Post-deregulation deposit rate pricing: the multivariate dynamics In: Finance and Economics Discussion Series.
[Citation analysis]
paper2
1989Forecasting output with the composite leading index: an ex ante analysis In: Finance and Economics Discussion Series.
[Citation analysis]
paper69
2005Robust estimation - discussion In: Proceedings.
[Citation analysis]
article0
2005From the horse’s mouth: gauging conditional expected stock returns from investor surveys In: Proceedings.
[Full Text][Citation analysis]
article1
1986Temporal aggregation of ARCH processes and the distribution of asset returns In: Special Studies Papers.
[Citation analysis]
paper4
1986Structural change and the combination of forecasts In: Special Studies Papers.
[Citation analysis]
paper6
1986The dynamics of exchange rate volatility: a multivariate latent factor ARCH model In: Special Studies Papers.
[Citation analysis]
paper258
1989The 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: 258
article
1987Scoring the leading indicators In: Special Studies Papers.
[Citation analysis]
paper166
1989Scoring the Leading Indicators..(1989) In: The Journal of Business.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 166
article
1987Does the business cycle have duration memory? In: Special Studies Papers.
[Citation analysis]
paper3
1987Deviations from random-walk behavior: tests based on the variance-time function In: Special Studies Papers.
[Citation analysis]
paper0
1988A nonparametric investigation of duration dependence in the American business cycle In: Working Paper Series / Economic Activity Section.
[Citation analysis]
paper84
1990A 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: 84
article
1990International evidence on business cycle duration dependence In: Discussion Paper / Institute for Empirical Macroeconomics.
[Full Text][Citation analysis]
paper5
1990Real exchange rates under the gold standard In: Discussion Paper / Institute for Empirical Macroeconomics.
[Full Text][Citation analysis]
paper210
1991Real Exchange Rates under the Gold Standard..(1991) In: Journal of Political Economy.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 210
article
1991Comparing predictive accuracy I: an asymptotic test In: Discussion Paper / Institute for Empirical Macroeconomics.
[Full Text][Citation analysis]
paper4
1998Horizon problems and extreme events in financial risk management In: Economic Policy Review.
[Full Text][Citation analysis]
article21
1998Horizon 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: 21
paper
1995Modeling volatility dynamics In: Research Paper.
[Full Text][Citation analysis]
paper45
Modeling Volatility Dynamics.() In: Home Pages.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45
paper
1995Forecast evaluation and combination In: Research Paper.
[Full Text][Citation analysis]
paper217
1996Forecast Evaluation and Combination.(1996) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 217
paper
1991Shorter recessions and longer expansions In: Business Review.
[Full Text][Citation analysis]
article0
1993Are long expansions followed by short contractions? In: Business Review.
[Full Text][Citation analysis]
article1
2011Improving GDP measurement: a forecast combination perspective In: Working Papers.
[Full Text][Citation analysis]
paper6
2011Improving GDP Measurement: A Forecast Combination Perspective.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
2011Improving 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
1991Further evidence on business cycle duration dependence In: Working Papers.
[Citation analysis]
paper61
1993Further Evidence on Business-Cycle Duration Dependence.(1993) In: NBER Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 61
chapter
1993Regime switching with time-varying transition probabilities In: Working Papers.
[Citation analysis]
paper31
1993Exact maximum likelihood estimation of ARCH models In: Working Papers.
[Citation analysis]
paper1
1993On comparing information in forecasts from econometric models: a comment on Fair and Shiller In: Working Papers.
[Citation analysis]
paper0
1997Evaluating density forecasts In: Working Papers.
[Full Text][Citation analysis]
paper47
1997Evaluating Density Forecasts.(1997) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 47
paper
1997Evaluating Density Forecasts.(1997) In: CARESS Working Papres.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 47
paper
1997Evaluating Density Forecasts.(1997) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 47
paper
1998Real-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]
paper3
1998Real-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
1998Real-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
1998How 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]
paper110
1998How 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
2000How 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
1997How 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
1998Pitfalls 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]
paper49
1998Pitfalls 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
1999The Distribution of Exchange Rate Volatility In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Full Text][Citation analysis]
paper79
1999The Distribution of Exchange Rate Volatility.(1999) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 79
paper
1999The 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
1999Exchange 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]
paper68
2000Exchange 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: 68
article
2000Exchange 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: 68
paper
1999Exchange 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: 68
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]
paper23
1998Modeling 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]
paper15
1998Modeling 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
1998Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors Introduction. In: International Economic Review.
[Citation analysis]
article3
1998Evaluating Density Forecasts with Applications to Financial Risk Management. In: International Economic Review.
[Citation analysis]
article560
2011Globalization, the Business Cycle, and Macroeconomic Monitoring In: IMF Working Papers.
[Full Text][Citation analysis]
paper9
2010Globalization, the Business Cycle, and Macroeconomic Monitoring.(2010) In: NBER Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
chapter
2010Globalization, the Business Cycle, and Macroeconomic Monitoring.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2011Globalization, 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
2006Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics In: Management Science.
[Full Text][Citation analysis]
article65
2003Financial 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: 65
paper
2003Financial 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: 65
paper
2003Financial 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: 65
paper
1996Further Results on Forecasting and Model Selection under Asymmetric Loss. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article52
Further Results on Forecasting and Model Selection Under Asymmetric Loss.() In: Home Pages.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52
paper
1989Structural Time Series Analysis and Modelling Package: A Review. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article0
2007Macroeconomic Volatility and Stock Market Volatility,World-Wide In: Koç University-TUSIAD Economic Research Forum Working Papers.
[Full Text][Citation analysis]
paper35
2008Macroeconomic Volatility and Stock Market Volatility, Worldwide.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35
paper
2008Macroeconomic Volatility and Stock Market Volatility, World-Wide.(2008) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35
paper
2015Estimating Global Bank Network Connectedness In: Koç University-TUSIAD Economic Research Forum Working Papers.
[Full Text][Citation analysis]
paper22
2017Estimating Global Bank Network Connectedness.(2017) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
paper
2007Practical Volatility and Correlation Modeling for Financial Market Risk Management In: NBER Chapters.
[Full Text][Citation analysis]
chapter16
2005Practical 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
2005Practical 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
2005Practical 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
1995Measuring Volatility Dynamics In: NBER Technical Working Papers.
[Full Text][Citation analysis]
paper0
1996Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models In: NBER Technical Working Papers.
[Full Text][Citation analysis]
paper6
2002Parametric and Nonparametric Volatility Measurement In: NBER Technical Working Papers.
[Full Text][Citation analysis]
paper45
2002Parametric 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
2005Volatility Forecasting In: NBER Working Papers.
[Full Text][Citation analysis]
paper40
2005Volatility Forecasting.(2005) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 40
paper
2005Volatility forecasting.(2005) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 40
paper
2005Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets In: NBER Working Papers.
[Full Text][Citation analysis]
paper96
2004Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets.(2004) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 96
paper
2004Real-time price discovery in stock, bond and foreign exchange markets.(2004) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 96
paper
2012Comparing 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]
paper73
2012Comparing 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: 73
paper
2015Comparing 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: 73
article
2016Assessing Point Forecast Accuracy by Stochastic Error Distance In: NBER Working Papers.
[Full Text][Citation analysis]
paper2
2014Assessing 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
2016Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility In: NBER Working Papers.
[Full Text][Citation analysis]
paper15
2017Commodity Connectedness In: NBER Working Papers.
[Full Text][Citation analysis]
paper3
2018Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives In: NBER Working Papers.
[Full Text][Citation analysis]
paper0
1994Measuring Business Cycles: A Modern Perspective In: NBER Working Papers.
[Full Text][Citation analysis]
paper220
1996Measuring Business Cycles: A Modern Perspective..(1996) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 220
article
Measuring Business Cycle: A Modern Perspective.() In: Home Pages.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 220
paper
1994Job Stability in the United States In: NBER Working Papers.
[Full Text][Citation analysis]
paper48
1997Job Stability in the United States..(1997) In: Journal of Labor Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48
article
1996Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again In: NBER Working Papers.
[Full Text][Citation analysis]
paper7
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again.() In: Home Pages.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
1997Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters In: NBER Working Papers.
[Full Text][Citation analysis]
paper40
1998Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters.(1998) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 40
paper
2000The Distribution of Stock Return Volatility In: NBER Working Papers.
[Full Text][Citation analysis]
paper34
2000The 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
2001High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models In: NBER Working Papers.
[Full Text][Citation analysis]
paper4
2003A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations In: NBER Working Papers.
[Full Text][Citation analysis]
paper96
2003A 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: 96
paper
2006A 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: 96
article
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations.() In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 96
paper
2004A 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: 96
paper
2015Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring In: OUP Catalogue.
[Citation analysis]
book67
2002Symposium on Forecasting Performance: An Introduction In: IMF Staff Papers.
[Full Text][Citation analysis]
article0
2003Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility In: PIER Working Paper Archive.
[Full Text][Citation analysis]
paper28
2003Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility.(2003) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28
paper
2004Realized Beta: Persistence and Predictability In: PIER Working Paper Archive.
[Full Text][Citation analysis]
paper9
2004Realized beta: Persistence and predictability.(2004) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2008Real-Time Measurement of Business Conditions, Second Version In: PIER Working Paper Archive.
[Full Text][Citation analysis]
paper4
2008On the Correlation Structure of Microstructure Noise in Theory and Practice In: PIER Working Paper Archive.
[Full Text][Citation analysis]
paper11
2008On 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
2012On the Origin(s) and Development of the Term “Big Data In: PIER Working Paper Archive.
[Full Text][Citation analysis]
paper0
2012A 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]
paper0
2013Measuring the Dynamics of Global Business Cycle Connectedness In: PIER Working Paper Archive.
[Full Text][Citation analysis]
paper20
2010Introduction In: Introductory Chapters.
[Full Text][Citation analysis]
chapter2
2012Facts, Factors, and Questions In: Introductory Chapters.
[Full Text][Citation analysis]
chapter0
1999Business Cycles: Durations, Dynamics, and Forecasting In: Economics Books.
[Citation analysis]
book39
2010The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice In: Economics Books.
[Citation analysis]
book4
2012Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach In: Economics Books.
[Citation analysis]
book6
2008Priors from Frequency-Domain Dummy Observations In: 2008 Meeting Papers.
[Full Text][Citation analysis]
paper0
2005Direction-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]
paper0
1988Has the EMS Reduced Member-Country Exchange Rate Volatility? In: Empirical Economics.
[Citation analysis]
article10
2015Rejoinder In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article0
1998Bootstrapping Multivariate Spectra In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
article26
1999Multivariate 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]
article121
Stamp 5.0: A Review In: Home Pages.
[Full Text][Citation analysis]
paper0
1999Range-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]
paper10
1997Converting 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]
paper14
1999Financial Risk Management in a Volatile Global Environment In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
paper4

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 2th 2018. Contact: CitEc Team