66
H index
114
i10 index
29258
Citations
University of Pennsylvania | 66 H index 114 i10 index 29258 Citations RESEARCH PRODUCTION: 107 Articles 275 Papers 4 Books 10 Chapters EDITOR: Books edited RESEARCH ACTIVITY: 37 years (1986 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pdi1 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Francis Diebold. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2023 | The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:336984. Full description at Econpapers || Download paper | |
2023 | Volatility Transmissionin Agricultural Markets: Evidence from the Russia-Ukraine Conflict. (2023). Gaio, Luiz Eduardo ; Dario, Daniel Henrique. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:334707. Full description at Econpapers || Download paper | |
2023 | PURCHASING POWER PARITY IN RUSSIA AND THE TRANSITIONING ECONOMY 1990-1995. (2023). Eberle, Paul B ; Bradley, Thomas L. In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2023:j:31:bradleyt. Full description at Econpapers || Download paper | |
2023 | Message in a Bottle: Forecasting wine prices. (2023). Meloni, Giulia ; Leccadito, Arturo ; Iania, Leonardo ; Algieri, Bernardina. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023004. Full description at Econpapers || Download paper | |
2023 | Analysis of Dynamic Connectedness among Sovereign CDS Premia. (2023). Ceylan, Ozcan. In: World Journal of Applied Economics. RePEc:ana:journl:v:9:y:2023:i:1:p:33-47. Full description at Econpapers || Download paper | |
2023 | Idiosyncratic and systematic spillovers through the renewable energy financial systems. (2023). Tedeschi, Marco. In: Working Papers. RePEc:anc:wpaper:483. Full description at Econpapers || Download paper | |
2023 | Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308. Full description at Econpapers || Download paper | |
2023 | Identifying Network Ties from Panel Data: Theory and an Application to Tax Competition. (2019). de Paula, Aureo ; Rasul, Imran ; Souza, Pedro. In: Papers. RePEc:arx:papers:1910.07452. Full description at Econpapers || Download paper | |
2023 | Testing Forecast Rationality for Measures of Central Tendency. (2019). Schmidt, Patrick ; Patton, Andrew J ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1910.12545. Full description at Econpapers || Download paper | |
2023 | Equal Predictive Ability Tests for Panel Data with an Application to OECD and IMF Forecasts. (2020). Yang, Zhenlin ; Urga, Giovanni ; Pirotte, Alain ; Akgun, Oguzhan. In: Papers. RePEc:arx:papers:2003.02803. Full description at Econpapers || Download paper | |
2023 | Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods. (2020). Huber, Florian ; Koop, Gary ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2005.03906. Full description at Econpapers || Download paper | |
2023 | Dynamic Networks in Large Financial and Economic Systems. (2020). BarunÃÂÂk, Jozef ; Ellington, Michael. In: Papers. RePEc:arx:papers:2007.07842. Full description at Econpapers || Download paper | |
2023 | A Novel Approach to Predictive Accuracy Testing in Nested Environments. (2020). Pitarakis, Jean-Yves. In: Papers. RePEc:arx:papers:2008.08387. Full description at Econpapers || Download paper | |
2023 | Time-Varying Parameters as Ridge Regressions. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2009.00401. Full description at Econpapers || Download paper | |
2023 | Forecasting financial markets with semantic network analysis in the COVID-19 crisis. (2020). Violante, Francesco ; Ravazzolo, F ; Grassi, S ; Colladon, Fronzetti A. In: Papers. RePEc:arx:papers:2009.04975. Full description at Econpapers || Download paper | |
2023 | Learning Financial Network with Focally Sparse Structure. (2021). Chernozhukov, Victor ; Wang, Weining ; Huang, Chen. In: Papers. RePEc:arx:papers:2105.07424. Full description at Econpapers || Download paper | |
2023 | Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics. (2021). , Almut ; Shephard, Neil ; Lunde, Asger ; Bennedsen, Mikkel. In: Papers. RePEc:arx:papers:2107.03674. Full description at Econpapers || Download paper | |
2023 | Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567. Full description at Econpapers || Download paper | |
2023 | Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices. (2022). Ricco, Giovanni ; Pellegrino, Filippo ; Hasenzagl, Thomas ; Reichlin, Lucrezia. In: Papers. RePEc:arx:papers:2201.05556. Full description at Econpapers || Download paper | |
2023 | Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC. (2022). , Shibo ; Bo, Shi. In: Papers. RePEc:arx:papers:2201.09434. Full description at Econpapers || Download paper | |
2023 | Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962. Full description at Econpapers || Download paper | |
2023 | Sparse multivariate modeling for stock returns predictability. (2022). Bernardi, Mauro ; Bianco, Nicolas ; Bianchi, Daniele. In: Papers. RePEc:arx:papers:2202.12644. Full description at Econpapers || Download paper | |
2023 | Tail-GAN: Nonparametric Scenario Generation for Tail Risk Estimation. (2022). Cont, Rama ; Zhang, Chao ; Xu, Renyuan ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2203.01664. Full description at Econpapers || Download paper | |
2023 | Rough volatility: fact or artefact?. (2022). Das, Purba ; Cont, Rama. In: Papers. RePEc:arx:papers:2203.13820. Full description at Econpapers || Download paper | |
2023 | Estimation and Inference for High Dimensional Factor Model with Regime Switching. (2022). Wang, FA ; Urga, Giovanni. In: Papers. RePEc:arx:papers:2205.12126. Full description at Econpapers || Download paper | |
2023 | Estimating spot volatility under infinite variation jumps with market microstructure noise. (2022). Liu, Zhi. In: Papers. RePEc:arx:papers:2205.15738. Full description at Econpapers || Download paper | |
2023 | Multivariate backtests and copulas for risk evaluation. (2022). Zumbach, Gilles ; David, Boris. In: Papers. RePEc:arx:papers:2206.03896. Full description at Econpapers || Download paper | |
2023 | Ensemble distributional forecasting for insurance loss reserving. (2022). Xian, Alan ; Wong, Bernard ; Li, Yanfeng ; Avanzi, Benjamin. In: Papers. RePEc:arx:papers:2206.08541. Full description at Econpapers || Download paper | |
2023 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper | |
2023 | Global combinations of expert forecasts. (2022). Vasnev, Andrey L ; Thompson, Ryan ; Qian, Yilin. In: Papers. RePEc:arx:papers:2207.07318. Full description at Econpapers || Download paper | |
2023 | Factor Network Autoregressions. (2022). Cavaliere, Giuseppe ; Moramarco, Graziano ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2208.02925. Full description at Econpapers || Download paper | |
2023 | Prediction intervals for economic fixed-event forecasts. (2022). Plett, Hendrik ; Kruger, Fabian. In: Papers. RePEc:arx:papers:2210.13562. Full description at Econpapers || Download paper | |
2023 | Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2022). Ortega, Juan-Pablo ; van Huellen, Sophie ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Dellaportas, Petros ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363. Full description at Econpapers || Download paper | |
2023 | Enhanced Bayesian Neural Networks for Macroeconomics and Finance. (2022). Marcellino, Massimiliano ; Klieber, Karin ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2211.04752. Full description at Econpapers || Download paper | |
2023 | Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2022). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610. Full description at Econpapers || Download paper | |
2023 | Score-based calibration testing for multivariate forecast distributions. (2022). Pohle, Marc-Oliver ; Kruger, Fabian ; Knuppel, Malte. In: Papers. RePEc:arx:papers:2211.16362. Full description at Econpapers || Download paper | |
2023 | Deep Reinforcement Learning for Gas Trading. (2023). Michler, Christian ; Granger, Nikita P ; Cy, Alexander ; Miao, Yinsen ; Wang, Yuanrong. In: Papers. RePEc:arx:papers:2301.08359. Full description at Econpapers || Download paper | |
2023 | Bitcoin Does Not Hedge Inflation. (2023). Pinchuk, Mykola. In: Papers. RePEc:arx:papers:2301.10117. Full description at Econpapers || Download paper | |
2023 | Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2023). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592. Full description at Econpapers || Download paper | |
2023 | Nonlinearities in Macroeconomic Tail Risk through the Lens of Big Data Quantile Regressions. (2023). Huber, Florian ; Pruser, Jan. In: Papers. RePEc:arx:papers:2301.13604. Full description at Econpapers || Download paper | |
2023 | Risk Budgeting Portfolios from Simulations. (2023). Targino, Rodrigo S ; Pesenti, Silvana M ; Paulo, Bernardo Freitas. In: Papers. RePEc:arx:papers:2302.01196. Full description at Econpapers || Download paper | |
2023 | Adaptive local VAR for dynamic economic policy uncertainty spillover. (2023). Okhrin, Ostap ; Gillmann, Niels. In: Papers. RePEc:arx:papers:2302.02808. Full description at Econpapers || Download paper | |
2023 | Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates. (2023). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: Papers. RePEc:arx:papers:2302.02866. Full description at Econpapers || Download paper | |
2023 | High-Dimensional Conditionally Gaussian State Space Models with Missing Data. (2023). Zhu, Dan ; Poon, Aubrey. In: Papers. RePEc:arx:papers:2302.03172. Full description at Econpapers || Download paper | |
2023 | High-Dimensional Causality for Climatic Attribution. (2023). Smeekes, Stephan ; Margaritella, Luca ; Friedrich, Marina. In: Papers. RePEc:arx:papers:2302.03996. Full description at Econpapers || Download paper | |
2023 | Realized recurrent conditional heteroskedasticity model for volatility modelling. (2023). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Papers. RePEc:arx:papers:2302.08002. Full description at Econpapers || Download paper | |
2023 | A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208. Full description at Econpapers || Download paper | |
2023 | Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2023). Cucuringu, Mihai ; Reinert, Gesine ; Lu, Yutong. In: Papers. RePEc:arx:papers:2302.09382. Full description at Econpapers || Download paper | |
2023 | Detecting Rough Volatility: A Filtering Approach. (2023). Frey, Rudiger ; Damian, Camilla. In: Papers. RePEc:arx:papers:2302.12612. Full description at Econpapers || Download paper | |
2023 | FuNVol: A Multi-Asset Implied Volatility Market Simulator using Functional Principal Components and Neural SDEs. (2023). Bergeron, Maxime ; Jaimungal, Sebastian ; Choudhary, Vedant. In: Papers. RePEc:arx:papers:2303.00859. Full description at Econpapers || Download paper | |
2023 | Constructing High Frequency Economic Indicators by Imputation. (2023). Scanlan, Susannah ; Ng, Serena. In: Papers. RePEc:arx:papers:2303.01863. Full description at Econpapers || Download paper | |
2023 | Reconciling rough volatility with jumps. (2023). de Carvalho, Nathan ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2303.07222. Full description at Econpapers || Download paper | |
2023 | Multivariate Probabilistic CRPS Learning with an Application to Day-Ahead Electricity Prices. (2023). Ziel, Florian ; Berrisch, Jonathan. In: Papers. RePEc:arx:papers:2303.10019. Full description at Econpapers || Download paper | |
2023 | Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064. Full description at Econpapers || Download paper | |
2023 | Dark Matter in (Volatility and) Equity Option Risk Premiums. (2023). Gao, Xiaohui ; Crosby, John ; Bakshi, Gurdip. In: Papers. RePEc:arx:papers:2303.16371. Full description at Econpapers || Download paper | |
2023 | GDP nowcasting with artificial neural networks: How much does long-term memory matter?. (2023). Hadh, D'Aniel. In: Papers. RePEc:arx:papers:2304.05805. Full description at Econpapers || Download paper | |
2023 | Collective dynamics, diversification and optimal portfolio construction for cryptocurrencies. (2023). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2304.08902. Full description at Econpapers || Download paper | |
2023 | Stock Price Predictability and the Business Cycle via Machine Learning. (2023). Fan, Xiuyi ; Fu, Hsuan ; Wang, Lirong. In: Papers. RePEc:arx:papers:2304.09937. Full description at Econpapers || Download paper | |
2023 | Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data. (2023). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2304.11883. Full description at Econpapers || Download paper | |
2023 | A spectral approach to stock market performance. (2023). Escañuela Romana, Ignacio ; Nieves, Clara Escanuela. In: Papers. RePEc:arx:papers:2305.05762. Full description at Econpapers || Download paper | |
2023 | Band-Pass Filtering with High-Dimensional Time Series. (2023). Proietti, Tommaso ; Lippi, Marco ; Giovannelli, Alessandro. In: Papers. RePEc:arx:papers:2305.06618. Full description at Econpapers || Download paper | |
2023 | Monitoring multicountry macroeconomic risk. (2023). Korobilis, Dimitris ; Schroder, Maximilian. In: Papers. RePEc:arx:papers:2305.09563. Full description at Econpapers || Download paper | |
2023 | Nowcasting with signature methods. (2023). Mantoan, Giulia ; Malpass, Will ; Lui, Silvia ; Cohen, Samuel N ; Yang, Lingyi ; Small, Emma ; Scott, Craig ; Reeves, Andrew ; Nesheim, Lars. In: Papers. RePEc:arx:papers:2305.10256. Full description at Econpapers || Download paper | |
2023 | Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.11282. Full description at Econpapers || Download paper | |
2023 | Precision versus Shrinkage: A Comparative Analysis of Covariance Estimation Methods for Portfolio Allocation. (2023). Jain, Shashi ; Dutta, Sumanjay. In: Papers. RePEc:arx:papers:2305.11298. Full description at Econpapers || Download paper | |
2023 | Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, Edoardo ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2305.12192. Full description at Econpapers || Download paper | |
2023 | The Federal Reserves Response to the Global Financial Crisis and Its Long-Term Impact: An Interrupted Time-Series Natural Experimental Analysis. (2023). KAMKOUM, Arnaud Cedric. In: Papers. RePEc:arx:papers:2305.12318. Full description at Econpapers || Download paper | |
2023 | Generalized Autoregressive Score Trees and Forests. (2023). Simsek, Yasin ; Patton, Andrew J. In: Papers. RePEc:arx:papers:2305.18991. Full description at Econpapers || Download paper | |
2023 | Discrete $q$-exponential limit order cancellation time distribution. (2023). Gontis, Vygintas. In: Papers. RePEc:arx:papers:2306.00093. Full description at Econpapers || Download paper | |
2023 | Matrix GARCH Model: Inference and Application. (2023). Zhu, KE ; Jiang, Feiyu ; Li, Dong ; Yu, Cheng. In: Papers. RePEc:arx:papers:2306.05169. Full description at Econpapers || Download paper | |
2023 | Factor-augmented sparse MIDAS regression for nowcasting. (2023). Striaukas, Jonas ; Beyhum, Jad. In: Papers. RePEc:arx:papers:2306.13362. Full description at Econpapers || Download paper | |
2023 | Multivariate Simulation-based Forecasting for Intraday Power Markets: Modelling Cross-Product Price Effects. (2023). Ziel, Florian ; Hirsch, Simon. In: Papers. RePEc:arx:papers:2306.13419. Full description at Econpapers || Download paper | |
2023 | Latent Factor Analysis in Short Panels. (2023). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004. Full description at Econpapers || Download paper | |
2023 | Online Learning of Order Flow and Market Impact with Bayesian Change-Point Detection Methods. (2023). Mazzarisi, Piero ; Lillo, Fabrizio ; Tsaknaki, Ioanna-Yvonni. In: Papers. RePEc:arx:papers:2307.02375. Full description at Econpapers || Download paper | |
2023 | Panel Data Nowcasting: The Case of Price-Earnings Ratios. (2023). Striaukas, Jonas ; Ghysels, Eric ; Ball, Ryan T ; Babii, Andrii. In: Papers. RePEc:arx:papers:2307.02673. Full description at Econpapers || Download paper | |
2023 | Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions. (2023). Rudebusch, Glenn ; Diebold, Francis X. In: Papers. RePEc:arx:papers:2307.03552. Full description at Econpapers || Download paper | |
2023 | Systemic risk indicator based on implied and realized volatility. (2023). Åšlepaczuk, Robert ; Sieradzki, Rafal ; Sakowski, Pawel. In: Papers. RePEc:arx:papers:2307.05719. Full description at Econpapers || Download paper | |
2023 | Propagation of carbon tax in credit portfolio through macroeconomic factors. (2023). Sopgoui, Lionel ; Jacquier, Antoine ; Ibbou, Smail ; Chassagneux, Jean-Franccois ; Bouveret, G'Eraldine. In: Papers. RePEc:arx:papers:2307.12695. Full description at Econpapers || Download paper | |
2023 | VolTS: A Volatility-based Trading System to forecast Stock Markets Trend using Statistics and Machine Learning. (2023). Letteri, Ivan. In: Papers. RePEc:arx:papers:2307.13422. Full description at Econpapers || Download paper | |
2023 | Liquidity fragmentation on decentralized exchanges. (2023). Zoican, Marius ; Parlour, Christine ; Lehar, Alfred. In: Papers. RePEc:arx:papers:2307.13772. Full description at Econpapers || Download paper | |
2023 | Limit Theory under Network Dependence and Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.01418. Full description at Econpapers || Download paper | |
2023 | Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects. (2023). Dong, Xiaowen ; Cucuringu, Mihai ; Pu, Xingyue ; Zhang, Chao. In: Papers. RePEc:arx:papers:2308.01419. Full description at Econpapers || Download paper | |
2023 | Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617. Full description at Econpapers || Download paper | |
2023 | Econometrics of Machine Learning Methods in Economic Forecasting. (2023). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:2308.10993. Full description at Econpapers || Download paper | |
2023 | Forecasting inflation using disaggregates and machine learning. (2023). Medeiros, Marcelo C ; Boaretto, Gilberto. In: Papers. RePEc:arx:papers:2308.11173. Full description at Econpapers || Download paper | |
2023 | Combining predictive distributions of electricity prices: Does minimizing the CRPS lead to optimal decisions in day-ahead bidding?. (2023). Weron, Rafal ; Nitka, Weronika. In: Papers. RePEc:arx:papers:2308.15443. Full description at Econpapers || Download paper | |
2023 | Real-time VaR Calculations for Crypto Derivatives in kdb+/q. (2023). Kerr, Laura ; Hales, Conan ; Bilokon, Paul ; Chen, Yutong. In: Papers. RePEc:arx:papers:2309.06393. Full description at Econpapers || Download paper | |
2023 | The Price of Empire: Unrest Location and Sovereign Risk in Tsarist Russia. (2023). Vaaler, Paul M ; Hartwell, Christopher A. In: Papers. RePEc:arx:papers:2309.06885. Full description at Econpapers || Download paper | |
2023 | Sluggish news reactions: A combinatorial approach for synchronizing stock jumps. (2023). Neely, Christopher ; Boudt, Kris ; Laurent, S'Ebastien ; Bouamara, Nabil. In: Papers. RePEc:arx:papers:2309.15705. Full description at Econpapers || Download paper | |
2023 | Combining Deep Learning and GARCH Models for Financial Volatility and Risk Forecasting. (2023). Morajda, Janusz ; Kwiatkowski, Lukasz ; Micha, Jakub. In: Papers. RePEc:arx:papers:2310.01063. Full description at Econpapers || Download paper | |
2023 | Impact of Economic Uncertainty, Geopolitical Risk, Pandemic, Financial & Macroeconomic Factors on Crude Oil Returns -- An Empirical Investigation. (2023). Maitra, Sarit. In: Papers. RePEc:arx:papers:2310.01123. Full description at Econpapers || Download paper | |
2023 | Learning Probability Distributions of Day-Ahead Electricity Prices. (2023). Hanus, Lubos ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2310.02867. Full description at Econpapers || Download paper | |
2023 | On changepoint detection in functional data using empirical energy distance. (2023). Trapani, Lorenzo ; Horv, Lajos ; Boniece, Cooper B. In: Papers. RePEc:arx:papers:2310.04853. Full description at Econpapers || Download paper | |
2023 | Risk valuation of quanto derivatives on temperature and electricity. (2023). Vadillo, Nerea ; Alfonsi, Aur'Elien. In: Papers. RePEc:arx:papers:2310.07692. Full description at Econpapers || Download paper | |
2023 | Dynamic Realized Minimum Variance Portfolio Models. (2023). Oh, Minseog ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2310.13511. Full description at Econpapers || Download paper | |
2023 | BVARs and Stochastic Volatility. (2023). Chan, Joshua. In: Papers. RePEc:arx:papers:2310.14438. Full description at Econpapers || Download paper | |
2023 | Co-Training Realized Volatility Prediction Model with Neural Distributional Transformation. (2023). Tanaka-Ishii, Kumiko ; Moriyama, Kai ; Du, Xin. In: Papers. RePEc:arx:papers:2310.14536. Full description at Econpapers || Download paper | |
2023 | Bayesian SAR model with stochastic volatility and multiple time-varying weights. (2023). Iacopini, Matteo ; Costola, Michele ; Wichers, Casper. In: Papers. RePEc:arx:papers:2310.17473. Full description at Econpapers || Download paper | |
2023 | Robust Estimation of Realized Correlation: New Insight about Intraday Fluctuations in Market Betas. (2023). Hansen, Peter ; Luo, Yiyao. In: Papers. RePEc:arx:papers:2310.19992. Full description at Econpapers || Download paper | |
2023 | Estimation of Semiparametric Multi-Index Models Using Deep Neural Networks. (2023). GAO, Jiti ; Dong, Chaohua ; Yan, Yayi ; Peng, Bin. In: Papers. RePEc:arx:papers:2311.02789. Full description at Econpapers || Download paper | |
2023 | Time-Varying Identification of Monetary Policy Shocks. (2023). Wo, Tomasz ; Camehl, Annika. In: Papers. RePEc:arx:papers:2311.05883. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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Year | Title | Type | Cited |
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2007 | Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 880 |
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2007 | Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility.(2007) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 880 | article | |
2007 | Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 553 |
2007 | Real-time price discovery in global stock, bond and foreign exchange markets.(2007) In: Journal of International Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 553 | article | |
2006 | Real-time price discovery in global stock, bond and foreign exchange markets.(2006) In: International Finance Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 553 | paper | |
2011 | Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 49 |
2013 | Financial Risk Measurement for Financial Risk Management.(2013) In: Handbook of the Economics of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 49 | chapter | |
2012 | Financial Risk Measurement for Financial Risk Management.(2012) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 49 | paper | |
2011 | Financial Risk Measurement for Financial Risk Management.(2011) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 49 | paper | |
2010 | Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions In: American Economic Review. [Full Text][Citation analysis] | article | 69 |
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2010 | Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 69 | paper | |
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1991 | Have postwar economic fluctuations been stabilized?.(1991) In: Working Paper Series / Economic Activity Section. [Citation analysis] This paper has nother version. Agregated cites: 72 | paper | |
1990 | Have postwar economic fluctuations been stabilized?.(1990) In: Discussion Paper / Institute for Empirical Macroeconomics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 72 | paper | |
1996 | The Uncertain Unit Root in Real GNP: Comment. In: American Economic Review. [Full Text][Citation analysis] | article | 87 |
2003 | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange In: American Economic Review. [Full Text][Citation analysis] | article | 848 |
2002 | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 848 | paper | |
2002 | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 848 | paper | |
2002 | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 848 | paper | |
2002 | Micro 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 nother version. Agregated cites: 848 | paper | |
2005 | A Framework for Exploring the Macroeconomic Determinants of Systematic Risk In: American Economic Review. [Full Text][Citation analysis] | article | 82 |
2005 | A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 82 | paper | |
2005 | A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 82 | paper | |
2005 | A framework for exploring the macroeconomic determinants of systematic risk.(2005) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 82 | paper | |
2005 | Modeling Bond Yields in Finance and Macroeconomics In: American Economic Review. [Full Text][Citation analysis] | article | 142 |
2005 | Modeling bond yields in finance and macroeconomics.(2005) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 142 | paper | |
2005 | Modeling Bond Yields in Finance and Macroeconomics.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 142 | paper | |
2005 | Modeling Bond Yields in Finance and Macroeconomics.(2005) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 142 | paper | |
2005 | Modeling bond yields in finance and macroeconomics.(2005) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 142 | paper | |
1998 | The Past, Present, and Future of Macroeconomic Forecasting In: Journal of Economic Perspectives. [Full Text][Citation analysis] | article | 114 |
1997 | The past, present, and future of macroeconomic forecasting.(1997) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 114 | paper | |
1997 | The Past, Present, and Future of Macroeconomic Forecasting.(1997) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 114 | paper | |
2006 | Time Series Analysis In: Working Papers. [Full Text][Citation analysis] | paper | 16 |
2006 | Time Series Analysis.(2006) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
2021 | On the Evolution of U.S. Temperature Dynamics In: Papers. [Full Text][Citation analysis] | paper | 2 |
2019 | On the Evolution of U.S. Temperature Dynamics.(2019) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2021 | Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections In: Papers. [Full Text][Citation analysis] | paper | 9 |
2022 | Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections.(2022) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
2020 | Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections.(2020) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2020 | Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections.(2020) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2019 | Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections.(2019) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2020 | Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach In: Papers. [Full Text][Citation analysis] | paper | 8 |
2021 | Optimal combination of Arctic sea ice extent measures: A dynamic factor modeling approach.(2021) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
2020 | Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach.(2020) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2022 | Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 In: Papers. [Full Text][Citation analysis] | paper | 5 |
2022 | Real-Time Real Economic Activity:Entering and Exiting the Pandemic Recession of 2020.(2022) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2021 | Big Data and its Origins In: Papers. [Full Text][Citation analysis] | paper | 1 |
2022 | On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates In: Papers. [Full Text][Citation analysis] | paper | 5 |
2021 | On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates.(2021) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2022 | On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates.(2022) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2021 | On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone In?ation and Real Interest Rates.(2021) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2022 | A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting In: Papers. [Full Text][Citation analysis] | paper | 2 |
2022 | A benchmark model for fixed-target Arctic sea ice forecasting.(2022) In: Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2022 | A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting.(2022) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2023 | When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume In: Papers. [Full Text][Citation analysis] | paper | 1 |
2022 | When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume.(2022) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2022 | When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume.(2022) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2023 | On Robust Inference in Time Series Regression In: Papers. [Full Text][Citation analysis] | paper | 1 |
2022 | On Robust Inference in Time Series Regression.(2022) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2023 | Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice: Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models In: Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice:Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models.(2022) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2022 | On the Financing of Climate Change Adaptation in Developing Countries In: Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | A New Test for Market Efficiency and Uncovered Interest Parity In: Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | A New Test for Market Efficiency and Uncovered Interest Parity.(2022) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2022 | A New Test forMarket Efficiency and Uncovered Interest Parity.(2022) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2023 | On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness In: Papers. [Full Text][Citation analysis] | paper | 2 |
2005 | Weather Forecasting for Weather Derivatives In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 130 |
2003 | Weather Forecasting for Weather Derivatives.(2003) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 130 | paper | |
2002 | Weather Forecasting for Weather Derivatives.(2002) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 130 | paper | |
2004 | Weather forecasting for weather derivatives.(2004) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 130 | paper | |
2001 | The Distribution of Realized Exchange Rate Volatility In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 1053 |
1995 | Comparing Predictive Accuracy. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 5196 |
2002 | Comparing Predictive Accuracy..(2002) In: Journal of Business & Economic Statistics. [Citation analysis] This paper has nother version. Agregated cites: 5196 | article | |
1994 | Comparing Predictive Accuracy.(1994) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5196 | paper | |
1998 | Cointegration and Long-Horizon Forecasting. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 122 |
1997 | Cointegration and long-horizon forecasting.(1997) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 122 | paper | |
1997 | Cointegration and Long-Horizon Forecasting.(1997) In: IMF Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 122 | paper | |
1997 | Cointegration and Long-Horizon Forecasting.(1997) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 122 | paper | |
2000 | Unit-Root Tests Are Useful for Selecting Forecasting Models. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 104 |
1999 | Unit 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 nother version. Agregated cites: 104 | paper | |
1999 | Unit Root Tests Are Useful for Selecting Forecasting Models.(1999) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 104 | paper | |
2006 | Comment In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
2009 | Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 83 |
2005 | Stock returns and expected business conditions: half a century of direct evidence.(2005) In: Proceedings. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 83 | article | |
2005 | Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 83 | paper | |
2005 | Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence.(2005) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 83 | paper | |
2005 | Stock returns and expected business conditions: Half a century of direct evidence.(2005) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 83 | paper | |
2009 | Real-Time Measurement of Business Conditions In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 424 |
2007 | Real-time measurement of business conditions.(2007) In: International Finance Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 424 | paper | |
2008 | Real-time measurement of business conditions.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 424 | paper | |
2008 | Real-Time Measurement of Business Conditions.(2008) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 424 | paper | |
2007 | Real-Time Measurement of Business Conditions.(2007) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 424 | paper | |
2006 | Real-Time Measurement of Business Conditions.(2006) In: Computing in Economics and Finance 2006. [Citation analysis] This paper has nother version. Agregated cites: 424 | paper | |
1988 | Serial Correlation and the Combination of Forecasts. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 30 |
1988 | An Application of Operational-Subjective Statistical Methods to Rational Expectations: Comment. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 0 |
1988 | An application of operational-subjective statistical methods to rational expectations: comment.(1988) In: Finance and Economics Discussion Series. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
1990 | Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 31 |
1994 | On Cointegration and Exchange Rate Dynamics. In: Journal of Finance. [Full Text][Citation analysis] | article | 137 |
1993 | On cointegration and exchange rate dynamics.(1993) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 137 | paper | |
2002 | Range?Based Estimation of Stochastic Volatility Models In: Journal of Finance. [Full Text][Citation analysis] | article | 454 |
2018 | On the Comparison of Interval Forecasts In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 16 |
2018 | On the Comparison of Interval Forecasts.(2018) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
2004 | The Nobel Memorial Prize for Robert F. Engle In: Scandinavian Journal of Economics. [Full Text][Citation analysis] | article | 13 |
2004 | The Nobel Memorial Prize for Robert F. Engle.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
2004 | The Nobel Memorial Prize for Robert F. Engle.(2004) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
2004 | The Nobel Memorial Prize for Robert F. Engle.(2004) In: CFS Working Paper Series. [Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
2012 | On the Correlation Structure of Microstructure Noise: A Financial Economic Approach In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 35 |
2010 | On the Correlation Structure of Microstructure Noise: A Financial Economic Approach.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | paper | |
2013 | On the Correlation Structure of Microstructure Noise: A Financial Economic Approach.(2013) In: Review of Economic Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | article | |
2009 | Equity Market Spillovers in the Americas In: Journal EconomÃa Chilena (The Chilean Economy). [Full Text][Citation analysis] | article | 35 |
2011 | Equity Market Spillovers in the Americas.(2011) In: Central Banking, Analysis, and Economic Policies Book Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | chapter | |
2018 | Commodity Connectedness In: Central Banking, Analysis, and Economic Policies Book Series. [Full Text][Citation analysis] | chapter | 34 |
2017 | Commodity Connectedness.(2017) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | paper | |
2017 | Commodity Connectedness.(2017) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | paper | |
2017 | Commodity connectedness.(2017) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | paper | |
2002 | Financial Asset Returns, Market Timing, and Volatility Dynamics In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 12 |
2000 | Measuring Predictability: Theory And Macroeconomic Applications In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 68 |
1997 | Measuring predictability: theory and macroeconomic applications.(1997) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 68 | paper | |
2001 | Measuring predictability: theory and macroeconomic applications.(2001) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 68 | article | |
1997 | Measuring Predictability: Theory and Macroeconomic Applications.(1997) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 68 | paper | |
1998 | Measuring Predictability: Theory and Macroeconomic Applications.(1998) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 68 | paper | |
1997 | Measuring Predictability: Theory and Macroeconomic Applications.(1997) In: CARESS Working Papres. [Citation analysis] This paper has nother version. Agregated cites: 68 | paper | |
1997 | Optimal Prediction Under Asymmetric Loss In: Econometric Theory. [Full Text][Citation analysis] | article | 178 |
1997 | Optimal prediction under asymmetric loss.(1997) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 178 | paper | |
1994 | Optimal Prediction Under Asymmetric Loss.(1994) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 178 | paper | |
1997 | Optimal Prediction Under Asymmetric Loss.(1997) In: CARESS Working Papres. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 178 | paper | |
Optimal Prediction Under Asymmetric Loss.() In: Home Pages. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 178 | paper | ||
2003 | THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003 In: Econometric Theory. [Full Text][Citation analysis] | article | 7 |
1992 | Forecasting, Structural Time Series Models and the Kalman Filter, Andrew C. Harvey Cambridge University Press, 1939 - Fore Casting, Structural Time Series Models and The Kalman FilterAdrew C. Harvey C In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
2002 | Modeling and Forecasting Realized Volatility In: Working Papers. [Full Text][Citation analysis] | paper | 1854 |
2003 | Modeling and Forecasting Realized Volatility.(2003) In: Econometrica. [Citation analysis] This paper has nother version. Agregated cites: 1854 | article | |
2001 | Modeling and Forecasting Realized Volatility.(2001) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1854 | paper | |
2001 | Modeling and Forecasting Realized Volatility.(2001) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1854 | paper | |
2006 | Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence In: Finance Working Papers. [Full Text][Citation analysis] | paper | 9 |
2006 | Direction-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 nother version. Agregated cites: 9 | paper | |
2006 | Direction-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 nother version. Agregated cites: 9 | paper | |
1997 | Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers. In: Economic Journal. [Full Text][Citation analysis] | article | 13 |
1997 | Bounded rationality and strategic complementarity in a macroeconomic model: policy effects, persistence, and multipliers.(1997) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
1996 | Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers.(1996) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | 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 nother version. Agregated cites: 13 | paper | ||
2009 | Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets In: Economic Journal. [Full Text][Citation analysis] | article | 1575 |
2008 | Measuring financial asset return and volatility spillovers, with application to global equity markets.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1575 | paper | |
2007 | Measuring 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 nother version. Agregated cites: 1575 | paper | |
2008 | Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets.(2008) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1575 | paper | |
2007 | Measuring 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 nother version. Agregated cites: 1575 | paper | |
2009 | Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets.(2009) In: Economic Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1575 | article | |
2007 | Measuring 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 nother version. Agregated cites: 1575 | paper | |
2008 | Measuring 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 nother version. Agregated cites: 1575 | paper | |
2012 | A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities In: Working Papers. [Full Text][Citation analysis] | paper | 36 |
2013 | A Markov-switching multifractal inter-trade duration model, with application to US equities.(2013) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | article | |
2012 | A 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 nother version. Agregated cites: 36 | paper | |
2012 | A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities.(2012) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
2004 | Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics In: Econometric Society 2004 Australasian Meetings. [Citation analysis] | paper | 0 |
2009 | An arbitrage-free generalized Nelson--Siegel term structure model In: Econometrics Journal. [Full Text][Citation analysis] | article | 79 |
2008 | An arbitrage-free generalized Nelson-Siegel term structure model.(2008) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 79 | paper | |
2008 | An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model.(2008) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 79 | paper | |
2008 | An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model.(2008) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 79 | paper | |
1988 | Testing for bubbles, reflecting barriers and other anomalies In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 2 |
1989 | State space modeling of time series : A review essay In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 4 |
1988 | State space modeling of time series: a review essay.(1988) In: Finance and Economics Discussion Series. [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2006 | Volatility and Correlation Forecasting In: Handbook of Economic Forecasting. [Full Text][Citation analysis] | chapter | 269 |
2015 | Assessing point forecast accuracy by stochastic loss distance In: Economics Letters. [Full Text][Citation analysis] | article | 6 |
1986 | The exact initial covariance matrix of the state vector of a general MA(q) process In: Economics Letters. [Full Text][Citation analysis] | article | 3 |
1986 | Exact maximum-likelihood estimation of autoregressive models via the Kalman filter In: Economics Letters. [Full Text][Citation analysis] | article | 4 |
1991 | On the power of Dickey-Fuller tests against fractional alternatives In: Economics Letters. [Full Text][Citation analysis] | article | 257 |
1990 | On the power of Dickey-Fuller tests against fractional alternatives.(1990) In: Finance and Economics Discussion Series. [Citation analysis] This paper has nother version. Agregated cites: 257 | paper | |
1996 | Fractional integration and interval prediction In: Economics Letters. [Full Text][Citation analysis] | article | 15 |
2001 | Econometrics: Retrospect and prospect In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
2001 | Forecasting and empirical methods in finance and macroeconomics In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
2001 | Long memory and regime switching In: Journal of Econometrics. [Full Text][Citation analysis] | article | 681 |
2000 | Long Memory and Regime Switching.(2000) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 681 | paper | |
2006 | Forecasting the term structure of government bond yields In: Journal of Econometrics. [Full Text][Citation analysis] | article | 818 |
2003 | Forecasting the Term Structure of Government Bond Yields.(2003) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 818 | paper | |
2002 | Forecasting the Term Structure of Government Bond Yields.(2002) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 818 | paper | |
2003 | Forecasting the term structure of government bond yields.(2003) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 818 | paper | |
2006 | The econometrics of macroeconomics, finance, and the interface In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
2006 | The macroeconomy and the yield curve: a dynamic latent factor approach In: Journal of Econometrics. [Full Text][Citation analysis] | article | 561 |
2004 | The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 561 | paper | |
2008 | Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach In: Journal of Econometrics. [Full Text][Citation analysis] | article | 161 |
2007 | Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 161 | paper | |
2007 | Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach.(2007) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 161 | paper | |
2007 | Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach.(2007) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 161 | paper | |
2011 | The affine arbitrage-free class of Nelson-Siegel term structure models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 218 |
2007 | The affine arbitrage-free class of Nelson-Siegel term structure models.(2007) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 218 | paper | |
2007 | The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 218 | paper | |
2007 | The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models.(2007) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 218 | paper | |
2014 | On the network topology of variance decompositions: Measuring the connectedness of financial firms In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1609 |
2011 | On the network topology of variance decompositions: Measuring the connectedness of financial firms.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1609 | paper | |
2011 | On 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 nother version. Agregated cites: 1609 | paper | |
2011 | On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1609 | paper | |
2011 | On 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 nother version. Agregated cites: 1609 | paper | |
2016 | Improving GDP measurement: A measurement-error perspective In: Journal of Econometrics. [Full Text][Citation analysis] | article | 62 |
2013 | Improving GDP measurement: a measurement-error perspective.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 62 | paper | |
2013 | Improving GDP Measurement: A Measurement-Error Perspective.(2013) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 62 | paper | |
2013 | Improving GDP Measurement: A Measurement-Error Perspective.(2013) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 62 | paper | |
2017 | Real-time forecast evaluation of DSGE models with stochastic volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 50 |
2016 | Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility.(2016) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 50 | paper | |
2015 | Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility.(2015) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 50 | paper | |
2017 | Real-time forecast evaluation of DSGE models with stochastic volatility.(2017) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 50 | paper | |
1993 | Discussion : The effect of seasonal adjustment filters on tests for a unit root In: Journal of Econometrics. [Full Text][Citation analysis] | article | 4 |
1994 | On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean In: Journal of Econometrics. [Full Text][Citation analysis] | article | 75 |
1990 | On 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 nother version. Agregated cites: 75 | paper | |
1993 | On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean.(1993) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 75 | paper | |
1996 | Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures In: Journal of Econometrics. [Full Text][Citation analysis] | article | 143 |
1993 | Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures.(1993) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 143 | paper | |
1997 | Why are estimates of agricultural supply response so variable? In: Journal of Econometrics. [Full Text][Citation analysis] | article | 20 |
2019 | Why Are Estimates of Agricultural Supply Response so Variable?.(2019) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
1996 | Why are estimates of agricultural supply response so variable?.(1996) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
Why Are Estimates of Agricultural Supply Response So Variable?.() In: Home Pages. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | ||
1988 | Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate In: European Economic Review. [Full Text][Citation analysis] | article | 17 |
1990 | Nonparametric exchange rate prediction? In: Journal of International Economics. [Full Text][Citation analysis] | article | 247 |
1989 | Nonparametric exchange rate prediction?.(1989) In: Finance and Economics Discussion Series. [Citation analysis] This paper has nother version. Agregated cites: 247 | paper | |
1996 | Software review In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
2012 | Better to give than to receive: Predictive directional measurement of volatility spillovers In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 1864 |
2010 | Better 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 nother version. Agregated cites: 1864 | paper | |
2019 | Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 59 |
2018 | Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives.(2018) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 59 | paper | |
2018 | Machine Learning for Regularized Survey Forecast Combination: Partially Egalitarian Lasso and its Derivatives.(2018) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 59 | paper | |
1989 | Forecast combination and encompassing: Reconciling two divergent literatures In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 72 |
1989 | Forecast combination and encompassing: reconciling two divergent literatures.(1989) In: Finance and Economics Discussion Series. [Citation analysis] This paper has nother version. Agregated cites: 72 | paper | |
1990 | The use of prior information in forecast combination In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 87 |
1987 | The use of prior information in forecast combination.(1987) In: Special Studies Papers. [Citation analysis] This paper has nother version. Agregated cites: 87 | paper | |
2002 | Ratings migration and the business cycle, with application to credit portfolio stress testing In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 260 |
2000 | Ratings 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 nother version. Agregated cites: 260 | paper | |
2001 | The distribution of realized stock return volatility In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 1011 |
1989 | Long memory and persistence in aggregate output In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 298 |
1988 | Long memory and persistence in aggregate output.(1988) In: Finance and Economics Discussion Series. [Citation analysis] This paper has nother version. Agregated cites: 298 | paper | |
2006 | A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources and Generalized Duration In: Chapters. [Full Text][Citation analysis] | chapter | 15 |
2006 | A 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 nother version. Agregated cites: 15 | paper | |
2001 | Five questions about business cycles In: Economic Review. [Full Text][Citation analysis] | article | 14 |
2003 | The macroeconomy and the yield curve: a nonstructural analysis In: Working Paper Series. [Full Text][Citation analysis] | paper | 12 |
2003 | The Macroeconomy and the Yield Curve: A Nonstructural Analysis.(2003) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
2003 | The Macroeconomy and the Yield Curve: A Nonstructural Analysis.(2003) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
1988 | On the solution of dynamic linear rational expectations models In: Finance and Economics Discussion Series. [Citation analysis] | paper | 0 |
1997 | Dynamic equilibrium economies: a framework for comparing models and data In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 119 |
1998 | Dynamic equilibrium economies: a framework for comparing models and data.(1998) In: Staff Report. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 119 | paper | |
1997 | Dynamic equilibrium economies: a framework for comparing models and data.(1997) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 119 | paper | |
1995 | Dynamic Equilibrium Economies: A Framework for Comparing Models and Data.(1995) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 119 | paper | |
1998 | Dynamic Equilibrium Economies: A Framework for Comparing Models and Data.(1998) In: Review of Economic Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 119 | article | |
1992 | Near-rationality and strategic complementarity in a macroeconomic model: policy effects, persistence and multipliers In: Finance and Economics Discussion Series. [Citation analysis] | paper | 1 |
1988 | Ex ante turning point forecasting with the composite leading index In: Finance and Economics Discussion Series. [Citation analysis] | paper | 0 |
1988 | Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function In: Finance and Economics Discussion Series. [Citation analysis] | paper | 3 |
1988 | Conditional heteroskedasticity in the market In: Finance and Economics Discussion Series. [Citation analysis] | paper | 2 |
1988 | Unit roots in economic time series: a selective survey In: Finance and Economics Discussion Series. [Citation analysis] | paper | 24 |
1989 | Is consumption too smooth? Long memory and the Deaton paradox In: Finance and Economics Discussion Series. [Citation analysis] | paper | 46 |
1991 | Is Consumption Too Smooth? Long Memory and the Deaton Paradox..(1991) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | article | |
1988 | Post-deregulation deposit rate pricing: the multivariate dynamics In: Finance and Economics Discussion Series. [Citation analysis] | paper | 3 |
1989 | Forecasting output with the composite leading index: an ex ante analysis In: Finance and Economics Discussion Series. [Citation analysis] | paper | 69 |
2005 | Robust estimation - discussion In: Proceedings. [Citation analysis] | article | 0 |
2005 | From the horse’s mouth: gauging conditional expected stock returns from investor surveys In: Proceedings. [Full Text][Citation analysis] | article | 1 |
1986 | Temporal aggregation of ARCH processes and the distribution of asset returns In: Special Studies Papers. [Citation analysis] | paper | 7 |
1986 | Structural change and the combination of forecasts In: Special Studies Papers. [Citation analysis] | paper | 7 |
1986 | The dynamics of exchange rate volatility: a multivariate latent factor ARCH model In: Special Studies Papers. [Citation analysis] | paper | 342 |
1989 | The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model..(1989) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 342 | article | |
1987 | Scoring the leading indicators In: Special Studies Papers. [Citation analysis] | paper | 195 |
1989 | Scoring the Leading Indicators..(1989) In: The Journal of Business. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 195 | article | |
1987 | Does the business cycle have duration memory? In: Special Studies Papers. [Citation analysis] | paper | 3 |
1987 | Deviations from random-walk behavior: tests based on the variance-time function In: Special Studies Papers. [Citation analysis] | paper | 0 |
1988 | A nonparametric investigation of duration dependence in the American business cycle In: Working Paper Series / Economic Activity Section. [Citation analysis] | paper | 117 |
1990 | A Nonparametric Investigation of Duration Dependence in the American Business Cycle..(1990) In: Journal of Political Economy. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 117 | article | |
1990 | International evidence on business cycle duration dependence In: Discussion Paper / Institute for Empirical Macroeconomics. [Full Text][Citation analysis] | paper | 7 |
1990 | Real exchange rates under the gold standard In: Discussion Paper / Institute for Empirical Macroeconomics. [Full Text][Citation analysis] | paper | 234 |
1991 | Real Exchange Rates under the Gold Standard..(1991) In: Journal of Political Economy. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 234 | article | |
1991 | Comparing predictive accuracy I: an asymptotic test In: Discussion Paper / Institute for Empirical Macroeconomics. [Full Text][Citation analysis] | paper | 7 |
1998 | Horizon problems and extreme events in financial risk management In: Economic Policy Review. [Full Text][Citation analysis] | article | 28 |
1998 | Horizon Problems and Extreme Events in Financial Risk Management.(1998) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | paper | |
1995 | Modeling volatility dynamics In: Research Paper. [Full Text][Citation analysis] | paper | 49 |
Modeling Volatility Dynamics.() In: Home Pages. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 49 | paper | ||
1995 | Forecast evaluation and combination In: Research Paper. [Full Text][Citation analysis] | paper | 333 |
1996 | Forecast Evaluation and Combination.(1996) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 333 | paper | |
1991 | Shorter recessions and longer expansions In: Business Review. [Full Text][Citation analysis] | article | 1 |
1993 | Are long expansions followed by short contractions? In: Business Review. [Full Text][Citation analysis] | article | 1 |
2011 | Improving GDP measurement: a forecast combination perspective In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
2011 | Improving GDP Measurement: A Forecast Combination Perspective.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2011 | Improving GDP Measurement: A Forecast Combination Perspective.(2011) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
1991 | Further evidence on business cycle duration dependence In: Working Papers. [Citation analysis] | paper | 102 |
1993 | Further Evidence on Business-Cycle Duration Dependence.(1993) In: NBER Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 102 | chapter | |
1993 | Regime switching with time-varying transition probabilities In: Working Papers. [Citation analysis] | paper | 109 |
1993 | Exact maximum likelihood estimation of ARCH models In: Working Papers. [Citation analysis] | paper | 2 |
1993 | On comparing information in forecasts from econometric models: a comment on Fair and Shiller In: Working Papers. [Citation analysis] | paper | 0 |
1997 | Evaluating density forecasts In: Working Papers. [Full Text][Citation analysis] | paper | 72 |
1997 | Evaluating Density Forecasts.(1997) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 72 | paper | |
1997 | Evaluating Density Forecasts.(1997) In: CARESS Working Papres. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 72 | paper | |
1997 | Evaluating Density Forecasts.(1997) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 72 | paper | |
1998 | Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 3 |
1998 | Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange.(1998) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
1998 | Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange.(1998) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
1998 | How Relevant is Volatility Forecasting for Financial Risk Management? In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 139 |
1998 | How Relevant is Volatility Forecasting for Financial Risk Management?.(1998) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 139 | paper | |
2000 | How Relevant is Volatility Forecasting for Financial Risk Management?.(2000) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 139 | article | |
1997 | How Relevant is Volatility Forecasting for Financial Risk Management?.(1997) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 139 | paper | |
1998 | Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Citation analysis] | paper | 61 |
1998 | Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management.(1998) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 61 | paper | |
1999 | The Distribution of Exchange Rate Volatility In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 89 |
1999 | The Distribution of Exchange Rate Volatility.(1999) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 89 | paper | |
1999 | The Distribution of Exchange Rate Volatility.(1999) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 89 | paper | |
1999 | Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 109 |
2000 | Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian.(2000) In: Multinational Finance Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 109 | article | |
2000 | Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 109 | paper | |
1999 | Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian.(1999) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 109 | paper | |
1999 | (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 54 |
1998 | Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 19 |
1998 | Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management.(1998) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
1998 | Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors Introduction. In: International Economic Review. [Citation analysis] | article | 5 |
1998 | Evaluating Density Forecasts with Applications to Financial Risk Management. In: International Economic Review. [Citation analysis] | article | 785 |
2011 | Globalization, the Business Cycle, and Macroeconomic Monitoring In: IMF Working Papers. [Full Text][Citation analysis] | paper | 33 |
2010 | Globalization, the Business Cycle, and Macroeconomic Monitoring.(2010) In: NBER Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 33 | chapter | |
2010 | Globalization, the Business Cycle, and Macroeconomic Monitoring.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 33 | paper | |
2011 | Globalization, the Business Cycle, and Macroeconomic Monitoring.(2011) In: NBER International Seminar on Macroeconomics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 33 | article | |
2006 | Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics In: Management Science. [Full Text][Citation analysis] | article | 118 |
1996 | Further Results on Forecasting and Model Selection under Asymmetric Loss. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 64 |
Further Results on Forecasting and Model Selection Under Asymmetric Loss.() In: Home Pages. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 64 | paper | ||
1989 | Structural Time Series Analysis and Modelling Package: A Review. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 1 |
2007 | Macroeconomic Volatility and Stock Market Volatility,World-Wide In: Koç University-TUSIAD Economic Research Forum Working Papers. [Full Text][Citation analysis] | paper | 53 |
2008 | Macroeconomic Volatility and Stock Market Volatility, Worldwide.(2008) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 53 | paper | |
2008 | Macroeconomic Volatility and Stock Market Volatility, World-Wide.(2008) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 53 | paper | |
2015 | Estimating Global Bank Network Connectedness In: Koç University-TUSIAD Economic Research Forum Working Papers. [Full Text][Citation analysis] | paper | 255 |
2017 | Estimating Global Bank Network Connectedness.(2017) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 255 | paper | |
2015 | Estimating Global Bank Network Connectedness.(2015) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 255 | paper | |
2018 | Estimating global bank network connectedness.(2018) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 255 | article | |
2007 | Practical Volatility and Correlation Modeling for Financial Market Risk Management In: NBER Chapters. [Full Text][Citation analysis] | chapter | 39 |
2005 | Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 39 | paper | |
2005 | Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 39 | paper | |
2005 | Practical volatility and correlation modeling for financial market risk management.(2005) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 39 | paper | |
1995 | Measuring Volatility Dynamics In: NBER Technical Working Papers. [Full Text][Citation analysis] | paper | 0 |
1996 | Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models In: NBER Technical Working Papers. [Full Text][Citation analysis] | paper | 6 |
2002 | Parametric and Nonparametric Volatility Measurement In: NBER Technical Working Papers. [Full Text][Citation analysis] | paper | 70 |
2002 | Parametric and Nonparametric Volatility Measurement.(2002) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 70 | paper | |
2003 | Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics In: NBER Working Papers. [Full Text][Citation analysis] | paper | 15 |
2003 | Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics.(2003) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
2003 | Financial asset returns, direction-of-change forecasting, and volatility dynamics.(2003) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
2005 | Volatility Forecasting In: NBER Working Papers. [Full Text][Citation analysis] | paper | 51 |
2005 | Volatility Forecasting.(2005) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 51 | paper | |
2005 | Volatility forecasting.(2005) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 51 | paper | |
2005 | Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets In: NBER Working Papers. [Full Text][Citation analysis] | paper | 107 |
2004 | Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets.(2004) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 107 | paper | |
2004 | Real-time price discovery in stock, bond and foreign exchange markets.(2004) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 107 | paper | |
2012 | Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests In: NBER Working Papers. [Full Text][Citation analysis] | paper | 218 |
2012 | Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests.(2012) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 218 | paper | |
2015 | Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests.(2015) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 218 | article | |
2016 | Assessing Point Forecast Accuracy by Stochastic Error Distance In: NBER Working Papers. [Full Text][Citation analysis] | paper | 6 |
2014 | Assessing Point Forecast Accuracy by Stochastic Error Distance.(2014) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2017 | Assessing point forecast accuracy by stochastic error distance.(2017) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2020 | Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession In: NBER Working Papers. [Full Text][Citation analysis] | paper | 30 |
2020 | Real-Time Real Economic Activity:Exiting the Great Recession and Entering the Pandemic Recession.(2020) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | paper | |
1994 | Measuring Business Cycles: A Modern Perspective In: NBER Working Papers. [Full Text][Citation analysis] | paper | 278 |
1996 | Measuring Business Cycles: A Modern Perspective..(1996) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 278 | article | |
Measuring Business Cycle: A Modern Perspective.() In: Home Pages. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 278 | paper | ||
1994 | Job Stability in the United States In: NBER Working Papers. [Full Text][Citation analysis] | paper | 76 |
1997 | Job Stability in the United States..(1997) In: Journal of Labor Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 76 | article | |
1996 | Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again In: NBER Working Papers. [Full Text][Citation analysis] | paper | 10 |
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again.() In: Home Pages. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | ||
1997 | Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters In: NBER Working Papers. [Full Text][Citation analysis] | paper | 50 |
1998 | Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters.(1998) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 50 | paper | |
2000 | The Distribution of Stock Return Volatility In: NBER Working Papers. [Full Text][Citation analysis] | paper | 40 |
2000 | The Distribution of Stock Return Volatility.(2000) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 40 | paper | |
2001 | High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models In: NBER Working Papers. [Full Text][Citation analysis] | paper | 7 |
2003 | A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations In: NBER Working Papers. [Full Text][Citation analysis] | paper | 130 |
2003 | A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations.(2003) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 130 | paper | |
2006 | A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations.(2006) In: The Journal of Business. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 130 | 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 nother version. Agregated cites: 130 | paper | ||
2004 | A no-arbitrage approach to range-based estimation of return covariances and correlations.(2004) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 130 | paper | |
2016 | Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 104 |
2020 | Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I).() In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | ||
2015 | Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring In: OUP Catalogue. [Citation analysis] | book | 225 |
2002 | Symposium on Forecasting Performance: An Introduction In: IMF Staff Papers. [Full Text][Citation analysis] | article | 0 |
2003 | Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 41 |
2003 | Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility.(2003) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 41 | paper | |
2004 | Realized Beta: Persistence and Predictability In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 15 |
2004 | Realized beta: Persistence and predictability.(2004) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
2008 | Real-Time Measurement of Business Conditions, Second Version In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 5 |
2008 | On the Correlation Structure of Microstructure Noise in Theory and Practice In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 10 |
2008 | On the correlation structure of microstructure noise in theory and practice.(2008) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2012 | On the Origin(s) and Development of the Term “Big Data In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 2 |
2012 | A Personal Perspective on the Origin(s) and Development of “Big Data: The Phenomenon, the Term, and the Discipline, Second Version In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 2 |
2013 | Measuring the Dynamics of Global Business Cycle Connectedness In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 38 |
2017 | Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 5 |
2010 | Introduction In: Introductory Chapters. [Full Text][Citation analysis] | chapter | 0 |
2012 | Facts, Factors, and Questions In: Introductory Chapters. [Full Text][Citation analysis] | chapter | 0 |
1999 | Business Cycles: Durations, Dynamics, and Forecasting In: Economics Books. [Citation analysis] | book | 66 |
2010 | The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice In: Economics Books. [Citation analysis] | book | 25 |
2012 | Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach In: Economics Books. [Citation analysis] | book | 11 |
2008 | Priors from Frequency-Domain Dummy Observations In: 2008 Meeting Papers. [Full Text][Citation analysis] | paper | 2 |
2005 | Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
1988 | Has the EMS Reduced Member-Country Exchange Rate Volatility? In: Empirical Economics. [Citation analysis] | article | 12 |
2015 | Rejoinder In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
1998 | Bootstrapping Multivariate Spectra In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 33 |
1999 | Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 199 |
Stamp 5.0: A Review In: Home Pages. [Full Text][Citation analysis] | paper | 0 | |
1999 | Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] | paper | 10 |
1997 | Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] | paper | 19 |
1999 | Financial Risk Management in a Volatile Global Environment In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] | paper | 5 |
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