Francis Diebold : Citation Profile


Are you Francis Diebold?

University of Pennsylvania

66

H index

114

i10 index

29258

Citations

RESEARCH PRODUCTION:

107

Articles

275

Papers

4

Books

10

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   37 years (1986 - 2023). See details.
   Cites by year: 790
   Journals where Francis Diebold has often published
   Relations with other researchers
   Recent citing documents: 1145.    Total self citations: 201 (0.68 %)

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   Permalink: http://citec.repec.org/pdi1
   Updated: 2024-01-16    RAS profile: 2022-11-16    
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Relations with other researchers


Works with:

Rudebusch, Glenn (13)

ZHANG, BOYUAN (9)

Shin, Minchul (5)

Kapetanios, George (5)

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

Is cited by:

GUPTA, RANGAN (434)

Gil-Alana, Luis (342)

Swanson, Norman (194)

Bollerslev, Tim (190)

Degiannakis, Stavros (170)

Gabauer, David (154)

Baruník, Jozef (152)

van Dijk, Dick (143)

Caporale, Guglielmo Maria (142)

Clements, Michael (141)

Balcilar, Mehmet (131)

Cites to:

Bollerslev, Tim (173)

Andersen, Torben (116)

Engle, Robert (88)

Rudebusch, Glenn (59)

Shephard, Neil (57)

Aruoba, S. Boragan (38)

Watson, Mark (37)

Yilmaz, Kamil (36)

Campbell, John (34)

Pesaran, Mohammad (32)

Ghysels, Eric (30)

Main data


Where Francis Diebold has published?


Journals with more than one article published# docs
Journal of Econometrics17
Journal of Business & Economic Statistics10
Economics Letters6
American Economic Review6
The Review of Economics and Statistics6
International Journal of Forecasting6
Journal of Applied Econometrics4
The Journal of Financial Econometrics3
Econometric Theory3
Proceedings3
Journal of Business & Economic Statistics2
Journal of Political Economy2
Journal of the American Statistical Association2
Journal of Economic Dynamics and Control2
Journal of Finance2
Business Review2
International Economic Review2
Economic Journal2
The Journal of Business2
Journal of International Economics2
Review of Economic Studies2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc53
Working Papers / Federal Reserve Bank of Philadelphia21
CFS Working Paper Series / Center for Financial Studies (CFS)20
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)18
Papers / arXiv.org13
Special Studies Papers / Board of Governors of the Federal Reserve System (U.S.)7
Discussion Paper / Institute for Empirical Macroeconomics / Federal Reserve Bank of Minneapolis5
Ko University-TUSIAD Economic Research Forum Working Papers / Koc University-TUSIAD Economic Research Forum5
Working Paper Series / Federal Reserve Bank of San Francisco5
Working Papers / University of Pennsylvania, Wharton School, Weiss Center2
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)2
Working Paper Series / Economic Activity Section / Board of Governors of the Federal Reserve System (U.S.)2
Working Papers / Duke University, Department of Economics2
Finance Working Papers / East Asian Bureau of Economic Research2
IMF Working Papers / International Monetary Fund2
Research Paper / Federal Reserve Bank of New York2

Recent works citing Francis Diebold (2024 and 2023)


YearTitle of citing document
2023The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:336984.

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2023Volatility 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.

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2023PURCHASING 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.

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2023Message in a Bottle: Forecasting wine prices. (2023). Meloni, Giulia ; Leccadito, Arturo ; Iania, Leonardo ; Algieri, Bernardina. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023004.

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2023Analysis 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.

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2023Idiosyncratic and systematic spillovers through the renewable energy financial systems. (2023). Tedeschi, Marco. In: Working Papers. RePEc:anc:wpaper:483.

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2023Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

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2023Identifying 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.

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2023Testing Forecast Rationality for Measures of Central Tendency. (2019). Schmidt, Patrick ; Patton, Andrew J ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1910.12545.

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2023Equal Predictive Ability Tests for Panel Data with an Application to OECD and IMF Forecasts. (2020). Yang, Zhenlin ; Urga, Giovanni ; Pirotte, Alain ; Akgun, Oguzhan. In: Papers. RePEc:arx:papers:2003.02803.

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2023Dynamic 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.

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2023Dynamic Networks in Large Financial and Economic Systems. (2020). Baruník, Jozef ; Ellington, Michael. In: Papers. RePEc:arx:papers:2007.07842.

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2023A Novel Approach to Predictive Accuracy Testing in Nested Environments. (2020). Pitarakis, Jean-Yves. In: Papers. RePEc:arx:papers:2008.08387.

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2023Time-Varying Parameters as Ridge Regressions. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2009.00401.

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2023Forecasting 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.

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2023Learning Financial Network with Focally Sparse Structure. (2021). Chernozhukov, Victor ; Wang, Weining ; Huang, Chen. In: Papers. RePEc:arx:papers:2105.07424.

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2023Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics. (2021). , Almut ; Shephard, Neil ; Lunde, Asger ; Bennedsen, Mikkel. In: Papers. RePEc:arx:papers:2107.03674.

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2023Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567.

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2023Monitoring 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.

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2023Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC. (2022). , Shibo ; Bo, Shi. In: Papers. RePEc:arx:papers:2201.09434.

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2023Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962.

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2023Sparse multivariate modeling for stock returns predictability. (2022). Bernardi, Mauro ; Bianco, Nicolas ; Bianchi, Daniele. In: Papers. RePEc:arx:papers:2202.12644.

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2023Tail-GAN: Nonparametric Scenario Generation for Tail Risk Estimation. (2022). Cont, Rama ; Zhang, Chao ; Xu, Renyuan ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2203.01664.

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2023Rough volatility: fact or artefact?. (2022). Das, Purba ; Cont, Rama. In: Papers. RePEc:arx:papers:2203.13820.

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2023Estimation and Inference for High Dimensional Factor Model with Regime Switching. (2022). Wang, FA ; Urga, Giovanni. In: Papers. RePEc:arx:papers:2205.12126.

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2023Estimating spot volatility under infinite variation jumps with market microstructure noise. (2022). Liu, Zhi. In: Papers. RePEc:arx:papers:2205.15738.

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2023Multivariate backtests and copulas for risk evaluation. (2022). Zumbach, Gilles ; David, Boris. In: Papers. RePEc:arx:papers:2206.03896.

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2023Ensemble distributional forecasting for insurance loss reserving. (2022). Xian, Alan ; Wong, Bernard ; Li, Yanfeng ; Avanzi, Benjamin. In: Papers. RePEc:arx:papers:2206.08541.

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2023Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2023Global combinations of expert forecasts. (2022). Vasnev, Andrey L ; Thompson, Ryan ; Qian, Yilin. In: Papers. RePEc:arx:papers:2207.07318.

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2023Factor Network Autoregressions. (2022). Cavaliere, Giuseppe ; Moramarco, Graziano ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2208.02925.

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2023Prediction intervals for economic fixed-event forecasts. (2022). Plett, Hendrik ; Kruger, Fabian. In: Papers. RePEc:arx:papers:2210.13562.

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2023Reservoir 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.

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2023Enhanced Bayesian Neural Networks for Macroeconomics and Finance. (2022). Marcellino, Massimiliano ; Klieber, Karin ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2211.04752.

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2023Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2022). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610.

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2023Score-based calibration testing for multivariate forecast distributions. (2022). Pohle, Marc-Oliver ; Kruger, Fabian ; Knuppel, Malte. In: Papers. RePEc:arx:papers:2211.16362.

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2023Deep Reinforcement Learning for Gas Trading. (2023). Michler, Christian ; Granger, Nikita P ; Cy, Alexander ; Miao, Yinsen ; Wang, Yuanrong. In: Papers. RePEc:arx:papers:2301.08359.

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2023Bitcoin Does Not Hedge Inflation. (2023). Pinchuk, Mykola. In: Papers. RePEc:arx:papers:2301.10117.

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2023Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2023). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592.

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2023Nonlinearities in Macroeconomic Tail Risk through the Lens of Big Data Quantile Regressions. (2023). Huber, Florian ; Pruser, Jan. In: Papers. RePEc:arx:papers:2301.13604.

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2023Risk Budgeting Portfolios from Simulations. (2023). Targino, Rodrigo S ; Pesenti, Silvana M ; Paulo, Bernardo Freitas. In: Papers. RePEc:arx:papers:2302.01196.

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2023Adaptive local VAR for dynamic economic policy uncertainty spillover. (2023). Okhrin, Ostap ; Gillmann, Niels. In: Papers. RePEc:arx:papers:2302.02808.

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2023Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates. (2023). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: Papers. RePEc:arx:papers:2302.02866.

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2023High-Dimensional Conditionally Gaussian State Space Models with Missing Data. (2023). Zhu, Dan ; Poon, Aubrey. In: Papers. RePEc:arx:papers:2302.03172.

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2023High-Dimensional Causality for Climatic Attribution. (2023). Smeekes, Stephan ; Margaritella, Luca ; Friedrich, Marina. In: Papers. RePEc:arx:papers:2302.03996.

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2023Realized recurrent conditional heteroskedasticity model for volatility modelling. (2023). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Papers. RePEc:arx:papers:2302.08002.

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2023A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208.

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2023Co-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.

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2023Detecting Rough Volatility: A Filtering Approach. (2023). Frey, Rudiger ; Damian, Camilla. In: Papers. RePEc:arx:papers:2302.12612.

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2023FuNVol: 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.

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2023Constructing High Frequency Economic Indicators by Imputation. (2023). Scanlan, Susannah ; Ng, Serena. In: Papers. RePEc:arx:papers:2303.01863.

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2023Reconciling rough volatility with jumps. (2023). de Carvalho, Nathan ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2303.07222.

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2023Multivariate Probabilistic CRPS Learning with an Application to Day-Ahead Electricity Prices. (2023). Ziel, Florian ; Berrisch, Jonathan. In: Papers. RePEc:arx:papers:2303.10019.

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2023Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064.

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2023Dark Matter in (Volatility and) Equity Option Risk Premiums. (2023). Gao, Xiaohui ; Crosby, John ; Bakshi, Gurdip. In: Papers. RePEc:arx:papers:2303.16371.

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2023GDP nowcasting with artificial neural networks: How much does long-term memory matter?. (2023). Hadh, D'Aniel. In: Papers. RePEc:arx:papers:2304.05805.

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2023Collective dynamics, diversification and optimal portfolio construction for cryptocurrencies. (2023). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2304.08902.

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2023Stock Price Predictability and the Business Cycle via Machine Learning. (2023). Fan, Xiuyi ; Fu, Hsuan ; Wang, Lirong. In: Papers. RePEc:arx:papers:2304.09937.

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2023Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data. (2023). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2304.11883.

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2023A spectral approach to stock market performance. (2023). Escañuela Romana, Ignacio ; Nieves, Clara Escanuela. In: Papers. RePEc:arx:papers:2305.05762.

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2023Band-Pass Filtering with High-Dimensional Time Series. (2023). Proietti, Tommaso ; Lippi, Marco ; Giovannelli, Alessandro. In: Papers. RePEc:arx:papers:2305.06618.

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2023Monitoring multicountry macroeconomic risk. (2023). Korobilis, Dimitris ; Schroder, Maximilian. In: Papers. RePEc:arx:papers:2305.09563.

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2023Nowcasting 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.

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2023Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.11282.

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2023Precision versus Shrinkage: A Comparative Analysis of Covariance Estimation Methods for Portfolio Allocation. (2023). Jain, Shashi ; Dutta, Sumanjay. In: Papers. RePEc:arx:papers:2305.11298.

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2023Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, Edoardo ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2305.12192.

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2023The 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.

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2023Generalized Autoregressive Score Trees and Forests. (2023). Simsek, Yasin ; Patton, Andrew J. In: Papers. RePEc:arx:papers:2305.18991.

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2023Discrete $q$-exponential limit order cancellation time distribution. (2023). Gontis, Vygintas. In: Papers. RePEc:arx:papers:2306.00093.

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2023Matrix GARCH Model: Inference and Application. (2023). Zhu, KE ; Jiang, Feiyu ; Li, Dong ; Yu, Cheng. In: Papers. RePEc:arx:papers:2306.05169.

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2023Factor-augmented sparse MIDAS regression for nowcasting. (2023). Striaukas, Jonas ; Beyhum, Jad. In: Papers. RePEc:arx:papers:2306.13362.

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2023Multivariate Simulation-based Forecasting for Intraday Power Markets: Modelling Cross-Product Price Effects. (2023). Ziel, Florian ; Hirsch, Simon. In: Papers. RePEc:arx:papers:2306.13419.

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2023Latent Factor Analysis in Short Panels. (2023). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004.

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2023Online 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.

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2023Panel 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.

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2023Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions. (2023). Rudebusch, Glenn ; Diebold, Francis X. In: Papers. RePEc:arx:papers:2307.03552.

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2023Systemic risk indicator based on implied and realized volatility. (2023). Ślepaczuk, Robert ; Sieradzki, Rafal ; Sakowski, Pawel. In: Papers. RePEc:arx:papers:2307.05719.

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2023Propagation 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.

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2023VolTS: 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.

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2023Liquidity fragmentation on decentralized exchanges. (2023). Zoican, Marius ; Parlour, Christine ; Lehar, Alfred. In: Papers. RePEc:arx:papers:2307.13772.

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2023Limit Theory under Network Dependence and Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.01418.

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2023Graph 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.

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2023Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617.

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2023Econometrics of Machine Learning Methods in Economic Forecasting. (2023). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:2308.10993.

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2023Forecasting inflation using disaggregates and machine learning. (2023). Medeiros, Marcelo C ; Boaretto, Gilberto. In: Papers. RePEc:arx:papers:2308.11173.

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2023Combining 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.

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2023Real-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.

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2023The 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.

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2023Sluggish 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.

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2023Combining 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.

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2023Impact 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.

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2023Learning Probability Distributions of Day-Ahead Electricity Prices. (2023). Hanus, Lubos ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2310.02867.

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2023On changepoint detection in functional data using empirical energy distance. (2023). Trapani, Lorenzo ; Horv, Lajos ; Boniece, Cooper B. In: Papers. RePEc:arx:papers:2310.04853.

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2023Risk valuation of quanto derivatives on temperature and electricity. (2023). Vadillo, Nerea ; Alfonsi, Aur'Elien. In: Papers. RePEc:arx:papers:2310.07692.

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2023Dynamic Realized Minimum Variance Portfolio Models. (2023). Oh, Minseog ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2310.13511.

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2023BVARs and Stochastic Volatility. (2023). Chan, Joshua. In: Papers. RePEc:arx:papers:2310.14438.

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2023Co-Training Realized Volatility Prediction Model with Neural Distributional Transformation. (2023). Tanaka-Ishii, Kumiko ; Moriyama, Kai ; Du, Xin. In: Papers. RePEc:arx:papers:2310.14536.

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2023Bayesian SAR model with stochastic volatility and multiple time-varying weights. (2023). Iacopini, Matteo ; Costola, Michele ; Wichers, Casper. In: Papers. RePEc:arx:papers:2310.17473.

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2023Robust Estimation of Realized Correlation: New Insight about Intraday Fluctuations in Market Betas. (2023). Hansen, Peter ; Luo, Yiyao. In: Papers. RePEc:arx:papers:2310.19992.

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2023Estimation 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.

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2023Time-Varying Identification of Monetary Policy Shocks. (2023). Wo, Tomasz ; Camehl, Annika. In: Papers. RePEc:arx:papers:2311.05883.

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

Francis Diebold has edited the books:


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Works by Francis Diebold:


YearTitleTypeCited
2007Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility In: CREATES Research Papers.
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2005Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility.(2005) In: NBER Working Papers.
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2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility.(2007) In: The Review of Economics and Statistics.
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This paper has nother version. Agregated cites: 880
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2007Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers.
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2007Real-time price discovery in global stock, bond and foreign exchange markets.(2007) In: Journal of International Economics.
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2006Real-time price discovery in global stock, bond and foreign exchange markets.(2006) In: International Finance Discussion Papers.
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This paper has nother version. Agregated cites: 553
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2011Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers.
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2013Financial Risk Measurement for Financial Risk Management.(2013) In: Handbook of the Economics of Finance.
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2012Financial Risk Measurement for Financial Risk Management.(2012) In: NBER Working Papers.
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2011Financial Risk Measurement for Financial Risk Management.(2011) In: PIER Working Paper Archive.
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2010Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions In: American Economic Review.
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2010Real-time macroeconomic monitoring: real activity, inflation, and interactions.(2010) In: Working Papers.
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2010Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions.(2010) In: NBER Working Papers.
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2010Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions.(2010) In: PIER Working Paper Archive.
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1992Have Postwar Economic Fluctuations Been Stabilized? In: American Economic Review.
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article72
1991Have postwar economic fluctuations been stabilized?.(1991) In: Working Paper Series / Economic Activity Section.
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1990Have postwar economic fluctuations been stabilized?.(1990) In: Discussion Paper / Institute for Empirical Macroeconomics.
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1996The Uncertain Unit Root in Real GNP: Comment. In: American Economic Review.
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2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange In: American Economic Review.
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2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers.
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2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers.
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2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: NBER Working Papers.
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2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?.(2002) In: Center for Financial Institutions Working Papers.
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2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk In: American Economic Review.
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2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: NBER Working Papers.
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2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: PIER Working Paper Archive.
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2005A framework for exploring the macroeconomic determinants of systematic risk.(2005) In: CFS Working Paper Series.
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2005Modeling Bond Yields in Finance and Macroeconomics In: American Economic Review.
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2005Modeling bond yields in finance and macroeconomics.(2005) In: Working Paper Series.
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2005Modeling Bond Yields in Finance and Macroeconomics.(2005) In: NBER Working Papers.
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2005Modeling Bond Yields in Finance and Macroeconomics.(2005) In: PIER Working Paper Archive.
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2005Modeling bond yields in finance and macroeconomics.(2005) In: CFS Working Paper Series.
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1998The Past, Present, and Future of Macroeconomic Forecasting In: Journal of Economic Perspectives.
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1997The past, present, and future of macroeconomic forecasting.(1997) In: Working Papers.
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1997The Past, Present, and Future of Macroeconomic Forecasting.(1997) In: NBER Working Papers.
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2006Time Series Analysis In: Working Papers.
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2006Time Series Analysis.(2006) In: PIER Working Paper Archive.
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2021On the Evolution of U.S. Temperature Dynamics In: Papers.
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2019On the Evolution of U.S. Temperature Dynamics.(2019) In: PIER Working Paper Archive.
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This paper has nother version. Agregated cites: 2
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2021Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections In: Papers.
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2022Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections.(2022) In: Journal of Econometrics.
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2020Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections.(2020) In: Working Paper Series.
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2020Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections.(2020) In: NBER Working Papers.
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2019Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections.(2019) In: PIER Working Paper Archive.
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2020Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach In: Papers.
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2021Optimal combination of Arctic sea ice extent measures: A dynamic factor modeling approach.(2021) In: International Journal of Forecasting.
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2020Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach.(2020) In: PIER Working Paper Archive.
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2022Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 In: Papers.
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2022Real-Time Real Economic Activity:Entering and Exiting the Pandemic Recession of 2020.(2022) In: PIER Working Paper Archive.
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2021Big Data and its Origins In: Papers.
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2022On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates In: Papers.
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2021On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates.(2021) In: Working Papers.
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2022On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates.(2022) In: NBER Working Papers.
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2021On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone In?ation and Real Interest Rates.(2021) In: PIER Working Paper Archive.
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2022A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting In: Papers.
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2022A benchmark model for fixed-target Arctic sea ice forecasting.(2022) In: Economics Letters.
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This paper has nother version. Agregated cites: 2
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2022A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting.(2022) In: PIER Working Paper Archive.
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2023When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume In: Papers.
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2022When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume.(2022) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 1
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2022When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume.(2022) In: PIER Working Paper Archive.
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2023On Robust Inference in Time Series Regression In: Papers.
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2022On Robust Inference in Time Series Regression.(2022) In: PIER Working Paper Archive.
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2023Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice: Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models In: Papers.
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2022Assessing 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.
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2022On the Financing of Climate Change Adaptation in Developing Countries In: Papers.
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2022A New Test for Market Efficiency and Uncovered Interest Parity In: Papers.
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2022A New Test for Market Efficiency and Uncovered Interest Parity.(2022) In: NBER Working Papers.
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2022A New Test forMarket Efficiency and Uncovered Interest Parity.(2022) In: PIER Working Paper Archive.
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2023On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness In: Papers.
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2005Weather Forecasting for Weather Derivatives In: Journal of the American Statistical Association.
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article130
2003Weather Forecasting for Weather Derivatives.(2003) In: NBER Working Papers.
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2002Weather Forecasting for Weather Derivatives.(2002) In: Center for Financial Institutions Working Papers.
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2004Weather forecasting for weather derivatives.(2004) In: CFS Working Paper Series.
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2001The Distribution of Realized Exchange Rate Volatility In: Journal of the American Statistical Association.
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article1053
1995Comparing Predictive Accuracy. In: Journal of Business & Economic Statistics.
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article5196
2002Comparing Predictive Accuracy..(2002) In: Journal of Business & Economic Statistics.
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1994Comparing Predictive Accuracy.(1994) In: NBER Technical Working Papers.
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1998Cointegration and Long-Horizon Forecasting. In: Journal of Business & Economic Statistics.
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article122
1997Cointegration and long-horizon forecasting.(1997) In: Working Papers.
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1997Cointegration and Long-Horizon Forecasting.(1997) In: IMF Working Papers.
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1997Cointegration and Long-Horizon Forecasting.(1997) In: NBER Technical Working Papers.
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2000Unit-Root Tests Are Useful for Selecting Forecasting Models. In: Journal of Business & Economic Statistics.
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1999Unit Root Tests are Useful for Selecting Forecasting Models.(1999) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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1999Unit Root Tests Are Useful for Selecting Forecasting Models.(1999) In: NBER Working Papers.
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2006Comment In: Journal of Business & Economic Statistics.
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2009Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence In: Journal of Business & Economic Statistics.
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2005Stock returns and expected business conditions: half a century of direct evidence.(2005) In: Proceedings.
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2005Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence.(2005) In: NBER Working Papers.
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2005Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence.(2005) In: PIER Working Paper Archive.
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2005Stock returns and expected business conditions: Half a century of direct evidence.(2005) In: CFS Working Paper Series.
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2009Real-Time Measurement of Business Conditions In: Journal of Business & Economic Statistics.
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2007Real-time measurement of business conditions.(2007) In: International Finance Discussion Papers.
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2008Real-time measurement of business conditions.(2008) In: Working Papers.
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2008Real-Time Measurement of Business Conditions.(2008) In: NBER Working Papers.
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2007Real-Time Measurement of Business Conditions.(2007) In: PIER Working Paper Archive.
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2006Real-Time Measurement of Business Conditions.(2006) In: Computing in Economics and Finance 2006.
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1988Serial Correlation and the Combination of Forecasts. In: Journal of Business & Economic Statistics.
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article30
1988An Application of Operational-Subjective Statistical Methods to Rational Expectations: Comment. In: Journal of Business & Economic Statistics.
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1988An application of operational-subjective statistical methods to rational expectations: comment.(1988) In: Finance and Economics Discussion Series.
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1990Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics. In: Journal of Business & Economic Statistics.
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article31
1994 On Cointegration and Exchange Rate Dynamics. In: Journal of Finance.
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article137
1993On cointegration and exchange rate dynamics.(1993) In: Working Papers.
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2002Range?Based Estimation of Stochastic Volatility Models In: Journal of Finance.
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article454
2018On the Comparison of Interval Forecasts In: Journal of Time Series Analysis.
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2018On the Comparison of Interval Forecasts.(2018) In: PIER Working Paper Archive.
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2004The Nobel Memorial Prize for Robert F. Engle In: Scandinavian Journal of Economics.
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2004The Nobel Memorial Prize for Robert F. Engle.(2004) In: NBER Working Papers.
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2004The Nobel Memorial Prize for Robert F. Engle.(2004) In: PIER Working Paper Archive.
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2004The Nobel Memorial Prize for Robert F. Engle.(2004) In: CFS Working Paper Series.
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2012On the Correlation Structure of Microstructure Noise: A Financial Economic Approach In: Boston College Working Papers in Economics.
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2010On the Correlation Structure of Microstructure Noise: A Financial Economic Approach.(2010) In: NBER Working Papers.
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2013On the Correlation Structure of Microstructure Noise: A Financial Economic Approach.(2013) In: Review of Economic Studies.
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2009Equity Market Spillovers in the Americas In: Journal Economía Chilena (The Chilean Economy).
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article35
2011Equity Market Spillovers in the Americas.(2011) In: Central Banking, Analysis, and Economic Policies Book Series.
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2018Commodity Connectedness In: Central Banking, Analysis, and Economic Policies Book Series.
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chapter34
2017Commodity Connectedness.(2017) In: NBER Working Papers.
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2017Commodity Connectedness.(2017) In: PIER Working Paper Archive.
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2017Commodity connectedness.(2017) In: CFS Working Paper Series.
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2002Financial Asset Returns, Market Timing, and Volatility Dynamics In: CIRANO Working Papers.
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2000Measuring Predictability: Theory And Macroeconomic Applications In: CEPR Discussion Papers.
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1997Measuring predictability: theory and macroeconomic applications.(1997) In: Working Papers.
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2001Measuring predictability: theory and macroeconomic applications.(2001) In: Journal of Applied Econometrics.
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1997Measuring Predictability: Theory and Macroeconomic Applications.(1997) In: NBER Technical Working Papers.
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1998Measuring Predictability: Theory and Macroeconomic Applications.(1998) In: Working Papers.
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1997Measuring Predictability: Theory and Macroeconomic Applications.(1997) In: CARESS Working Papres.
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1997Optimal Prediction Under Asymmetric Loss In: Econometric Theory.
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1997Optimal prediction under asymmetric loss.(1997) In: Working Papers.
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1994Optimal Prediction Under Asymmetric Loss.(1994) In: NBER Technical Working Papers.
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1997Optimal Prediction Under Asymmetric Loss.(1997) In: CARESS Working Papres.
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Optimal Prediction Under Asymmetric Loss.() In: Home Pages.
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2003THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003 In: Econometric Theory.
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1992Forecasting, Structural Time Series Models and the Kalman Filter, Andrew C. Harvey Cambridge University Press, 1939 - Fore Casting, Structural Time Series Models and The Kalman FilterAdrew C. Harvey C In: Econometric Theory.
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2002Modeling and Forecasting Realized Volatility In: Working Papers.
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2003Modeling and Forecasting Realized Volatility.(2003) In: Econometrica.
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2001Modeling and Forecasting Realized Volatility.(2001) In: NBER Working Papers.
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2001Modeling and Forecasting Realized Volatility.(2001) In: Center for Financial Institutions Working Papers.
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2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence In: Finance Working Papers.
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2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence.(2006) In: Finance Working Papers.
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2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence.(2006) In: PIER Working Paper Archive.
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1997Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers. In: Economic Journal.
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1997Bounded rationality and strategic complementarity in a macroeconomic model: policy effects, persistence, and multipliers.(1997) In: Working Papers.
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1996Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers.(1996) In: NBER Working Papers.
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Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers.() In: Home Pages.
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2009Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets In: Economic Journal.
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2008Measuring financial asset return and volatility spillovers, with application to global equity markets.(2008) In: Working Papers.
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2007Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets.(2007) In: Koç University-TUSIAD Economic Research Forum Working Papers.
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2008Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets.(2008) In: NBER Working Papers.
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2007Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets.(2007) In: PIER Working Paper Archive.
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2009Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets.(2009) In: Economic Journal.
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2007Measuring financial asset return and volatility spillovers, with application to global equity markets.(2007) In: CFS Working Paper Series.
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2008Measuring financial asset return and volatilty spillovers, with application to global equity markets.(2008) In: CFS Working Paper Series.
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2012A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities In: Working Papers.
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2013A Markov-switching multifractal inter-trade duration model, with application to US equities.(2013) In: Journal of Econometrics.
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2012A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities.(2012) In: NBER Working Papers.
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2012A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities.(2012) In: PIER Working Paper Archive.
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2004Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics In: Econometric Society 2004 Australasian Meetings.
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2009An arbitrage-free generalized Nelson--Siegel term structure model In: Econometrics Journal.
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article79
2008An arbitrage-free generalized Nelson-Siegel term structure model.(2008) In: Working Paper Series.
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2008An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model.(2008) In: NBER Working Papers.
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2008An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model.(2008) In: PIER Working Paper Archive.
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1988Testing for bubbles, reflecting barriers and other anomalies In: Journal of Economic Dynamics and Control.
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article2
1989State space modeling of time series : A review essay In: Journal of Economic Dynamics and Control.
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article4
1988State space modeling of time series: a review essay.(1988) In: Finance and Economics Discussion Series.
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2006Volatility and Correlation Forecasting In: Handbook of Economic Forecasting.
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chapter269
2015Assessing point forecast accuracy by stochastic loss distance In: Economics Letters.
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article6
1986The exact initial covariance matrix of the state vector of a general MA(q) process In: Economics Letters.
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article3
1986Exact maximum-likelihood estimation of autoregressive models via the Kalman filter In: Economics Letters.
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article4
1991On the power of Dickey-Fuller tests against fractional alternatives In: Economics Letters.
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article257
1990On the power of Dickey-Fuller tests against fractional alternatives.(1990) In: Finance and Economics Discussion Series.
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1996Fractional integration and interval prediction In: Economics Letters.
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article15
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1997Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters In: NBER Working Papers.
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1998Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters.(1998) In: Working Papers.
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2000The Distribution of Stock Return Volatility In: NBER Working Papers.
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2000The Distribution of Stock Return Volatility.(2000) In: Center for Financial Institutions Working Papers.
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2001High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models In: NBER Working Papers.
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2003A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations In: NBER Working Papers.
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2003A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations.(2003) In: PIER Working Paper Archive.
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2006A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations.(2006) In: The Journal of Business.
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2004A no-arbitrage approach to range-based estimation of return covariances and correlations.(2004) In: CFS Working Paper Series.
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2016Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 In: The Journal of Financial Econometrics.
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2020Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) In: The Journal of Financial Econometrics.
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2015Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring In: OUP Catalogue.
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2002Symposium on Forecasting Performance: An Introduction In: IMF Staff Papers.
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2003Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility In: PIER Working Paper Archive.
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2003Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility.(2003) In: CFS Working Paper Series.
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2004Realized Beta: Persistence and Predictability In: PIER Working Paper Archive.
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2004Realized beta: Persistence and predictability.(2004) In: CFS Working Paper Series.
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2008Real-Time Measurement of Business Conditions, Second Version In: PIER Working Paper Archive.
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2008On the Correlation Structure of Microstructure Noise in Theory and Practice In: PIER Working Paper Archive.
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2008On the correlation structure of microstructure noise in theory and practice.(2008) In: CFS Working Paper Series.
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2012On the Origin(s) and Development of the Term “Big Data In: PIER Working Paper Archive.
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2012A Personal Perspective on the Origin(s) and Development of “Big Data: The Phenomenon, the Term, and the Discipline, Second Version In: PIER Working Paper Archive.
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2013Measuring the Dynamics of Global Business Cycle Connectedness In: PIER Working Paper Archive.
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2017Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts In: PIER Working Paper Archive.
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2010Introduction In: Introductory Chapters.
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2012Facts, Factors, and Questions In: Introductory Chapters.
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1999Business Cycles: Durations, Dynamics, and Forecasting In: Economics Books.
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2010The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice In: Economics Books.
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2012Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach In: Economics Books.
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2008Priors from Frequency-Domain Dummy Observations In: 2008 Meeting Papers.
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2005Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore In: Working Papers.
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1988Has the EMS Reduced Member-Country Exchange Rate Volatility? In: Empirical Economics.
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1998Bootstrapping Multivariate Spectra In: The Review of Economics and Statistics.
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1999Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange In: The Review of Economics and Statistics.
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1999Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think In: Center for Financial Institutions Working Papers.
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1997Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think In: Center for Financial Institutions Working Papers.
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1999Financial Risk Management in a Volatile Global Environment In: Center for Financial Institutions Working Papers.
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