Francis Diebold : Citation Profile


Are you Francis Diebold?

University of Pennsylvania

66

H index

114

i10 index

28762

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: 777
   Journals where Francis Diebold has often published
   Relations with other researchers
   Recent citing documents: 2194.    Total self citations: 201 (0.69 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pdi1
   Updated: 2023-11-04    RAS profile: 2022-11-16    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Rudebusch, Glenn (13)

ZHANG, BOYUAN (9)

Shin, Minchul (9)

Kapetanios, George (5)

Yilmaz, Kamil (2)

Schorfheide, Frank (2)

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 (431)

Gil-Alana, Luis (341)

Swanson, Norman (194)

Bollerslev, Tim (190)

Degiannakis, Stavros (170)

Baruník, Jozef (152)

van Dijk, Dick (143)

Caporale, Guglielmo Maria (141)

Clements, Michael (141)

Balcilar, Mehmet (131)

Shephard, Neil (128)

Cites to:

Bollerslev, Tim (173)

Andersen, Torben (115)

Engle, Robert (88)

Rudebusch, Glenn (59)

Shephard, Neil (57)

Aruoba, S. Boragan (38)

Watson, Mark (37)

Yilmaz, Kamil (36)

Campbell, John (34)

Pesaran, Mohammad (31)

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
American Economic Review6
International Journal of Forecasting6
Economics Letters6
The Review of Economics and Statistics6
Journal of Applied Econometrics4
The Journal of Financial Econometrics3
Econometric Theory3
Proceedings3
Journal of International Economics2
Journal of Finance2
Business Review2
Journal of Economic Dynamics and Control2
Journal of Business & Economic Statistics2
Journal of Political Economy2
Economic Journal2
International Economic Review2
The Journal of Business2
Journal of the American Statistical Association2
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
Koç University-TUSIAD Economic Research Forum Working Papers / Koc University-TUSIAD Economic Research Forum5
Discussion Paper / Institute for Empirical Macroeconomics / Federal Reserve Bank of Minneapolis5
Working Paper Series / Federal Reserve Bank of San Francisco5
IMF Working Papers / International Monetary Fund2
Working Papers / University of Pennsylvania, Wharton School, Weiss Center2
Working Paper Series / Economic Activity Section / Board of Governors of the Federal Reserve System (U.S.)2
Finance Working Papers / East Asian Bureau of Economic Research2
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)2
Working Papers / Duke University, Department of Economics2
Research Paper / Federal Reserve Bank of New York2

Recent works citing Francis Diebold (2023 and 2022)


YearTitle of citing document
2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02.

Full description at Econpapers || Download paper

2022Effects of Agricultural Commodity Prices on Agricultural Output in Nigeria. (2022). Toriola, Anu K. In: Journal of Economic Impact. RePEc:adx:journl:v:4:y:2022:i:3:p:170-176.

Full description at Econpapers || Download paper

2022.

Full description at Econpapers || Download paper

2022The Role of Energy on the Price Volatility of Fruits and Vegetables: Evidence from Turkey. (2022). ARI, YAKUP ; Yelgen, Esin ; Uak, Harun. In: Bio-based and Applied Economics Journal. RePEc:ags:aieabj:322732.

Full description at Econpapers || Download paper

2022Financial implications of the EU Emission Trading System: an analysis of wavelet coherence and volatility spillovers. (2022). Romagnoli, Matteo ; de Ponti, Pietro. In: FEEM Working Papers. RePEc:ags:feemwp:323874.

Full description at Econpapers || Download paper

2023The 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

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.

Full description at Econpapers || Download paper

2022TVP-VAR Based CARR-Volatility Connectedness: Evidence from The Russian-Ukraine Conflict. (2022). Ari, Yakup. In: Journal of Research in Economics, Politics & Finance. RePEc:ahs:journl:v:7:y:2022:i:3:p:590-607.

Full description at Econpapers || Download paper

2022Should we care about ECB inflation expectations?. (2022). Candelon, Bertrand ; Roccazzella, Francesco. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022004.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Bond Risk Premia, Priced Regime Shifts, and Macroeconomic Fundamentals. (2022). Petrella, Ivan ; Hevia, Constantino ; Sola, Martin. In: Working Papers. RePEc:aoz:wpaper:200.

Full description at Econpapers || Download paper

2022Can Digital Currencies Serve as Safe Havens in the Post-Covid Era?. (2022). Adom, Dsir A. In: Business, Management and Economics Research. RePEc:arp:bmerar:2022:p:17-27.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2022News Co-Occurrence, Attention Spillover and Return Predictability. (2018). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023Testing 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

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.

Full description at Econpapers || Download paper

2022Cryptocurrency Trading: A Comprehensive Survey. (2020). Wu, Fan ; Martinez-Regoband, David ; Li, Lingbo ; Kanthan, Leslie ; Kong, Hoiliong ; Basios, Michail ; Ventre, Carmine ; Fang, Fan. In: Papers. RePEc:arx:papers:2003.11352.

Full description at Econpapers || Download paper

2022Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Estimation of time-varying kernel densities and chronology of the impact of COVID-19 on financial markets. (2020). Klein, Jules ; Garcin, Matthieu ; Laaribi, Sana. In: Papers. RePEc:arx:papers:2007.09043.

Full description at Econpapers || Download paper

2022Are low frequency macroeconomic variables important for high frequency electricity prices?. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Papers. RePEc:arx:papers:2007.13566.

Full description at Econpapers || Download paper

2023A 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

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

Full description at Econpapers || Download paper

2022Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Papers. RePEc:arx:papers:2010.04610.

Full description at Econpapers || Download paper

2022High Dimensional Forecast Combinations Under Latent Structures. (2020). Su, Liangjun ; Shi, Zhentao ; Xie, Tian. In: Papers. RePEc:arx:papers:2010.09477.

Full description at Econpapers || Download paper

2022Bridging factor and sparse models. (2021). Medeiros, Marcelo C ; Masini, Ricardo ; Fan, Jianqing. In: Papers. RePEc:arx:papers:2102.11341.

Full description at Econpapers || Download paper

2022Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions. (2021). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2102.11780.

Full description at Econpapers || Download paper

2022Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467.

Full description at Econpapers || Download paper

2022Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs. (2021). Pfarrhofer, Michael ; Huber, Florian ; Feldkircher, Martin ; Koop, Gary. In: Papers. RePEc:arx:papers:2103.04944.

Full description at Econpapers || Download paper

2022Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. (2021). Fissler, Tobias ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2104.10673.

Full description at Econpapers || Download paper

2023Learning 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

2022A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting. (2021). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:2106.00288.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Semiparametric Functional Factor Models with Bayesian Rank Selection. (2021). Kowal, Daniel R. In: Papers. RePEc:arx:papers:2108.02151.

Full description at Econpapers || Download paper

2022Feasible Weighted Projected Principal Component Analysis for Factor Models with an Application to Bond Risk Premia. (2021). Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2108.10250.

Full description at Econpapers || Download paper

2023Rating 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

2022Forecasting with a Panel Tobit Model. (2021). Schorfheide, Frank ; Moon, Hyungsik Roger ; Liu, Laura. In: Papers. RePEc:arx:papers:2110.14117.

Full description at Econpapers || Download paper

2022Ask Who, Not What: Bitcoin Volatility Forecasting with Twitter Data. (2021). Kaempf, Killian ; Erkul, Mert ; Akbiyik, Eren M ; Antulov-Fantulin, Nino ; Vasiliauskaite, Vaiva. In: Papers. RePEc:arx:papers:2110.14317.

Full description at Econpapers || Download paper

2022Dynamic Factor Models with Sparse VAR Idiosyncratic Components. (2021). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2112.07149.

Full description at Econpapers || Download paper

2022Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts. (2022). Mancino, Maria Elvira ; Marmi, Stefano ; Livieri, Giulia ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2112.14529.

Full description at Econpapers || Download paper

2022Evolutionary correlation, regime switching, spectral dynamics and optimal trading strategies for cryptocurrencies and equities. (2022). James, Nick. In: Papers. RePEc:arx:papers:2112.15321.

Full description at Econpapers || Download paper

2022Dynamic Factor Model for Functional Time Series: Identification, Estimation, and Prediction. (2022). Salish, Nazarii ; Otto, Sven. In: Papers. RePEc:arx:papers:2201.02532.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Optimal trend following portfolios. (2022). Valeyre, Sebastien. In: Papers. RePEc:arx:papers:2201.06635.

Full description at Econpapers || Download paper

2023Dynamic 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

2022Modeling bid and ask price dynamics with an extended Hawkes process and its empirical applications for high-frequency stock market data. (2022). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:2201.10173.

Full description at Econpapers || Download paper

2022Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes. (2022). Soulier, Philippe ; Hurvich, Clifford ; Hsieh, Meng-Chen. In: Papers. RePEc:arx:papers:2202.00793.

Full description at Econpapers || Download paper

2022Industry Characteristics and Financial Risk Spillovers. (2022). Chiua, Wan-Chien ; Wang, Chih-Wei ; Pena, Juan Ignacio. In: Papers. RePEc:arx:papers:2202.02263.

Full description at Econpapers || Download paper

2022Predicting Default Probabilities for Stress Tests: A Comparison of Models. (2022). Guth, Martin. In: Papers. RePEc:arx:papers:2202.03110.

Full description at Econpapers || Download paper

2022Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model. (2022). Ratnayake, Isuru ; Samaranayake, V A. In: Papers. RePEc:arx:papers:2202.03351.

Full description at Econpapers || Download paper

2023Volatility 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

2022Introduction of the Market-Based Price Autocorrelation. (2022). Olkhov, Victor. In: Papers. RePEc:arx:papers:2202.09323.

Full description at Econpapers || Download paper

2022Score Driven Generalized Fitness Model for Sparse and Weighted Temporal Networks. (2022). di Gangi, Domenico ; Lillo, Fabrizio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:2202.09854.

Full description at Econpapers || Download paper

2022On financial market correlation structures and diversification benefits across and within equity sectors. (2022). James, Nick ; Gottwald, Georg ; Menzies, Max. In: Papers. RePEc:arx:papers:2202.10623.

Full description at Econpapers || Download paper

2023Sparse 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

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.

Full description at Econpapers || Download paper

2022Improving Macroeconomic Model Validity and Forecasting Performance with Pooled Country Data using Structural, Reduced Form, and Neural Network Model. (2022). Fen, Cameron ; Undavia, Samir. In: Papers. RePEc:arx:papers:2203.06540.

Full description at Econpapers || Download paper

2022Measurability of functionals and of ideal point forecasts. (2022). Fissler, Tobias ; Holzmann, Hajo. In: Papers. RePEc:arx:papers:2203.08635.

Full description at Econpapers || Download paper

2022Reducing overestimating and underestimating volatility via the augmented blending-ARCH model. (2022). Yi, Shao ; Lu, Jun. In: Papers. RePEc:arx:papers:2203.12456.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2022Variational Heteroscedastic Volatility Model. (2022). Barucca, Paolo ; Yin, Zexuan. In: Papers. RePEc:arx:papers:2204.05806.

Full description at Econpapers || Download paper

2022Learning Probability Distributions in Macroeconomics and Finance. (2022). Hanus, Lubos ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2204.06848.

Full description at Econpapers || Download paper

2022Price and Payoff Autocorrelations in the Consumption-Based Asset Pricing Model. (2022). Olkhov, Victor. In: Papers. RePEc:arx:papers:2204.07506.

Full description at Econpapers || Download paper

2022Feature-based intermittent demand forecast combinations: bias, accuracy and inventory implications. (2022). Li, Feng ; Petropoulos, Fotios ; Kang, Yanfei. In: Papers. RePEc:arx:papers:2204.08283.

Full description at Econpapers || Download paper

2022From point forecasts to multivariate probabilistic forecasts: The Schaake shuffle for day-ahead electricity price forecasting. (2022). Kruger, Fabian ; Kachele, Fabian ; Grothe, Oliver. In: Papers. RePEc:arx:papers:2204.10154.

Full description at Econpapers || Download paper

2022Forecasting Electricity Prices. (2022). Weron, Rafał ; Uniejewski, Bartosz ; Maciejowska, Katarzyna. In: Papers. RePEc:arx:papers:2204.11735.

Full description at Econpapers || Download paper

2022A portfolio management of a small RES utility with a Structural Vector Autoregressive model of German electricity markets. (2022). Maciejowska, Katarzyna. In: Papers. RePEc:arx:papers:2205.00975.

Full description at Econpapers || Download paper

2022The role of investor attention in global asset price variation during the invasion of Ukraine. (2022). Horv, Mat'Uvs ; Stavsek, Daniel ; Halouskov, Martina. In: Papers. RePEc:arx:papers:2205.05985.

Full description at Econpapers || Download paper

2022Russias Ruble during the onset of the Russian invasion of Ukraine in early 2022: The role of implied volatility and attention. (2022). Pl, Tom'Avs ; Ly, Vstefan. In: Papers. RePEc:arx:papers:2205.09179.

Full description at Econpapers || Download paper

2022Probabilistic forecasting of German electricity imbalance prices. (2022). Narajewski, Michal. In: Papers. RePEc:arx:papers:2205.11439.

Full description at Econpapers || Download paper

2023Estimation 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

2023Estimating 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

2022Time-Varying Multivariate Causal Processes. (2022). Yan, Yayi ; Wu, Wei Biao ; Peng, Bin ; Gao, Jiti. In: Papers. RePEc:arx:papers:2206.00409.

Full description at Econpapers || Download paper

2022Economic activity and climate change. (2022). Ruiz, Esther ; Rodr, Vladimir ; Poncela, Pilar ; de Juan, Ar'Anzazu. In: Papers. RePEc:arx:papers:2206.03187.

Full description at Econpapers || Download paper

2022Topological Data Analysis Ball Mapper for Finance. (2022). Rudkin, Simon ; Qiu, Wanling ; Dlotko, Pawel. In: Papers. RePEc:arx:papers:2206.03622.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2022Modeling Multivariate Positive-Valued Time Series Using R-INLA. (2022). Basu, Sumanta ; Ravishanker, Nalini ; Dutta, Chiranjit. In: Papers. RePEc:arx:papers:2206.05374.

Full description at Econpapers || Download paper

2022Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility. (2022). Yu, Xuewen. In: Papers. RePEc:arx:papers:2206.08438.

Full description at Econpapers || Download paper

2023Ensemble 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

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

Full description at Econpapers || Download paper

2022Unique futures in China: studys on volatility spillover effects of ferrous metal futures. (2022). Hao, Lin ; Sun, Cuiping ; Cao, Tingting. In: Papers. RePEc:arx:papers:2206.15039.

Full description at Econpapers || Download paper

2022Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949.

Full description at Econpapers || Download paper

2022LASSO Principal Component Averaging -- a fully automated approach for point forecast pooling. (2022). Maciejowska, Katarzyna ; Uniejewski, Bartosz. In: Papers. RePEc:arx:papers:2207.04794.

Full description at Econpapers || Download paper

2022Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2022). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939.

Full description at Econpapers || Download paper

2023Global 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

2022Exploring Financial Networks Using Quantile Regression and Granger Causality. (2022). Basu, Sumanta ; Mukherjee, Diganta ; Lahiry, Samriddha ; Karpman, Kara. In: Papers. RePEc:arx:papers:2207.10705.

Full description at Econpapers || Download paper

2022Multifractal cross-correlations of bitcoin and ether trading characteristics in the post-COVID-19 time. (2022). Zd, Stanislaw Dro ; Kwapie, Jaroslaw ; Wkatorek, Marcin. In: Papers. RePEc:arx:papers:2208.01445.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2022Learning Financial Networks with High-frequency Trade Data. (2022). Easley, David ; Basu, Sumanta ; Karpman, Kara. In: Papers. RePEc:arx:papers:2208.03568.

Full description at Econpapers || Download paper

2022Understanding Volatility Spillover Relationship Among G7 Nations And India During Covid-19. (2022). Das, Devanjali Nandi. In: Papers. RePEc:arx:papers:2208.09148.

Full description at Econpapers || Download paper

2022Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise. (2022). Toscano, Giacomo ; Mariotti, Tommaso ; Mancino, Maria Elvira. In: Papers. RePEc:arx:papers:2209.08967.

Full description at Econpapers || Download paper

2022Option pricing in Volterra sandwiched volatility model. (2022). Yurchenko-Tytarenko, Anton ; Mishura, Yuliya ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2209.10688.

Full description at Econpapers || Download paper

2022Forecasting Cryptocurrencies Log-Returns: a LASSO-VAR and Sentiment Approach. (2022). Ciganovic, Milos ; D'Amario, Federico. In: Papers. RePEc:arx:papers:2210.00883.

Full description at Econpapers || Download paper

2022DeepVol: Volatility Forecasting from High-Frequency Data with Dilated Causal Convolutions. (2022). Zohren, Stefan ; Moreno-Pino, Fernando. In: Papers. RePEc:arx:papers:2210.04797.

Full description at Econpapers || Download paper

2022Fast Estimation of Bayesian State Space Models Using Amortized Simulation-Based Inference. (2022). Seleznev, Sergei ; Khabibullin, Ramis. In: Papers. RePEc:arx:papers:2210.07154.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2022Unit Averaging for Heterogeneous Panels. (2022). Morozov, Vladislav ; Brownlees, Christian. In: Papers. RePEc:arx:papers:2210.14205.

Full description at Econpapers || Download paper

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

Francis Diebold has edited the books:


YearTitleTypeCited

Works by Francis Diebold:


YearTitleTypeCited
2007Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]
paper871
2005Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 871
paper
2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility.(2007) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 871
article
2007Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers.
[Full Text][Citation analysis]
paper549
2007Real-time price discovery in global stock, bond and foreign exchange markets.(2007) In: Journal of International Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 549
article
2006Real-time price discovery in global stock, bond and foreign exchange markets.(2006) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 549
paper
2011Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers.
[Full Text][Citation analysis]
paper49
2013Financial Risk Measurement for Financial Risk Management.(2013) In: Handbook of the Economics of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 49
chapter
2012Financial Risk Measurement for Financial Risk Management.(2012) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 49
paper
2011Financial Risk Measurement for Financial Risk Management.(2011) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 49
paper
2010Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions In: American Economic Review.
[Full Text][Citation analysis]
article68
2010Real-time macroeconomic monitoring: real activity, inflation, and interactions.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 68
paper
2010Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 68
paper
2010Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions.(2010) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 68
paper
1992Have Postwar Economic Fluctuations Been Stabilized? In: American Economic Review.
[Full Text][Citation analysis]
article71
1991Have postwar economic fluctuations been stabilized?.(1991) In: Working Paper Series / Economic Activity Section.
[Citation analysis]
This paper has another version. Agregated cites: 71
paper
1990Have postwar economic fluctuations been stabilized?.(1990) In: Discussion Paper / Institute for Empirical Macroeconomics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 71
paper
1996The Uncertain Unit Root in Real GNP: Comment. In: American Economic Review.
[Full Text][Citation analysis]
article87
2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange In: American Economic Review.
[Full Text][Citation analysis]
article844
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 844
paper
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 844
paper
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 844
paper
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?.(2002) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 844
paper
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk In: American Economic Review.
[Full Text][Citation analysis]
article80
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 80
paper
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 80
paper
2005A framework for exploring the macroeconomic determinants of systematic risk.(2005) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 80
paper
2005Modeling Bond Yields in Finance and Macroeconomics In: American Economic Review.
[Full Text][Citation analysis]
article141
2005Modeling bond yields in finance and macroeconomics.(2005) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 141
paper
2005Modeling Bond Yields in Finance and Macroeconomics.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 141
paper
2005Modeling Bond Yields in Finance and Macroeconomics.(2005) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 141
paper
2005Modeling bond yields in finance and macroeconomics.(2005) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 141
paper
1998The Past, Present, and Future of Macroeconomic Forecasting In: Journal of Economic Perspectives.
[Full Text][Citation analysis]
article113
1997The past, present, and future of macroeconomic forecasting.(1997) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 113
paper
1997The Past, Present, and Future of Macroeconomic Forecasting.(1997) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 113
paper
2006Time Series Analysis In: Working Papers.
[Full Text][Citation analysis]
paper16
2006Time Series Analysis.(2006) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2021On the Evolution of U.S. Temperature Dynamics In: Papers.
[Full Text][Citation analysis]
paper2
2019On the Evolution of U.S. Temperature Dynamics.(2019) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2021Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections In: Papers.
[Full Text][Citation analysis]
paper7
2022Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections.(2022) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
article
2020Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections.(2020) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2020Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections.(2020) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2019Probability 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 another version. Agregated cites: 7
paper
2020Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach In: Papers.
[Full Text][Citation analysis]
paper7
2021Optimal 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 another version. Agregated cites: 7
article
2020Optimal 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 another version. Agregated cites: 7
paper
2022Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 In: Papers.
[Full Text][Citation analysis]
paper5
2022Real-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 another version. Agregated cites: 5
paper
2021Big Data and its Origins In: Papers.
[Full Text][Citation analysis]
paper1
2022On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates In: Papers.
[Full Text][Citation analysis]
paper4
2021On 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 another version. Agregated cites: 4
paper
2022On 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 another version. Agregated cites: 4
paper
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2022A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting In: Papers.
[Full Text][Citation analysis]
paper1
2022A benchmark model for fixed-target Arctic sea ice forecasting.(2022) In: Economics Letters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
2022A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting.(2022) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2023When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume In: Papers.
[Full Text][Citation analysis]
paper1
2022When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume.(2022) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2022When 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 another version. Agregated cites: 1
paper
2023On Robust Inference in Time Series Regression In: Papers.
[Full Text][Citation analysis]
paper1
2022On Robust Inference in Time Series Regression.(2022) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2023Assessing 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]
paper0
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2022On the Financing of Climate Change Adaptation in Developing Countries In: Papers.
[Full Text][Citation analysis]
paper0
2022A New Test for Market Efficiency and Uncovered Interest Parity In: Papers.
[Full Text][Citation analysis]
paper0
2022A New Test for Market Efficiency and Uncovered Interest Parity.(2022) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2022A New Test forMarket Efficiency and Uncovered Interest Parity.(2022) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2023On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness In: Papers.
[Full Text][Citation analysis]
paper2
2005Weather Forecasting for Weather Derivatives In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
article127
2003Weather Forecasting for Weather Derivatives.(2003) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 127
paper
2002Weather Forecasting for Weather Derivatives.(2002) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 127
paper
2004Weather forecasting for weather derivatives.(2004) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 127
paper
2001The Distribution of Realized Exchange Rate Volatility In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
article1043
1995Comparing Predictive Accuracy. In: Journal of Business & Economic Statistics.
[Citation analysis]
article5138
2002Comparing Predictive Accuracy..(2002) In: Journal of Business & Economic Statistics.
[Citation analysis]
This paper has another version. Agregated cites: 5138
article
1994Comparing Predictive Accuracy.(1994) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5138
paper
1998Cointegration and Long-Horizon Forecasting. In: Journal of Business & Economic Statistics.
[Citation analysis]
article122
1997Cointegration and long-horizon forecasting.(1997) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 122
paper
1997Cointegration and Long-Horizon Forecasting.(1997) In: IMF Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 122
paper
1997Cointegration and Long-Horizon Forecasting.(1997) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 122
paper
2000Unit-Root Tests Are Useful for Selecting Forecasting Models. In: Journal of Business & Economic Statistics.
[Citation analysis]
article104
1999Unit Root Tests are Useful for Selecting Forecasting Models.(1999) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 104
paper
1999Unit Root Tests Are Useful for Selecting Forecasting Models.(1999) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 104
paper
2006Comment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article0
2009Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article78
2005Stock returns and expected business conditions: half a century of direct evidence.(2005) In: Proceedings.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 78
article
2005Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 78
paper
2005Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence.(2005) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 78
paper
2005Stock returns and expected business conditions: Half a century of direct evidence.(2005) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 78
paper
2009Real-Time Measurement of Business Conditions In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article409
2007Real-time measurement of business conditions.(2007) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 409
paper
2008Real-time measurement of business conditions.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 409
paper
2008Real-Time Measurement of Business Conditions.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 409
paper
2007Real-Time Measurement of Business Conditions.(2007) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 409
paper
2006Real-Time Measurement of Business Conditions.(2006) In: Computing in Economics and Finance 2006.
[Citation analysis]
This paper has another version. Agregated cites: 409
paper
1988Serial Correlation and the Combination of Forecasts. In: Journal of Business & Economic Statistics.
[Citation analysis]
article29
1988An Application of Operational-Subjective Statistical Methods to Rational Expectations: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]
article0
1988An application of operational-subjective statistical methods to rational expectations: comment.(1988) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1990Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics. In: Journal of Business & Economic Statistics.
[Citation analysis]
article31
1994 On Cointegration and Exchange Rate Dynamics. In: Journal of Finance.
[Full Text][Citation analysis]
article137
1993On cointegration and exchange rate dynamics.(1993) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 137
paper
2002Range?Based Estimation of Stochastic Volatility Models In: Journal of Finance.
[Full Text][Citation analysis]
article455
2018On the Comparison of Interval Forecasts In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article15
2018On the Comparison of Interval Forecasts.(2018) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
paper
2004The Nobel Memorial Prize for Robert F. Engle In: Scandinavian Journal of Economics.
[Full Text][Citation analysis]
article13
2004The Nobel Memorial Prize for Robert F. Engle.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2004The Nobel Memorial Prize for Robert F. Engle.(2004) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2004The Nobel Memorial Prize for Robert F. Engle.(2004) In: CFS Working Paper Series.
[Citation analysis]
This paper has another version. Agregated cites: 13
paper
2012On the Correlation Structure of Microstructure Noise: A Financial Economic Approach In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]
paper35
2010On the Correlation Structure of Microstructure Noise: A Financial Economic Approach.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35
paper
2013On the Correlation Structure of Microstructure Noise: A Financial Economic Approach.(2013) In: Review of Economic Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35
article
2009Equity Market Spillovers in the Americas In: Journal Economía Chilena (The Chilean Economy).
[Full Text][Citation analysis]
article36
2011Equity Market Spillovers in the Americas.(2011) In: Central Banking, Analysis, and Economic Policies Book Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36
chapter
2018Commodity Connectedness In: Central Banking, Analysis, and Economic Policies Book Series.
[Full Text][Citation analysis]
chapter31
2017Commodity Connectedness.(2017) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 31
paper
2017Commodity Connectedness.(2017) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 31
paper
2017Commodity connectedness.(2017) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 31
paper
2002Financial Asset Returns, Market Timing, and Volatility Dynamics In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper12
2000Measuring Predictability: Theory And Macroeconomic Applications In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper68
1997Measuring predictability: theory and macroeconomic applications.(1997) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 68
paper
2001Measuring predictability: theory and macroeconomic applications.(2001) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 68
article
1997Measuring Predictability: Theory and Macroeconomic Applications.(1997) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 68
paper
1998Measuring Predictability: Theory and Macroeconomic Applications.(1998) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 68
paper
1997Measuring Predictability: Theory and Macroeconomic Applications.(1997) In: CARESS Working Papres.
[Citation analysis]
This paper has another version. Agregated cites: 68
paper
1997Optimal Prediction Under Asymmetric Loss In: Econometric Theory.
[Full Text][Citation analysis]
article177
1997Optimal prediction under asymmetric loss.(1997) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 177
paper
1994Optimal Prediction Under Asymmetric Loss.(1994) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 177
paper
1997Optimal Prediction Under Asymmetric Loss.(1997) In: CARESS Working Papres.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 177
paper
Optimal Prediction Under Asymmetric Loss.() In: Home Pages.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 177
paper
2003THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003 In: Econometric Theory.
[Full Text][Citation analysis]
article6
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.
[Full Text][Citation analysis]
article0
2002Modeling and Forecasting Realized Volatility In: Working Papers.
[Full Text][Citation analysis]
paper1833
2003Modeling and Forecasting Realized Volatility.(2003) In: Econometrica.
[Citation analysis]
This paper has another version. Agregated cites: 1833
article
2001Modeling and Forecasting Realized Volatility.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1833
paper
2001Modeling and Forecasting Realized Volatility.(2001) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1833
paper
2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence In: Finance Working Papers.
[Full Text][Citation analysis]
paper9
2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence.(2006) In: Finance Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence.(2006) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
1997Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers. In: Economic Journal.
[Full Text][Citation analysis]
article13
1997Bounded rationality and strategic complementarity in a macroeconomic model: policy effects, persistence, and multipliers.(1997) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 13
paper
1996Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers.(1996) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 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 another version. Agregated cites: 13
paper
2009Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets In: Economic Journal.
[Full Text][Citation analysis]
article1518
2008Measuring financial asset return and volatility spillovers, with application to global equity markets.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1518
paper
2007Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets.(2007) In: Koç University-TUSIAD Economic Research Forum Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1518
paper
2008Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1518
paper
2007Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets.(2007) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1518
paper
2009Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets.(2009) In: Economic Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1518
article
2007Measuring financial asset return and volatility spillovers, with application to global equity markets.(2007) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1518
paper
2008Measuring financial asset return and volatilty spillovers, with application to global equity markets.(2008) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1518
paper
2012A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities In: Working Papers.
[Full Text][Citation analysis]
paper36
2013A Markov-switching multifractal inter-trade duration model, with application to US equities.(2013) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36
article
2012A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities.(2012) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36
paper
2012A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities.(2012) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36
paper
2004Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics In: Econometric Society 2004 Australasian Meetings.
[Citation analysis]
paper0
2009An arbitrage-free generalized Nelson--Siegel term structure model In: Econometrics Journal.
[Full Text][Citation analysis]
article79
2008An arbitrage-free generalized Nelson-Siegel term structure model.(2008) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 79
paper
2008An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 79
paper
2008An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model.(2008) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 79
paper
1988Testing for bubbles, reflecting barriers and other anomalies In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article2
1989State space modeling of time series : A review essay In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article4
1988State space modeling of time series: a review essay.(1988) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has another version. Agregated cites: 4
paper
2006Volatility and Correlation Forecasting In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]
chapter267
2015Assessing point forecast accuracy by stochastic loss distance In: Economics Letters.
[Full Text][Citation analysis]
article6
1986The exact initial covariance matrix of the state vector of a general MA(q) process In: Economics Letters.
[Full Text][Citation analysis]
article3
1986Exact maximum-likelihood estimation of autoregressive models via the Kalman filter In: Economics Letters.
[Full Text][Citation analysis]
article4
1991On the power of Dickey-Fuller tests against fractional alternatives In: Economics Letters.
[Full Text][Citation analysis]
article255
1990On the power of Dickey-Fuller tests against fractional alternatives.(1990) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has another version. Agregated cites: 255
paper
1996Fractional integration and interval prediction In: Economics Letters.
[Full Text][Citation analysis]
article15
2001Econometrics: Retrospect and prospect In: Journal of Econometrics.
[Full Text][Citation analysis]
article2
2001Forecasting and empirical methods in finance and macroeconomics In: Journal of Econometrics.
[Full Text][Citation analysis]
article0
2001Long memory and regime switching In: Journal of Econometrics.
[Full Text][Citation analysis]
article677
2000Long Memory and Regime Switching.(2000) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 677
paper
2006Forecasting the term structure of government bond yields In: Journal of Econometrics.
[Full Text][Citation analysis]
article811
2003Forecasting the Term Structure of Government Bond Yields.(2003) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 811
paper
2002Forecasting the Term Structure of Government Bond Yields.(2002) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 811
paper
2003Forecasting the term structure of government bond yields.(2003) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 811
paper
2006The econometrics of macroeconomics, finance, and the interface In: Journal of Econometrics.
[Full Text][Citation analysis]
article0
2006The macroeconomy and the yield curve: a dynamic latent factor approach In: Journal of Econometrics.
[Full Text][Citation analysis]
article558
2004The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 558
paper
2008Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach In: Journal of Econometrics.
[Full Text][Citation analysis]
article160
2007Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 160
paper
2007Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach.(2007) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 160
paper
2007Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach.(2007) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 160
paper
2011The affine arbitrage-free class of Nelson-Siegel term structure models In: Journal of Econometrics.
[Full Text][Citation analysis]
article215
2007The affine arbitrage-free class of Nelson-Siegel term structure models.(2007) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 215
paper
2007The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 215
paper
2007The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models.(2007) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 215
paper
2014On the network topology of variance decompositions: Measuring the connectedness of financial firms In: Journal of Econometrics.
[Full Text][Citation analysis]
article1522
2011On the network topology of variance decompositions: Measuring the connectedness of financial firms.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1522
paper
2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms.(2011) In: Koç University-TUSIAD Economic Research Forum Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1522
paper
2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1522
paper
2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms.(2011) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1522
paper
2016Improving GDP measurement: A measurement-error perspective In: Journal of Econometrics.
[Full Text][Citation analysis]
article61
2013Improving GDP measurement: a measurement-error perspective.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 61
paper
2013Improving GDP Measurement: A Measurement-Error Perspective.(2013) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 61
paper
2013Improving GDP Measurement: A Measurement-Error Perspective.(2013) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 61
paper
2017Real-time forecast evaluation of DSGE models with stochastic volatility In: Journal of Econometrics.
[Full Text][Citation analysis]
article49
2016Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility.(2016) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 49
paper
2015Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility.(2015) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 49
paper
2017Real-time forecast evaluation of DSGE models with stochastic volatility.(2017) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 49
paper
1993Discussion : The effect of seasonal adjustment filters on tests for a unit root In: Journal of Econometrics.
[Full Text][Citation analysis]
article4
1994On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean In: Journal of Econometrics.
[Full Text][Citation analysis]
article75
1990On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean.(1990) In: Discussion Paper / Institute for Empirical Macroeconomics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 75
paper
1993On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean.(1993) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 75
paper
1996Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures In: Journal of Econometrics.
[Full Text][Citation analysis]
article143
1993Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures.(1993) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 143
paper
1997Why are estimates of agricultural supply response so variable? In: Journal of Econometrics.
[Full Text][Citation analysis]
article20
2019Why Are Estimates of Agricultural Supply Response so Variable?.(2019) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20
paper
1996Why are estimates of agricultural supply response so variable?.(1996) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20
paper
Why Are Estimates of Agricultural Supply Response So Variable?.() In: Home Pages.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20
paper
1988Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate In: European Economic Review.
[Full Text][Citation analysis]
article17
1990Nonparametric exchange rate prediction? In: Journal of International Economics.
[Full Text][Citation analysis]
article247
1989Nonparametric exchange rate prediction?.(1989) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has another version. Agregated cites: 247
paper
1996Software review In: International Journal of Forecasting.
[Full Text][Citation analysis]
article1
2012Better to give than to receive: Predictive directional measurement of volatility spillovers In: International Journal of Forecasting.
[Full Text][Citation analysis]
article1754
2010Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers.(2010) In: Koç University-TUSIAD Economic Research Forum Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1754
paper
2019Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives In: International Journal of Forecasting.
[Full Text][Citation analysis]
article57
2018Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 57
paper
2018Machine 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 another version. Agregated cites: 57
paper
1989Forecast combination and encompassing: Reconciling two divergent literatures In: International Journal of Forecasting.
[Full Text][Citation analysis]
article72
1989Forecast combination and encompassing: reconciling two divergent literatures.(1989) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has another version. Agregated cites: 72
paper
1990The use of prior information in forecast combination In: International Journal of Forecasting.
[Full Text][Citation analysis]
article87
1987The use of prior information in forecast combination.(1987) In: Special Studies Papers.
[Citation analysis]
This paper has another version. Agregated cites: 87
paper
2002Ratings migration and the business cycle, with application to credit portfolio stress testing In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article259
2000Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing.(2000) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 259
paper
2001The distribution of realized stock return volatility In: Journal of Financial Economics.
[Full Text][Citation analysis]
article995
1989Long memory and persistence in aggregate output In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article297
1988Long memory and persistence in aggregate output.(1988) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has another version. Agregated cites: 297
paper
2006A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources and Generalized Duration In: Chapters.
[Full Text][Citation analysis]
chapter15
2006A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration.(2006) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
paper
2001Five questions about business cycles In: Economic Review.
[Full Text][Citation analysis]
article14
2003The macroeconomy and the yield curve: a nonstructural analysis In: Working Paper Series.
[Full Text][Citation analysis]
paper12
2003The Macroeconomy and the Yield Curve: A Nonstructural Analysis.(2003) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
paper
2003The Macroeconomy and the Yield Curve: A Nonstructural Analysis.(2003) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
paper
1988On the solution of dynamic linear rational expectations models In: Finance and Economics Discussion Series.
[Citation analysis]
paper0
1997Dynamic equilibrium economies: a framework for comparing models and data In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
paper119
1998Dynamic equilibrium economies: a framework for comparing models and data.(1998) In: Staff Report.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 119
paper
1997Dynamic equilibrium economies: a framework for comparing models and data.(1997) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 119
paper
1995Dynamic Equilibrium Economies: A Framework for Comparing Models and Data.(1995) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 119
paper
1998Dynamic Equilibrium Economies: A Framework for Comparing Models and Data.(1998) In: Review of Economic Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 119
article
1992Near-rationality and strategic complementarity in a macroeconomic model: policy effects, persistence and multipliers In: Finance and Economics Discussion Series.
[Citation analysis]
paper1
1988Ex ante turning point forecasting with the composite leading index In: Finance and Economics Discussion Series.
[Citation analysis]
paper0
1988Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function In: Finance and Economics Discussion Series.
[Citation analysis]
paper3
1988Conditional heteroskedasticity in the market In: Finance and Economics Discussion Series.
[Citation analysis]
paper2
1988Unit roots in economic time series: a selective survey In: Finance and Economics Discussion Series.
[Citation analysis]
paper24
1989Is consumption too smooth? Long memory and the Deaton paradox In: Finance and Economics Discussion Series.
[Citation analysis]
paper46
1991Is Consumption Too Smooth? Long Memory and the Deaton Paradox..(1991) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 46
article
1988Post-deregulation deposit rate pricing: the multivariate dynamics In: Finance and Economics Discussion Series.
[Citation analysis]
paper3
1989Forecasting output with the composite leading index: an ex ante analysis In: Finance and Economics Discussion Series.
[Citation analysis]
paper69
2005Robust estimation - discussion In: Proceedings.
[Citation analysis]
article0
2005From the horse’s mouth: gauging conditional expected stock returns from investor surveys In: Proceedings.
[Full Text][Citation analysis]
article1
1986Temporal aggregation of ARCH processes and the distribution of asset returns In: Special Studies Papers.
[Citation analysis]
paper7
1986Structural change and the combination of forecasts In: Special Studies Papers.
[Citation analysis]
paper7
1986The dynamics of exchange rate volatility: a multivariate latent factor ARCH model In: Special Studies Papers.
[Citation analysis]
paper342
1989The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model..(1989) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 342
article
1987Scoring the leading indicators In: Special Studies Papers.
[Citation analysis]
paper195
1989Scoring the Leading Indicators..(1989) In: The Journal of Business.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 195
article
1987Does the business cycle have duration memory? In: Special Studies Papers.
[Citation analysis]
paper3
1987Deviations from random-walk behavior: tests based on the variance-time function In: Special Studies Papers.
[Citation analysis]
paper0
1988A nonparametric investigation of duration dependence in the American business cycle In: Working Paper Series / Economic Activity Section.
[Citation analysis]
paper115
1990A Nonparametric Investigation of Duration Dependence in the American Business Cycle..(1990) In: Journal of Political Economy.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 115
article
1990International evidence on business cycle duration dependence In: Discussion Paper / Institute for Empirical Macroeconomics.
[Full Text][Citation analysis]
paper7
1990Real exchange rates under the gold standard In: Discussion Paper / Institute for Empirical Macroeconomics.
[Full Text][Citation analysis]
paper232
1991Real Exchange Rates under the Gold Standard..(1991) In: Journal of Political Economy.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 232
article
1991Comparing predictive accuracy I: an asymptotic test In: Discussion Paper / Institute for Empirical Macroeconomics.
[Full Text][Citation analysis]
paper7
1998Horizon problems and extreme events in financial risk management In: Economic Policy Review.
[Full Text][Citation analysis]
article27
1998Horizon Problems and Extreme Events in Financial Risk Management.(1998) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27
paper
1995Modeling volatility dynamics In: Research Paper.
[Full Text][Citation analysis]
paper49
Modeling Volatility Dynamics.() In: Home Pages.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 49
paper
1995Forecast evaluation and combination In: Research Paper.
[Full Text][Citation analysis]
paper332
1996Forecast Evaluation and Combination.(1996) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 332
paper
1991Shorter recessions and longer expansions In: Business Review.
[Full Text][Citation analysis]
article1
1993Are long expansions followed by short contractions? In: Business Review.
[Full Text][Citation analysis]
article1
2011Improving GDP measurement: a forecast combination perspective In: Working Papers.
[Full Text][Citation analysis]
paper9
2011Improving GDP Measurement: A Forecast Combination Perspective.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2011Improving GDP Measurement: A Forecast Combination Perspective.(2011) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
1991Further evidence on business cycle duration dependence In: Working Papers.
[Citation analysis]
paper102
1993Further Evidence on Business-Cycle Duration Dependence.(1993) In: NBER Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 102
chapter
1993Regime switching with time-varying transition probabilities In: Working Papers.
[Citation analysis]
paper109
1993Exact maximum likelihood estimation of ARCH models In: Working Papers.
[Citation analysis]
paper2
1993On comparing information in forecasts from econometric models: a comment on Fair and Shiller In: Working Papers.
[Citation analysis]
paper0
1997Evaluating density forecasts In: Working Papers.
[Full Text][Citation analysis]
paper71
1997Evaluating Density Forecasts.(1997) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 71
paper
1997Evaluating Density Forecasts.(1997) In: CARESS Working Papres.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 71
paper
1997Evaluating Density Forecasts.(1997) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 71
paper
1998Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Full Text][Citation analysis]
paper3
1998Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange.(1998) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
1998Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange.(1998) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
1998How Relevant is Volatility Forecasting for Financial Risk Management? In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Full Text][Citation analysis]
paper139
1998How Relevant is Volatility Forecasting for Financial Risk Management?.(1998) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 139
paper
2000How Relevant is Volatility Forecasting for Financial Risk Management?.(2000) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 139
article
1997How Relevant is Volatility Forecasting for Financial Risk Management?.(1997) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 139
paper
1998Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Citation analysis]
paper61
1998Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management.(1998) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 61
paper
1999The Distribution of Exchange Rate Volatility In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Full Text][Citation analysis]
paper88
1999The Distribution of Exchange Rate Volatility.(1999) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 88
paper
1999The Distribution of Exchange Rate Volatility.(1999) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 88
paper
1999Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Full Text][Citation analysis]
paper108
2000Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian.(2000) In: Multinational Finance Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 108
article
2000Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 108
paper
1999Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian.(1999) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 108
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]
paper54
1998Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Full Text][Citation analysis]
paper19
1998Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management.(1998) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19
paper
1998Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors Introduction. In: International Economic Review.
[Citation analysis]
article5
1998Evaluating Density Forecasts with Applications to Financial Risk Management. In: International Economic Review.
[Citation analysis]
article783
2011Globalization, the Business Cycle, and Macroeconomic Monitoring In: IMF Working Papers.
[Full Text][Citation analysis]
paper32
2010Globalization, the Business Cycle, and Macroeconomic Monitoring.(2010) In: NBER Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32
chapter
2010Globalization, the Business Cycle, and Macroeconomic Monitoring.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32
paper
2011Globalization, the Business Cycle, and Macroeconomic Monitoring.(2011) In: NBER International Seminar on Macroeconomics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32
article
2006Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics In: Management Science.
[Full Text][Citation analysis]
article114
1996Further Results on Forecasting and Model Selection under Asymmetric Loss. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article64
Further Results on Forecasting and Model Selection Under Asymmetric Loss.() In: Home Pages.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 64
paper
1989Structural Time Series Analysis and Modelling Package: A Review. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article1
2007Macroeconomic Volatility and Stock Market Volatility,World-Wide In: Koç University-TUSIAD Economic Research Forum Working Papers.
[Full Text][Citation analysis]
paper53
2008Macroeconomic Volatility and Stock Market Volatility, Worldwide.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 53
paper
2008Macroeconomic Volatility and Stock Market Volatility, World-Wide.(2008) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 53
paper
2015Estimating Global Bank Network Connectedness In: Koç University-TUSIAD Economic Research Forum Working Papers.
[Full Text][Citation analysis]
paper238
2017Estimating Global Bank Network Connectedness.(2017) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 238
paper
2015Estimating Global Bank Network Connectedness.(2015) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 238
paper
2018Estimating global bank network connectedness.(2018) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 238
article
2007Practical Volatility and Correlation Modeling for Financial Market Risk Management In: NBER Chapters.
[Full Text][Citation analysis]
chapter38
2005Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 38
paper
2005Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 38
paper
2005Practical volatility and correlation modeling for financial market risk management.(2005) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 38
paper
1995Measuring Volatility Dynamics In: NBER Technical Working Papers.
[Full Text][Citation analysis]
paper0
1996Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models In: NBER Technical Working Papers.
[Full Text][Citation analysis]
paper6
2002Parametric and Nonparametric Volatility Measurement In: NBER Technical Working Papers.
[Full Text][Citation analysis]
paper70
2002Parametric and Nonparametric Volatility Measurement.(2002) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 70
paper
2003Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics In: NBER Working Papers.
[Full Text][Citation analysis]
paper15
2003Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics.(2003) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
paper
2003Financial asset returns, direction-of-change forecasting, and volatility dynamics.(2003) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
paper
2005Volatility Forecasting In: NBER Working Papers.
[Full Text][Citation analysis]
paper51
2005Volatility Forecasting.(2005) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51
paper
2005Volatility forecasting.(2005) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51
paper
2005Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets In: NBER Working Papers.
[Full Text][Citation analysis]
paper107
2004Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets.(2004) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 107
paper
2004Real-time price discovery in stock, bond and foreign exchange markets.(2004) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 107
paper
2012Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests In: NBER Working Papers.
[Full Text][Citation analysis]
paper212
2012Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests.(2012) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 212
paper
2015Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests.(2015) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 212
article
2016Assessing Point Forecast Accuracy by Stochastic Error Distance In: NBER Working Papers.
[Full Text][Citation analysis]
paper6
2014Assessing Point Forecast Accuracy by Stochastic Error Distance.(2014) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
2017Assessing point forecast accuracy by stochastic error distance.(2017) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
article
2020Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession In: NBER Working Papers.
[Full Text][Citation analysis]
paper30
2020Real-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 another version. Agregated cites: 30
paper
1994Measuring Business Cycles: A Modern Perspective In: NBER Working Papers.
[Full Text][Citation analysis]
paper278
1996Measuring Business Cycles: A Modern Perspective..(1996) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 278
article
Measuring Business Cycle: A Modern Perspective.() In: Home Pages.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 278
paper
1994Job Stability in the United States In: NBER Working Papers.
[Full Text][Citation analysis]
paper76
1997Job Stability in the United States..(1997) In: Journal of Labor Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 76
article
1996Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again In: NBER Working Papers.
[Full Text][Citation analysis]
paper10
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again.() In: Home Pages.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
1997Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters In: NBER Working Papers.
[Full Text][Citation analysis]
paper50
1998Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters.(1998) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 50
paper
2000The Distribution of Stock Return Volatility In: NBER Working Papers.
[Full Text][Citation analysis]
paper40
2000The Distribution of Stock Return Volatility.(2000) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 40
paper
2001High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models In: NBER Working Papers.
[Full Text][Citation analysis]
paper7
2003A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations In: NBER Working Papers.
[Full Text][Citation analysis]
paper130
2003A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations.(2003) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 130
paper
2006A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations.(2006) In: The Journal of Business.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 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 another version. Agregated cites: 130
paper
2004A no-arbitrage approach to range-based estimation of return covariances and correlations.(2004) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 130
paper
2016Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
article103
2020Predictive 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]
article0
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 another version. Agregated cites: 0
article
2015Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring In: OUP Catalogue.
[Citation analysis]
book216
2002Symposium on Forecasting Performance: An Introduction In: IMF Staff Papers.
[Full Text][Citation analysis]
article0
2003Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility In: PIER Working Paper Archive.
[Full Text][Citation analysis]
paper41
2003Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility.(2003) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41
paper
2004Realized Beta: Persistence and Predictability In: PIER Working Paper Archive.
[Full Text][Citation analysis]
paper13
2004Realized beta: Persistence and predictability.(2004) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2008Real-Time Measurement of Business Conditions, Second Version In: PIER Working Paper Archive.
[Full Text][Citation analysis]
paper5
2008On the Correlation Structure of Microstructure Noise in Theory and Practice In: PIER Working Paper Archive.
[Full Text][Citation analysis]
paper10
2008On the correlation structure of microstructure noise in theory and practice.(2008) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2012On the Origin(s) and Development of the Term “Big Data In: PIER Working Paper Archive.
[Full Text][Citation analysis]
paper2
2012A Personal Perspective on the Origin(s) and Development of “Big Data: The Phenomenon, the Term, and the Discipline, Second Version In: PIER Working Paper Archive.
[Full Text][Citation analysis]
paper2
2013Measuring the Dynamics of Global Business Cycle Connectedness In: PIER Working Paper Archive.
[Full Text][Citation analysis]
paper38
2017Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts In: PIER Working Paper Archive.
[Full Text][Citation analysis]
paper5
2010Introduction In: Introductory Chapters.
[Full Text][Citation analysis]
chapter0
2012Facts, Factors, and Questions In: Introductory Chapters.
[Full Text][Citation analysis]
chapter0
1999Business Cycles: Durations, Dynamics, and Forecasting In: Economics Books.
[Citation analysis]
book66
2010The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice In: Economics Books.
[Citation analysis]
book25
2012Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach In: Economics Books.
[Citation analysis]
book11
2008Priors from Frequency-Domain Dummy Observations In: 2008 Meeting Papers.
[Full Text][Citation analysis]
paper2
2005Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore In: Working Papers.
[Full Text][Citation analysis]
paper0
1988Has the EMS Reduced Member-Country Exchange Rate Volatility? In: Empirical Economics.
[Citation analysis]
article12
2015Rejoinder In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article0
1998Bootstrapping Multivariate Spectra In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
article33
1999Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
article198
Stamp 5.0: A Review In: Home Pages.
[Full Text][Citation analysis]
paper0
1999Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
paper10
1997Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
paper19
1999Financial Risk Management in a Volatile Global Environment In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
paper5

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 3 2023. Contact: CitEc Team