Francis Diebold : Citation Profile


Are you Francis Diebold?

University of Pennsylvania

66

H index

114

i10 index

28401

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: 767
   Journals where Francis Diebold has often published
   Relations with other researchers
   Recent citing documents: 2139.    Total self citations: 201 (0.7 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pdi1
   Updated: 2023-08-19    RAS profile: 2022-11-16    
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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 (423)

Gil-Alana, Luis (333)

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 (129)

Shephard, Neil (128)

Cites to:

Bollerslev, Tim (173)

Andersen, Torben (115)

Engle, Robert (88)

Rudebusch, Glenn (59)

Shephard, Neil (57)

Watson, Mark (37)

Yilmaz, Kamil (34)

Campbell, John (34)

Aruoba, S. Boragan (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
International Journal of Forecasting6
The Review of Economics and Statistics6
Economics Letters6
American Economic Review6
Journal of Applied Econometrics4
Econometric Theory3
The Journal of Financial Econometrics3
Proceedings3
Journal of International Economics2
Economic Journal2
Journal of Finance2
Journal of the American Statistical Association2
Journal of Political Economy2
The Journal of Business2
Journal of Economic Dynamics and Control2
International Economic Review2
Journal of Business & Economic Statistics2
Business Review2
Review of Economic Studies2

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

Recent works citing Francis Diebold (2023 and 2022)


YearTitle of citing document
2021A machine learning approach to volatility forecasting. (2021). Veliyev, Bezirgen ; Christensen, Kim ; Siggaard, Mathias. In: CREATES Research Papers. RePEc:aah:create:2021-03.

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

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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.

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2022.

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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.

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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.

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

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2023Volatility Transmissionin Agricultural Markets: Evidence from the Russia-Ukraine Conflict. (2023). Gaio, Luiz Eduardo ; Dario, Daniel Henrique. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:334707.

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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.

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

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2023Analysis of Dynamic Connectedness among Sovereign CDS Premia. (2023). Ceylan, Ozcan. In: World Journal of Applied Economics. RePEc:ana:journl:v:9:y:2023:i:1:p:33-47.

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

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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.

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

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

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2023Identifying Network Ties from Panel Data: Theory and an Application to Tax Competition. (2019). de Paula, Aureo ; Rasul, Imran ; Souza, Pedro. In: Papers. RePEc:arx:papers:1910.07452.

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

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2021Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2019). Kuo, Weiyu ; Hardle, Wolfgang Karl ; Hu, Junjie. In: Papers. RePEc:arx:papers:1912.05228.

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

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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.

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2021Arctic Amplification of Anthropogenic Forcing: A Vector Autoregressive Analysis. (2020). Gobel, Maximilian ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2005.02535.

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

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2023Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods. (2020). Huber, Florian ; Koop, Gary ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2005.03906.

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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.

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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.

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

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

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

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2023Forecasting financial markets with semantic network analysis in the COVID-19 crisis. (2020). Violante, Francesco ; Ravazzolo, F ; Grassi, S ; Colladon, Fronzetti A. In: Papers. RePEc:arx:papers:2009.04975.

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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.

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

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2021To VaR, or Not to VaR, That is the Question. (2021). Olkhov, Victor. In: Papers. RePEc:arx:papers:2101.08559.

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

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

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

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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.

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

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2022Learning Financial Network with Focally Sparse Structure. (2021). Chernozhukov, Victor ; Wang, Weining ; Huang, Chen. In: Papers. RePEc:arx:papers:2105.07424.

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

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

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2021Multiplicative Error Models: 20 years on. (2021). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2107.05923.

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

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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.

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

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

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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.

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2021Effect of the U.S.--China Trade War on Stock Markets: A Financial Contagion Perspective. (2021). Kim, Donggyu ; Oh, Minseog. In: Papers. RePEc:arx:papers:2111.09655.

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

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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.

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

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

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2023Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices. (2022). Ricco, Giovanni ; Pellegrino, Filippo ; Hasenzagl, Thomas ; Reichlin, Lucrezia. In: Papers. RePEc:arx:papers:2201.05556.

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

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

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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.

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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.

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

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

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

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

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

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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.

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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.

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

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

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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.

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

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

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

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

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

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

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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.

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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.

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

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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.

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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.

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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.

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

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

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

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

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

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

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

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

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

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

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

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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.

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

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

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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.

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

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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.

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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.

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

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

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

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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.

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

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

Francis Diebold has edited the books:


YearTitleTypeCited

Works by Francis Diebold:


YearTitleTypeCited
2007Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility In: CREATES Research Papers.
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2005Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility.(2005) In: NBER Working Papers.
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2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility.(2007) In: The Review of Economics and Statistics.
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2007Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers.
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paper542
2007Real-time price discovery in global stock, bond and foreign exchange markets.(2007) In: Journal of International Economics.
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2006Real-time price discovery in global stock, bond and foreign exchange markets.(2006) In: International Finance Discussion Papers.
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2011Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers.
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paper48
2013Financial Risk Measurement for Financial Risk Management.(2013) In: Handbook of the Economics of Finance.
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2012Financial Risk Measurement for Financial Risk Management.(2012) In: NBER Working Papers.
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2011Financial Risk Measurement for Financial Risk Management.(2011) In: PIER Working Paper Archive.
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2010Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions In: American Economic Review.
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article68
2010Real-time macroeconomic monitoring: real activity, inflation, and interactions.(2010) In: Working Papers.
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2010Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions.(2010) In: NBER Working Papers.
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2010Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions.(2010) In: PIER Working Paper Archive.
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paper
1992Have Postwar Economic Fluctuations Been Stabilized? In: American Economic Review.
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article71
1991Have postwar economic fluctuations been stabilized?.(1991) In: Working Paper Series / Economic Activity Section.
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1990Have postwar economic fluctuations been stabilized?.(1990) In: Discussion Paper / Institute for Empirical Macroeconomics.
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paper
1996The Uncertain Unit Root in Real GNP: Comment. In: American Economic Review.
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article85
2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange In: American Economic Review.
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article834
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers.
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2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers.
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2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: NBER Working Papers.
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2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?.(2002) In: Center for Financial Institutions Working Papers.
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paper
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk In: American Economic Review.
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article78
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: NBER Working Papers.
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2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: PIER Working Paper Archive.
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paper
2005A framework for exploring the macroeconomic determinants of systematic risk.(2005) In: CFS Working Paper Series.
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paper
2005Modeling Bond Yields in Finance and Macroeconomics In: American Economic Review.
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article140
2005Modeling bond yields in finance and macroeconomics.(2005) In: Working Paper Series.
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2005Modeling Bond Yields in Finance and Macroeconomics.(2005) In: NBER Working Papers.
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2005Modeling Bond Yields in Finance and Macroeconomics.(2005) In: PIER Working Paper Archive.
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paper
2005Modeling bond yields in finance and macroeconomics.(2005) In: CFS Working Paper Series.
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paper
1998The Past, Present, and Future of Macroeconomic Forecasting In: Journal of Economic Perspectives.
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article113
1997The past, present, and future of macroeconomic forecasting.(1997) In: Working Papers.
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1997The Past, Present, and Future of Macroeconomic Forecasting.(1997) In: NBER Working Papers.
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2006Time Series Analysis In: Working Papers.
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paper16
2006Time Series Analysis.(2006) In: PIER Working Paper Archive.
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paper
2021On the Evolution of U.S. Temperature Dynamics In: Papers.
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2019On the Evolution of U.S. Temperature Dynamics.(2019) In: PIER Working Paper Archive.
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2021Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections In: Papers.
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2022Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections.(2022) In: Journal of Econometrics.
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article
2020Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections.(2020) In: Working Paper Series.
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2020Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections.(2020) In: NBER Working Papers.
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2019Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections.(2019) In: PIER Working Paper Archive.
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2020Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach In: Papers.
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paper7
2021Optimal combination of Arctic sea ice extent measures: A dynamic factor modeling approach.(2021) In: International Journal of Forecasting.
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article
2020Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach.(2020) In: PIER Working Paper Archive.
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2022Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 In: Papers.
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2022Real-Time Real Economic Activity:Entering and Exiting the Pandemic Recession of 2020.(2022) In: PIER Working Paper Archive.
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2021Big Data and its Origins In: Papers.
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paper1
2022On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates In: Papers.
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2021On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates.(2021) In: Working Papers.
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2022On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates.(2022) In: NBER Working Papers.
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2021On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone In?ation and Real Interest Rates.(2021) In: PIER Working Paper Archive.
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2022A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting In: Papers.
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paper1
2022A benchmark model for fixed-target Arctic sea ice forecasting.(2022) In: Economics Letters.
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2022A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting.(2022) In: PIER Working Paper Archive.
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2023When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume In: Papers.
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2022When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume.(2022) In: NBER Working Papers.
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2022When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume.(2022) In: PIER Working Paper Archive.
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2022On Robust Inference in Time Series Regression In: Papers.
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paper1
2022On Robust Inference in Time Series Regression.(2022) In: PIER Working Paper Archive.
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2023Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice: Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models In: Papers.
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2022Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice:Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models.(2022) In: PIER Working Paper Archive.
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2022On the Financing of Climate Change Adaptation in Developing Countries In: Papers.
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paper0
2022A New Test for Market Efficiency and Uncovered Interest Parity In: Papers.
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paper0
2022A New Test for Market Efficiency and Uncovered Interest Parity.(2022) In: NBER Working Papers.
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2022A New Test forMarket Efficiency and Uncovered Interest Parity.(2022) In: PIER Working Paper Archive.
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2023On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness In: Papers.
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paper2
2005Weather Forecasting for Weather Derivatives In: Journal of the American Statistical Association.
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article125
2003Weather Forecasting for Weather Derivatives.(2003) In: NBER Working Papers.
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2002Weather Forecasting for Weather Derivatives.(2002) In: Center for Financial Institutions Working Papers.
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2004Weather forecasting for weather derivatives.(2004) In: CFS Working Paper Series.
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paper
2001The Distribution of Realized Exchange Rate Volatility In: Journal of the American Statistical Association.
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article1037
1995Comparing Predictive Accuracy. In: Journal of Business & Economic Statistics.
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article5072
2002Comparing Predictive Accuracy..(2002) In: Journal of Business & Economic Statistics.
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1994Comparing Predictive Accuracy.(1994) In: NBER Technical Working Papers.
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1998Cointegration and Long-Horizon Forecasting. In: Journal of Business & Economic Statistics.
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article122
1997Cointegration and long-horizon forecasting.(1997) In: Working Papers.
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1997Cointegration and Long-Horizon Forecasting.(1997) In: IMF Working Papers.
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1997Cointegration and Long-Horizon Forecasting.(1997) In: NBER Technical Working Papers.
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2000Unit-Root Tests Are Useful for Selecting Forecasting Models. In: Journal of Business & Economic Statistics.
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article104
1999Unit Root Tests are Useful for Selecting Forecasting Models.(1999) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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1999Unit Root Tests Are Useful for Selecting Forecasting Models.(1999) In: NBER Working Papers.
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2006Comment In: Journal of Business & Economic Statistics.
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2009Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence In: Journal of Business & Economic Statistics.
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article76
2005Stock returns and expected business conditions: half a century of direct evidence.(2005) In: Proceedings.
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2005Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence.(2005) In: NBER Working Papers.
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2005Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence.(2005) In: PIER Working Paper Archive.
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2005Stock returns and expected business conditions: Half a century of direct evidence.(2005) In: CFS Working Paper Series.
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2009Real-Time Measurement of Business Conditions In: Journal of Business & Economic Statistics.
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article401
2007Real-time measurement of business conditions.(2007) In: International Finance Discussion Papers.
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2008Real-time measurement of business conditions.(2008) In: Working Papers.
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2008Real-Time Measurement of Business Conditions.(2008) In: NBER Working Papers.
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2007Real-Time Measurement of Business Conditions.(2007) In: PIER Working Paper Archive.
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2006Real-Time Measurement of Business Conditions.(2006) In: Computing in Economics and Finance 2006.
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paper
1988Serial Correlation and the Combination of Forecasts. In: Journal of Business & Economic Statistics.
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article28
1988An Application of Operational-Subjective Statistical Methods to Rational Expectations: Comment. In: Journal of Business & Economic Statistics.
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article0
1988An application of operational-subjective statistical methods to rational expectations: comment.(1988) In: Finance and Economics Discussion Series.
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paper
1990Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics. In: Journal of Business & Economic Statistics.
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article30
1994 On Cointegration and Exchange Rate Dynamics. In: Journal of Finance.
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article137
1993On cointegration and exchange rate dynamics.(1993) In: Working Papers.
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paper
2002Range?Based Estimation of Stochastic Volatility Models In: Journal of Finance.
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article453
2018On the Comparison of Interval Forecasts In: Journal of Time Series Analysis.
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article13
2018On the Comparison of Interval Forecasts.(2018) In: PIER Working Paper Archive.
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paper
2004The Nobel Memorial Prize for Robert F. Engle In: Scandinavian Journal of Economics.
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2004The Nobel Memorial Prize for Robert F. Engle.(2004) In: NBER Working Papers.
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2004The Nobel Memorial Prize for Robert F. Engle.(2004) In: PIER Working Paper Archive.
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2004The Nobel Memorial Prize for Robert F. Engle.(2004) In: CFS Working Paper Series.
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paper
2012On the Correlation Structure of Microstructure Noise: A Financial Economic Approach In: Boston College Working Papers in Economics.
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paper35
2010On the Correlation Structure of Microstructure Noise: A Financial Economic Approach.(2010) In: NBER Working Papers.
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2013On the Correlation Structure of Microstructure Noise: A Financial Economic Approach.(2013) In: Review of Economic Studies.
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article
2009Equity Market Spillovers in the Americas In: Journal Economía Chilena (The Chilean Economy).
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article36
2011Equity Market Spillovers in the Americas.(2011) In: Central Banking, Analysis, and Economic Policies Book Series.
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chapter
2018Commodity Connectedness In: Central Banking, Analysis, and Economic Policies Book Series.
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chapter31
2017Commodity Connectedness.(2017) In: NBER Working Papers.
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2017Commodity Connectedness.(2017) In: PIER Working Paper Archive.
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2017Commodity connectedness.(2017) In: CFS Working Paper Series.
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2002Financial Asset Returns, Market Timing, and Volatility Dynamics In: CIRANO Working Papers.
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paper12
2000Measuring Predictability: Theory And Macroeconomic Applications In: CEPR Discussion Papers.
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paper67
1997Measuring predictability: theory and macroeconomic applications.(1997) In: Working Papers.
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2001Measuring predictability: theory and macroeconomic applications.(2001) In: Journal of Applied Econometrics.
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1997Measuring Predictability: Theory and Macroeconomic Applications.(1997) In: NBER Technical Working Papers.
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1998Measuring Predictability: Theory and Macroeconomic Applications.(1998) In: Working Papers.
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1997Measuring Predictability: Theory and Macroeconomic Applications.(1997) In: CARESS Working Papres.
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1997Optimal Prediction Under Asymmetric Loss In: Econometric Theory.
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article176
1997Optimal prediction under asymmetric loss.(1997) In: Working Papers.
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1994Optimal Prediction Under Asymmetric Loss.(1994) In: NBER Technical Working Papers.
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1997Optimal Prediction Under Asymmetric Loss.(1997) In: CARESS Working Papres.
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Optimal Prediction Under Asymmetric Loss.() In: Home Pages.
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paper
2003THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003 In: Econometric Theory.
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article4
1992Forecasting, Structural Time Series Models and the Kalman Filter, Andrew C. Harvey Cambridge University Press, 1939 - Fore Casting, Structural Time Series Models and The Kalman FilterAdrew C. Harvey C In: Econometric Theory.
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article0
2002Modeling and Forecasting Realized Volatility In: Working Papers.
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paper1809
2003Modeling and Forecasting Realized Volatility.(2003) In: Econometrica.
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article
2001Modeling and Forecasting Realized Volatility.(2001) In: NBER Working Papers.
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2001Modeling and Forecasting Realized Volatility.(2001) In: Center for Financial Institutions Working Papers.
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2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence In: Finance Working Papers.
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paper9
2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence.(2006) In: Finance Working Papers.
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2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence.(2006) In: PIER Working Paper Archive.
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1997Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers. In: Economic Journal.
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article13
1997Bounded rationality and strategic complementarity in a macroeconomic model: policy effects, persistence, and multipliers.(1997) In: Working Papers.
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paper
1996Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers.(1996) In: NBER Working Papers.
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Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers.() In: Home Pages.
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2009Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets In: Economic Journal.
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article1490
2008Measuring financial asset return and volatility spillovers, with application to global equity markets.(2008) In: Working Papers.
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2007Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets.(2007) In: Koç University-TUSIAD Economic Research Forum Working Papers.
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2008Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets.(2008) In: NBER Working Papers.
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2007Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets.(2007) In: PIER Working Paper Archive.
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2009Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets.(2009) In: Economic Journal.
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2007Measuring financial asset return and volatility spillovers, with application to global equity markets.(2007) In: CFS Working Paper Series.
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2008Measuring financial asset return and volatilty spillovers, with application to global equity markets.(2008) In: CFS Working Paper Series.
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2012A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities In: Working Papers.
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paper36
2013A Markov-switching multifractal inter-trade duration model, with application to US equities.(2013) In: Journal of Econometrics.
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article
2012A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities.(2012) In: NBER Working Papers.
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paper
2012A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities.(2012) In: PIER Working Paper Archive.
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paper
2004Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics In: Econometric Society 2004 Australasian Meetings.
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paper0
2009An arbitrage-free generalized Nelson--Siegel term structure model In: Econometrics Journal.
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article79
2008An arbitrage-free generalized Nelson-Siegel term structure model.(2008) In: Working Paper Series.
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paper
2008An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model.(2008) In: NBER Working Papers.
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paper
2008An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model.(2008) In: PIER Working Paper Archive.
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paper
1988Testing for bubbles, reflecting barriers and other anomalies In: Journal of Economic Dynamics and Control.
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article2
1989State space modeling of time series : A review essay In: Journal of Economic Dynamics and Control.
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article4
1988State space modeling of time series: a review essay.(1988) In: Finance and Economics Discussion Series.
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paper
2006Volatility and Correlation Forecasting In: Handbook of Economic Forecasting.
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chapter266
2015Assessing point forecast accuracy by stochastic loss distance In: Economics Letters.
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article5
1986The exact initial covariance matrix of the state vector of a general MA(q) process In: Economics Letters.
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article3
1986Exact maximum-likelihood estimation of autoregressive models via the Kalman filter In: Economics Letters.
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article4
1991On the power of Dickey-Fuller tests against fractional alternatives In: Economics Letters.
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article251
1990On the power of Dickey-Fuller tests against fractional alternatives.(1990) In: Finance and Economics Discussion Series.
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paper
1996Fractional integration and interval prediction In: Economics Letters.
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article15
2001Econometrics: Retrospect and prospect In: Journal of Econometrics.
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article2
2001Forecasting and empirical methods in finance and macroeconomics In: Journal of Econometrics.
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article0
2001Long memory and regime switching In: Journal of Econometrics.
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2000The Distribution of Stock Return Volatility In: NBER Working Papers.
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2000The Distribution of Stock Return Volatility.(2000) In: Center for Financial Institutions Working Papers.
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2001High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models In: NBER Working Papers.
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2003A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations In: NBER Working Papers.
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2003A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations.(2003) In: PIER Working Paper Archive.
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2006A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations.(2006) In: The Journal of Business.
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2004A no-arbitrage approach to range-based estimation of return covariances and correlations.(2004) In: CFS Working Paper Series.
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2016Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 In: The Journal of Financial Econometrics.
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2020Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) In: The Journal of Financial Econometrics.
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2015Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring In: OUP Catalogue.
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2003Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility In: PIER Working Paper Archive.
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2003Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility.(2003) In: CFS Working Paper Series.
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2004Realized Beta: Persistence and Predictability In: PIER Working Paper Archive.
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2008Real-Time Measurement of Business Conditions, Second Version In: PIER Working Paper Archive.
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2008On the Correlation Structure of Microstructure Noise in Theory and Practice In: PIER Working Paper Archive.
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2008On the correlation structure of microstructure noise in theory and practice.(2008) In: CFS Working Paper Series.
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2017Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts In: PIER Working Paper Archive.
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2005Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore In: Working Papers.
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1999Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange In: The Review of Economics and Statistics.
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1999Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think In: Center for Financial Institutions Working Papers.
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1997Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think In: Center for Financial Institutions Working Papers.
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