66
H index
114
i10 index
28762
Citations
Francis Diebold : Citation Profile
University of Pennsylvania | RESEARCH PRODUCTION: 107 Articles 275 Papers 4 Books 10 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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37 years (1986 - 2023). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Francis Diebold. | Is cited by:
| Cites to:
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Main data
Where Francis Diebold has published?
Recent works citing Francis Diebold (2023 and 2022)
| Year | Title of citing document | |
|---|---|---|
| 2022 | Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02. Full description at Econpapers || Download paper | |
| 2022 | Effects 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 | |
| 2022 | The 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 | |
| 2022 | Financial 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 | |
| 2023 | The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:336984. Full description at Econpapers || Download paper | |
| 2023 | Volatility Transmissionin Agricultural Markets: Evidence from the Russia-Ukraine Conflict. (2023). Gaio, Luiz Eduardo ; Dario, Daniel Henrique. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:334707. Full description at Econpapers || Download paper | |
| 2022 | TVP-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 | |
| 2022 | Should 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 | |
| 2023 | Analysis of Dynamic Connectedness among Sovereign CDS Premia. (2023). Ceylan, Ozcan. In: World Journal of Applied Economics. RePEc:ana:journl:v:9:y:2023:i:1:p:33-47. Full description at Econpapers || Download paper | |
| 2022 | Bond 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 | |
| 2022 | Can 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 | |
| 2023 | Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308. Full description at Econpapers || Download paper | |
| 2022 | News 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 | |
| 2023 | Identifying Network Ties from Panel Data: Theory and an Application to Tax Competition. (2019). de Paula, Aureo ; Rasul, Imran ; Souza, Pedro. In: Papers. RePEc:arx:papers:1910.07452. Full description at Econpapers || Download paper | |
| 2023 | Testing Forecast Rationality for Measures of Central Tendency. (2019). Schmidt, Patrick ; Patton, Andrew J ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1910.12545. Full description at Econpapers || Download paper | |
| 2023 | Equal Predictive Ability Tests for Panel Data with an Application to OECD and IMF Forecasts. (2020). Yang, Zhenlin ; Urga, Giovanni ; Pirotte, Alain ; Akgun, Oguzhan. In: Papers. RePEc:arx:papers:2003.02803. Full description at Econpapers || Download paper | |
| 2022 | Cryptocurrency 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 | |
| 2022 | Can 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 | |
| 2023 | Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods. (2020). Huber, Florian ; Koop, Gary ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2005.03906. Full description at Econpapers || Download paper | |
| 2022 | Estimation 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 | |
| 2022 | Are 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 | |
| 2023 | A Novel Approach to Predictive Accuracy Testing in Nested Environments. (2020). Pitarakis, Jean-Yves. In: Papers. RePEc:arx:papers:2008.08387. Full description at Econpapers || Download paper | |
| 2023 | Time-Varying Parameters as Ridge Regressions. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2009.00401. Full description at Econpapers || Download paper | |
| 2022 | Dimension 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 | |
| 2023 | Forecasting financial markets with semantic network analysis in the COVID-19 crisis. (2020). Violante, Francesco ; Ravazzolo, F ; Grassi, S ; Colladon, Fronzetti A. In: Papers. RePEc:arx:papers:2009.04975. Full description at Econpapers || Download paper | |
| 2022 | Roughness 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 | |
| 2022 | High 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 | |
| 2022 | Bridging 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 | |
| 2022 | Hierarchical 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 | |
| 2022 | Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467. Full description at Econpapers || Download paper | |
| 2022 | Approximate 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 | |
| 2022 | Backtesting 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 | |
| 2023 | Learning Financial Network with Focally Sparse Structure. (2021). Chernozhukov, Victor ; Wang, Weining ; Huang, Chen. In: Papers. RePEc:arx:papers:2105.07424. Full description at Econpapers || Download paper | |
| 2022 | A 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 | |
| 2023 | Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics. (2021). , Almut ; Shephard, Neil ; Lunde, Asger ; Bennedsen, Mikkel. In: Papers. RePEc:arx:papers:2107.03674. Full description at Econpapers || Download paper | |
| 2022 | Semiparametric Functional Factor Models with Bayesian Rank Selection. (2021). Kowal, Daniel R. In: Papers. RePEc:arx:papers:2108.02151. Full description at Econpapers || Download paper | |
| 2022 | Feasible 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 | |
| 2023 | Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567. Full description at Econpapers || Download paper | |
| 2022 | Forecasting 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 | |
| 2022 | Ask 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 | |
| 2022 | Dynamic 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 | |
| 2022 | Volatility 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 | |
| 2022 | Evolutionary 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 | |
| 2022 | Dynamic 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 | |
| 2023 | Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices. (2022). Ricco, Giovanni ; Pellegrino, Filippo ; Hasenzagl, Thomas ; Reichlin, Lucrezia. In: Papers. RePEc:arx:papers:2201.05556. Full description at Econpapers || Download paper | |
| 2022 | Optimal trend following portfolios. (2022). Valeyre, Sebastien. In: Papers. RePEc:arx:papers:2201.06635. Full description at Econpapers || Download paper | |
| 2023 | Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC. (2022). , Shibo ; Bo, Shi. In: Papers. RePEc:arx:papers:2201.09434. Full description at Econpapers || Download paper | |
| 2022 | Modeling 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 | |
| 2022 | Long-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 | |
| 2022 | Industry 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 | |
| 2022 | Predicting 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 | |
| 2022 | Threshold 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 | |
| 2023 | Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962. Full description at Econpapers || Download paper | |
| 2022 | Introduction of the Market-Based Price Autocorrelation. (2022). Olkhov, Victor. In: Papers. RePEc:arx:papers:2202.09323. Full description at Econpapers || Download paper | |
| 2022 | Score 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 | |
| 2022 | On 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 | |
| 2023 | Sparse multivariate modeling for stock returns predictability. (2022). Bernardi, Mauro ; Bianco, Nicolas ; Bianchi, Daniele. In: Papers. RePEc:arx:papers:2202.12644. Full description at Econpapers || Download paper | |
| 2023 | Tail-GAN: Nonparametric Scenario Generation for Tail Risk Estimation. (2022). Cont, Rama ; Zhang, Chao ; Xu, Renyuan ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2203.01664. Full description at Econpapers || Download paper | |
| 2022 | Improving 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 | |
| 2022 | Measurability 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 | |
| 2022 | Reducing 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 | |
| 2023 | Rough volatility: fact or artefact?. (2022). Das, Purba ; Cont, Rama. In: Papers. RePEc:arx:papers:2203.13820. Full description at Econpapers || Download paper | |
| 2022 | Variational Heteroscedastic Volatility Model. (2022). Barucca, Paolo ; Yin, Zexuan. In: Papers. RePEc:arx:papers:2204.05806. Full description at Econpapers || Download paper | |
| 2022 | Learning Probability Distributions in Macroeconomics and Finance. (2022). Hanus, Lubos ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2204.06848. Full description at Econpapers || Download paper | |
| 2022 | Price 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 | |
| 2022 | Feature-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 | |
| 2022 | From 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 | |
| 2022 | Forecasting Electricity Prices. (2022). Weron, Rafał ; Uniejewski, Bartosz ; Maciejowska, Katarzyna. In: Papers. RePEc:arx:papers:2204.11735. Full description at Econpapers || Download paper | |
| 2022 | A 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 | |
| 2022 | The 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 | |
| 2022 | Russias 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 | |
| 2022 | Probabilistic forecasting of German electricity imbalance prices. (2022). Narajewski, Michal. In: Papers. RePEc:arx:papers:2205.11439. Full description at Econpapers || Download paper | |
| 2023 | Estimation and Inference for High Dimensional Factor Model with Regime Switching. (2022). Wang, FA ; Urga, Giovanni. In: Papers. RePEc:arx:papers:2205.12126. Full description at Econpapers || Download paper | |
| 2023 | Estimating spot volatility under infinite variation jumps with market microstructure noise. (2022). Liu, Zhi. In: Papers. RePEc:arx:papers:2205.15738. Full description at Econpapers || Download paper | |
| 2022 | Time-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 | |
| 2022 | Economic 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 | |
| 2022 | Topological 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 | |
| 2022 | Multivariate backtests and copulas for risk evaluation. (2022). Zumbach, Gilles ; David, Boris. In: Papers. RePEc:arx:papers:2206.03896. Full description at Econpapers || Download paper | |
| 2022 | Modeling 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 | |
| 2022 | Fast 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 | |
| 2023 | Ensemble distributional forecasting for insurance loss reserving. (2022). Xian, Alan ; Wong, Bernard ; Li, Yanfeng ; Avanzi, Benjamin. In: Papers. RePEc:arx:papers:2206.08541. Full description at Econpapers || Download paper | |
| 2023 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper | |
| 2022 | Unique 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 | |
| 2022 | Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949. Full description at Econpapers || Download paper | |
| 2022 | LASSO 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 | |
| 2022 | Application 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 | |
| 2023 | Global combinations of expert forecasts. (2022). Vasnev, Andrey L ; Thompson, Ryan ; Qian, Yilin. In: Papers. RePEc:arx:papers:2207.07318. Full description at Econpapers || Download paper | |
| 2022 | Exploring 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 | |
| 2022 | Multifractal 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 | |
| 2023 | Factor Network Autoregressions. (2022). Cavaliere, Giuseppe ; Moramarco, Graziano ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2208.02925. Full description at Econpapers || Download paper | |
| 2022 | Learning 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 | |
| 2022 | Understanding 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 | |
| 2022 | Asymptotic 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 | |
| 2022 | Option 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 | |
| 2022 | Forecasting 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 | |
| 2022 | DeepVol: 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 | |
| 2022 | Fast 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 | |
| 2023 | Prediction intervals for economic fixed-event forecasts. (2022). Plett, Hendrik ; Kruger, Fabian. In: Papers. RePEc:arx:papers:2210.13562. Full description at Econpapers || Download paper | |
| 2022 | Unit 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:
| Year | Title | Type | Cited |
|---|
Works by Francis Diebold:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2007 | Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 871 |
| 2005 | Roughing 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 | |
| 2007 | Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility.(2007) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 871 | article | |
| 2007 | Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 549 |
| 2007 | Real-time price discovery in global stock, bond and foreign exchange markets.(2007) In: Journal of International Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 549 | article | |
| 2006 | Real-time price discovery in global stock, bond and foreign exchange markets.(2006) In: International Finance Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 549 | paper | |
| 2011 | Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 49 |
| 2013 | Financial Risk Measurement for Financial Risk Management.(2013) In: Handbook of the Economics of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | chapter | |
| 2012 | Financial Risk Measurement for Financial Risk Management.(2012) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
| 2011 | Financial Risk Measurement for Financial Risk Management.(2011) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
| 2010 | Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions In: American Economic Review. [Full Text][Citation analysis] | article | 68 |
| 2010 | Real-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 | |
| 2010 | Real-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 | |
| 2010 | Real-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 | |
| 1992 | Have Postwar Economic Fluctuations Been Stabilized? In: American Economic Review. [Full Text][Citation analysis] | article | 71 |
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| 1990 | Have 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 | |
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| 2002 | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 844 | paper | |
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| 2005 | A Framework for Exploring the Macroeconomic Determinants of Systematic Risk In: American Economic Review. [Full Text][Citation analysis] | article | 80 |
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| 2021 | Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections In: Papers. [Full Text][Citation analysis] | paper | 7 |
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| 2020 | Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections.(2020) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2019 | Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections.(2019) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2020 | Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach In: Papers. [Full Text][Citation analysis] | paper | 7 |
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| 2022 | Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 In: Papers. [Full Text][Citation analysis] | paper | 5 |
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| 2021 | Big Data and its Origins In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2022 | On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates In: Papers. [Full Text][Citation analysis] | paper | 4 |
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| 2022 | On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates.(2022) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2021 | On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone In?ation and Real Interest Rates.(2021) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2022 | A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting In: Papers. [Full Text][Citation analysis] | paper | 1 |
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| 2023 | When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume In: Papers. [Full Text][Citation analysis] | paper | 1 |
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| 2023 | On Robust Inference in Time Series Regression In: Papers. [Full Text][Citation analysis] | paper | 1 |
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| 2023 | Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice: Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models In: Papers. [Full Text][Citation analysis] | paper | 0 |
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| 2022 | On the Financing of Climate Change Adaptation in Developing Countries In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | A New Test for Market Efficiency and Uncovered Interest Parity In: Papers. [Full Text][Citation analysis] | paper | 0 |
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| 1996 | Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers.(1996) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
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| 2012 | A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities In: Working Papers. [Full Text][Citation analysis] | paper | 36 |
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| 2012 | A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities.(2012) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | paper | |
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| 2011 | On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1522 | paper | |
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| 2012 | Better to give than to receive: Predictive directional measurement of volatility spillovers In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 1754 |
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| 2019 | Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 57 |
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| 1989 | Forecast combination and encompassing: Reconciling two divergent literatures In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 72 |
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| 1995 | Dynamic 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 | |
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| 1997 | Evaluating Density Forecasts.(1997) In: CARESS Working Papres. [Full Text][Citation analysis] This paper has another version. Agregated cites: 71 | paper | |
| 1997 | Evaluating Density Forecasts.(1997) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 71 | paper | |
| 1998 | Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 3 |
| 1998 | Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange.(1998) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 1998 | Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange.(1998) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 1998 | How Relevant is Volatility Forecasting for Financial Risk Management? In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 139 |
| 1998 | How Relevant is Volatility Forecasting for Financial Risk Management?.(1998) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 139 | paper | |
| 2000 | How Relevant is Volatility Forecasting for Financial Risk Management?.(2000) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 139 | article | |
| 1997 | How Relevant is Volatility Forecasting for Financial Risk Management?.(1997) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 139 | paper | |
| 1998 | Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Citation analysis] | paper | 61 |
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| 1999 | The Distribution of Exchange Rate Volatility In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 88 |
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| 1999 | The 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 | |
| 1999 | Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 108 |
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| 2000 | Exchange 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 | |
| 1999 | Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian.(1999) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has 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] | paper | 54 |
| 1998 | Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 19 |
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| 2015 | Estimating Global Bank Network Connectedness In: Koç University-TUSIAD Economic Research Forum Working Papers. [Full Text][Citation analysis] | paper | 238 |
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| 2007 | Practical Volatility and Correlation Modeling for Financial Market Risk Management In: NBER Chapters. [Full Text][Citation analysis] | chapter | 38 |
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| 2005 | Practical 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 | |
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| 1996 | Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models In: NBER Technical Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2002 | Parametric and Nonparametric Volatility Measurement In: NBER Technical Working Papers. [Full Text][Citation analysis] | paper | 70 |
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| 2003 | Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics In: NBER Working Papers. [Full Text][Citation analysis] | paper | 15 |
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| 2005 | Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets In: NBER Working Papers. [Full Text][Citation analysis] | paper | 107 |
| 2004 | Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets.(2004) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 107 | paper | |
| 2004 | Real-time price discovery in stock, bond and foreign exchange markets.(2004) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 107 | paper | |
| 2012 | Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests In: NBER Working Papers. [Full Text][Citation analysis] | paper | 212 |
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| 2016 | Assessing Point Forecast Accuracy by Stochastic Error Distance In: NBER Working Papers. [Full Text][Citation analysis] | paper | 6 |
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| 2020 | Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession In: NBER Working Papers. [Full Text][Citation analysis] | paper | 30 |
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| 1994 | Measuring Business Cycles: A Modern Perspective In: NBER Working Papers. [Full Text][Citation analysis] | paper | 278 |
| 1996 | Measuring Business Cycles: A Modern Perspective..(1996) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 278 | article | |
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| 1994 | Job Stability in the United States In: NBER Working Papers. [Full Text][Citation analysis] | paper | 76 |
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| 1996 | Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again In: NBER Working Papers. [Full Text][Citation analysis] | paper | 10 |
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| 1997 | Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters In: NBER Working Papers. [Full Text][Citation analysis] | paper | 50 |
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| 2000 | The Distribution of Stock Return Volatility In: NBER Working Papers. [Full Text][Citation analysis] | paper | 40 |
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| 2001 | High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models In: NBER Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2003 | A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations In: NBER Working Papers. [Full Text][Citation analysis] | paper | 130 |
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| 2006 | A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations.(2006) In: The Journal of Business. [Full Text][Citation analysis] This paper has another version. Agregated cites: 130 | article | |
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| 2004 | A no-arbitrage approach to range-based estimation of return covariances and correlations.(2004) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 130 | paper | |
| 2016 | Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 103 |
| 2020 | Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
| Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I).() In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | ||
| 2015 | Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring In: OUP Catalogue. [Citation analysis] | book | 216 |
| 2002 | Symposium on Forecasting Performance: An Introduction In: IMF Staff Papers. [Full Text][Citation analysis] | article | 0 |
| 2003 | Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 41 |
| 2003 | Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility.(2003) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 41 | paper | |
| 2004 | Realized Beta: Persistence and Predictability In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 13 |
| 2004 | Realized beta: Persistence and predictability.(2004) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
| 2008 | Real-Time Measurement of Business Conditions, Second Version In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 5 |
| 2008 | On the Correlation Structure of Microstructure Noise in Theory and Practice In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 10 |
| 2008 | On the correlation structure of microstructure noise in theory and practice.(2008) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 2012 | On the Origin(s) and Development of the Term “Big Data In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 2 |
| 2012 | A Personal Perspective on the Origin(s) and Development of “Big Data: The Phenomenon, the Term, and the Discipline, Second Version In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 2 |
| 2013 | Measuring the Dynamics of Global Business Cycle Connectedness In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 38 |
| 2017 | Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 5 |
| 2010 | Introduction In: Introductory Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2012 | Facts, Factors, and Questions In: Introductory Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 1999 | Business Cycles: Durations, Dynamics, and Forecasting In: Economics Books. [Citation analysis] | book | 66 |
| 2010 | The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice In: Economics Books. [Citation analysis] | book | 25 |
| 2012 | Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach In: Economics Books. [Citation analysis] | book | 11 |
| 2008 | Priors from Frequency-Domain Dummy Observations In: 2008 Meeting Papers. [Full Text][Citation analysis] | paper | 2 |
| 2005 | Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1988 | Has the EMS Reduced Member-Country Exchange Rate Volatility? In: Empirical Economics. [Citation analysis] | article | 12 |
| 2015 | Rejoinder In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
| 1998 | Bootstrapping Multivariate Spectra In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 33 |
| 1999 | Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 198 |
| Stamp 5.0: A Review In: Home Pages. [Full Text][Citation analysis] | paper | 0 | |
| 1999 | Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] | paper | 10 |
| 1997 | Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] | paper | 19 |
| 1999 | Financial Risk Management in a Volatile Global Environment In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] | paper | 5 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 3 2023. Contact: CitEc Team