Francis Diebold : Citation Profile

University of Pennsylvania

67

H index

116

i10 index

32039

Citations

RESEARCH PRODUCTION:

116

Articles

282

Papers

4

Books

14

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   38 years (1986 - 2024). See details.
   Cites by year: 843
   Journals where Francis Diebold has often published
   Relations with other researchers
   Recent citing documents: 1620.    Total self citations: 213 (0.66 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pdi1
   Updated: 2025-03-22    RAS profile: 2025-02-06    
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Relations with other researchers

Works with:

Rudebusch, Glenn (16)

ZHANG, BOYUAN (9)

Kapetanios, George (7)

Shin, Minchul (5)

Yilmaz, Kamil (3)

Mora, Aaron (2)

Baillie, Richard (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 (501)

Gil-Alana, Luis (357)

Bollerslev, Tim (205)

Swanson, Norman (194)

Gabauer, David (178)

Degiannakis, Stavros (171)

Baruník, Jozef (167)

Caporale, Guglielmo Maria (154)

van Dijk, Dick (152)

Clements, Michael (141)

Kočenda, Evžen (132)

Cites to:

Bollerslev, Tim (168)

Andersen, Torben (112)

Engle, Robert (87)

Rudebusch, Glenn (65)

Shephard, Neil (57)

Yilmaz, Kamil (39)

Watson, Mark (39)

Aruoba, S. Boragan (39)

Campbell, John (33)

Pesaran, Mohammad (32)

Ghysels, Eric (26)

Main data

Production by document typepaperbookarticlechapter1986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240102030Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published1986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240200400600Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received19861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250k1k2k3kCitations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year19861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202402,5005,0007,500Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 67Most cited documents12345678910111213141516171819202122232425262728293031323334353637383940414243444546474849505152535455565758596061626364656667686902,5005,0007,500Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2013082013092013102013112013122014012014022014032014042014052014062014072014082014092014102014112014122015012015022015032015042015052015062015072015082015092015102015112015122016012016022016032016042016052016062016072016082016092016102016112016122017012017022017032017042017052017062017072017082017092017102017112017122018012018022018032018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025030255075h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Francis Diebold has published?

Journals with more than one article published# docs
Journal of Econometrics21
Journal of Business & Economic Statistics10
American Economic Review6
Economics Letters6
International Journal of Forecasting6
The Review of Economics and Statistics6
Journal of Applied Econometrics4
Journal of Financial Econometrics3
Proceedings3
Econometric Theory3
Economic Journal2
The Review of Economic Studies2
The Journal of Business2
Energy Economics2
Business Review2
Journal of International Economics2
Journal of Political Economy2
Journal of Economic Dynamics and Control2
Journal of the American Statistical Association2
Journal of Finance2
International Economic Review2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc54
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.org15
Special Studies Papers / Board of Governors of the Federal Reserve System (U.S.)7
Ko� University-TUSIAD Economic Research Forum Working Papers / Koc University-TUSIAD Economic Research Forum6
Discussion Paper / Institute for Empirical Macroeconomics / Federal Reserve Bank of Minneapolis5
Working Paper Series / Federal Reserve Bank of San Francisco5
Working Papers / Duke University, Department of Economics2
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)2
Working Paper Series / Economic Activity Section / Board of Governors of the Federal Reserve System (U.S.)2
Working Papers / University of Pennsylvania, Wharton School, Weiss Center2
IMF Working Papers / International Monetary Fund2
Research Paper / Federal Reserve Bank of New York2
Finance Working Papers / East Asian Bureau of Economic Research2

Recent works citing Francis Diebold (2025 and 2024)

Year  ↓Title of citing document  ↓
2025Asymmetric Roles of Macroeconomic Variables in the Real Exchange Rate: Insights from U.S.-Korea Data. (2025). Kim, Hyeongwoo ; Behera, Sarthak. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2025-01.

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2024A Learning Model with Memory in the Financial Markets. (2024). Mishra, Tapas ; DIEBOLT, Claude ; Chandrasena, Supun ; Sing, Shikta ; Enilov, Martin ; Alhussain, Abdullah ; Shi, Yue. In: Working Papers. RePEc:afc:wpaper:06-24.

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2025Forecasting the Volatility of Energy Transition Metals. (2025). Shamsudin, Luqman ; Li, Xiao ; Bastianin, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:349169.

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2024.

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2024.

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2025Distributional Dynamics. (2025). Kuhn, Moritz ; Calderon, Luis ; Bayer, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:351.

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2024Testing 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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2024The international effects of central bank information shocks. (2019). Stelzer, Anna ; Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:1912.03158.

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2024To Bag is to Prune. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.07063.

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2024Volatility Depend on Market Trades and Macro Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2008.07907.

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2024Time-Varying Parameters as Ridge Regressions. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2009.00401.

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2025A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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2024To VaR, or Not to VaR, That is the Question. (2021). Olkhov, Victor. In: Papers. RePEc:arx:papers:2101.08559.

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2024Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference. (2021). Perron, Pierre ; Deng, Taosong ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.01604.

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2024Minimax MSE Bounds and Nonlinear VAR Prewhitening for Long-Run Variance Estimation Under Nonstationarity. (2021). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02235.

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2024Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models. (2021). Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02981.

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2024Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

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2025Learning Financial Network with Focally Sparse Structure. (2021). Chernozhukov, Victor ; Wang, Weining ; Huang, Chen. In: Papers. RePEc:arx:papers:2105.07424.

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2024Three Remarks On Asset Pricing. (2021). Olkhov, Victor. In: Papers. RePEc:arx:papers:2105.13903.

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2024Dynamic 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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2024Dynamic 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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2024Introduction of the Market-Based Price Autocorrelation. (2022). Olkhov, Victor. In: Papers. RePEc:arx:papers:2202.09323.

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2024Price and Payoff Autocorrelations in the Consumption-Based Asset Pricing Model. (2022). Olkhov, Victor. In: Papers. RePEc:arx:papers:2204.07506.

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2024Ensemble 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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2025Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2025Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949.

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2024Application 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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2024Global combinations of expert forecasts. (2022). Vasnev, Andrey L ; Thompson, Ryan ; Qian, Yilin. In: Papers. RePEc:arx:papers:2207.07318.

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2024Factor Network Autoregressions. (2022). Cavaliere, Giuseppe ; Moramarco, Graziano ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2208.02925.

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2024Option 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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2024DeepVol: Volatility Forecasting from High-Frequency Data with Dilated Causal Convolutions. (2022). Zohren, Stefan ; Moreno-Pino, Fernando. In: Papers. RePEc:arx:papers:2210.04797.

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2024Prediction intervals for economic fixed-event forecasts. (2022). Plett, Hendrik ; Kruger, Fabian. In: Papers. RePEc:arx:papers:2210.13562.

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2024Unit Averaging for Heterogeneous Panels. (2022). Morozov, Vladislav ; Brownlees, Christian. In: Papers. RePEc:arx:papers:2210.14205.

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2024Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2022). Ortega, Juan-Pablo ; van Huellen, Sophie ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Dellaportas, Petros ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363.

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2024Enhanced Bayesian Neural Networks for Macroeconomics and Finance. (2022). Marcellino, Massimiliano ; Klieber, Karin ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2211.04752.

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2024Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2022). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610.

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2024Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications. (2022). Rossini, Luca ; Ravazzolo, Francesco ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:2211.16121.

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2024Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2023). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592.

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2024High-Dimensional Causality for Climatic Attribution. (2023). Smeekes, Stephan ; Margaritella, Luca ; Friedrich, Marina. In: Papers. RePEc:arx:papers:2302.03996.

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2024Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2023). Cucuringu, Mihai ; Reinert, Gesine ; Lu, Yutong. In: Papers. RePEc:arx:papers:2302.09382.

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2024Reconciling rough volatility with jumps. (2023). de Carvalho, Nathan ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2303.07222.

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2024Multivariate Probabilistic CRPS Learning with an Application to Day-Ahead Electricity Prices. (2023). Ziel, Florian ; Berrisch, Jonathan. In: Papers. RePEc:arx:papers:2303.10019.

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2025GDP nowcasting with artificial neural networks: How much does long-term memory matter?. (2023). Hadh, D'Aniel. In: Papers. RePEc:arx:papers:2304.05805.

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2024Factor-augmented sparse MIDAS regression for nowcasting. (2023). Striaukas, Jonas ; Beyhum, Jad. In: Papers. RePEc:arx:papers:2306.13362.

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2024Latent Factor Analysis in Short Panels. (2023). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004.

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2024Online Learning of Order Flow and Market Impact with Bayesian Change-Point Detection Methods. (2023). Mazzarisi, Piero ; Lillo, Fabrizio ; Tsaknaki, Ioanna-Yvonni. In: Papers. RePEc:arx:papers:2307.02375.

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2024Propagation of carbon tax in credit portfolio through macroeconomic factors. (2023). Sopgoui, Lionel ; Jacquier, Antoine ; Ibbou, Smail ; Chassagneux, Jean-Franccois ; Bouveret, G'Eraldine. In: Papers. RePEc:arx:papers:2307.12695.

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2024Liquidity fragmentation on decentralized exchanges. (2023). Zoican, Marius ; Parlour, Christine ; Lehar, Alfred. In: Papers. RePEc:arx:papers:2307.13772.

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2024Risk valuation of quanto derivatives on temperature and electricity. (2023). Vadillo, Nerea ; Alfonsi, Aur'Elien. In: Papers. RePEc:arx:papers:2310.07692.

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2024Estimation of Semiparametric Multi-Index Models Using Deep Neural Networks. (2023). GAO, Jiti ; Dong, Chaohua ; Yan, Yayi ; Peng, Bin. In: Papers. RePEc:arx:papers:2311.02789.

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2024Time-Varying Identification of Monetary Policy Shocks. (2023). Wo, Tomasz ; Camehl, Annika. In: Papers. RePEc:arx:papers:2311.05883.

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2024Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.08218.

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2024From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks. (2023). Frenette, Mikael ; Coulombe, Philippe Goulet ; Klieber, Karin. In: Papers. RePEc:arx:papers:2311.16333.

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2024Rough volatility: evidence from range volatility estimators. (2023). Mouti, Saad. In: Papers. RePEc:arx:papers:2312.01426.

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2024Structural Analysis of Vector Autoregressive Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402.

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2024Extending the Scope of Inference About Predictive Ability to Machine Learning Methods. (2024). Parra, Ricardo ; Escanciano, Juan Carlos. In: Papers. RePEc:arx:papers:2402.12838.

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2024On short-time behavior of implied volatility in a market model with indexes. (2024). Nguyen, Thai ; Chau, Huy N. In: Papers. RePEc:arx:papers:2402.16509.

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2024Uncovering the Sino-US dynamic risk spillovers effects: Evidence from agricultural futures markets. (2024). Zhou, Wei-Xing ; Dai, Peng-Fei ; Zhu, Han-Yu. In: Papers. RePEc:arx:papers:2403.01745.

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2024A Markov approach to credit rating migration conditional on economic states. (2024). Packham, Natalie ; Kalkbrener, Michael. In: Papers. RePEc:arx:papers:2403.14868.

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2024Dynamic Analyses of Contagion Risk and Module Evolution on the SSE A-Shares Market Based on Minimum Information Entropy. (2024). Huang, Difang ; Wu, Boyao ; Wang, Yuhang ; Chen, Muzi. In: Papers. RePEc:arx:papers:2403.19439.

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2024Supervised Autoencoder MLP for Financial Time Series Forecasting. (2024). Ślepaczuk, Robert ; Bieganowski, Bartosz. In: Papers. RePEc:arx:papers:2404.01866.

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2024Judgment in macroeconomic output growth predictions: Efficiency, accuracy and persistence. (2024). Pedersen, Michael. In: Papers. RePEc:arx:papers:2404.04105.

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2024Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2404.04335.

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2024A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Papers. RePEc:arx:papers:2404.04962.

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2024Maximally Forward-Looking Core Inflation. (2024). Goebel, Maximilian ; Barrette, Christophe ; Klieber, Karin ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2404.05209.

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2024RiskLabs: Predicting Financial Risk Using Large Language Model Based on Multi-Sources Data. (2024). Kumar, Prashant ; Ausiello, Lorenzo ; Dimino, Fabrizio ; Pei, Qingyun ; Chen, Zhi ; Cao, Yupeng ; Ndiaye, Papa Momar ; Subbalakshmi, K P. In: Papers. RePEc:arx:papers:2404.07452.

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2024On the Asymmetric Volatility Connectedness. (2024). Hatemi-J, Abdulnasser. In: Papers. RePEc:arx:papers:2404.12997.

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2024Calibration of the rating transition model for high and low default portfolios. (2024). Spreij, Peter ; Khedher, Asma. In: Papers. RePEc:arx:papers:2405.00576.

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2024Testing for an Explosive Bubble using High-Frequency Volatility. (2024). Yu, Jun ; Zu, Yang ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2405.02087.

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2024Monetary Policies on Green Financial Markets: Evidence from a Multi-Moment Connectedness Network. (2024). Ye, Shiqi ; Zhang, Hongyin ; Zheng, Tingguo. In: Papers. RePEc:arx:papers:2405.02575.

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2024Distributional Reference Class Forecasting of Corporate Sales Growth With Multiple Reference Variables. (2024). Theising, Etienne. In: Papers. RePEc:arx:papers:2405.03402.

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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  ↓
2007Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper942
2005Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility.(2005) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 942		paper
2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility.(2007) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 942		article
2007Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers.
[Full Text][Citation analysis]		paper577
2007Real-time price discovery in global stock, bond and foreign exchange markets.(2007) In: Journal of International Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 577		article
2006Real-time price discovery in global stock, bond and foreign exchange markets.(2006) In: International Finance Discussion Papers.
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This paper has nother version. Agregated cites: 577		paper
2011Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers.
[Full Text][Citation analysis]		paper48
2013Financial Risk Measurement for Financial Risk Management.(2013) In: Handbook of the Economics of Finance.
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This paper has nother version. Agregated cites: 48		chapter
2012Financial Risk Measurement for Financial Risk Management.(2012) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 48		paper
2011Financial Risk Measurement for Financial Risk Management.(2011) In: PIER Working Paper Archive.
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This paper has nother version. Agregated cites: 48		paper
2010Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions In: American Economic Review.
[Full Text][Citation analysis]		article72
2010Real-time macroeconomic monitoring: real activity, inflation, and interactions.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 72		paper
2010Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 72		paper
2010Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions.(2010) In: PIER Working Paper Archive.
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This paper has nother version. Agregated cites: 72		paper
1992Have Postwar Economic Fluctuations Been Stabilized? In: American Economic Review.
[Full Text][Citation analysis]		article74
1991Have postwar economic fluctuations been stabilized?.(1991) In: Working Paper Series / Economic Activity Section.
[Citation analysis]
This paper has nother version. Agregated cites: 74		paper
1990Have postwar economic fluctuations been stabilized?.(1990) In: Discussion Paper / Institute for Empirical Macroeconomics.
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This paper has nother version. Agregated cites: 74		paper
1996The Uncertain Unit Root in Real GNP: Comment. In: American Economic Review.
[Full Text][Citation analysis]		article88
2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange In: American Economic Review.
[Full Text][Citation analysis]		article872
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 872		paper
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 872		paper
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 872		paper
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?.(2002) In: Center for Financial Institutions Working Papers.
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This paper has nother version. Agregated cites: 872		paper
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk In: American Economic Review.
[Full Text][Citation analysis]		article92
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 92		paper
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: PIER Working Paper Archive.
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This paper has nother version. Agregated cites: 92		paper
2005A framework for exploring the macroeconomic determinants of systematic risk.(2005) In: CFS Working Paper Series.
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This paper has nother version. Agregated cites: 92		paper
2005Modeling Bond Yields in Finance and Macroeconomics In: American Economic Review.
[Full Text][Citation analysis]		article147
2005Modeling bond yields in finance and macroeconomics.(2005) In: Working Paper Series.
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1998Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters.(1998) In: Working Papers.
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2000The Distribution of Stock Return Volatility In: NBER Working Papers.
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2000The Distribution of Stock Return Volatility.(2000) In: Center for Financial Institutions Working Papers.
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2001High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models In: NBER Working Papers.
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2003A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations In: NBER Working Papers.
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2003A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations.(2003) In: PIER Working Paper Archive.
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2006A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations.(2006) In: The Journal of Business.
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2004A no-arbitrage approach to range-based estimation of return covariances and correlations.(2004) In: CFS Working Paper Series.
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2016Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 In: 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: 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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2008Real-Time Measurement of Business Conditions, Second Version In: PIER Working Paper Archive.
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2008On the Correlation Structure of Microstructure Noise in Theory and Practice In: PIER Working Paper Archive.
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2008On the correlation structure of microstructure noise in theory and practice.(2008) In: CFS Working Paper Series.
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2012On the Origin(s) and Development of the Term €œBig Data In: PIER Working Paper Archive.
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2012A Personal Perspective on the Origin(s) and Development of €œBig Data: The Phenomenon, the Term, and the Discipline, Second Version In: PIER Working Paper Archive.
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2013Measuring the Dynamics of Global Business Cycle Connectedness In: PIER Working Paper Archive.
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2017Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts In: PIER Working Paper Archive.
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2012Facts, Factors, and Questions In: Introductory Chapters.
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2012Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach In: Economics Books.
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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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