Francis Diebold : Citation Profile

University of Pennsylvania

69

H index

118

i10 index

35050

Citations

RESEARCH PRODUCTION:

117

Articles

288

Papers

4

Books

14

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   40 years (1986 - 2026). See details.
   Cites by year: 876
   Journals where Francis Diebold has often published
   Relations with other researchers
   Recent citing documents: 1691.    Total self citations: 217 (0.62 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pdi1
   Updated: 2026-05-02    RAS profile: 2025-08-07    
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Relations with other researchers

Works with:

Rudebusch, Glenn (16)

ZHANG, BOYUAN (12)

Goulet Coulombe, Philippe (12)

Kapetanios, George (7)

Yilmaz, Kamil (6)

Shin, Minchul (5)

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 (547)

Gil-Alana, Luis (379)

Bollerslev, Tim (211)

Swanson, Norman (201)

Gabauer, David (192)

Degiannakis, Stavros (173)

Baruník, Jozef (170)

Caporale, Guglielmo Maria (168)

van Dijk, Dick (153)

Kočenda, Evžen (147)

Ji, Qiang (147)

Cites to:

Bollerslev, Tim (168)

Andersen, Torben (112)

Engle, Robert (87)

Rudebusch, Glenn (65)

Shephard, Neil (57)

Watson, Mark (40)

Yilmaz, Kamil (39)

Aruoba, S. Boragan (39)

Campbell, John (33)

Pesaran, Mohammad (33)

Stock, James (27)

Main data

Where Francis Diebold has published?

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

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc55
Working Papers / Federal Reserve Bank of Philadelphia22
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.org17
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
Working Papers / University of Pennsylvania, Wharton School, Weiss Center2
Research Paper / Federal Reserve Bank of New York2
IMF Working Papers / International Monetary Fund2
Finance Working Papers / East Asian Bureau of Economic Research2
Working Paper Series / Economic Activity Section / Board of Governors of the Federal Reserve System (U.S.)2
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing Francis Diebold (2026 and 2025)

YearTitle of citing document
2025Exploring Tail Risk Transmission between Volatility Indices and Cryptocurrencies: Evidence from Quantile Connectedness. (2025). Imane, Ennadifi ; Ghizlane, Kadil. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:29:y:2025:i:3:p:119-157.

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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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2025Multivariate Granger causality between financial markets: Evidence from US, Europe, Asia and Emerging market. (2025). Enow, Samuel Tabot. In: International Journal of Business Ecosystem & Strategy (2687-2293). RePEc:adi:ijbess:v:7:y:2025:i:2:p:270-275.

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2025Price Connectedness in U.S. Biodiesel and Petroleum Diesel Markets. (2025). Irwin, Scott H ; Gerveni, Maria ; Serra, Teresa. In: 2025 AAEA & WAEA Joint Annual Meeting, July 27-29, 2025, Denver, CO. RePEc:ags:aaea25:360642.

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2025Quantile Connectedness and Tail Risks: Interactions between Energy and Agricultural Markets. (2025). Albores, Isaac. In: 2025 AAEA & WAEA Joint Annual Meeting, July 27-29, 2025, Denver, CO. RePEc:ags:aaea25:360695.

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

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2025“It’s not the heat, it’s the humidity!” New Climate Indices for Europe with a Multilevel Factor Model. (2025). Manera, Matteo ; Pedini, Luca ; Valenti, Daniele ; Casoli, Chiara. In: FEEM Working Papers. RePEc:ags:feemwp:376264.

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2026A rotated Dynamic Factor Model for the yield curve: squeezing out information when it matters. (2026). Lucchetti, Riccardo (Jack) ; Casoli, Chiara. In: FEEM Working Papers. RePEc:ags:feemwp:388985.

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2026Extreme Connectedness among Energy Transition Metals and Commodity Markets. (2026). Kočenda, Evžen ; Li, Xiao ; Casoli, Chiara ; Bastianin, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:396404.

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2026Price Discovery in the United States Ethanol Markets: A Dynamic Time Warping Approach. (2026). Miljkovic, Dragan ; Vatsa, Puneet. In: Journal of Agricultural and Resource Economics. RePEc:ags:jlaare:376276.

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2077Price dynamics and financialization effects in corn futures markets with heterogeneous traders. (2014). Heckelei, Thomas ; Grosche, Stephanie . In: Discussion Papers. RePEc:ags:ubfred:172077.

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2026From biased point forecasts of electricity demand to accurate predictive distributions: Using LASSO and GAMLSS. (2026). Weron, Rafał ; Uniejewski, Bartosz ; Chec, Katarzyna. In: WORking papers in Management Science (WORMS). RePEc:ahh:wpaper:worms2601.

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2025Inflation Spillovers and Geopolitical Risks: Evidence from Euro Area Countries Using TVP-VAR and Quantile Models. (2025). Marangoz, Cumali. In: Journal of Research in Economics, Politics & Finance. RePEc:ahs:journl:v:10:y:2025:i:1:p:140-159.

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2025Modeling prices from speculative markets: bursting bubbles or deflating balloons?. (2025). Wang, Linqi ; Harvey, Andrew ; Hafner, Christian. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2025008.

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

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2025Applying Forecasting Methods to Accrual-Based and Cash-Based Ratio Analysis. (2025). Litvinenko, Alexey ; Saarinen, Samuli. In: Journal of Accounting and Management Information Systems. RePEc:ami:journl:v:24:y:2024:i:2:p:328-360.

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2025Applying Forecasting Methods to Accrual-Based and Cash-Based Ratio Analysis. (2025). Saarinen, Samuli ; Litvinenko, Anna. In: Accounting and Management Information Systems. RePEc:ami:journl:v:24:y:2025:i:2:p:328-360.

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2025Investigating commodity price interdependence with grancer causality networks. (2025). Esposti, Roberto. In: Working Papers. RePEc:anc:wpaper:498.

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2026A rotated Dynamic Factor Model for the yield curve: squeezing out information when it matters. (2026). Lucchetti, Riccardo (Jack) ; Casoli, Chiara. In: Working Papers. RePEc:anc:wpaper:503.

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2025DYNAMIC CONNECTEDNESS OF EASTERN EUROPEAN STOCK MARKETS: AN EXTENDED JOINT CONNECTEDNESS APPROACH. (2025). Hristovski, Goran ; Gockov, Gjorgji. In: Proceedings of the 5th International Conference Economic and Business Trends Shaping the Future 2024. RePEc:aoh:conpro:2025:i:6:p:46-60.

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2025Título del Documento en Inglés. (2025). Segura-Rodriguez, Carlos. In: Documentos de Trabajo. RePEc:apk:doctra:2509.

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2025Ecosystem Services Accounting in Costa Rica: Regulation, Provision, and Cultural Services. (2025). Vega-Araya, Mauricio ; Aguilar-Madrigal, Jhonny ; Rivera, Luis. In: Notas Técnicas. RePEc:apk:nottec:2501.

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2025Joint News, Attention Spillover,and Market Returns. (2022). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715.

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2026Deep Learning, Predictability, and Optimal Portfolio Returns. (2021). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394.

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2026A GMM approach to estimate the roughness of stochastic volatility. (2022). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Papers. RePEc:arx:papers:2010.04610.

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2025Deep Learning for Individual Heterogeneity. (2025). Misra, Sanjog ; Farrell, Max ; Liang, Tengyuan. In: Papers. RePEc:arx:papers:2010.14694.

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2025A Multivariate Realized GARCH Model. (2025). Hansen, Peter ; 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. (2024). Olkhov, Victor. In: Papers. RePEc:arx:papers:2101.08559.

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2026Currency Network Risk. (2021). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2101.09738.

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2026High-dimensional estimation of quadratic variation based on penalized realized variance. (2021). Nielsen, Mikkel Slot ; Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2103.03237.

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2025Uniform Inference on High-dimensional Spatial Panel Networks. (2025). Chernozhukov, Victor ; Wang, Weining ; Huang, Chen. In: Papers. RePEc:arx:papers:2105.07424.

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2025Pricing and hedging of SOFR derivatives. (2025). Bickersteth, Matthew ; Rutkowski, Marek. In: Papers. RePEc:arx:papers:2112.14033.

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2025Approximate Factor Models for Functional Time Series. (2025). Otto, Sven ; Salish, Nazarii. In: Papers. RePEc:arx:papers:2201.02532.

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2025Tail-GAN: Learning to Simulate Tail Risk Scenarios. (2023). Xu, Renyuan ; Cont, Rama ; Cucuringu, Mihai ; Zhang, Chao. In: Papers. RePEc:arx:papers:2203.01664.

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2025Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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

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2025Factor Network Autoregressions. (2025). Moramarco, Graziano ; Cavaliere, Giuseppe ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2208.02925.

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2026Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2025). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610.

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2025Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2023). Polivka, Jeannine ; Dimitriadis, Timo ; Streicher, Sina ; Halbleib, Roxana. In: Papers. RePEc:arx:papers:2212.11833.

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

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

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2025Nowcasting with signature methods. (2023). de Paula, Aureo ; Cohen, Samuel N ; Yang, Lingyi ; Nesheim, Lars ; Mantoan, Giulia ; Small, Emma ; Scott, Craig ; Reeves, Andrew ; Malpass, Will ; Lui, Silvia. In: Papers. RePEc:arx:papers:2305.10256.

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2025Factor-augmented sparse MIDAS regressions with an application to nowcasting. (2024). Striaukas, Jonas ; Beyhum, Jad. In: Papers. RePEc:arx:papers:2306.13362.

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2025Latent Factor Analysis in Short Panels. (2024). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004.

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2024Expected Shortfall LASSO. (2024). Barendse, Sander. In: Papers. RePEc:arx:papers:2307.01033.

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2025Learning Probability Distributions of Day-Ahead Electricity Prices. (2023). Baruník, Jozef ; Hanus, Lubos ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2310.02867.

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2025SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: Papers. RePEc:arx:papers:2401.06249.

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2025A Quantile Nelson-Siegel model. (2024). Rossini, Luca ; Poon, Aubrey ; Iacopini, Matteo ; Zhu, Dan. In: Papers. RePEc:arx:papers:2401.09874.

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2026Realized Stochastic Volatility Model with Skew-t Distributions for Improved Volatility and Quantile Forecasting. (2024). Takahashi, Makoto ; Yamauchi, Yuta ; Omori, Yasuhiro ; Watanabe, Toshiaki. In: Papers. RePEc:arx:papers:2401.13179.

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2025Decomposing Global Bank Network Connectedness: What is Common, Idiosyncratic and When?. (2025). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2402.02482.

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2025Extending the Scope of Inference About Predictive Ability to Machine Learning Methods. (2024). Escanciano, Juan Carlos ; Parra, Ricardo. In: Papers. RePEc:arx:papers:2402.12838.

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2025On short-time behavior of implied volatility in a market model with indexes. (2025). Nguyen, Thai ; Chau, Huy N. In: Papers. RePEc:arx:papers:2402.16509.

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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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2025RiskLabs: Predicting Financial Risk Using Large Language Model Based on Multi-Sources Data. (2024). Chen, Zhi ; Cao, Yupeng ; Pei, Qingyun ; Kumar, Prashant ; Ndiaye, Papa Momar ; Ausiello, Lorenzo ; Subbalakshmi, K P ; Dimino, Fabrizio. In: Papers. RePEc:arx:papers:2404.07452.

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2026Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235.

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2025Interconnected Markets: Exploring the Dynamic Relationship Between BRICS Stock Markets and Cryptocurrency. (2025). Wang, Wei. In: Papers. RePEc:arx:papers:2406.07641.

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2024Temperature in the Iberian Peninsula: Trend, seasonality, and heterogeneity. (2024). Ruiz, Esther ; Rodriguez Caballero, Carlos. In: Papers. RePEc:arx:papers:2406.14145.

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2025Macroeconomic Forecasting with Large Language Models. (2025). Shekhar, Shubhranshu ; Carriero, Andrea ; Pettenuzzo, Davide. In: Papers. RePEc:arx:papers:2407.00890.

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2024Dealing with idiosyncratic cross-correlation when constructing confidence regions for PC factors. (2024). Ruiz, Esther ; Poncela, Pilar ; Fresoli, Diego. In: Papers. RePEc:arx:papers:2407.06883.

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2025Online Distributional Regression. (2024). Hirsch, Simon ; Berrisch, Jonathan ; Ziel, Florian. In: Papers. RePEc:arx:papers:2407.08750.

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2024Nowcasting R&D Expenditures: A Machine Learning Approach. (2024). de Rassenfosse, Ga'Etan ; Aboutorabi, Atin. In: Papers. RePEc:arx:papers:2407.11765.

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2025Global Balance and Systemic Risk in Financial Correlation Networks. (2024). Grassi, Rosanna ; Uberti, Pierpaolo ; Bartesaghi, Paolo ; Diaz-Diaz, Fernando. In: Papers. RePEc:arx:papers:2407.14272.

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2025Large-scale Time-Varying Portfolio Optimisation using Graph Attention Networks. (2025). Korangi, Kamesh ; Bravo, Cristi'An ; Mues, Christophe. In: Papers. RePEc:arx:papers:2407.15532.

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2025EUR-USD Exchange Rate Forecasting Based on Information Fusion with Large Language Models and Deep Learning Methods. (2024). Jiang, Zixiao ; Zhao, Xuanze ; Abdullah, Shamsul Nahar ; Ding, Hongcheng ; Dewi, Deshinta Arrova. In: Papers. RePEc:arx:papers:2408.13214.

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2026Quantifying Seasonal Weather Risk in Indian Markets: Stochastic Model for Risk-Averse State-Specific Temperature Derivative Pricing. (2024). Hooda, Soumil ; Sharma, Shubham ; Bansal, Kunal. In: Papers. RePEc:arx:papers:2409.04541.

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2025Global Stock Market Volatility Forecasting Incorporating Dynamic Graphs and All Trading Days. (2024). Wang, Chao ; Gao, Junbin ; Chi, Zhengyang. In: Papers. RePEc:arx:papers:2409.15320.

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2025Quantile connectedness across BRICS and international grain futures markets: Insights from the Russia-Ukraine conflict. (2024). Zhou, Wei-Xing ; Shao, Ying-Hui ; Yang, Yan-Hong. In: Papers. RePEc:arx:papers:2409.19307.

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2025New Tests of Equal Forecast Accuracy for Factor-Augmented Regressions with Weaker Loadings. (2024). Margaritella, Luca ; Stauskas, Ovidijus. In: Papers. RePEc:arx:papers:2409.20415.

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2026Inference in High-Dimensional Linear Projections: Multi-Horizon Granger Causality and Network Connectedness. (2024). Wang, Endong ; Dettaa, Eugene. In: Papers. RePEc:arx:papers:2410.04330.

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2025Time-Series Foundation Model for Value-at-Risk Forecasting. (2025). Kanniainen, Juho ; Pasricha, Puneet ; Goel, Anubha. In: Papers. RePEc:arx:papers:2410.11773.

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2024Dynamic graph neural networks for enhanced volatility prediction in financial markets. (2024). Alochukwu, Alex ; Umeorah, Nneka ; Kumar, Pulikandala Nithish. In: Papers. RePEc:arx:papers:2410.16858.

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2025Graph Signal Processing for Global Stock Market Realized Volatility Forecasting. (2025). Wang, Chao ; Gao, Junbin ; Chi, Zhengyang. In: Papers. RePEc:arx:papers:2410.22706.

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2025Pricing Weather Derivatives: A Time Series Neural Network Approach. (2024). Olivares, Pablo ; Hening-Tallarico, Marco. In: Papers. RePEc:arx:papers:2411.12013.

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2025The Value of Information from Sell-side Analysts. (2024). Lv, Linying. In: Papers. RePEc:arx:papers:2411.13813.

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2024What events matter for exchange rate volatility ?. (2024). FREITAS LOPES, HEDIBERT ; Ferreira Batista Martins, Igor. In: Papers. RePEc:arx:papers:2411.16244.

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2024Unveiling True Talent: The Soccer Factor Model for Skill Evaluation. (2024). Andorra, Alexandre ; Gobel, Maximilian. In: Papers. RePEc:arx:papers:2412.05911.

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2026Multivariate Rough Volatility. (2024). Pigato, Paolo ; Giorgio, Giacomo ; Dugo, Ranieri. In: Papers. RePEc:arx:papers:2412.14353.

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2025Risk forecasting using Long Short-Term Memory Mixture Density Networks. (2025). Herrig, Nico. In: Papers. RePEc:arx:papers:2501.01278.

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2025Multiscale risk spillovers and external driving factors: Evidence from the global futures and spot markets of staple foods. (2025). Zhou, Wei-Xing ; Nguyen, Duc Khuong ; Goutte, St'Ephane ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2501.15173.

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2025Forecasting the Volatility of Energy Transition Metals. (2025). Bastianin, Andrea ; Li, Xiao ; Shamsudin, Luqman. In: Papers. RePEc:arx:papers:2501.16069.

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2025Pricing Carbon Allowance Options on Futures: Insights from High-Frequency Data. (2025). Bormetti, Giacomo ; Serafini, Simone. In: Papers. RePEc:arx:papers:2501.17490.

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2025Improving volatility forecasts of the Nikkei 225 stock index using a realized EGARCH model with realized and realized range-based volatilities. (2025). Chang, Yaming. In: Papers. RePEc:arx:papers:2502.02695.

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2025Empirical likelihood approach for high-dimensional moment restrictions with dependent data. (2025). Hu, Qiao ; Chang, Jinyuan ; Shi, Zhentao ; Zhang, Jia. In: Papers. RePEc:arx:papers:2502.18970.

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2025Forecasting realized volatility in the stock market: a path-dependent perspective. (2025). Liu, Xiangdong ; Hong, Shaopeng ; Fu, Sicheng. In: Papers. RePEc:arx:papers:2503.00851.

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2025The Role of Deep Learning in Financial Asset Management: A Systematic Review. (2025). Reis, Pedro ; Serra, Ana Paula ; Gama, Joao. In: Papers. RePEc:arx:papers:2503.01591.

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2025On the Realized Joint Laplace Transform of Volatilities with Application to Test the Volatility Dependence. (2025). Jiang, YU ; Feng, Xinwei ; Liu, Zhi ; Meng, Zhe. In: Papers. RePEc:arx:papers:2503.02283.

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2025Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market. (2025). Chke, Katarzyna ; Uniejewski, Bartosz ; Weron, Rafal. In: Papers. RePEc:arx:papers:2503.02518.

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2026Modeling portfolio loss distribution under infectious defaults and immunization. (2025). Farina, Gianluca ; Torri, Gabriele ; Giacometti, Rosella. In: Papers. RePEc:arx:papers:2503.03306.

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2025Spillover effects between climate policy uncertainty, energy markets, and food markets: A time-frequency analysis. (2025). Zhou, Wei-Xing ; Zhang, Ting ; Li, Peng-Fei. In: Papers. RePEc:arx:papers:2503.06599.

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2025The impact of external uncertainties on the extreme return connectedness between food, fossil energy, and clean energy markets. (2025). Zhou, Wei-Xing ; Zhang, Ting ; Xu, Hai-Chuan. In: Papers. RePEc:arx:papers:2503.06603.

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2025Assessing Uncertainty in Stock Returns: A Gaussian Mixture Distribution-Based Method. (2025). Wang, Yanlong ; Xu, Jian ; Huang, Shao-Lun ; Sun, Danny Dongning ; Zhang, Xiao-Ping. In: Papers. RePEc:arx:papers:2503.06929.

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2025Functional Linear Projection and Impulse Response Analysis. (2025). Seong, Dakyung. In: Papers. RePEc:arx:papers:2503.08364.

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2025Forecasting U.S. equity market volatility with attention and sentiment to the economy. (2025). Ly, Vstefan ; Halouskov, Martina. In: Papers. RePEc:arx:papers:2503.19767.

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2025An Artificial Trend Index for Private Consumption Using Google Trends. (2025). Alpiste, Heidi ; Tenorio, Juan ; Rem, Jakelin ; Segil, Arian. In: Papers. RePEc:arx:papers:2503.21981.

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2025Estimation of Latent Group Structures in Time-Varying Panel Data Models. (2025). Smeekes, Stephan ; Haimerl, Paul ; Wilms, Ines. In: Papers. RePEc:arx:papers:2503.23165.

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2025Online Multivariate Regularized Distributional Regression for High-dimensional Probabilistic Electricity Price Forecasting. (2025). Hirsch, Simon. In: Papers. RePEc:arx:papers:2504.02518.

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2025Non-linear Phillips Curve for India: Evidence from Explainable Machine Learning. (2025). Pawar, Amit ; Pratap, Bhanu ; Sengupta, Shovon. In: Papers. RePEc:arx:papers:2504.05350.

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2025Robust Tests for Factor-Augmented Regressions with an Application to the novel EA-MD Dataset. (2025). Stauskas, Ovidijus ; Morico, Alessandro. In: Papers. RePEc:arx:papers:2504.08455.

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2025Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Yu, Jun ; Zhang, Chen ; Bibinger, Markus. In: Papers. RePEc:arx:papers:2504.15985.

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2025Multi-Horizon Echo State Network Prediction of Intraday Stock Returns. (2025). Dellaportas, Petros ; Capra, Jacopo ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2504.19623.

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2025Asset Pricing in Pre-trained Transformer. (2025). Lai, Shanyan. In: Papers. RePEc:arx:papers:2505.01575.

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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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This paper has nother version. Agregated cites: 1014		article
2007Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers.
[Full Text][Citation analysis]		paper603
2007Real-time price discovery in global stock, bond and foreign exchange markets.(2007) In: Journal of International Economics.
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2006Real-time price discovery in global stock, bond and foreign exchange markets.(2006) In: International Finance Discussion Papers.
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This paper has nother version. Agregated cites: 603		paper
2011Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers.
[Full Text][Citation analysis]		paper57
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.
[Full Text][Citation analysis]		article72
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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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]
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1990Have postwar economic fluctuations been stabilized?.(1990) In: Discussion Paper / Institute for Empirical Macroeconomics.
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1996The Uncertain Unit Root in Real GNP: Comment. In: American Economic Review.
[Full Text][Citation analysis]		article90
2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange In: American Economic Review.
[Full Text][Citation analysis]		article900
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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This paper has nother version. Agregated cites: 900		paper
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk In: American Economic Review.
[Full Text][Citation analysis]		article95
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: NBER Working Papers.
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2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: PIER Working Paper Archive.
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2005A framework for exploring the macroeconomic determinants of systematic risk.(2005) In: CFS Working Paper Series.
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2005Modeling Bond Yields in Finance and Macroeconomics In: American Economic Review.
[Full Text][Citation analysis]		article150
2005Modeling Bond Yields in Finance and Macroeconomics.(2005) In: Working Paper Series.
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2005Modeling Bond Yields in Finance and Macroeconomics.(2005) In: NBER Working Papers.
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2005Modeling Bond Yields in Finance and Macroeconomics.(2005) In: PIER Working Paper Archive.
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2005Modeling bond yields in finance and macroeconomics.(2005) In: CFS Working Paper Series.
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1998The Past, Present, and Future of Macroeconomic Forecasting In: Journal of Economic Perspectives.
[Full Text][Citation analysis]		article115
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.
[Full Text][Citation analysis]		paper16
2006Time Series Analysis.(2006) In: PIER Working Paper Archive.
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2021On the Evolution of U.S. Temperature Dynamics In: Papers.
[Full Text][Citation analysis]		paper3
2022On the Evolution of US Temperature Dynamics.(2022) In: Advances in Econometrics.
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This paper has nother version. Agregated cites: 3		chapter
2019On the Evolution of U.S. Temperature Dynamics.(2019) In: PIER Working Paper Archive.
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This paper has nother version. Agregated cites: 3		paper
2021Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections In: Papers.
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2022Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections.(2022) In: Journal of Econometrics.
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2020Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections.(2020) In: Working Paper Series.
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2020Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections.(2020) In: NBER Working Papers.
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2019Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections.(2019) In: PIER Working Paper Archive.
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2020Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach In: Papers.
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2021Optimal combination of Arctic sea ice extent measures: A dynamic factor modeling approach.(2021) In: International Journal of Forecasting.
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2020Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach.(2020) In: PIER Working Paper Archive.
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2022Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 In: Papers.
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2022Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020.(2022) In: Advances in Econometrics.
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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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This paper has nother version. Agregated cites: 6		paper
2021Big Data and its Origins In: Papers.
[Full Text][Citation analysis]		paper0
2022On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates In: Papers.
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2023On the aggregation of probability assessments: Regularized mixtures of predictive densities for Eurozone inflation and real interest rates.(2023) In: Journal of Econometrics.
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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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This paper has nother version. Agregated cites: 18		paper
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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This paper has nother version. Agregated cites: 18		paper
2021On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone In?ation and Real Interest Rates.(2021) In: PIER Working Paper Archive.
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2022A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting In: Papers.
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2022A benchmark model for fixed-target Arctic sea ice forecasting.(2022) In: Economics Letters.
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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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2023When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume.(2023) In: Journal of Econometrics.
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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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2024On Robust Inference in Time Series Regression In: Papers.
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2024On Robust Inference in Time Series Regression.(2024) In: NBER Working Papers.
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2025On robust inference in time-series regression.(2025) In: The Econometrics Journal.
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2022On Robust Inference in Time Series Regression.(2022) In: PIER Working Paper Archive.
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2023Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice: Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models In: Papers.
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2022Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice: Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models.(2022) In: Working Papers.
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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.(2023) In: Energy Economics.
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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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This paper has nother version. Agregated cites: 2		paper
2022On the Financing of Climate Change Adaptation in Developing Countries In: Papers.
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2022A New Test for Market Efficiency and Uncovered Interest Parity In: Papers.
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2023A new test for market efficiency and uncovered interest parity.(2023) In: Journal of International Money and Finance.
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2022A New Test for Market Efficiency and Uncovered Interest Parity.(2022) In: NBER Working Papers.
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2022A New Test forMarket Efficiency and Uncovered Interest Parity.(2022) In: PIER Working Paper Archive.
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2023On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness In: Papers.
[Full Text][Citation analysis]		paper40
2022On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness.(2022) In: Koç University-TUSIAD Economic Research Forum Working Papers.
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2023Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions In: Papers.
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2023Climate models underestimate the sensitivity of Arctic sea ice to carbon emissions.(2023) In: Energy Economics.
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This paper has nother version. Agregated cites: 4		article
2023Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions.(2023) In: PIER Working Paper Archive.
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This paper has nother version. Agregated cites: 4		paper
2025Machine Learning and the Yield Curve: Tree-Based Macroeconomic Regime Switching In: Papers.
[Full Text][Citation analysis]		paper0
2024Machine Learning and the Yield Curve:Tree-Based Macroeconomic Regime Switching.(2024) In: PIER Working Paper Archive.
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2025Clustered Network Connectedness: A New Measurement Framework with Application to Global Equity Markets In: Papers.
[Full Text][Citation analysis]		paper1
2026Clustered Network Connectedness: A New Measurement Framework, with Application to Global Equity Markets.(2026) In: NBER Working Papers.
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2025Clustered Network Connectedness:A New Measurement Frameworkwith Application to Global Equity Markets.(2025) In: PIER Working Paper Archive.
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This paper has nother version. Agregated cites: 1		paper
2026On the Wisdom of Crowds (of Economists) In: Papers.
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2026On the Wisdom of Crowds (of Economists).(2026) In: Working Papers.
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2025On the Wisdom of Crowds (of Economists).(2025) In: PIER Working Paper Archive.
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2005Weather Forecasting for Weather Derivatives In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article156
2003Weather Forecasting for Weather Derivatives.(2003) In: NBER Working Papers.
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2002Weather Forecasting for Weather Derivatives.(2002) In: Center for Financial Institutions Working Papers.
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2004Weather forecasting for weather derivatives.(2004) In: CFS Working Paper Series.
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2001The Distribution of Realized Exchange Rate Volatility In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article1172
1995Comparing Predictive Accuracy. In: Journal of Business & Economic Statistics.
[Citation analysis]		article6010
2002Comparing Predictive Accuracy..(2002) In: Journal of Business & Economic Statistics.
[Citation analysis]
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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.
[Citation analysis]		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.
[Citation analysis]		article112
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.
[Full Text][Citation analysis]		article0
2009Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article94
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.
[Full Text][Citation analysis]		article510
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.
[Citation analysis]
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1988Serial Correlation and the Combination of Forecasts. In: Journal of Business & Economic Statistics.
[Citation analysis]		article38
1988An Application of Operational-Subjective Statistical Methods to Rational Expectations: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]		article0
1988An application of operational-subjective statistical methods to rational expectations: comment.(1988) In: Finance and Economics Discussion Series.
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1990Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics. In: Journal of Business & Economic Statistics.
[Citation analysis]		article33
1994 On Cointegration and Exchange Rate Dynamics. In: Journal of Finance.
[Full Text][Citation analysis]		article140
1993On cointegration and exchange rate dynamics.(1993) In: Working Papers.
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2002Range‐Based Estimation of Stochastic Volatility Models In: Journal of Finance.
[Full Text][Citation analysis]		article501
2018On the Comparison of Interval Forecasts In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article18
2018On the Comparison of Interval Forecasts.(2018) In: PIER Working Paper Archive.
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2004The Nobel Memorial Prize for Robert F. Engle In: Scandinavian Journal of Economics.
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2004The Nobel Memorial Prize for Robert F. Engle.(2004) In: NBER Working Papers.
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2004The Nobel Memorial Prize for Robert F. Engle.(2004) In: PIER Working Paper Archive.
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2004The Nobel Memorial Prize for Robert F. Engle.(2004) In: CFS Working Paper Series.
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2012On the Correlation Structure of Microstructure Noise: A Financial Economic Approach In: Boston College Working Papers in Economics.
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2010On the Correlation Structure of Microstructure Noise: A Financial Economic Approach.(2010) In: NBER Working Papers.
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2013On the Correlation Structure of Microstructure Noise: A Financial Economic Approach.(2013) In: The Review of Economic Studies.
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2009Equity Market Spillovers in the Americas In: Journal Economía Chilena (The Chilean Economy).
[Full Text][Citation analysis]		article36
2011Equity Market Spillovers in the Americas.(2011) In: Central Banking, Analysis, and Economic Policies Book Series.
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2018Commodity Connectedness In: Central Banking, Analysis, and Economic Policies Book Series.
[Full Text][Citation analysis]		chapter69
2017Commodity Connectedness.(2017) In: NBER Working Papers.
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2017Commodity Connectedness.(2017) In: PIER Working Paper Archive.
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2017Commodity connectedness.(2017) In: CFS Working Paper Series.
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2002Financial Asset Returns, Market Timing, and Volatility Dynamics In: CIRANO Working Papers.
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2000Measuring Predictability: Theory And Macroeconomic Applications In: CEPR Discussion Papers.
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1997Measuring predictability: theory and macroeconomic applications.(1997) In: Working Papers.
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2001Measuring predictability: theory and macroeconomic applications.(2001) In: Journal of Applied Econometrics.
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1997Measuring Predictability: Theory and Macroeconomic Applications.(1997) In: NBER Technical Working Papers.
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1998Measuring Predictability: Theory and Macroeconomic Applications.(1998) In: Working Papers.
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1997Measuring Predictability: Theory and Macroeconomic Applications.(1997) In: CARESS Working Papres.
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1997Optimal Prediction Under Asymmetric Loss In: Econometric Theory.
[Full Text][Citation analysis]		article184
1997Optimal prediction under asymmetric loss.(1997) In: Working Papers.
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1994Optimal Prediction Under Asymmetric Loss.(1994) In: NBER Technical Working Papers.
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1997Optimal Prediction Under Asymmetric Loss.(1997) In: CARESS Working Papres.
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Optimal Prediction Under Asymmetric Loss.() In: Home Pages.
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2003THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003 In: Econometric Theory.
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1992Forecasting, Structural Time Series Models and the Kalman Filter, Andrew C. Harvey Cambridge University Press, 1939 - Fore Casting, Structural Time Series Models and The Kalman FilterAdrew C. Harvey Cambridge University Press, 1989 In: Econometric Theory.
[Full Text][Citation analysis]		article0
2002Modeling and Forecasting Realized Volatility In: Working Papers.
[Full Text][Citation analysis]		paper2145
2003Modeling and Forecasting Realized Volatility.(2003) In: Econometrica.
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2001Modeling and Forecasting Realized Volatility.(2001) In: NBER Working Papers.
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2001Modeling and Forecasting Realized Volatility.(2001) In: Center for Financial Institutions Working Papers.
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1998Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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1998Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management.(1998) In: Center for Financial Institutions Working Papers.
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1998Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors Introduction. In: International Economic Review.
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1998Evaluating Density Forecasts with Applications to Financial Risk Management. In: International Economic Review.
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2010Globalization, the Business Cycle, and Macroeconomic Monitoring.(2010) In: NBER Chapters.
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2010Globalization, the Business Cycle, and Macroeconomic Monitoring.(2010) In: NBER Working Papers.
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2011Globalization, the Business Cycle, and Macroeconomic Monitoring.(2011) In: NBER International Seminar on Macroeconomics.
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2006Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics In: Management Science.
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2003Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics.(2003) In: NBER Working Papers.
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2003Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics.(2003) In: PIER Working Paper Archive.
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2003Financial asset returns, direction-of-change forecasting, and volatility dynamics.(2003) In: CFS Working Paper Series.
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2008Macroeconomic Volatility and Stock Market Volatility, Worldwide.(2008) In: NBER Working Papers.
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2008Macroeconomic Volatility and Stock Market Volatility, World-Wide.(2008) In: PIER Working Paper Archive.
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2015Estimating Global Bank Network Connectedness In: Koç University-TUSIAD Economic Research Forum Working Papers.
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2017Estimating Global Bank Network Connectedness.(2017) In: NBER Working Papers.
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2015Estimating Global Bank Network Connectedness.(2015) In: PIER Working Paper Archive.
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2018Estimating global bank network connectedness.(2018) In: Journal of Applied Econometrics.
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2007Practical Volatility and Correlation Modeling for Financial Market Risk Management In: NBER Chapters.
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2005Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: NBER Working Papers.
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2005Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: PIER Working Paper Archive.
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2005Practical volatility and correlation modeling for financial market risk management.(2005) In: CFS Working Paper Series.
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2002Parametric and Nonparametric Volatility Measurement In: NBER Technical Working Papers.
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2002Parametric and Nonparametric Volatility Measurement.(2002) In: Center for Financial Institutions Working Papers.
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2005Volatility Forecasting In: NBER Working Papers.
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2005Volatility Forecasting.(2005) In: PIER Working Paper Archive.
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2005Volatility forecasting.(2005) In: CFS Working Paper Series.
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2005Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets In: NBER Working Papers.
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2004Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets.(2004) In: PIER Working Paper Archive.
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2004Real-time price discovery in stock, bond and foreign exchange markets.(2004) In: CFS Working Paper Series.
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2012Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests In: NBER Working Papers.
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2012Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests.(2012) In: PIER Working Paper Archive.
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2015Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests.(2015) In: Journal of Business & Economic Statistics.
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2016Assessing Point Forecast Accuracy by Stochastic Error Distance In: NBER Working Papers.
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2014Assessing Point Forecast Accuracy by Stochastic Error Distance.(2014) In: PIER Working Paper Archive.
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2017Assessing point forecast accuracy by stochastic error distance.(2017) In: Econometric Reviews.
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2020Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession In: NBER Working Papers.
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1994Measuring Business Cycles: A Modern Perspective In: NBER Working Papers.
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1996Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again In: NBER Working Papers.
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1997Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters In: NBER Working Papers.
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1998Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters.(1998) In: Working Papers.
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2000The Distribution of Stock Return Volatility In: NBER Working Papers.
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2000The Distribution of Stock Return Volatility.(2000) In: Center for Financial Institutions Working Papers.
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2001High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models In: NBER Working Papers.
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2003A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations In: NBER Working Papers.
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2003A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations.(2003) In: PIER Working Paper Archive.
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2006A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations.(2006) In: The Journal of Business.
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2004A no-arbitrage approach to range-based estimation of return covariances and correlations.(2004) In: CFS Working Paper Series.
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2016Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 In: 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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2008Priors from Frequency-Domain Dummy Observations In: 2008 Meeting Papers.
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2005Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore In: Working Papers.
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1999Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange In: The Review of Economics and Statistics.
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1999Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think In: Center for Financial Institutions Working Papers.
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1997Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think In: Center for Financial Institutions Working Papers.
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1999Financial Risk Management in a Volatile Global Environment In: Center for Financial Institutions Working Papers.
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