Francis Diebold : Citation Profile

University of Pennsylvania

67

H index

118

i10 index

33815

Citations

RESEARCH PRODUCTION:

117

Articles

286

Papers

4

Books

14

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   39 years (1986 - 2025). See details.
   Cites by year: 867
   Journals where Francis Diebold has often published
   Relations with other researchers
   Recent citing documents: 2339.    Total self citations: 216 (0.63 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pdi1
   Updated: 2025-11-22    RAS profile: 2025-08-07    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Rudebusch, Glenn (16)

Goulet Coulombe, Philippe (12)

ZHANG, BOYUAN (9)

Kapetanios, George (7)

Shin, Minchul (5)

Yilmaz, Kamil (5)

Baillie, Richard (2)

Mora, Aaron (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 (537)

Gil-Alana, Luis (373)

Bollerslev, Tim (205)

Swanson, Norman (201)

Gabauer, David (189)

Degiannakis, Stavros (172)

Baruník, Jozef (169)

Caporale, Guglielmo Maria (163)

van Dijk, Dick (152)

Clements, Michael (141)

Kočenda, Evžen (139)

Cites to:

Bollerslev, Tim (168)

Andersen, Torben (112)

Engle, Robert (87)

Rudebusch, Glenn (65)

Shephard, Neil (57)

Watson, Mark (40)

Aruoba, S. Boragan (39)

Yilmaz, Kamil (39)

Pesaran, Mohammad (33)

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

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.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
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)2
Working Papers / Duke University, Department of Economics2
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
Research Paper / Federal Reserve Bank of New York2
IMF Working Papers / International Monetary Fund2
Working Papers / University of Pennsylvania, Wharton School, Weiss Center2

Recent works citing Francis Diebold (2025 and 2024)

YearTitle 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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Corn ethanol expansion in Brazil: Are volatility interconnectedness changing?. (2024). Mattos, Fabio ; Gaio, Luiz ; Franco, Rodrigo Lanna ; Cruz, Jose Cesar. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343612.

Full description at Econpapers || Download paper

2024Spatial Price Transmission and Dynamic Volatility Spillovers in the Global Grain Markets. (2024). Du, Yuxuan ; Xue, Huidan. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343639.

Full description at Econpapers || Download paper

2024Price Volatility Spillover from Energy to Animal Protein Markets in EU. (2024). Sawadgo, Wendiam ; Li, Wenying ; Deb, Prokash. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343809.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Price Links Among Qualitatively Differentiated Meats: Evidence from The UK Wholesale Beef Market. (2024). Fousekis, Panos. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:344846.

Full description at Econpapers || Download paper

2024A Time Trend and Persistence Analysis of Sunflower Oil and Olive Oil Prices in the Context of the Russia-Ukraine War. (2024). Monge, Manuel. In: Research on World Agricultural Economy. RePEc:ags:reowae:348135.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Dynamic Connectedness between Crypto and Conventional Financial Assets: Novel Findings from Russian Financial Market. (2024). Ullah, Mirzat. In: Journal of Applied Economic Research. RePEc:aiy:jnjaer:v:23:y:2024:i:1:p:110-135.

Full description at Econpapers || Download paper

2024Tail calibration of probabilistic forecasts. (2024). Ziegel, Johanna ; Segers, Johan ; Koh, Jonathan ; Allen, Sam. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024018.

Full description at Econpapers || Download paper

2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024022.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Modelos FAVAR con factores estáticos y dinámicos para pronosticar la inflación en Costa Rica. (2024). Segura-Rodriguez, Carlos. In: Documentos de Trabajo. RePEc:apk:doctra:2403.

Full description at Econpapers || Download paper

2024Stress Testing of the Central Bank of Costa Rica: Risk Assessment of Fixed-Income Instruments. (2024). Gómez-Rodríguez, Fabio ; Corrales-Quesada, Adriana ; Segura-Rodriguez, Carlos ; Gmez-Rodrguez, Fabio. In: Notas Técnicas. RePEc:apk:nottec:2401.

Full description at Econpapers || Download paper

2024Univariate inflation forecasts in Costa Rica: model evaluation and selection. (2024). Brenes-Soto, Carlos ; Jimnez-Montero, Susan ; Sand-Esquivel, Adriana ; Vindas-Quesada, Alberto. In: Notas Técnicas. RePEc:apk:nottec:2405.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Testing Forecast Rationality for Measures of Central Tendency. (2024). Patton, Andrew ; Dimitriadis, Timo ; Schmidt, Patrick. In: Papers. RePEc:arx:papers:1910.12545.

Full description at Econpapers || Download paper

2024High-frequency and heteroskedasticity identification in multicountry models: Revisiting spillovers of monetary shocks. (2024). Pfarrhofer, Michael ; Stelzer, Anna. In: Papers. RePEc:arx:papers:1912.03158.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Prewhitened Long-Run Variance Estimation Robust to Nonstationarity. (2024). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02235.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Risks of heterogeneously persistent higher moments. (2024). Kurka, Josef ; Baruník, Jozef. In: Papers. RePEc:arx:papers:2104.04264.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Data-Driven Risk Measurement by SV-GARCH-EVT Model. (2024). , Shibo. In: Papers. RePEc:arx:papers:2201.09434.

Full description at Econpapers || Download paper

2024Market-Based Price Autocorrelation. (2024). Olkhov, Victor. In: Papers. RePEc:arx:papers:2202.09323.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Ensemble distributional forecasting for insurance loss reserving. (2024). Li, Yanfeng ; Wong, Bernard ; Avanzi, Benjamin ; Xian, Alan. In: Papers. RePEc:arx:papers:2206.08541.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2024). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939.

Full description at Econpapers || Download paper

2024Flexible global forecast combinations. (2024). Vasnev, Andrey ; Qian, Yilin ; Thompson, Ryan. In: Papers. RePEc:arx:papers:2207.07318.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Option pricing in Sandwiched Volterra Volatility model. (2024). Mishura, Yuliya ; di Nunno, Giulia ; Yurchenko-Tytarenko, Anton. In: Papers. RePEc:arx:papers:2209.10688.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Bayesian Neural Networks for Macroeconomic Analysis. (2024). Marcellino, Massimiliano ; Huber, Florian ; Hauzenberger, Niko ; Klieber, Karin. In: Papers. RePEc:arx:papers:2211.04752.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Fragmentation and optimal liquidity supply on decentralized exchanges. (2024). Zoican, Marius ; Parlour, Christine ; Lehar, Alfred. In: Papers. RePEc:arx:papers:2307.13772.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Estimation and Inference for a Class of Generalized Hierarchical Models. (2024). GAO, Jiti ; Yan, Yayi ; Dong, Chaohua ; Peng, Bin. In: Papers. RePEc:arx:papers:2311.02789.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Spurious Default Probability Projections in Credit Risk Stress Testing Models. (2024). Engelmann, Bernd. In: Papers. RePEc:arx:papers:2401.08892.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Deep Generative Modeling for Financial Time Series with Application in VaR: A Comparative Review. (2024). Han, Xusi ; Zhu, Xuejun ; Guo, Steve ; Li, Shuang ; Fu, Rao ; Ericson, Lars. In: Papers. RePEc:arx:papers:2401.10370.

Full description at Econpapers || Download paper

2024Forecasting and Backtesting Gradient Allocations of Expected Shortfall. (2024). Koike, Takaaki. In: Papers. RePEc:arx:papers:2401.11701.

Full description at Econpapers || Download paper

2024The prices of renewable commodities: A robust stationarity analysis. (2024). Jos, Mar'Ia ; Landajo, Manuel. In: Papers. RePEc:arx:papers:2402.01005.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Monthly GDP nowcasting with Machine Learning and Unstructured Data. (2024). TENORIO, JUAN ; Perez, Wilder. In: Papers. RePEc:arx:papers:2402.04165.

Full description at Econpapers || Download paper

2024What drives the European carbon market? Macroeconomic factors and forecasts. (2024). Rossini, Luca ; Bastianin, Andrea ; Qin, Yan ; Mirto, Elisabetta. In: Papers. RePEc:arx:papers:2402.04828.

Full description at Econpapers || Download paper

2024From GARCH to Neural Network for Volatility Forecast. (2024). Hung, Wilfred Siu ; Zhao, Pengfei ; Zhu, Haoren ; Lee, Dik Lun. In: Papers. RePEc:arx:papers:2402.06642.

Full description at Econpapers || Download paper

2024Electricity Price Forecasting in the Irish Balancing Market. (2024). Prestwich, Steven ; Collins, Joseph ; O'Connor, Ciaran ; Visentin, Andrea. In: Papers. RePEc:arx:papers:2402.06714.

Full description at Econpapers || Download paper

2024Tail risk forecasting with semi-parametric regression models by incorporating overnight information. (2024). Shau, Wei-Hsuan ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2402.07134.

Full description at Econpapers || Download paper

2024Semi-parametric financial risk forecasting incorporating multiple realized measures. (2024). Gerlach, Richard ; Iroshani, Rangika H ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2402.09985.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Francis Diebold has edited the books:

YearTitleTypeCited

Works by Francis Diebold:

YearTitleTypeCited
2007Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper983
2005Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 983		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: 983		article
2007Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers.
[Full Text][Citation analysis]		paper590
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: 590		article
2006Real-time price discovery in global stock, bond and foreign exchange markets.(2006) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 590		paper
2011Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers.
[Full Text][Citation analysis]		paper49
2013Financial Risk Measurement for Financial Risk Management.(2013) In: Handbook of the Economics of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 49		chapter
2012Financial Risk Measurement for Financial Risk Management.(2012) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 49		paper
2011Financial Risk Measurement for Financial Risk Management.(2011) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 49		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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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]		article90
2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange In: American Economic Review.
[Full Text][Citation analysis]		article890
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: 890		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: 890		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: 890		paper
2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?.(2002) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 890		paper
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk In: American Economic Review.
[Full Text][Citation analysis]		article94
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 94		paper
2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 94		paper
2005A framework for exploring the macroeconomic determinants of systematic risk.(2005) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 94		paper
2005Modeling Bond Yields in Finance and Macroeconomics In: American Economic Review.
[Full Text][Citation analysis]		article148
2005Modeling bond yields in finance and macroeconomics.(2005) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 148		paper
2005Modeling Bond Yields in Finance and Macroeconomics.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 148		paper
2005Modeling Bond Yields in Finance and Macroeconomics.(2005) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 148		paper
2005Modeling bond yields in finance and macroeconomics.(2005) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 148		paper
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 115		paper
1997The Past, Present, and Future of Macroeconomic Forecasting.(1997) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 115		paper
2006Time Series Analysis In: Working Papers.
[Full Text][Citation analysis]		paper16
2006Time Series Analysis.(2006) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2021On the Evolution of U.S. Temperature Dynamics In: Papers.
[Full Text][Citation analysis]		paper2
2022On the Evolution of US Temperature Dynamics.(2022) In: Advances in Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		chapter
2019On the Evolution of U.S. Temperature Dynamics.(2019) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2021Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections In: Papers.
[Full Text][Citation analysis]		paper10
2022Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections.(2022) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		article
2020Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections.(2020) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2020Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections.(2020) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2019Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections.(2019) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2020Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach In: Papers.
[Full Text][Citation analysis]		paper10
2021Optimal combination of Arctic sea ice extent measures: A dynamic factor modeling approach.(2021) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		article
2020Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach.(2020) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2022Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 In: Papers.
[Full Text][Citation analysis]		paper6
2022Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020.(2022) In: Advances in Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		chapter
2022Real-Time Real Economic Activity:Entering and Exiting the Pandemic Recession of 2020.(2022) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has 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.
[Full Text][Citation analysis]		paper15
2023On the aggregation of probability assessments: Regularized mixtures of predictive densities for Eurozone inflation and real interest rates.(2023) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		article
2021On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates.(2021) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2022On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates.(2022) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2021On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone In?ation and Real Interest Rates.(2021) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2022A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting In: Papers.
[Full Text][Citation analysis]		paper1
2022A benchmark model for fixed-target Arctic sea ice forecasting.(2022) In: Economics Letters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2022A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting.(2022) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2023When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume In: Papers.
[Full Text][Citation analysis]		paper5
2023When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume.(2023) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
2022When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume.(2022) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2022When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume.(2022) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2024On Robust Inference in Time Series Regression In: Papers.
[Full Text][Citation analysis]		paper1
2024On Robust Inference in Time Series Regression.(2024) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2025On robust inference in time-series regression.(2025) In: The Econometrics Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2022On Robust Inference in Time Series Regression.(2022) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2023Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice: Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models In: Papers.
[Full Text][Citation analysis]		paper1
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2023Assessing and comparing fixed-target forecasts of Arctic sea ice: Glide charts for feature-engineered linear regression and machine learning models.(2023) In: Energy Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2022Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice:Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models.(2022) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2022On the Financing of Climate Change Adaptation in Developing Countries In: Papers.
[Full Text][Citation analysis]		paper0
2022A New Test for Market Efficiency and Uncovered Interest Parity In: Papers.
[Full Text][Citation analysis]		paper1
2023A new test for market efficiency and uncovered interest parity.(2023) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2022A New Test for Market Efficiency and Uncovered Interest Parity.(2022) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2022A New Test forMarket Efficiency and Uncovered Interest Parity.(2022) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2023On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness In: Papers.
[Full Text][Citation analysis]		paper33
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		paper
2023Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions In: Papers.
[Full Text][Citation analysis]		paper4
2023Climate models underestimate the sensitivity of Arctic sea ice to carbon emissions.(2023) In: Energy Economics.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2025Clustered Network Connectedness: A New Measurement Framework with Application to Global Equity Markets In: Papers.
[Full Text][Citation analysis]		paper0
2025Clustered Network Connectedness:A New Measurement Frameworkwith Application to Global Equity Markets.(2025) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2025On the Wisdom of Crowds (of Economists) In: Papers.
[Full Text][Citation analysis]		paper0
2025On the Wisdom of Crowds (of Economists).(2025) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2005Weather Forecasting for Weather Derivatives In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article155
2003Weather Forecasting for Weather Derivatives.(2003) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 155		paper
2002Weather Forecasting for Weather Derivatives.(2002) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 155		paper
2004Weather forecasting for weather derivatives.(2004) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 155		paper
2001The Distribution of Realized Exchange Rate Volatility In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article1147
1995Comparing Predictive Accuracy. In: Journal of Business & Economic Statistics.
[Citation analysis]		article5853
2002Comparing Predictive Accuracy..(2002) In: Journal of Business & Economic Statistics.
[Citation analysis]
This paper has nother version. Agregated cites: 5853		article
1994Comparing Predictive Accuracy.(1994) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5853		paper
1998Cointegration and Long-Horizon Forecasting. In: Journal of Business & Economic Statistics.
[Citation analysis]		article122
1997Cointegration and long-horizon forecasting.(1997) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 122		paper
1997Cointegration and Long-Horizon Forecasting.(1997) In: IMF Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 122		paper
1997Cointegration and Long-Horizon Forecasting.(1997) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 122		paper
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 112		paper
1999Unit Root Tests Are Useful for Selecting Forecasting Models.(1999) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 112		paper
2006Comment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
2009Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article94
2005Stock returns and expected business conditions: half a century of direct evidence.(2005) In: Proceedings.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 94		article
2005Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 94		paper
2005Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence.(2005) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 94		paper
2005Stock returns and expected business conditions: Half a century of direct evidence.(2005) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 94		paper
2009Real-Time Measurement of Business Conditions In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article485
2007Real-time measurement of business conditions.(2007) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 485		paper
2008Real-time measurement of business conditions.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 485		paper
2008Real-Time Measurement of Business Conditions.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 485		paper
2007Real-Time Measurement of Business Conditions.(2007) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 485		paper
2006Real-Time Measurement of Business Conditions.(2006) In: Computing in Economics and Finance 2006.
[Citation analysis]
This paper has nother version. Agregated cites: 485		paper
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.
[Citation analysis]
This paper has nother version. Agregated cites: 0		paper
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]		article138
1993On cointegration and exchange rate dynamics.(1993) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 138		paper
2002Range‐Based Estimation of Stochastic Volatility Models In: Journal of Finance.
[Full Text][Citation analysis]		article488
2018On the Comparison of Interval Forecasts In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article17
2018On the Comparison of Interval Forecasts.(2018) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		paper
2004The Nobel Memorial Prize for Robert F. Engle In: Scandinavian Journal of Economics.
[Full Text][Citation analysis]		article14
2004The Nobel Memorial Prize for Robert F. Engle.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2004The Nobel Memorial Prize for Robert F. Engle.(2004) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2004The Nobel Memorial Prize for Robert F. Engle.(2004) In: CFS Working Paper Series.
[Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2012On the Correlation Structure of Microstructure Noise: A Financial Economic Approach In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]		paper39
2010On the Correlation Structure of Microstructure Noise: A Financial Economic Approach.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39		paper
2013On the Correlation Structure of Microstructure Noise: A Financial Economic Approach.(2013) In: The Review of Economic Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39		article
2009Equity Market Spillovers in the Americas In: Journal Economía Chilena (The Chilean Economy).
[Full Text][Citation analysis]		article36
2011Equity Market Spillovers in the Americas.(2011) In: Central Banking, Analysis, and Economic Policies Book Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		chapter
2018Commodity Connectedness In: Central Banking, Analysis, and Economic Policies Book Series.
[Full Text][Citation analysis]		chapter61
2017Commodity Connectedness.(2017) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 61		paper
2017Commodity Connectedness.(2017) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 61		paper
2017Commodity connectedness.(2017) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 61		paper
2002Financial Asset Returns, Market Timing, and Volatility Dynamics In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper13
2000Measuring Predictability: Theory And Macroeconomic Applications In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper72
1997Measuring predictability: theory and macroeconomic applications.(1997) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 72		paper
2001Measuring predictability: theory and macroeconomic applications.(2001) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 72		article
1997Measuring Predictability: Theory and Macroeconomic Applications.(1997) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 72		paper
1998Measuring Predictability: Theory and Macroeconomic Applications.(1998) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 72		paper
1997Measuring Predictability: Theory and Macroeconomic Applications.(1997) In: CARESS Working Papres.
[Citation analysis]
This paper has nother version. Agregated cites: 72		paper
1997Optimal Prediction Under Asymmetric Loss In: Econometric Theory.
[Full Text][Citation analysis]		article182
1997Optimal prediction under asymmetric loss.(1997) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 182		paper
1994Optimal Prediction Under Asymmetric Loss.(1994) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 182		paper
1997Optimal Prediction Under Asymmetric Loss.(1997) In: CARESS Working Papres.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 182		paper
Optimal Prediction Under Asymmetric Loss.() In: Home Pages.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 182		paper
2003THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003 In: Econometric Theory.
[Full Text][Citation analysis]		article8
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]		paper2075
2003Modeling and Forecasting Realized Volatility.(2003) In: Econometrica.
[Citation analysis]
This paper has nother version. Agregated cites: 2075		article
2001Modeling and Forecasting Realized Volatility.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2075		paper
2001Modeling and Forecasting Realized Volatility.(2001) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2075		paper
2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence In: Finance Working Papers.
[Full Text][Citation analysis]		paper9
2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence.(2006) In: Finance Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence.(2006) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
1997Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers. In: Economic Journal.
[Full Text][Citation analysis]		article13
1997Bounded rationality and strategic complementarity in a macroeconomic model: policy effects, persistence, and multipliers.(1997) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 13		paper
1996Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers.(1996) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers.() In: Home Pages.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2009Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets In: Economic Journal.
[Full Text][Citation analysis]		article2024
2008Measuring financial asset return and volatility spillovers, with application to global equity markets.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2024		paper
2007Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets.(2007) In: Koç University-TUSIAD Economic Research Forum Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2024		paper
2008Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2024		paper
2007Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets.(2007) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2024		paper
2009Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets.(2009) In: Economic Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2024		article
2007Measuring financial asset return and volatility spillovers, with application to global equity markets.(2007) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2024		paper
2008Measuring financial asset return and volatilty spillovers, with application to global equity markets.(2008) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2024		paper
2012A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities In: Working Papers.
[Full Text][Citation analysis]		paper38
2013A Markov-switching multifractal inter-trade duration model, with application to US equities.(2013) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 38		article
2012A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities.(2012) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 38		paper
2012A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities.(2012) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 38		paper
2004Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics In: Econometric Society 2004 Australasian Meetings.
[Citation analysis]		paper0
2009An arbitrage-free generalized Nelson--Siegel term structure model In: Econometrics Journal.
[Full Text][Citation analysis]		article88
2008An arbitrage-free generalized Nelson-Siegel term structure model.(2008) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 88		paper
2008An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 88		paper
2008An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model.(2008) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 88		paper
1988Testing for bubbles, reflecting barriers and other anomalies In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article2
1989State space modeling of time series : A review essay In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article4
1988State space modeling of time series: a review essay.(1988) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2006Volatility and Correlation Forecasting In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]		chapter282
2015Assessing point forecast accuracy by stochastic loss distance In: Economics Letters.
[Full Text][Citation analysis]		article6
1986The exact initial covariance matrix of the state vector of a general MA(q) process In: Economics Letters.
[Full Text][Citation analysis]		article3
1986Exact maximum-likelihood estimation of autoregressive models via the Kalman filter In: Economics Letters.
[Full Text][Citation analysis]		article4
1991On the power of Dickey-Fuller tests against fractional alternatives In: Economics Letters.
[Full Text][Citation analysis]		article282
1990On the power of Dickey-Fuller tests against fractional alternatives.(1990) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has nother version. Agregated cites: 282		paper
1996Fractional integration and interval prediction In: Economics Letters.
[Full Text][Citation analysis]		article15
2001Econometrics: Retrospect and prospect In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2001Forecasting and empirical methods in finance and macroeconomics In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2001Long memory and regime switching In: Journal of Econometrics.
[Full Text][Citation analysis]		article712
2000Long Memory and Regime Switching.(2000) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 712		paper
2006Forecasting the term structure of government bond yields In: Journal of Econometrics.
[Full Text][Citation analysis]		article907
2003Forecasting the Term Structure of Government Bond Yields.(2003) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 907		paper
2002Forecasting the Term Structure of Government Bond Yields.(2002) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 907		paper
2003Forecasting the term structure of government bond yields.(2003) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 907		paper
2006The econometrics of macroeconomics, finance, and the interface In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2006The macroeconomy and the yield curve: a dynamic latent factor approach In: Journal of Econometrics.
[Full Text][Citation analysis]		article612
2004The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 612		paper
2008Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach In: Journal of Econometrics.
[Full Text][Citation analysis]		article180
2007Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 180		paper
2007Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach.(2007) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 180		paper
2007Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach.(2007) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 180		paper
2011The affine arbitrage-free class of Nelson-Siegel term structure models In: Journal of Econometrics.
[Full Text][Citation analysis]		article245
2007The affine arbitrage-free class of Nelson-Siegel term structure models.(2007) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 245		paper
2007The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 245		paper
2007The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models.(2007) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 245		paper
2014On the network topology of variance decompositions: Measuring the connectedness of financial firms In: Journal of Econometrics.
[Full Text][Citation analysis]		article2469
2011On the network topology of variance decompositions: Measuring the connectedness of financial firms.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2469		paper
2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms.(2011) In: Koç University-TUSIAD Economic Research Forum Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2469		paper
2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2469		paper
2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms.(2011) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2469		paper
2016Improving GDP measurement: A measurement-error perspective In: Journal of Econometrics.
[Full Text][Citation analysis]		article66
2013Improving GDP measurement: a measurement-error perspective.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 66		paper
2013Improving GDP Measurement: A Measurement-Error Perspective.(2013) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 66		paper
2013Improving GDP Measurement: A Measurement-Error Perspective.(2013) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 66		paper
2017Real-time forecast evaluation of DSGE models with stochastic volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article57
2016Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility.(2016) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 57		paper
2015Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility.(2015) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 57		paper
2017Real-time forecast evaluation of DSGE models with stochastic volatility.(2017) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 57		paper
2023Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2024Reprint of: When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
1993Discussion : The effect of seasonal adjustment filters on tests for a unit root In: Journal of Econometrics.
[Full Text][Citation analysis]		article4
1994On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean In: Journal of Econometrics.
[Full Text][Citation analysis]		article76
1990On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean.(1990) In: Discussion Paper / Institute for Empirical Macroeconomics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 76		paper
1993On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean.(1993) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 76		paper
1996Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures In: Journal of Econometrics.
[Full Text][Citation analysis]		article150
1993Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures.(1993) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 150		paper
1997Why are estimates of agricultural supply response so variable? In: Journal of Econometrics.
[Full Text][Citation analysis]		article20
2019Why Are Estimates of Agricultural Supply Response so Variable?.(2019) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
1996Why are estimates of agricultural supply response so variable?.(1996) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
Why Are Estimates of Agricultural Supply Response So Variable?.() In: Home Pages.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
1988Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate In: European Economic Review.
[Full Text][Citation analysis]		article19
1990Nonparametric exchange rate prediction? In: Journal of International Economics.
[Full Text][Citation analysis]		article253
1989Nonparametric exchange rate prediction?.(1989) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has nother version. Agregated cites: 253		paper
1996Software review In: International Journal of Forecasting.
[Full Text][Citation analysis]		article1
2012Better to give than to receive: Predictive directional measurement of volatility spillovers In: International Journal of Forecasting.
[Full Text][Citation analysis]		article2847
2010Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers.(2010) In: Koç University-TUSIAD Economic Research Forum Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2847		paper
2019Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives In: International Journal of Forecasting.
[Full Text][Citation analysis]		article79
2018Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 79		paper
2018Machine Learning for Regularized Survey Forecast Combination: Partially Egalitarian Lasso and its Derivatives.(2018) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 79		paper
1989Forecast combination and encompassing: Reconciling two divergent literatures In: International Journal of Forecasting.
[Full Text][Citation analysis]		article75
1989Forecast combination and encompassing: reconciling two divergent literatures.(1989) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has nother version. Agregated cites: 75		paper
1990The use of prior information in forecast combination In: International Journal of Forecasting.
[Full Text][Citation analysis]		article90
1987The use of prior information in forecast combination.(1987) In: Special Studies Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 90		paper
2002Ratings migration and the business cycle, with application to credit portfolio stress testing In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article274
2000Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing.(2000) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 274		paper
2001The distribution of realized stock return volatility In: Journal of Financial Economics.
[Full Text][Citation analysis]		article1110
1989Long memory and persistence in aggregate output In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article305
1988Long memory and persistence in aggregate output.(1988) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has nother version. Agregated cites: 305		paper
2006A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources and Generalized Duration In: Chapters.
[Full Text][Citation analysis]		chapter15
2006A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration.(2006) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2006Realized Beta: Persistence and Predictability In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter24
2004Realized Beta: Persistence and Predictability.(2004) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 24		paper
2004Realized beta: Persistence and predictability.(2004) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 24		paper
1995On Asymmetry in Economic Time Series In: Contributions to Economic Analysis.
[Full Text][Citation analysis]		chapter0
2000Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management In: Journal of Risk Finance.
[Full Text][Citation analysis]		article68
1998Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management.(1998) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Citation analysis]
This paper has nother version. Agregated cites: 68		paper
1998Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management.(1998) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 68		paper
2001Five questions about business cycles In: Economic Review.
[Full Text][Citation analysis]		article14
2003The macroeconomy and the yield curve: a nonstructural analysis In: Working Paper Series.
[Full Text][Citation analysis]		paper12
2003The Macroeconomy and the Yield Curve: A Nonstructural Analysis.(2003) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
2003The Macroeconomy and the Yield Curve: A Nonstructural Analysis.(2003) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
1988On the solution of dynamic linear rational expectations models In: Finance and Economics Discussion Series.
[Citation analysis]		paper0
1997Dynamic equilibrium economies: a framework for comparing models and data In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper120
1998Dynamic equilibrium economies: a framework for comparing models and data.(1998) In: Staff Report.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 120		paper
1997Dynamic equilibrium economies: a framework for comparing models and data.(1997) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 120		paper
1995Dynamic Equilibrium Economies: A Framework for Comparing Models and Data.(1995) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 120		paper
1998Dynamic Equilibrium Economies: A Framework for Comparing Models and Data.(1998) In: The Review of Economic Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 120		article
1992Near-rationality and strategic complementarity in a macroeconomic model: policy effects, persistence and multipliers In: Finance and Economics Discussion Series.
[Citation analysis]		paper1
1988Ex ante turning point forecasting with the composite leading index In: Finance and Economics Discussion Series.
[Citation analysis]		paper0
1988Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function In: Finance and Economics Discussion Series.
[Citation analysis]		paper3
1988Conditional heteroskedasticity in the market In: Finance and Economics Discussion Series.
[Citation analysis]		paper2
1988Unit roots in economic time series: a selective survey In: Finance and Economics Discussion Series.
[Citation analysis]		paper24
1989Is consumption too smooth? Long memory and the Deaton paradox In: Finance and Economics Discussion Series.
[Citation analysis]		paper47
1991Is Consumption Too Smooth? Long Memory and the Deaton Paradox..(1991) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 47		article
1988Post-deregulation deposit rate pricing: the multivariate dynamics In: Finance and Economics Discussion Series.
[Citation analysis]		paper3
1989Forecasting output with the composite leading index: an ex ante analysis In: Finance and Economics Discussion Series.
[Citation analysis]		paper67
2005Robust estimation - discussion In: Proceedings.
[Citation analysis]		article0
2005From the horse’s mouth: gauging conditional expected stock returns from investor surveys In: Proceedings.
[Full Text][Citation analysis]		article1
1986Temporal aggregation of ARCH processes and the distribution of asset returns In: Special Studies Papers.
[Citation analysis]		paper7
1986Structural change and the combination of forecasts In: Special Studies Papers.
[Citation analysis]		paper16
1987Structural change and the combination of forecasts.(1987) In: Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		article
1986The dynamics of exchange rate volatility: a multivariate latent factor ARCH model In: Special Studies Papers.
[Citation analysis]		paper345
1989The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model..(1989) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 345		article
1987Scoring the leading indicators In: Special Studies Papers.
[Citation analysis]		paper198
1989Scoring the Leading Indicators..(1989) In: The Journal of Business.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 198		article
1987Does the business cycle have duration memory? In: Special Studies Papers.
[Citation analysis]		paper3
1987Deviations from random-walk behavior: tests based on the variance-time function In: Special Studies Papers.
[Citation analysis]		paper0
1988A nonparametric investigation of duration dependence in the American business cycle In: Working Paper Series / Economic Activity Section.
[Citation analysis]		paper119
1990A Nonparametric Investigation of Duration Dependence in the American Business Cycle..(1990) In: Journal of Political Economy.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 119		article
1990International evidence on business cycle duration dependence In: Discussion Paper / Institute for Empirical Macroeconomics.
[Full Text][Citation analysis]		paper7
1990Real exchange rates under the gold standard In: Discussion Paper / Institute for Empirical Macroeconomics.
[Full Text][Citation analysis]		paper233
1991Real Exchange Rates under the Gold Standard..(1991) In: Journal of Political Economy.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 233		article
1991Comparing predictive accuracy I: an asymptotic test In: Discussion Paper / Institute for Empirical Macroeconomics.
[Full Text][Citation analysis]		paper8
1998Horizon problems and extreme events in financial risk management In: Economic Policy Review.
[Full Text][Citation analysis]		article29
1998Horizon Problems and Extreme Events in Financial Risk Management.(1998) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		paper
1995Modeling volatility dynamics In: Research Paper.
[Full Text][Citation analysis]		paper50
Modeling Volatility Dynamics.() In: Home Pages.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 50		paper
1995Forecast evaluation and combination In: Research Paper.
[Full Text][Citation analysis]		paper342
1996Forecast Evaluation and Combination.(1996) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 342		paper
1991Shorter recessions and longer expansions In: Business Review.
[Full Text][Citation analysis]		article1
1993Are long expansions followed by short contractions? In: Business Review.
[Full Text][Citation analysis]		article1
2011Improving GDP measurement: a forecast combination perspective In: Working Papers.
[Full Text][Citation analysis]		paper9
2011Improving GDP Measurement: A Forecast Combination Perspective.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2011Improving GDP Measurement: A Forecast Combination Perspective.(2011) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
1991Further evidence on business cycle duration dependence In: Working Papers.
[Citation analysis]		paper102
1993Further Evidence on Business-Cycle Duration Dependence.(1993) In: NBER Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 102		chapter
1993Regime switching with time-varying transition probabilities In: Working Papers.
[Citation analysis]		paper109
1993Exact maximum likelihood estimation of ARCH models In: Working Papers.
[Citation analysis]		paper2
1993On comparing information in forecasts from econometric models: a comment on Fair and Shiller In: Working Papers.
[Citation analysis]		paper0
1997Evaluating density forecasts In: Working Papers.
[Full Text][Citation analysis]		paper73
1997Evaluating Density Forecasts.(1997) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 73		paper
1997Evaluating Density Forecasts.(1997) In: CARESS Working Papres.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 73		paper
1997Evaluating Density Forecasts.(1997) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 73		paper
1998Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Full Text][Citation analysis]		paper3
1998Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange.(1998) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
1998Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange.(1998) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
1998How Relevant is Volatility Forecasting for Financial Risk Management? In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Full Text][Citation analysis]		paper153
1998How Relevant is Volatility Forecasting for Financial Risk Management?.(1998) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 153		paper
2000How Relevant is Volatility Forecasting for Financial Risk Management?.(2000) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 153		article
1997How Relevant is Volatility Forecasting for Financial Risk Management?.(1997) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 153		paper
1999The Distribution of Exchange Rate Volatility In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Full Text][Citation analysis]		paper89
1999The Distribution of Exchange Rate Volatility.(1999) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 89		paper
1999The Distribution of Exchange Rate Volatility.(1999) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 89		paper
1999Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Full Text][Citation analysis]		paper114
2000Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian.(2000) In: Multinational Finance Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 114		article
2000Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 114		paper
1999Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian.(1999) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 114		paper
1999(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Full Text][Citation analysis]		paper55
1998Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Full Text][Citation analysis]		paper20
1998Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management.(1998) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
1998Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors Introduction. In: International Economic Review.
[Citation analysis]		article5
1998Evaluating Density Forecasts with Applications to Financial Risk Management. In: International Economic Review.
[Citation analysis]		article803
2011Globalization, the Business Cycle, and Macroeconomic Monitoring In: IMF Working Papers.
[Full Text][Citation analysis]		paper34
2010Globalization, the Business Cycle, and Macroeconomic Monitoring.(2010) In: NBER Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 34		chapter
2010Globalization, the Business Cycle, and Macroeconomic Monitoring.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 34		paper
2011Globalization, the Business Cycle, and Macroeconomic Monitoring.(2011) In: NBER International Seminar on Macroeconomics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 34		article
2006Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics In: Management Science.
[Full Text][Citation analysis]		article140
2003Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics.(2003) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 140		paper
2003Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics.(2003) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 140		paper
2003Financial asset returns, direction-of-change forecasting, and volatility dynamics.(2003) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 140		paper
1996Further Results on Forecasting and Model Selection under Asymmetric Loss. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article65
Further Results on Forecasting and Model Selection Under Asymmetric Loss.() In: Home Pages.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65		paper
1989Structural Time Series Analysis and Modelling Package: A Review. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article1
2007Macroeconomic Volatility and Stock Market Volatility,World-Wide In: Koç University-TUSIAD Economic Research Forum Working Papers.
[Full Text][Citation analysis]		paper58
2008Macroeconomic Volatility and Stock Market Volatility, Worldwide.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 58		paper
2008Macroeconomic Volatility and Stock Market Volatility, World-Wide.(2008) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 58		paper
2015Estimating Global Bank Network Connectedness In: Koç University-TUSIAD Economic Research Forum Working Papers.
[Full Text][Citation analysis]		paper377
2017Estimating Global Bank Network Connectedness.(2017) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 377		paper
2015Estimating Global Bank Network Connectedness.(2015) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 377		paper
2018Estimating global bank network connectedness.(2018) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 377		article
2007Practical Volatility and Correlation Modeling for Financial Market Risk Management In: NBER Chapters.
[Full Text][Citation analysis]		chapter40
2005Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		paper
2005Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		paper
2005Practical volatility and correlation modeling for financial market risk management.(2005) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		paper
1995Measuring Volatility Dynamics In: NBER Technical Working Papers.
[Full Text][Citation analysis]		paper0
1996Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models In: NBER Technical Working Papers.
[Full Text][Citation analysis]		paper6
2002Parametric and Nonparametric Volatility Measurement In: NBER Technical Working Papers.
[Full Text][Citation analysis]		paper71
2002Parametric and Nonparametric Volatility Measurement.(2002) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 71		paper
2005Volatility Forecasting In: NBER Working Papers.
[Full Text][Citation analysis]		paper52
2005Volatility Forecasting.(2005) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 52		paper
2005Volatility forecasting.(2005) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 52		paper
2005Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets In: NBER Working Papers.
[Full Text][Citation analysis]		paper108
2004Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets.(2004) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 108		paper
2004Real-time price discovery in stock, bond and foreign exchange markets.(2004) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 108		paper
2012Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests In: NBER Working Papers.
[Full Text][Citation analysis]		paper276
2012Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests.(2012) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 276		paper
2015Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests.(2015) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 276		article
2016Assessing Point Forecast Accuracy by Stochastic Error Distance In: NBER Working Papers.
[Full Text][Citation analysis]		paper7
2014Assessing Point Forecast Accuracy by Stochastic Error Distance.(2014) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2017Assessing point forecast accuracy by stochastic error distance.(2017) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2020Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession In: NBER Working Papers.
[Full Text][Citation analysis]		paper37
2020Real-Time Real Economic Activity:Exiting the Great Recession and Entering the Pandemic Recession.(2020) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 37		paper
1994Measuring Business Cycles: A Modern Perspective In: NBER Working Papers.
[Full Text][Citation analysis]		paper291
1996Measuring Business Cycles: A Modern Perspective..(1996) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 291		article
Measuring Business Cycle: A Modern Perspective.() In: Home Pages.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 291		paper
1994Job Stability in the United States In: NBER Working Papers.
[Full Text][Citation analysis]		paper81
1997Job Stability in the United States..(1997) In: Journal of Labor Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 81		article
1996Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again In: NBER Working Papers.
[Full Text][Citation analysis]		paper10
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again.() In: Home Pages.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
1997Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters In: NBER Working Papers.
[Full Text][Citation analysis]		paper51
1998Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters.(1998) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 51		paper
2000The Distribution of Stock Return Volatility In: NBER Working Papers.
[Full Text][Citation analysis]		paper40
2000The Distribution of Stock Return Volatility.(2000) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		paper
2001High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models In: NBER Working Papers.
[Full Text][Citation analysis]		paper7
2003A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations In: NBER Working Papers.
[Full Text][Citation analysis]		paper137
2003A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations.(2003) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 137		paper
2006A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations.(2006) In: The Journal of Business.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 137		article
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations.() In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 137		paper
2004A no-arbitrage approach to range-based estimation of return covariances and correlations.(2004) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 137		paper
2016Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article119
2020Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I).() In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2015Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring In: OUP Catalogue.
[Citation analysis]		book275
2002Symposium on Forecasting Performance: An Introduction In: IMF Staff Papers.
[Full Text][Citation analysis]		article0
2003Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility In: PIER Working Paper Archive.
[Full Text][Citation analysis]		paper42
2003Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility.(2003) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 42		paper
2008Real-Time Measurement of Business Conditions, Second Version In: PIER Working Paper Archive.
[Full Text][Citation analysis]		paper5
2008On the Correlation Structure of Microstructure Noise in Theory and Practice In: PIER Working Paper Archive.
[Full Text][Citation analysis]		paper10
2008On the correlation structure of microstructure noise in theory and practice.(2008) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2012On the Origin(s) and Development of the Term €œBig Data In: PIER Working Paper Archive.
[Full Text][Citation analysis]		paper2
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.
[Full Text][Citation analysis]		paper2
2013Measuring the Dynamics of Global Business Cycle Connectedness In: PIER Working Paper Archive.
[Full Text][Citation analysis]		paper40
2017Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts In: PIER Working Paper Archive.
[Full Text][Citation analysis]		paper5
2010Introduction In: Introductory Chapters.
[Full Text][Citation analysis]		chapter0
2012Facts, Factors, and Questions In: Introductory Chapters.
[Full Text][Citation analysis]		chapter0
1999Business Cycles: Durations, Dynamics, and Forecasting In: Economics Books.
[Citation analysis]		book69
2010The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice In: Economics Books.
[Citation analysis]		book25
2012Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach In: Economics Books.
[Citation analysis]		book11
2008Priors from Frequency-Domain Dummy Observations In: 2008 Meeting Papers.
[Full Text][Citation analysis]		paper2
2005Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore In: Working Papers.
[Full Text][Citation analysis]		paper0
1988Has the EMS Reduced Member-Country Exchange Rate Volatility? In: Empirical Economics.
[Citation analysis]		article12
2015Rejoinder In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
1998Bootstrapping Multivariate Spectra In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article35
1999Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article206
Stamp 5.0: A Review In: Home Pages.
[Full Text][Citation analysis]		paper0
1999Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]		paper10
1997Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]		paper20
1999Financial Risk Management in a Volatile Global Environment In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]		paper5

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 20 2025. Contact: CitEc Team