Francis Diebold
Names
| first: |
Francis |
| middle: |
X. |
| last: |
Diebold |
Identifer
Contact
Affiliations
-
University of Pennsylvania
/ Department of Economics
Research profile
author of:
- Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility (RePEc:aah:create:2007-18)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold - Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets (RePEc:aah:create:2007-20)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega - Financial Risk Measurement for Financial Risk Management (RePEc:aah:create:2011-37)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold - Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions (RePEc:aea:aecrev:v:100:y:2010:i:2:p:20-24)
by S. Boragan Aruoba & Francis X. Diebold - Have Postwar Economic Fluctuations Been Stabilized? (RePEc:aea:aecrev:v:82:y:1992:i:4:p:993-1005)
by Diebold, Francis X & Rudebusch, Glenn D - The Uncertain Unit Root in Real GNP: Comment (RePEc:aea:aecrev:v:86:y:1996:i:5:p:1291-98)
by Diebold, Francis X & Senhadji, Abdelhak S - Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (RePEc:aea:aecrev:v:93:y:2003:i:1:p:38-62)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega - A Framework for Exploring the Macroeconomic Determinants of Systematic Risk (RePEc:aea:aecrev:v:95:y:2005:i:2:p:398-404)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu - Modeling Bond Yields in Finance and Macroeconomics (RePEc:aea:aecrev:v:95:y:2005:i:2:p:415-420)
by Francis X. Diebold & Monika Piazzesi & Glenn D. Rudebusch - The Past, Present, and Future of Macroeconomic Forecasting (RePEc:aea:jecper:v:12:y:1998:i:2:p:175-92)
by Francis X. Diebold - Time Series Analysis (RePEc:ags:umdrwp:28556)
by Diebold, F.X. & Kilian, L. & Nerlove, Marc - On the Evolution of U.S. Temperature Dynamics (RePEc:arx:papers:1907.06303)
by Francis X. Diebold & Glenn D. Rudebusch - Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections (RePEc:arx:papers:1912.10774)
by Francis X. Diebold & Glenn D. Rudebusch - Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach (RePEc:arx:papers:2003.14276)
by Francis X. Diebold & Maximilian Gobel & Philippe Goulet Coulombe & Glenn D. Rudebusch & Boyuan Zhang - Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 (RePEc:arx:papers:2006.15183)
by Francis X. Diebold - "Big Data" and its Origins (RePEc:arx:papers:2008.05835)
by Francis X. Diebold - On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates (RePEc:arx:papers:2012.11649)
by Francis X. Diebold & Minchul Shin & Boyuan Zhang - A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting (RePEc:arx:papers:2101.10359)
by Francis X. Diebold & Maximilian Gobel - When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume (RePEc:arx:papers:2203.04040)
by Francis X. Diebold & Glenn D. Rudebusch & Maximilian Goebel & Philippe Goulet Coulombe & Boyuan Zhang - On Robust Inference in Time Series Regression (RePEc:arx:papers:2203.04080)
by Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim & Aaron Mora - Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice: Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models (RePEc:arx:papers:2206.10721)
by Francis X. Diebold & Maximilian Goebel & Philippe Goulet Coulombe - On the Financing of Climate Change Adaptation in Developing Countries (RePEc:arx:papers:2210.11525)
by Francis X. Diebold - A New Test for Market Efficiency and Uncovered Interest Parity (RePEc:arx:papers:2211.01344)
by Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim - On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness (RePEc:arx:papers:2211.04184)
by Francis X. Diebold & Kamil Yilmaz - Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions (RePEc:arx:papers:2307.03552)
by Francis X. Diebold & Glenn D. Rudebusch - Machine Learning and the Yield Curve: Tree-Based Macroeconomic Regime Switching (RePEc:arx:papers:2408.12863)
by Siyu Bie & Francis X. Diebold & Jingyu He & Junye Li - Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice: Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models (RePEc:bbh:wpaper:22-04)
by Francis X. Diebold & Maximilian Gobel & Philippe Goulet Coulombe - Weather Forecasting for Weather Derivatives (RePEc:bes:jnlasa:v:100:y:2005:p:6-16)
by Sean D. Campbell & Francis X. Diebold - The Distribution of Realized Exchange Rate Volatility (RePEc:bes:jnlasa:v:96:y:2001:m:march:p:42-55)
by Andersen T. G & Bollerslev T. & Diebold F. X & Labys P. - Comparing Predictive Accuracy (RePEc:bes:jnlbes:v:13:y:1995:i:3:p:253-63)
by Diebold, Francis X & Mariano, Roberto S - Cointegration and Long-Horizon Forecasting (RePEc:bes:jnlbes:v:16:y:1998:i:4:p:450-58)
by Christoffersen, Peter F & Diebold, Francis X - Unit-Root Tests Are Useful for Selecting Forecasting Models (RePEc:bes:jnlbes:v:18:y:2000:i:3:p:265-73)
by Diebold, Francis X & Kilian, Lutz - Comparing Predictive Accuracy (RePEc:bes:jnlbes:v:20:y:2002:i:1:p:134-44)
by Diebold, Francis X & Mariano, Roberto S - Comment (RePEc:bes:jnlbes:v:24:y:2006:p:181-183)
by Diebold, Francis X. - Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence (RePEc:bes:jnlbes:v:27:i:2:y:2009:p:266-278)
by Campbell, Sean D. & Diebold, Francis X. - Real-Time Measurement of Business Conditions (RePEc:bes:jnlbes:v:27:i:4:y:2009:p:417-427)
by Aruoba, S. BoraÄŸan & Diebold, Francis X. & Scotti, Chiara - Serial Correlation and the Combination of Forecasts (RePEc:bes:jnlbes:v:6:y:1988:i:1:p:105-11)
by Diebold, Francis X - An Application of Operational-Subjective Statistical Methods to Rational Expectations: Comment (RePEc:bes:jnlbes:v:6:y:1988:i:4:p:470-72)
by Diebold, Francis X - Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics (RePEc:bes:jnlbes:v:8:y:1990:i:3:p:281-91)
by Diebold, Francis X & Sharpe, Steven A - On Cointegration and Exchange Rate Dynamics (RePEc:bla:jfinan:v:49:y:1994:i:2:p:727-35)
by Diebold, Francis X & Gardeazabal, Javier & Yilmaz, Kamil - Range‐Based Estimation of Stochastic Volatility Models (RePEc:bla:jfinan:v:57:y:2002:i:3:p:1047-1091)
by Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold - On the Comparison of Interval Forecasts (RePEc:bla:jtsera:v:39:y:2018:i:6:p:953-965)
by Ross Askanazi & Francis X. Diebold & Frank Schorfheide & Minchul Shin - The Nobel Memorial Prize for Robert F. Engle (RePEc:bla:scandj:v:106:y:2004:i:2:p:165-185)
by Francis X. Diebold - On the Correlation Structure of Microstructure Noise: A Financial Economic Approach (RePEc:boc:bocoec:693)
by Francis X. Diebold & Georg H. Strasser - Unknown item RePEc:cfs:cfswop:wp200331 (paper)
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- Equity Market Spillovers in the Americas (RePEc:chb:bcchec:v:12:y:2009:i:2:p:55-65)
by Francis X. Diebold / Kamil Yilmaz - Equity Market Spillovers in the Americas (RePEc:chb:bcchsb:v15c07pp000-000)
by Francis X. Diebold & Kamil Yilmaz - Commodity Connectedness (RePEc:chb:bcchsb:v25c04pp097-136)
by Francis X. Diebold & Laura Liu & Kamil Yilmaz - Financial Asset Returns, Market Timing, and Volatility Dynamics (RePEc:cir:cirwor:2002s-02)
by Peter Christoffersen & Francis X. Diebold - Measuring Predictability: Theory And Macroeconomic Applications (RePEc:cpr:ceprdp:2424)
by Diebold, Francis & Kilian, Lutz - Optimal Prediction Under Asymmetric Loss (RePEc:cup:etheor:v:13:y:1997:i:06:p:808-817_00)
by Christoffersen, Peter F. & Diebold, Francis X. - The Et Interview: Professor Robert F. Engle, January 2003 (RePEc:cup:etheor:v:19:y:2003:i:06:p:1159-1193_19)
by Diebold, Francis X. - Forecasting, Structural Time Series Models and the Kalman Filter, Andrew C. Harvey Cambridge University Press, 1939 - Fore Casting, Structural Time Series Models and The Kalman FilterAdrew C. Harvey C (RePEc:cup:etheor:v:8:y:1992:i:02:p:293-299_01)
by Diebold, Francis X. - Modeling and Forecasting Realized Volatility (RePEc:duk:dukeec:02-12)
by Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Labys, Paul - Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (RePEc:duk:dukeec:02-16)
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara - Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence (RePEc:eab:financ:22075)
by Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse - Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence (RePEc:eab:financ:22481)
by Anthony S. Tay & Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Yiu Kuen Tse - Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers (RePEc:ecj:econjl:v:107:y:1997:i:444:p:1358-74)
by Bomfim, Antulio N & Diebold, Francis X - Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (RePEc:ecj:econjl:v:119:y:2009:i:534:p:158-171)
by FrancisX. Diebold & Kamil Yilmaz - Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (RePEc:ecl:upafin:02-1)
by Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara - A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities (RePEc:ecl:upafin:12-09)
by Chen, Fei & Diebold, Francis X. & Schorfheide, Frank - Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics (RePEc:ecm:ausm04:352)
by Francis X. Diebold - Modeling and Forecasting Realized Volatility (RePEc:ecm:emetrp:v:71:y:2003:i:2:p:579-625)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - An arbitrage-free generalized Nelson--Siegel term structure model (RePEc:ect:emjrnl:v:12:y:2009:i:3:p:c33-c64)
by Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch - Testing for bubbles, reflecting barriers and other anomalies (RePEc:eee:dyncon:v:12:y:1988:i:1:p:63-70)
by Diebold, Francis X. - State space modeling of time series : A review essay (RePEc:eee:dyncon:v:13:y:1989:i:4:p:597-612)
by Diebold, Francis X. - Volatility and Correlation Forecasting (RePEc:eee:ecofch:1-15)
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X. - Assessing point forecast accuracy by stochastic loss distance (RePEc:eee:ecolet:v:130:y:2015:i:c:p:37-38)
by Diebold, Francis X. & Shin, Minchul - A benchmark model for fixed-target Arctic sea ice forecasting (RePEc:eee:ecolet:v:215:y:2022:i:c:s0165176522001161)
by Diebold, Francis X. & Göbel, Maximilian - The exact initial covariance matrix of the state vector of a general MA(q) process (RePEc:eee:ecolet:v:22:y:1986:i:1:p:27-31)
by Diebold, Francis X. - Exact maximum-likelihood estimation of autoregressive models via the Kalman filter (RePEc:eee:ecolet:v:22:y:1986:i:2-3:p:197-201)
by Diebold, Francis X. - On the power of Dickey-Fuller tests against fractional alternatives (RePEc:eee:ecolet:v:35:y:1991:i:2:p:155-160)
by Diebold, Francis X. & Rudebusch, Glenn D. - Fractional integration and interval prediction (RePEc:eee:ecolet:v:50:y:1996:i:3:p:305-313)
by Diebold, Francis X. & Lindner, Peter - Econometrics: Retrospect and prospect (RePEc:eee:econom:v:100:y:2001:i:1:p:73-75)
by Diebold, Francis X. - Forecasting and empirical methods in finance and macroeconomics (RePEc:eee:econom:v:105:y:2001:i:1:p:1-3)
by Diebold, F. X. & West, Kenneth D. - Long memory and regime switching (RePEc:eee:econom:v:105:y:2001:i:1:p:131-159)
by Diebold, Francis X. & Inoue, Atsushi - Forecasting the term structure of government bond yields (RePEc:eee:econom:v:130:y:2006:i:2:p:337-364)
by Diebold, Francis X. & Li, Canlin - The econometrics of macroeconomics, finance, and the interface (RePEc:eee:econom:v:131:y:2006:i:1-2:p:1-2)
by Diebold, F.X. & Engle, R.F. & Favero, C. & Gallo, G.M. & Schorfheide, F. - The macroeconomy and the yield curve: a dynamic latent factor approach (RePEc:eee:econom:v:131:y:2006:i:1-2:p:309-338)
by Diebold, Francis X. & Rudebusch, Glenn D. & Borag[caron]an Aruoba, S. - Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach (RePEc:eee:econom:v:146:y:2008:i:2:p:351-363)
by Diebold, Francis X. & Li, Canlin & Yue, Vivian Z. - The affine arbitrage-free class of Nelson-Siegel term structure models (RePEc:eee:econom:v:164:y:2011:i:1:p:4-20)
by Christensen, Jens H.E. & Diebold, Francis X. & Rudebusch, Glenn D. - A Markov-switching multifractal inter-trade duration model, with application to US equities (RePEc:eee:econom:v:177:y:2013:i:2:p:320-342)
by Chen, Fei & Diebold, Francis X. & Schorfheide, Frank - On the network topology of variance decompositions: Measuring the connectedness of financial firms (RePEc:eee:econom:v:182:y:2014:i:1:p:119-134)
by Diebold, Francis X. & Yılmaz, Kamil - Improving GDP measurement: A measurement-error perspective (RePEc:eee:econom:v:191:y:2016:i:2:p:384-397)
by Aruoba, S. Borağan & Diebold, Francis X. & Nalewaik, Jeremy & Schorfheide, Frank & Song, Dongho - Real-time forecast evaluation of DSGE models with stochastic volatility (RePEc:eee:econom:v:201:y:2017:i:2:p:322-332)
by Diebold, Francis X. & Schorfheide, Frank & Shin, Minchul - Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections (RePEc:eee:econom:v:231:y:2022:i:2:p:520-534)
by Diebold, Francis X. & Rudebusch, Glenn D. - Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms (RePEc:eee:econom:v:234:y:2023:i:s:p:70-90)
by Diebold, Francis X. & Yılmaz, Kamil - When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume (RePEc:eee:econom:v:236:y:2023:i:2:s0304407623001951)
by Diebold, Francis X. & Rudebusch, Glenn D. & Göbel, Maximilian & Goulet Coulombe, Philippe & Zhang, Boyuan - On the aggregation of probability assessments: Regularized mixtures of predictive densities for Eurozone inflation and real interest rates (RePEc:eee:econom:v:237:y:2023:i:2:s0304407622001464)
by Diebold, Francis X. & Shin, Minchul & Zhang, Boyuan - Reprint of: When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume (RePEc:eee:econom:v:239:y:2024:i:1:s0304407623003615)
by Diebold, Francis X. & Rudebusch, Glenn D. & Göbel, Maximilian & Goulet Coulombe, Philippe & Zhang, Boyuan - Discussion : The effect of seasonal adjustment filters on tests for a unit root (RePEc:eee:econom:v:55:y:1993:i:1-2:p:99-103)
by Diebold, Francis X. - On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean (RePEc:eee:econom:v:62:y:1994:i:2:p:301-316)
by Cheung, Yin-Wong & Diebold, Francis X. - Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures (RePEc:eee:econom:v:70:y:1996:i:1:p:221-241)
by Diebold, Francis X. & Chen, Celia - Why are estimates of agricultural supply response so variable? (RePEc:eee:econom:v:76:y:1997:i:1-2:p:357-373)
by Diebold, Francis X. & Lamb, Russell L. - Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate (RePEc:eee:eecrev:v:32:y:1988:i:1:p:27-53)
by Diebold, Francis X. & Pauly, Peter - Assessing and comparing fixed-target forecasts of Arctic sea ice: Glide charts for feature-engineered linear regression and machine learning models (RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003316)
by Diebold, Francis X. & Göbel, Maximilian & Goulet Coulombe, Philippe - Climate models underestimate the sensitivity of Arctic sea ice to carbon emissions (RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323005108)
by Diebold, Francis X. & Rudebusch, Glenn D. - Financial Risk Measurement for Financial Risk Management (RePEc:eee:finchp:2-b-1127-1220)
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X. - Nonparametric exchange rate prediction? (RePEc:eee:inecon:v:28:y:1990:i:3-4:p:315-332)
by Diebold, Francis X. & Nason, James A. - Real-time price discovery in global stock, bond and foreign exchange markets (RePEc:eee:inecon:v:73:y:2007:i:2:p:251-277)
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara - Software review (RePEc:eee:intfor:v:12:y:1996:i:2:p:309-315)
by Koehler, Anne & Diebold, Francis X. & Giogianni, Lorenzo & Inoue, Atsushi - Better to give than to receive: Predictive directional measurement of volatility spillovers (RePEc:eee:intfor:v:28:y:2012:i:1:p:57-66)
by Diebold, Francis X. & Yilmaz, Kamil - Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives (RePEc:eee:intfor:v:35:y:2019:i:4:p:1679-1691)
by Diebold, Francis X. & Shin, Minchul - Optimal combination of Arctic sea ice extent measures: A dynamic factor modeling approach (RePEc:eee:intfor:v:37:y:2021:i:4:p:1509-1519)
by Diebold, Francis X. & Göbel, Maximilian & Goulet Coulombe, Philippe & Rudebusch, Glenn D. & Zhang, Boyuan - Forecast combination and encompassing: Reconciling two divergent literatures (RePEc:eee:intfor:v:5:y:1989:i:4:p:589-592)
by Diebold, Francis X. - The use of prior information in forecast combination (RePEc:eee:intfor:v:6:y:1990:i:4:p:503-508)
by Diebold, Francis X. & Pauly, Peter - Ratings migration and the business cycle, with application to credit portfolio stress testing (RePEc:eee:jbfina:v:26:y:2002:i:2-3:p:445-474)
by Bangia, Anil & Diebold, Francis X. & Kronimus, Andre & Schagen, Christian & Schuermann, Til - The distribution of realized stock return volatility (RePEc:eee:jfinec:v:61:y:2001:i:1:p:43-76)
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko - A new test for market efficiency and uncovered interest parity (RePEc:eee:jimfin:v:130:y:2023:i:c:s0261560622001681)
by Baillie, Richard T. & Diebold, Francis X. & Kapetanios, George & Kim, Kun Ho - Long memory and persistence in aggregate output (RePEc:eee:moneco:v:24:y:1989:i:2:p:189-209)
by Diebold, Francis X. & Rudebusch, Glenn D. - Financial Risk Measurement and Management (RePEc:elg:eebook:14102)
by None - A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources and Generalized Duration (RePEc:elg:eechap:3299_9)
by Francis X. Diebold & Lei Ji & Canlin Li - Realized Beta: Persistence and Predictability (RePEc:eme:aecozz:s0731-9053(05)20020-8)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Ginger Wu - On the Evolution of US Temperature Dynamics (RePEc:eme:aecozz:s0731-90532021000043a002)
by Francis X. Diebold & Glenn D. Rudebusch - Five questions about business cycles (RePEc:fip:fedfer:y:2001:p:1-15)
by Francis X. Diebold & Glenn D. Rudebusch - The macroeconomy and the yield curve: a nonstructural analysis (RePEc:fip:fedfwp:2003-18)
by S. Boragan Aruoba & Francis X. Diebold & Glenn D. Rudebusch - Modeling bond yields in finance and macroeconomics (RePEc:fip:fedfwp:2005-04)
by Francis X. Diebold & Monika Piazzesi & Glenn D. Rudebusch - The affine arbitrage-free class of Nelson-Siegel term structure models (RePEc:fip:fedfwp:2007-20)
by Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch - An arbitrage-free generalized Nelson-Siegel term structure model (RePEc:fip:fedfwp:2008-07)
by Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch - Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections (RePEc:fip:fedfwp:87377)
by Francis X. Diebold & Glenn D. Rudebusch - On the power of Dickey-Fuller tests against fractional alternatives (RePEc:fip:fedgfe:119)
by Francis X. Diebold & Glenn D. Rudebusch - On the solution of dynamic linear rational expectations models (RePEc:fip:fedgfe:19)
by Francis X. Diebold - Why Are Estimates of Agricultural Supply Response so Variable? (RePEc:fip:fedgfe:1996-08)
by Francis X. Diebold & Russell L. Lamb - Dynamic equilibrium economies: a framework for comparing models and data (RePEc:fip:fedgfe:1997-23)
by Jeremy Berkowitz & Francis X. Diebold & Lee E. Ohanian - Near-rationality and strategic complementarity in a macroeconomic model: policy effects, persistence and multipliers (RePEc:fip:fedgfe:205)
by Antulio N. Bomfim & Francis X. Diebold - Ex ante turning point forecasting with the composite leading index (RePEc:fip:fedgfe:40)
by Francis X. Diebold & Glenn D. Rudebusch - Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function (RePEc:fip:fedgfe:41)
by Francis X. Diebold - Conditional heteroskedasticity in the market (RePEc:fip:fedgfe:42)
by Francis X. Diebold & Jong Im & C. Jevons Lee - Unit roots in economic time series: a selective survey (RePEc:fip:fedgfe:49)
by Francis X. Diebold & Marc Nerlove - Is consumption too smooth? Long memory and the Deaton paradox (RePEc:fip:fedgfe:57)
by Francis X. Diebold & Glenn D. Rudebusch - An application of operational-subjective statistical methods to rational expectations: comment (RePEc:fip:fedgfe:6)
by Francis X. Diebold - Long memory and persistence in aggregate output (RePEc:fip:fedgfe:7)
by Francis X. Diebold & Glenn D. Rudebusch - Post-deregulation deposit rate pricing: the multivariate dynamics (RePEc:fip:fedgfe:8)
by Francis X. Diebold & Steven A. Sharpe - Forecast combination and encompassing: reconciling two divergent literatures (RePEc:fip:fedgfe:80)
by Francis X. Diebold - Nonparametric exchange rate prediction? (RePEc:fip:fedgfe:81)
by Francis X. Diebold & James M. Nason - State space modeling of time series: a review essay (RePEc:fip:fedgfe:9)
by Francis X. Diebold - Forecasting output with the composite leading index: an ex ante analysis (RePEc:fip:fedgfe:90)
by Francis X. Diebold & Glenn D. Rudebusch - Why are estimates of agricultural supply response so variable? (RePEc:fip:fedgfe:96-8)
by Francis X. Diebold & Russell L. Lamb - Real-time price discovery in global stock, bond and foreign exchange markets (RePEc:fip:fedgif:871)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega - Real-time measurement of business conditions (RePEc:fip:fedgif:901)
by S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti - Robust estimation - discussion (RePEc:fip:fedgpr:y:2005:p:82-85)
by Francis X. Diebold - Stock returns and expected business conditions: half a century of direct evidence (RePEc:fip:fedgpr:y:2005:x:29)
by Sean D. Campbell & Francis X. Diebold - From the horse’s mouth: gauging conditional expected stock returns from investor surveys (RePEc:fip:fedgpr:y:2005:x:30)
by Gene Amromin & Steven A. Sharpe - Temporal aggregation of ARCH processes and the distribution of asset returns (RePEc:fip:fedgsp:200)
by Francis X. Diebold - Structural change and the combination of forecasts (RePEc:fip:fedgsp:201)
by Francis X. Diebold & Peter Pauly - The dynamics of exchange rate volatility: a multivariate latent factor ARCH model (RePEc:fip:fedgsp:205)
by Francis X. Diebold & Marc Nerlove - Scoring the leading indicators (RePEc:fip:fedgsp:206)
by Francis X. Diebold & Glenn D. Rudebusch - The use of prior information in forecast combination (RePEc:fip:fedgsp:218)
by Francis X. Diebold & Peter Pauly - Does the business cycle have duration memory? (RePEc:fip:fedgsp:223)
by Francis X. Diebold & Glenn D. Rudebusch - Deviations from random-walk behavior: tests based on the variance-time function (RePEc:fip:fedgsp:224)
by Francis X. Diebold - Have postwar economic fluctuations been stabilized? (RePEc:fip:fedgwe:116)
by Francis X. Diebold & Glenn D. Rudebusch - A nonparametric investigation of duration dependence in the American business cycle (RePEc:fip:fedgwe:90)
by Francis X. Diebold & Glenn D. Rudebusch - International evidence on business cycle duration dependence (RePEc:fip:fedmem:31)
by Francis X. Diebold & Glenn D. Rudebusch & Daniel E. Sichel - Real exchange rates under the gold standard (RePEc:fip:fedmem:32)
by Francis X. Diebold & Steven Husted & Mark Rush - Have postwar economic fluctuations been stabilized? (RePEc:fip:fedmem:33)
by Francis X. Diebold & Glenn D. Rudebusch - On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean (RePEc:fip:fedmem:34)
by Yin-Wong Cheung & Francis X. Diebold - Comparing predictive accuracy I: an asymptotic test (RePEc:fip:fedmem:52)
by Francis X. Diebold & Roberto S. Mariano - Dynamic equilibrium economies: a framework for comparing models and data (RePEc:fip:fedmsr:243)
by Jeremy Berkowitz & Francis X. Diebold & Lee E. Ohanian - Horizon problems and extreme events in financial risk management (RePEc:fip:fednep:y:1998:i:oct:p:109-118:n:v.4no.3)
by Peter F. Christoffersen & Francis X. Diebold & Til Schuermann - Modeling volatility dynamics (RePEc:fip:fednrp:9522)
by Francis X. Diebold & Jose A. Lopez - Forecast evaluation and combination (RePEc:fip:fednrp:9525)
by Francis X. Diebold & Jose A. Lopez - Shorter recessions and longer expansions (RePEc:fip:fedpbr:y:1991:i:nov:p:13-20)
by Francis X. Diebold & Glenn D. Rudebusch - Are long expansions followed by short contractions? (RePEc:fip:fedpbr:y:1993:i:jul:p:3-11)
by Francis X. Diebold - Measuring financial asset return and volatility spillovers, with application to global equity markets (RePEc:fip:fedpwp:08-16)
by Francis X. Diebold & Kamil Yilmaz - Real-time measurement of business conditions (RePEc:fip:fedpwp:08-19)
by S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti - Real-time macroeconomic monitoring: real activity, inflation, and interactions (RePEc:fip:fedpwp:10-5)
by S. Boragan Aruoba & Francis X. Diebold - Improving GDP measurement: a forecast combination perspective (RePEc:fip:fedpwp:11-41)
by S. Boragan Aruoba & Francis X. Diebold & Jeremy J. Nalewaik & Frank Schorfheide & Dongho Song - On the network topology of variance decompositions: Measuring the connectedness of financial firms (RePEc:fip:fedpwp:11-45)
by Francis X. Diebold & Kamil Yilmaz - Improving GDP measurement: a measurement-error perspective (RePEc:fip:fedpwp:13-16)
by S. Boragan Aruoba & Francis X. Diebold & Jeremy J. Nalewaik & Frank Schorfheide & Dongho Song - On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates (RePEc:fip:fedpwp:89897)
by Francis X. Diebold & Minchul Shin & Boyuan Zhang - Further evidence on business cycle duration dependence (RePEc:fip:fedpwp:91-11)
by Francis X. Diebold & Glenn D. Rudebusch & Daniel E. Sichel - Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures (RePEc:fip:fedpwp:93-11)
by Celia Chen & Francis X. Diebold - Regime switching with time-varying transition probabilities (RePEc:fip:fedpwp:93-12)
by Francis X. Diebold & Joon-Haeng Lee & Gretchen C. Weinbach - On cointegration and exchange rate dynamics (RePEc:fip:fedpwp:93-2)
by Francis X. Diebold & Javier Gardeazabal & Kamil Yilmaz - Exact maximum likelihood estimation of ARCH models (RePEc:fip:fedpwp:93-4)
by Francis X. Diebold & Til Schuermann - On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean (RePEc:fip:fedpwp:93-5)
by Yin-Wong Cheung & Francis X. Diebold - On comparing information in forecasts from econometric models: a comment on Fair and Shiller (RePEc:fip:fedpwp:93-6)
by Francis X. Diebold - Optimal prediction under asymmetric loss (RePEc:fip:fedpwp:97-11)
by Peter F. Christoffersen & Francis X. Diebold - Cointegration and long-horizon forecasting (RePEc:fip:fedpwp:97-14)
by Peter F. Christoffersen & Francis X. Diebold - Bounded rationality and strategic complementarity in a macroeconomic model: policy effects, persistence, and multipliers (RePEc:fip:fedpwp:97-18)
by Antulio N. Bomfim & Francis X. Diebold - The past, present, and future of macroeconomic forecasting (RePEc:fip:fedpwp:97-20)
by Francis X. Diebold - Measuring predictability: theory and macroeconomic applications (RePEc:fip:fedpwp:97-23)
by Francis X. Diebold & Lutz Kilian - Evaluating density forecasts (RePEc:fip:fedpwp:97-6)
by Francis X. Diebold & Todd A. Gunther & Anthony S. Tay - Dynamic equilibrium economies: a framework for comparing models and data (RePEc:fip:fedpwp:97-7)
by Jeremy Berkowitz & Francis X. Diebold & Lee E. Ohanian - Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange (RePEc:fth:nystfi:98-079)
by Francis X. Diebold & Jinyong Hahn & Anthony S. Tay - How Relevant is Volatility Forecasting for Financial Risk Management? (RePEc:fth:nystfi:98-080)
by Peter F. Christoffersen & Francis X. Diebold - Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management (RePEc:fth:nystfi:98-081)
by Francis X. Diebold & Til Schuermann & John D. Stroughair - The Distribution of Exchange Rate Volatility (RePEc:fth:nystfi:99-059)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian (RePEc:fth:nystfi:99-060)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation (RePEc:fth:nystfi:99-061)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management (RePEc:fth:nystfi:99-062)
by Anil Bangia & Francis X. Diebold & Til Schuermann & John D. Stroughair - Unit Root Tests are Useful for Selecting Forecasting Models (RePEc:fth:nystfi:99-063)
by Francis X. Diebold & Lutz Kilian - Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors' Introduction (RePEc:ier:iecrev:v:39:y:1998:i:4:p:811-15)
by Diebold, Francis X & West, Kenneth D - Evaluating Density Forecasts with Applications to Financial Risk Management (RePEc:ier:iecrev:v:39:y:1998:i:4:p:863-83)
by Diebold, Francis X & Gunther, Todd A & Tay, Anthony S - Cointegration and Long-Horizon Forecasting (RePEc:imf:imfwpa:1997/061)
by Mr. Francis X. Diebold & Mr. Peter F. Christoffersen - Globalization, the Business Cycle, and Macroeconomic Monitoring (RePEc:imf:imfwpa:2011/025)
by S. Boragan Aruoba & Mr. Marco Terrones & Mr. Ayhan Kose & Mr. Francis X. Diebold - Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics (RePEc:inm:ormnsc:v:52:y:2006:i:8:p:1273-1287)
by Peter F. Christoffersen & Francis X. Diebold - Further Results on Forecasting and Model Selection under Asymmetric Loss (RePEc:jae:japmet:v:11:y:1996:i:5:p:561-71)
by Christoffersen, Peter F & Diebold, Francis X - Measuring predictability: theory and macroeconomic applications (RePEc:jae:japmet:v:16:y:2001:i:6:p:657-669)
by Francis X. Diebold & Lutz Kilian - The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model (RePEc:jae:japmet:v:4:y:1989:i:1:p:1-21)
by Diebold, Francis X & Nerlove, Marc - Structural Time Series Analysis and Modelling Package: A Review (RePEc:jae:japmet:v:4:y:1989:i:2:p:195-204)
by Diebold, Francis X - Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets (RePEc:koc:wpaper:0705)
by Francis X. Diebold & Kamil Yılmaz - Macroeconomic Volatility and Stock Market Volatility,World-Wide (RePEc:koc:wpaper:0711)
by Francis X. Diebold & Kamil Yılmaz - Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers (RePEc:koc:wpaper:1001)
by Francis X. Diebold & Kamil Yilmaz - On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (RePEc:koc:wpaper:1124)
by Francis X. Diebold & Kamil Yilmaz - Estimating Global Bank Network Connectedness (RePEc:koc:wpaper:1512)
by Mert Demirer & Francis X. Diebold & Laura Liu & Kamil Yilmaz - Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian (RePEc:mfj:journl:v:4:y:2000:i:3-4:p:159-179)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - Globalization, the Business Cycle, and Macroeconomic Monitoring (RePEc:nbr:nberch:12198)
by S. Borağan Aruoba & Francis X. Diebold & M. Ayhan Kose & Marco E. Terrones - Further Evidence on Business-Cycle Duration Dependence (RePEc:nbr:nberch:7194)
by Francis X. Diebold & Glenn Rudebusch & Daniel Sichel - Practical Volatility and Correlation Modeling for Financial Market Risk Management (RePEc:nbr:nberch:9618)
by Torben G. Andersen & Tim Bollerslev & Peter Christoffersen & Francis X. Diebold - Optimal Prediction Under Asymmetric Loss (RePEc:nbr:nberte:0167)
by Peter F. Christoffersen & Francis X. Diebold - Comparing Predictive Accuracy (RePEc:nbr:nberte:0169)
by Francis X. Diebold & Roberto S. Mariano - Measuring Volatility Dynamics (RePEc:nbr:nberte:0173)
by Francis X. Diebold & Jose A. Lopez - Dynamic Equilibrium Economies: A Framework for Comparing Models and Data (RePEc:nbr:nberte:0174)
by Francis X. Diebold & Lee E. Ohanian & Jeremy Berkowitz - Forecast Evaluation and Combination (RePEc:nbr:nberte:0192)
by Francis X. Diebold & Jose A. Lopez - Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models (RePEc:nbr:nberte:0194)
by Francis X. Diebold & Til Schuermann - Measuring Predictability: Theory and Macroeconomic Applications (RePEc:nbr:nberte:0213)
by Francis X. Diebold & Lutz Kilian - Evaluating Density Forecasts (RePEc:nbr:nberte:0215)
by Francis X. Diebold & Todd A. Gunther & Anthony S. Tay - Cointegration and Long-Horizon Forecasting (RePEc:nbr:nberte:0217)
by Peter F. Christoffersen & Francis X. Diebold - Long Memory and Regime Switching (RePEc:nbr:nberte:0264)
by Francis X. Diebold & Atsushi Inoue - Parametric and Nonparametric Volatility Measurement (RePEc:nbr:nberte:0279)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold - Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics (RePEc:nbr:nberwo:10009)
by Peter F. Christoffersen & Francis X. Diebold - Forecasting the Term Structure of Government Bond Yields (RePEc:nbr:nberwo:10048)
by Francis X. Diebold & Canlin Li - Weather Forecasting for Weather Derivatives (RePEc:nbr:nberwo:10141)
by Sean D. Campbell & Francis X. Diebold - The Nobel Memorial Prize for Robert F. Engle (RePEc:nbr:nberwo:10423)
by Francis X. Diebold - The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach (RePEc:nbr:nberwo:10616)
by Francis X. Diebold & Glenn D. Rudebusch & S. Boragan Aruoba - Practical Volatility and Correlation Modeling for Financial Market Risk Management (RePEc:nbr:nberwo:11069)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold - Modeling Bond Yields in Finance and Macroeconomics (RePEc:nbr:nberwo:11089)
by Francis X. Diebold & Monika Piazzesi & Glenn Rudebusch - A Framework for Exploring the Macroeconomic Determinants of Systematic Risk (RePEc:nbr:nberwo:11134)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu - Volatility Forecasting (RePEc:nbr:nberwo:11188)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold - Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets (RePEc:nbr:nberwo:11312)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega - Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence (RePEc:nbr:nberwo:11736)
by Sean D. Campbell & Francis X. Diebold - Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility (RePEc:nbr:nberwo:11775)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold - Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach (RePEc:nbr:nberwo:13588)
by Francis X. Diebold & Canlin Li & Vivian Z. Yue - The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models (RePEc:nbr:nberwo:13611)
by Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch - Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets (RePEc:nbr:nberwo:13811)
by Francis X. Diebold & Kamil Yilmaz - Macroeconomic Volatility and Stock Market Volatility, Worldwide (RePEc:nbr:nberwo:14269)
by Francis X. Diebold & Kamil Yilmaz - Real-Time Measurement of Business Conditions (RePEc:nbr:nberwo:14349)
by S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti - An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model (RePEc:nbr:nberwo:14463)
by Jens H.E. Christensen & Francis X. Diebold & Glenn D. Rudebusch - Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions (RePEc:nbr:nberwo:15657)
by S. Boragan Aruoba & Francis X. Diebold - Globalization, the Business Cycle, and Macroeconomic Monitoring (RePEc:nbr:nberwo:16264)
by S. Boragan Aruoba & Francis X. Diebold & M. Ayhan Kose & Marco E. Terrones - On the Correlation Structure of Microstructure Noise: A Financial Economic Approach (RePEc:nbr:nberwo:16469)
by Francis X. Diebold & Georg Strasser - Improving GDP Measurement: A Forecast Combination Perspective (RePEc:nbr:nberwo:17421)
by S. Boragan Aruoba & Francis X. Diebold & Jeremy Nalewaik & Frank Schorfheide & Dongho Song - On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (RePEc:nbr:nberwo:17490)
by Francis X. Diebold & Kamil Yilmaz - A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities (RePEc:nbr:nberwo:18078)
by Fei Chen & Francis X. Diebold & Frank Schorfheide - Financial Risk Measurement for Financial Risk Management (RePEc:nbr:nberwo:18084)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold - Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests (RePEc:nbr:nberwo:18391)
by Francis X. Diebold - Improving GDP Measurement: A Measurement-Error Perspective (RePEc:nbr:nberwo:18954)
by S. Boraǧan Aruoba & Francis X. Diebold & Jeremy Nalewaik & Frank Schorfheide & Dongho Song - Assessing Point Forecast Accuracy by Stochastic Error Distance (RePEc:nbr:nberwo:22516)
by Francis X. Diebold & Minchul Shin - Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility (RePEc:nbr:nberwo:22615)
by Francis X. Diebold & Frank Schorfheide & Minchul Shin - Estimating Global Bank Network Connectedness (RePEc:nbr:nberwo:23140)
by Mert Demirer & Francis X. Diebold & Laura Liu & Kamil Yılmaz - Commodity Connectedness (RePEc:nbr:nberwo:23685)
by Francis X. Diebold & Laura Liu & Kamil Yilmaz - Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives (RePEc:nbr:nberwo:24967)
by Francis X. Diebold & Minchul Shin - Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession (RePEc:nbr:nberwo:27482)
by Francis X. Diebold - Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections (RePEc:nbr:nberwo:28228)
by Francis X. Diebold & Glenn D. Rudebusch - On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates (RePEc:nbr:nberwo:29635)
by Francis X. Diebold & Minchul Shin & Boyuan Zhang - A New Test for Market Efficiency and Uncovered Interest Parity (RePEc:nbr:nberwo:30638)
by Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim - When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume (RePEc:nbr:nberwo:30732)
by Francis X. Diebold & Glenn D. Rudebusch & Maximilian Göbel & Philippe Goulet Coulombe & Boyuan Zhang - On Robust Inference in Time Series Regression (RePEc:nbr:nberwo:32554)
by Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim & Aaron Mora - Measuring Business Cycles: A Modern Perspective (RePEc:nbr:nberwo:4643)
by Francis X. Diebold & Glenn D. Rudebusch - Job Stability in the United States (RePEc:nbr:nberwo:4859)
by Francis X. Diebold & David Neumark & Daniel Polsky - Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again (RePEc:nbr:nberwo:5481)
by Francis X. Diebold & Abdelhak S. Senhadji - Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers (RePEc:nbr:nberwo:5482)
by Antulio N. Bomfim & Francis X. Diebold - Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters (RePEc:nbr:nberwo:6228)
by Francis X. Diebold & Anthony S. Tay & Kenneth F. Wallis - The Past, Present, and Future of Macroeconomic Forecasting (RePEc:nbr:nberwo:6290)
by Francis X. Diebold - How Relevant is Volatility Forecasting for Financial Risk Management? (RePEc:nbr:nberwo:6844)
by Peter F. Christoffersen & Francis X. Diebold - Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange (RePEc:nbr:nberwo:6845)
by Francis X. Diebold & Jinyong Hahn & Anthony S. Tay - Unit Root Tests Are Useful for Selecting Forecasting Models (RePEc:nbr:nberwo:6928)
by Francis X. Diebold & Lutz Kilian - The Distribution of Exchange Rate Volatility (RePEc:nbr:nberwo:6961)
by Torben Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian (RePEc:nbr:nberwo:7488)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - The Distribution of Stock Return Volatility (RePEc:nbr:nberwo:7933)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Heiko Ebens - Modeling and Forecasting Realized Volatility (RePEc:nbr:nberwo:8160)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models (RePEc:nbr:nberwo:8162)
by Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold - Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (RePEc:nbr:nberwo:8959)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega - A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations (RePEc:nbr:nberwo:9664)
by Michael W. Brandt & Francis X. Diebold - Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 (RePEc:oup:jfinec:v:14:y:2016:i:1:p:81-127.)
by Francis X. Diebold & Kamil Yilmaz - Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) (RePEc:oup:jfinec:v:18:y::i:3:p:471-472.)
by Francis X Diebold & René Garcia & Kris Jacobs - Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) (RePEc:oup:jfinec:v:18:y:2020:i:3:p:471-472.)
by Francis X Diebold & René Garcia & Kris Jacobs - Dynamic Equilibrium Economies: A Framework for Comparing Models and Data (RePEc:oup:restud:v:65:y:1998:i:3:p:433-451.)
by Francis X. Diebold & Lee E. Ohanian & Jeremy Berkowitz - On the Correlation Structure of Microstructure Noise: A Financial Economic Approach (RePEc:oup:restud:v:80:y:2013:i:4:p:1304-1337)
by Francis X. Diebold & Georg Strasser - Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring (RePEc:oxp:obooks:9780199338306)
by Diebold, Francis X. & Yilmaz, Kamil - Symposium on Forecasting Performance: An Introduction (RePEc:pal:imfstp:v:49:y:2002:i:1:p:1)
by Francis X. Diebold - A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations (RePEc:pen:papers:03-013)
by Michael W. Brandt & Francis X. Diebold - The Macroeconomy and the Yield Curve: A Nonstructural Analysis (RePEc:pen:papers:03-024)
by Francis X. Diebold & Glenn D. Rudebusch & S. Boragan Aruoba - Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility (RePEc:pen:papers:03-025)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold - Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics (RePEc:pen:papers:04-009)
by Peter F. Christoffersen & Francis X.Diebold - The Nobel Memorial Prize for Robert F. Engle (RePEc:pen:papers:04-010)
by Francis X. Diebold - Realized Beta: Persistence and Predictability (RePEc:pen:papers:04-018)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu - Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets (RePEc:pen:papers:04-028)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega - Practical Volatility and Correlation Modeling for Financial Market Risk Management (RePEc:pen:papers:05-007)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold - Modeling Bond Yields in Finance and Macroeconomics (RePEc:pen:papers:05-008)
by Francis X. Diebold & Monika Piazzesi & Glenn D. Rudebusch - A Framework for Exploring the Macroeconomic Determinants of Systematic Risk (RePEc:pen:papers:05-009)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu - Volatility Forecasting (RePEc:pen:papers:05-011)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold - Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence (RePEc:pen:papers:05-025)
by Sean D. Campbell & Francis X. Diebold - Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence (RePEc:pen:papers:06-016)
by Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse - A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration (RePEc:pen:papers:06-017)
by Francis X. Diebold & Lei Ji & Canlin Li - Time Series Analysis (RePEc:pen:papers:06-019)
by Francis X. Diebold & Lutz Kilian & Marc Nerlove - Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets (RePEc:pen:papers:07-002)
by Francis X. Diebold & Kamil Yilmaz - Real-Time Measurement of Business Conditions (RePEc:pen:papers:07-028)
by S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti - The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models (RePEc:pen:papers:07-029)
by Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch - Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach (RePEc:pen:papers:07-030)
by Francis X. Diebold & Canlin Li & Vivian Z. Yue - Real-Time Measurement of Business Conditions, Second Version (RePEc:pen:papers:08-011)
by S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti - An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model (RePEc:pen:papers:08-030)
by Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch - Macroeconomic Volatility and Stock Market Volatility, World-Wide (RePEc:pen:papers:08-031)
by Francis X. Diebold & Kamil Yilmaz - On the Correlation Structure of Microstructure Noise in Theory and Practice (RePEc:pen:papers:08-038)
by Francis X. Diebold & Georg H. Strasser - Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions (RePEc:pen:papers:10-002)
by S. Boragan Aruoba & Francis X. Diebold - Improving GDP Measurement: A Forecast Combination Perspective (RePEc:pen:papers:11-028)
by Boragan Aruoba & Francis X. Diebold & Jeremy Nalewaik & Frank Schorfheide & Dongho Song - On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (RePEc:pen:papers:11-031)
by Francis X. Diebold & Kamil Yılmaz - Financial Risk Measurement for Financial Risk Management (RePEc:pen:papers:11-037)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold - A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities (RePEc:pen:papers:12-020)
by Fei Chen & Francis X. Diebold & Frank Schorfheide - Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests (RePEc:pen:papers:12-035)
by Francis X. Diebold - On the Origin(s) and Development of the Term “Big Data" (RePEc:pen:papers:12-037)
by Francis X. Diebold - A Personal Perspective on the Origin(s) and Development of “Big Data": The Phenomenon, the Term, and the Discipline, Second Version (RePEc:pen:papers:13-003)
by Francis X. Diebold - Improving GDP Measurement: A Measurement-Error Perspective (RePEc:pen:papers:13-016)
by Boragan Aruoba & Francis X. Diebold & Jeremy Nalewaik & Frank Schorfheide & Dongho Song - Measuring the Dynamics of Global Business Cycle Connectedness (RePEc:pen:papers:13-070)
by Francis X. Diebold & Kamil Yilmaz - Assessing Point Forecast Accuracy by Stochastic Error Distance (RePEc:pen:papers:14-038)
by Francis X. Diebold & Minchul Shin - Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility (RePEc:pen:papers:15-018)
by Francis X. Diebold & Frank Schorfheide & Minchul Shin - Estimating Global Bank Network Connectedness (RePEc:pen:papers:15-025)
by Mert Demirer & Francis X. Diebold & Laura Liu & Kamil Yilmaz - Commodity Connectedness (RePEc:pen:papers:17-003)
by Francis X. Diebold & Laura Liu & Kamil Yilmaz - Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts (RePEc:pen:papers:17-017)
by Francis X. Diebold & Minchul Shin - On the Comparison of Interval Forecasts (RePEc:pen:papers:18-013)
by Ross Askanazi & Francis X. Diebold & Frank Schorfheide & Minchul Shin - Machine Learning for Regularized Survey Forecast Combination: Partially Egalitarian Lasso and its Derivatives (RePEc:pen:papers:18-014)
by Francis X. Diebold & Minchul Shin - On the Evolution of U.S. Temperature Dynamics (RePEc:pen:papers:19-012)
by Francis X. Diebold & Glenn D. Rudebusch - Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections (RePEc:pen:papers:20-001)
by Francis X. Diebold & Glenn D. Rudebusch - Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach (RePEc:pen:papers:20-012)
by Francis X. Diebold & Maximilian Gobel & Philippe Goulet Coulombe & Glenn D. Rudebusch & Boyuan Zhang - Real-Time Real Economic Activity:Exiting the Great Recession and Entering the Pandemic Recession (RePEc:pen:papers:20-023)
by Francis X. Diebold - On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone In?ation and Real Interest Rates (RePEc:pen:papers:21-002)
by Francis X. Diebold & Minchul Shin & Boyuan Zhang - Real-Time Real Economic Activity:Entering and Exiting the Pandemic Recession of 2020 (RePEc:pen:papers:22-001)
by Francis X. Diebold - A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting (RePEc:pen:papers:22-002)
by Francis X. Diebold & Maximilian Gobel - When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume (RePEc:pen:papers:22-011)
by Francis X. Diebold & Glenn D. Rudebusch & Maximilian Gobel & Philippe Goulet Coulombe & Boyuan Zhang - On Robust Inference in Time Series Regression (RePEc:pen:papers:22-012)
by Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim - Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice:Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models (RePEc:pen:papers:22-028)
by Francis X. Diebold & Maximilian Gobel & Philippe Goulet Coulombe - A New Test forMarket Efficiency and Uncovered Interest Parity (RePEc:pen:papers:22-029)
by Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim - Introduction (RePEc:pup:chapts:9223-1)
by Francis X. Diebold & Neil A. Doherty & Richard J. Herring - Facts, Factors, and Questions
[Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach] (RePEc:pup:chapts:9895-1)
by Francis X. Diebold & Glenn D. Rudebusch - Business Cycles: Durations, Dynamics, and Forecasting (RePEc:pup:pbooks:6636)
by Francis X. Diebold & Glenn D. Rudebusch - The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice (RePEc:pup:pbooks:9223)
by Francis X. Diebold & Neil A. Doherty & Richard J. Herring - Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach (RePEc:pup:pbooks:9895)
by Francis X. Diebold & Glenn D. Rudebusch - Priors from Frequency-Domain Dummy Observations (RePEc:red:sed008:310)
by Frank Schorfheide & Francis X. Diebold & Marco Del Negro - Real-Time Measurement of Business Conditions (RePEc:sce:scecfa:387)
by Chiara Scotti & S.Boragan Aruoba & Francis X. Diebold & University of Maryland - Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore (RePEc:siu:wpaper:02-2005)
by Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse - Has the EMS Reduced Member-Country Exchange Rate Volatility? (RePEc:spr:empeco:v:13:y:1988:i:2:p:81-102)
by Diebold, F X & Pauly, P - Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters (RePEc:ste:nystbu:98-15)
by Francis X. Diebold & Anthony S. Tay & Kenneth F. Wallis - Measuring Predictability: Theory and Macroeconomic Applications (RePEc:ste:nystbu:98-16)
by Francis X. Diebold & Lutz Kilian - Assessing point forecast accuracy by stochastic error distance (RePEc:taf:emetrv:v:36:y:2017:i:6-9:p:588-598)
by Francis X. Diebold & Minchul Shin - Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests (RePEc:taf:jnlbes:v:33:y:2015:i:1:p:1-1)
by Francis X. Diebold - Rejoinder (RePEc:taf:jnlbes:v:33:y:2015:i:1:p:24-24)
by Francis X. Diebold - Is Consumption Too Smooth? Long Memory and the Deaton Paradox (RePEc:tpr:restat:v:73:y:1991:i:1:p:1-9)
by Diebold, Francis X & Rudebusch, Glenn D - Measuring Business Cycles: A Modern Perspective (RePEc:tpr:restat:v:78:y:1996:i:1:p:67-77)
by Diebold, Francis X & Rudebusch, Glenn D - Bootstrapping Multivariate Spectra (RePEc:tpr:restat:v:80:y:1998:i:4:p:664-666)
by Jeremy Berkowitz & Francis X. Diebold - Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange (RePEc:tpr:restat:v:81:y:1999:i:4:p:661-673)
by Francis X. Diebold & Jinyong Hahn & Anthony S. Tay - How Relevant is Volatility Forecasting for Financial Risk Management? (RePEc:tpr:restat:v:82:y:2000:i:1:p:12-22)
by Peter F. Christoffersen & Francis X. Diebold - Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (RePEc:tpr:restat:v:89:y:2007:i:4:p:701-720)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold - Globalization, the Business Cycle, and Macroeconomic Monitoring (RePEc:ucp:intsma:doi:10.1086/658307)
by S. Borağan Aruoba & Francis X. Diebold & M. Ayhan Kose & Marco E. Terrones - Job Stability in the United States (RePEc:ucp:jlabec:v:15:y:1997:i:2:p:206-33)
by Diebold, Francis X & Neumark, David & Polsky, Daniel - Scoring the Leading Indicators (RePEc:ucp:jnlbus:v:62:y:1989:i:3:p:369-91)
by Diebold, Francis X & Rudebusch, Glenn D - A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations (RePEc:ucp:jnlbus:v:79:y:2006:i:1:p:61-74)
by Michael W. Brandt & Francis X. Diebold - A Nonparametric Investigation of Duration Dependence in the American Business Cycle (RePEc:ucp:jpolec:v:98:y:1990:i:3:p:596-616)
by Diebold, Francis X & Rudebusch, Glenn D - Real Exchange Rates under the Gold Standard (RePEc:ucp:jpolec:v:99:y:1991:i:6:p:1252-71)
by Diebold, Francis X & Husted, Steven & Rush, Mark - Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (RePEc:wly:econjl:v:119:y:2009:i:534:p:158-171)
by Francis X. Diebold & Kamil Yilmaz - Estimating global bank network connectedness (RePEc:wly:japmet:v:33:y:2018:i:1:p:1-15)
by Mert Demirer & Francis X. Diebold & Laura Liu & Kamil Yilmaz - Evaluating Density Forecasts (RePEc:wop:pennca:97-18)
by Francis X. Diebold & Todd A. Gunther & Anthony S. Tay - Measuring Predictability: Theory and Macroeconomic Applications (RePEc:wop:pennca:97-19)
by Francis X. Diebold & Lutz Kilian - Optimal Prediction Under Asymmetric Loss (RePEc:wop:pennca:97-20)
by Peter F. Christoffersen & Francis X. Diebold - Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again (RePEc:wop:pennhp:_054)
by Diebold & Senhadji - Why Are Estimates of Agricultural Supply Response So Variable? (RePEc:wop:pennhp:_055)
by Diebold & Lamb - Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers (RePEc:wop:pennhp:_057)
by Bomfim & Diebold - Stamp 5.0: A Review (RePEc:wop:pennhp:_058)
by Diebold, Giorgianni, & Inoue - Further Results on Forecasting and Model Selection Under Asymmetric Loss (RePEc:wop:pennhp:_059)
by Christoffersen & Diebold - Optimal Prediction Under Asymmetric Loss (RePEc:wop:pennhp:_060)
by Christoffersen & Diebold - Measuring Business Cycle: A Modern Perspective (RePEc:wop:pennhp:_061)
by Diebold & Rudebusch - Modeling Volatility Dynamics (RePEc:wop:pennhp:_062)
by Diebold & Lopez - Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing (RePEc:wop:pennin:00-26)
by Anil Bangia & Francis X. Diebold & Til Schuermann - The Distribution of Stock Return Volatility (RePEc:wop:pennin:00-27)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Heiko Ebens - Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think (RePEc:wop:pennin:00-28)
by Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold - Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian (RePEc:wop:pennin:00-29)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - Modeling and Forecasting Realized Volatility (RePEc:wop:pennin:01-01)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? (RePEc:wop:pennin:02-23)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega - Parametric and Nonparametric Volatility Measurement (RePEc:wop:pennin:02-27)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold - Forecasting the Term Structure of Government Bond Yields (RePEc:wop:pennin:02-34)
by Francis X. Diebold & Canlin Li - Weather Forecasting for Weather Derivatives (RePEc:wop:pennin:02-42)
by Sean D. Campbell & Francis X. Diebold - A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations (RePEc:wop:pennin:03-15)
by Michael W. Brandt & Francis X. Diebold & April - Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think (RePEc:wop:pennin:97-34)
by Francis X. Diebold & Andrew Hickman & Atsushi Inoue & Til Schuermann - Evaluating Density Forecasts (RePEc:wop:pennin:97-37)
by Francis X. Diebold & Todd A. Gunther & Anthony S. Tay - How Relevant is Volatility Forecasting for Financial Risk Management? (RePEc:wop:pennin:97-45)
by Peter F. Christoffersen & Francis X. Diebold - Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management (RePEc:wop:pennin:98-10)
by Francis X. Diebold & Til Schuermann & John D. Stroughair - Horizon Problems and Extreme Events in Financial Risk Management (RePEc:wop:pennin:98-16)
by Peter F. Christoffersen & Francis X. Diebold & Til Schuermann - Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange (RePEc:wop:pennin:99-05)
by Francis X. Diebold & Jinyong Hahn & Anthony S. Tay - Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management (RePEc:wop:pennin:99-06)
by Anil Bangia & Francis X. Diebold & Til Schuermann & John D. Stroughair - The Distribution of Exchange Rate Volatility (RePEc:wop:pennin:99-08)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys - Financial Risk Management in a Volatile Global Environment (RePEc:wop:pennin:99-43)
by Francis X. Diebold & Anthony M. Santomero - The Macroeconomy and the Yield Curve: A Nonstructural Analysis (RePEc:zbw:cfswop:200331)
by Francis X. Diebold, & Rudebusch, Glenn D. & Aruoba, S. Boragan - Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility (RePEc:zbw:cfswop:200335)
by Andersen, Torben G. & Bollerslev, Tim & Francis X. Diebold, - A no-arbitrage approach to range-based estimation of return covariances and correlations (RePEc:zbw:cfswop:200407)
by Brandt, Michael W. & Diebold, Francis X. - Financial asset returns, direction-of-change forecasting, and volatility dynamics (RePEc:zbw:cfswop:200408)
by Christoffersen, Peter F. & Diebold, Francis X. - Forecasting the term structure of government bond yields (RePEc:zbw:cfswop:200409)
by Diebold, Francis X. & Li, Canlin - Weather forecasting for weather derivatives (RePEc:zbw:cfswop:200410)
by Campbell, Sean D. & Diebold, Francis X. - The Nobel Memorial Prize for Robert F. Engle (RePEc:zbw:cfswop:200411)
by Diebold, Francis X. - Realized beta: Persistence and predictability (RePEc:zbw:cfswop:200416)
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Wu, Jin - Real-time price discovery in stock, bond and foreign exchange markets (RePEc:zbw:cfswop:200419)
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara - Practical volatility and correlation modeling for financial market risk management (RePEc:zbw:cfswop:200502)
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X. - Modeling bond yields in finance and macroeconomics (RePEc:zbw:cfswop:200503)
by Diebold, Francis X. & Piazzesi, Monica & Rudebusch, Glenn D. - A framework for exploring the macroeconomic determinants of systematic risk (RePEc:zbw:cfswop:200504)
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Wu, Jin - Volatility forecasting (RePEc:zbw:cfswop:200508)
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X. - Stock returns and expected business conditions: Half a century of direct evidence (RePEc:zbw:cfswop:200522)
by Campbell, Sean D. & Diebold, Francis X. - Measuring financial asset return and volatility spillovers, with application to global equity markets (RePEc:zbw:cfswop:200702)
by Diebold, Francis X. & Yilmaz, Kamil - Measuring financial asset return and volatilty spillovers, with application to global equity markets (RePEc:zbw:cfswop:200826)
by Diebold, Francis X. & Yilmaz, Kamil - Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach (RePEc:zbw:cfswop:200827)
by Diebold, Francis X. & Li, Canlin & Yue, Vivian Z. - On the correlation structure of microstructure noise in theory and practice (RePEc:zbw:cfswop:200832)
by Diebold, Francis X. & Strasser, Georg H. - Commodity connectedness (RePEc:zbw:cfswop:575)
by Diebold, Francis X. & Liu, Laura & Yilmaz, Kamil - Real-time forecast evaluation of DSGE models with stochastic volatility (RePEc:zbw:cfswop:577)
by Diebold, Francis X. & Schorfheide, Frank & Shin, Minchul