Francis Diebold
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Francis |
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X. |
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Diebold |
Identifer
Contact
Affiliations
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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
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold
(ReDIF-paper, aah:create:2007-18) - Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega
(ReDIF-paper, aah:create:2007-20) - Financial Risk Measurement for Financial Risk Management
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold
(ReDIF-paper, aah:create:2011-37) - Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions
American Economic Review, American Economic Association (2010)
by S. Boragan Aruoba & Francis X. Diebold
(ReDIF-article, aea:aecrev:v:100:y:2010:i:2:p:20-24) - Have Postwar Economic Fluctuations Been Stabilized?
American Economic Review, American Economic Association (1992)
by Diebold, Francis X & Rudebusch, Glenn D
(ReDIF-article, aea:aecrev:v:82:y:1992:i:4:p:993-1005) - The Uncertain Unit Root in Real GNP: Comment
American Economic Review, American Economic Association (1996)
by Diebold, Francis X & Senhadji, Abdelhak S
(ReDIF-article, aea:aecrev:v:86:y:1996:i:5:p:1291-98) - Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
American Economic Review, American Economic Association (2003)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega
(ReDIF-article, aea:aecrev:v:93:y:2003:i:1:p:38-62) - A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
American Economic Review, American Economic Association (2005)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu
(ReDIF-article, aea:aecrev:v:95:y:2005:i:2:p:398-404) - Modeling Bond Yields in Finance and Macroeconomics
American Economic Review, American Economic Association (2005)
by Francis X. Diebold & Monika Piazzesi & Glenn D. Rudebusch
(ReDIF-article, aea:aecrev:v:95:y:2005:i:2:p:415-420) - The Past, Present, and Future of Macroeconomic Forecasting
Journal of Economic Perspectives, American Economic Association (1998)
by Francis X. Diebold
(ReDIF-article, aea:jecper:v:12:y:1998:i:2:p:175-92) - Time Series Analysis
Working Papers, University of Maryland, Department of Agricultural and Resource Economics (2006)
by Diebold, F.X. & Kilian, L. & Nerlove, Marc
(ReDIF-paper, ags:umdrwp:28556) - On the Evolution of U.S. Temperature Dynamics
Papers, arXiv.org (2019)
by Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-paper, arx:papers:1907.06303) - Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections
Papers, arXiv.org (2019)
by Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-paper, arx:papers:1912.10774) - Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach
Papers, arXiv.org (2020)
by Francis X. Diebold & Maximilian Gobel & Philippe Goulet Coulombe & Glenn D. Rudebusch & Boyuan Zhang
(ReDIF-paper, arx:papers:2003.14276) - Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020
Papers, arXiv.org (2020)
by Francis X. Diebold
(ReDIF-paper, arx:papers:2006.15183) - "Big Data" and its Origins
Papers, arXiv.org (2020)
by Francis X. Diebold
(ReDIF-paper, arx:papers:2008.05835) - On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates
Papers, arXiv.org (2020)
by Francis X. Diebold & Minchul Shin & Boyuan Zhang
(ReDIF-paper, arx:papers:2012.11649) - A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting
Papers, arXiv.org (2021)
by Francis X. Diebold & Maximilian Gobel
(ReDIF-paper, arx:papers:2101.10359) - When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume
Papers, arXiv.org (2022)
by Francis X. Diebold & Glenn D. Rudebusch & Maximilian Goebel & Philippe Goulet Coulombe & Boyuan Zhang
(ReDIF-paper, arx:papers:2203.04040) - On Robust Inference in Time Series Regression
Papers, arXiv.org (2022)
by Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim & Aaron Mora
(ReDIF-paper, arx:papers:2203.04080) - Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice: Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models
Papers, arXiv.org (2022)
by Francis X. Diebold & Maximilian Goebel & Philippe Goulet Coulombe
(ReDIF-paper, arx:papers:2206.10721) - On the Financing of Climate Change Adaptation in Developing Countries
Papers, arXiv.org (2022)
by Francis X. Diebold
(ReDIF-paper, arx:papers:2210.11525) - A New Test for Market Efficiency and Uncovered Interest Parity
Papers, arXiv.org (2022)
by Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim
(ReDIF-paper, arx:papers:2211.01344) - On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness
Papers, arXiv.org (2022)
by Francis X. Diebold & Kamil Yilmaz
(ReDIF-paper, arx:papers:2211.04184) - Weather Forecasting for Weather Derivatives
Journal of the American Statistical Association, American Statistical Association (2005)
by Sean D. Campbell & Francis X. Diebold
(ReDIF-article, bes:jnlasa:v:100:y:2005:p:6-16) - The Distribution of Realized Exchange Rate Volatility
Journal of the American Statistical Association, American Statistical Association (2001)
by Andersen T. G & Bollerslev T. & Diebold F. X & Labys P.
(ReDIF-article, bes:jnlasa:v:96:y:2001:m:march:p:42-55) - Comparing Predictive Accuracy
Journal of Business & Economic Statistics, American Statistical Association (1995)
by Diebold, Francis X & Mariano, Roberto S
(ReDIF-article, bes:jnlbes:v:13:y:1995:i:3:p:253-63) - Cointegration and Long-Horizon Forecasting
Journal of Business & Economic Statistics, American Statistical Association (1998)
by Christoffersen, Peter F & Diebold, Francis X
(ReDIF-article, bes:jnlbes:v:16:y:1998:i:4:p:450-58) - Unit-Root Tests Are Useful for Selecting Forecasting Models
Journal of Business & Economic Statistics, American Statistical Association (2000)
by Diebold, Francis X & Kilian, Lutz
(ReDIF-article, bes:jnlbes:v:18:y:2000:i:3:p:265-73) - Comparing Predictive Accuracy
Journal of Business & Economic Statistics, American Statistical Association (2002)
by Diebold, Francis X & Mariano, Roberto S
(ReDIF-article, bes:jnlbes:v:20:y:2002:i:1:p:134-44) - Comment
Journal of Business & Economic Statistics, American Statistical Association (2006)
by Diebold, Francis X.
(ReDIF-article, bes:jnlbes:v:24:y:2006:p:181-183) - Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
Journal of Business & Economic Statistics, American Statistical Association (2009)
by Campbell, Sean D. & Diebold, Francis X.
(ReDIF-article, bes:jnlbes:v:27:i:2:y:2009:p:266-278) - Real-Time Measurement of Business Conditions
Journal of Business & Economic Statistics, American Statistical Association (2009)
by Aruoba, S. BoraÄŸan & Diebold, Francis X. & Scotti, Chiara
(ReDIF-article, bes:jnlbes:v:27:i:4:y:2009:p:417-427) - Serial Correlation and the Combination of Forecasts
Journal of Business & Economic Statistics, American Statistical Association (1988)
by Diebold, Francis X
(ReDIF-article, bes:jnlbes:v:6:y:1988:i:1:p:105-11) - An Application of Operational-Subjective Statistical Methods to Rational Expectations: Comment
Journal of Business & Economic Statistics, American Statistical Association (1988)
by Diebold, Francis X
(ReDIF-article, bes:jnlbes:v:6:y:1988:i:4:p:470-72) - Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics
Journal of Business & Economic Statistics, American Statistical Association (1990)
by Diebold, Francis X & Sharpe, Steven A
(ReDIF-article, bes:jnlbes:v:8:y:1990:i:3:p:281-91) - On Cointegration and Exchange Rate Dynamics
Journal of Finance, American Finance Association (1994)
by Diebold, Francis X & Gardeazabal, Javier & Yilmaz, Kamil
(ReDIF-article, bla:jfinan:v:49:y:1994:i:2:p:727-35) - Range‐Based Estimation of Stochastic Volatility Models
Journal of Finance, American Finance Association (2002)
by Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold
(ReDIF-article, bla:jfinan:v:57:y:2002:i:3:p:1047-1091) - On the Comparison of Interval Forecasts
Journal of Time Series Analysis, Wiley Blackwell (2018)
by Ross Askanazi & Francis X. Diebold & Frank Schorfheide & Minchul Shin
(ReDIF-article, bla:jtsera:v:39:y:2018:i:6:p:953-965) - The Nobel Memorial Prize for Robert F. Engle
Scandinavian Journal of Economics, Wiley Blackwell (2004)
by Francis X. Diebold
(ReDIF-article, bla:scandj:v:106:y:2004:i:2:p:165-185) - On the Correlation Structure of Microstructure Noise: A Financial Economic Approach
Boston College Working Papers in Economics, Boston College Department of Economics (2008)
by Francis X. Diebold & Georg H. Strasser
(ReDIF-paper, boc:bocoec:693) - Unknown item RePEc:cfs:cfswop:wp200331 (paper)
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- Unknown item RePEc:cfs:cfswop:wp200522 (paper)
- Equity Market Spillovers in the Americas
Journal Economía Chilena (The Chilean Economy), Central Bank of Chile (2009)
by Francis X. Diebold / Kamil Yilmaz
(ReDIF-article, chb:bcchec:v:12:y:2009:i:2:p:55-65) - Equity Market Spillovers in the Americas
Central Banking, Analysis, and Economic Policies Book Series, Central Bank of Chile (2011)
by Francis X. Diebold & Kamil Yilmaz
(ReDIF-chapter, chb:bcchsb:v15c07pp000-000) - Commodity Connectedness
Central Banking, Analysis, and Economic Policies Book Series, Central Bank of Chile (2018)
by Francis X. Diebold & Laura Liu & Kamil Yilmaz
(ReDIF-chapter, chb:bcchsb:v25c04pp097-136) - Financial Asset Returns, Market Timing, and Volatility Dynamics
CIRANO Working Papers, CIRANO (2002)
by Peter Christoffersen & Francis X. Diebold
(ReDIF-paper, cir:cirwor:2002s-02) - Measuring Predictability: Theory And Macroeconomic Applications
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2000)
by Diebold, Francis & Kilian, Lutz
(ReDIF-paper, cpr:ceprdp:2424) - Optimal Prediction Under Asymmetric Loss
Econometric Theory, Cambridge University Press (1997)
by Christoffersen, Peter F. & Diebold, Francis X.
(ReDIF-article, cup:etheor:v:13:y:1997:i:06:p:808-817_00) - The Et Interview: Professor Robert F. Engle, January 2003
Econometric Theory, Cambridge University Press (2003)
by Diebold, Francis X.
(ReDIF-article, cup:etheor:v:19:y:2003:i:06:p:1159-1193_19) - 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
Econometric Theory, Cambridge University Press (1992)
by Diebold, Francis X.
(ReDIF-article, cup:etheor:v:8:y:1992:i:02:p:293-299_01) - Modeling and Forecasting Realized Volatility
Working Papers, Duke University, Department of Economics (2002)
by Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Labys, Paul
(ReDIF-paper, duk:dukeec:02-12) - Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
Working Papers, Duke University, Department of Economics (2002)
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara
(ReDIF-paper, duk:dukeec:02-16) - Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence
Finance Working Papers, East Asian Bureau of Economic Research (2006)
by Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse
(ReDIF-paper, eab:financ:22075) - Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence
Finance Working Papers, East Asian Bureau of Economic Research (2006)
by Anthony S. Tay & Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Yiu Kuen Tse
(ReDIF-paper, eab:financ:22481) - Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers
Economic Journal, Royal Economic Society (1997)
by Bomfim, Antulio N & Diebold, Francis X
(ReDIF-article, ecj:econjl:v:107:y:1997:i:444:p:1358-74) - Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
Economic Journal, Royal Economic Society (2009)
by FrancisX. Diebold & Kamil Yilmaz
(ReDIF-article, ecj:econjl:v:119:y:2009:i:534:p:158-171) - Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2002)
by Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara
(ReDIF-paper, ecl:upafin:02-1) - A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities
Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2012)
by Chen, Fei & Diebold, Francis X. & Schorfheide, Frank
(ReDIF-paper, ecl:upafin:12-09) - Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics
Econometric Society 2004 Australasian Meetings, Econometric Society (2004)
by Francis X. Diebold
(ReDIF-paper, ecm:ausm04:352) - Modeling and Forecasting Realized Volatility
Econometrica, Econometric Society (2003)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys
(ReDIF-article, ecm:emetrp:v:71:y:2003:i:2:p:579-625) - An arbitrage-free generalized Nelson--Siegel term structure model
Econometrics Journal, Royal Economic Society (2009)
by Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-article, ect:emjrnl:v:12:y:2009:i:3:p:c33-c64) - Testing for bubbles, reflecting barriers and other anomalies
Journal of Economic Dynamics and Control, Elsevier (1988)
by Diebold, Francis X.
(ReDIF-article, eee:dyncon:v:12:y:1988:i:1:p:63-70) - State space modeling of time series : A review essay
Journal of Economic Dynamics and Control, Elsevier (1989)
by Diebold, Francis X.
(ReDIF-article, eee:dyncon:v:13:y:1989:i:4:p:597-612) - Volatility and Correlation Forecasting
Handbook of Economic Forecasting, Elsevier (2006)
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X.
(ReDIF-chapter, eee:ecofch:1-15) - Assessing point forecast accuracy by stochastic loss distance
Economics Letters, Elsevier (2015)
by Diebold, Francis X. & Shin, Minchul
(ReDIF-article, eee:ecolet:v:130:y:2015:i:c:p:37-38) - A benchmark model for fixed-target Arctic sea ice forecasting
Economics Letters, Elsevier (2022)
by Diebold, Francis X. & Göbel, Maximilian
(ReDIF-article, eee:ecolet:v:215:y:2022:i:c:s0165176522001161) - The exact initial covariance matrix of the state vector of a general MA(q) process
Economics Letters, Elsevier (1986)
by Diebold, Francis X.
(ReDIF-article, eee:ecolet:v:22:y:1986:i:1:p:27-31) - Exact maximum-likelihood estimation of autoregressive models via the Kalman filter
Economics Letters, Elsevier (1986)
by Diebold, Francis X.
(ReDIF-article, eee:ecolet:v:22:y:1986:i:2-3:p:197-201) - On the power of Dickey-Fuller tests against fractional alternatives
Economics Letters, Elsevier (1991)
by Diebold, Francis X. & Rudebusch, Glenn D.
(ReDIF-article, eee:ecolet:v:35:y:1991:i:2:p:155-160) - Fractional integration and interval prediction
Economics Letters, Elsevier (1996)
by Diebold, Francis X. & Lindner, Peter
(ReDIF-article, eee:ecolet:v:50:y:1996:i:3:p:305-313) - Econometrics: Retrospect and prospect
Journal of Econometrics, Elsevier (2001)
by Diebold, Francis X.
(ReDIF-article, eee:econom:v:100:y:2001:i:1:p:73-75) - Forecasting and empirical methods in finance and macroeconomics
Journal of Econometrics, Elsevier (2001)
by Diebold, F. X. & West, Kenneth D.
(ReDIF-article, eee:econom:v:105:y:2001:i:1:p:1-3) - Long memory and regime switching
Journal of Econometrics, Elsevier (2001)
by Diebold, Francis X. & Inoue, Atsushi
(ReDIF-article, eee:econom:v:105:y:2001:i:1:p:131-159) - Forecasting the term structure of government bond yields
Journal of Econometrics, Elsevier (2006)
by Diebold, Francis X. & Li, Canlin
(ReDIF-article, eee:econom:v:130:y:2006:i:2:p:337-364) - The econometrics of macroeconomics, finance, and the interface
Journal of Econometrics, Elsevier (2006)
by Diebold, F.X. & Engle, R.F. & Favero, C. & Gallo, G.M. & Schorfheide, F.
(ReDIF-article, eee:econom:v:131:y:2006:i:1-2:p:1-2) - The macroeconomy and the yield curve: a dynamic latent factor approach
Journal of Econometrics, Elsevier (2006)
by Diebold, Francis X. & Rudebusch, Glenn D. & Borag[caron]an Aruoba, S.
(ReDIF-article, eee:econom:v:131:y:2006:i:1-2:p:309-338) - Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach
Journal of Econometrics, Elsevier (2008)
by Diebold, Francis X. & Li, Canlin & Yue, Vivian Z.
(ReDIF-article, eee:econom:v:146:y:2008:i:2:p:351-363) - The affine arbitrage-free class of Nelson-Siegel term structure models
Journal of Econometrics, Elsevier (2011)
by Christensen, Jens H.E. & Diebold, Francis X. & Rudebusch, Glenn D.
(ReDIF-article, eee:econom:v:164:y:2011:i:1:p:4-20) - A Markov-switching multifractal inter-trade duration model, with application to US equities
Journal of Econometrics, Elsevier (2013)
by Chen, Fei & Diebold, Francis X. & Schorfheide, Frank
(ReDIF-article, eee:econom:v:177:y:2013:i:2:p:320-342) - On the network topology of variance decompositions: Measuring the connectedness of financial firms
Journal of Econometrics, Elsevier (2014)
by Diebold, Francis X. & Yılmaz, Kamil
(ReDIF-article, eee:econom:v:182:y:2014:i:1:p:119-134) - Improving GDP measurement: A measurement-error perspective
Journal of Econometrics, Elsevier (2016)
by Aruoba, S. Borağan & Diebold, Francis X. & Nalewaik, Jeremy & Schorfheide, Frank & Song, Dongho
(ReDIF-article, eee:econom:v:191:y:2016:i:2:p:384-397) - Real-time forecast evaluation of DSGE models with stochastic volatility
Journal of Econometrics, Elsevier (2017)
by Diebold, Francis X. & Schorfheide, Frank & Shin, Minchul
(ReDIF-article, eee:econom:v:201:y:2017:i:2:p:322-332) - Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections
Journal of Econometrics, Elsevier (2022)
by Diebold, Francis X. & Rudebusch, Glenn D.
(ReDIF-article, eee:econom:v:231:y:2022:i:2:p:520-534) - Discussion : The effect of seasonal adjustment filters on tests for a unit root
Journal of Econometrics, Elsevier (1993)
by Diebold, Francis X.
(ReDIF-article, eee:econom:v:55:y:1993:i:1-2:p:99-103) - On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean
Journal of Econometrics, Elsevier (1994)
by Cheung, Yin-Wong & Diebold, Francis X.
(ReDIF-article, eee:econom:v:62:y:1994:i:2:p:301-316) - Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures
Journal of Econometrics, Elsevier (1996)
by Diebold, Francis X. & Chen, Celia
(ReDIF-article, eee:econom:v:70:y:1996:i:1:p:221-241) - Why are estimates of agricultural supply response so variable?
Journal of Econometrics, Elsevier (1997)
by Diebold, Francis X. & Lamb, Russell L.
(ReDIF-article, eee:econom:v:76:y:1997:i:1-2:p:357-373) - Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate
European Economic Review, Elsevier (1988)
by Diebold, Francis X. & Pauly, Peter
(ReDIF-article, eee:eecrev:v:32:y:1988:i:1:p:27-53) - Financial Risk Measurement for Financial Risk Management
Handbook of the Economics of Finance, Elsevier (2013)
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X.
(ReDIF-chapter, eee:finchp:2-b-1127-1220) - Nonparametric exchange rate prediction?
Journal of International Economics, Elsevier (1990)
by Diebold, Francis X. & Nason, James A.
(ReDIF-article, eee:inecon:v:28:y:1990:i:3-4:p:315-332) - Real-time price discovery in global stock, bond and foreign exchange markets
Journal of International Economics, Elsevier (2007)
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara
(ReDIF-article, eee:inecon:v:73:y:2007:i:2:p:251-277) - Software review
International Journal of Forecasting, Elsevier (1996)
by Koehler, Anne & Diebold, Francis X. & Giogianni, Lorenzo & Inoue, Atsushi
(ReDIF-article, eee:intfor:v:12:y:1996:i:2:p:309-315) - Better to give than to receive: Predictive directional measurement of volatility spillovers
International Journal of Forecasting, Elsevier (2012)
by Diebold, Francis X. & Yilmaz, Kamil
(ReDIF-article, eee:intfor:v:28:y:2012:i:1:p:57-66) - Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives
International Journal of Forecasting, Elsevier (2019)
by Diebold, Francis X. & Shin, Minchul
(ReDIF-article, eee:intfor:v:35:y:2019:i:4:p:1679-1691) - Optimal combination of Arctic sea ice extent measures: A dynamic factor modeling approach
International Journal of Forecasting, Elsevier (2021)
by Diebold, Francis X. & Göbel, Maximilian & Goulet Coulombe, Philippe & Rudebusch, Glenn D. & Zhang, Boyuan
(ReDIF-article, eee:intfor:v:37:y:2021:i:4:p:1509-1519) - Forecast combination and encompassing: Reconciling two divergent literatures
International Journal of Forecasting, Elsevier (1989)
by Diebold, Francis X.
(ReDIF-article, eee:intfor:v:5:y:1989:i:4:p:589-592) - The use of prior information in forecast combination
International Journal of Forecasting, Elsevier (1990)
by Diebold, Francis X. & Pauly, Peter
(ReDIF-article, eee:intfor:v:6:y:1990:i:4:p:503-508) - Ratings migration and the business cycle, with application to credit portfolio stress testing
Journal of Banking & Finance, Elsevier (2002)
by Bangia, Anil & Diebold, Francis X. & Kronimus, Andre & Schagen, Christian & Schuermann, Til
(ReDIF-article, eee:jbfina:v:26:y:2002:i:2-3:p:445-474) - The distribution of realized stock return volatility
Journal of Financial Economics, Elsevier (2001)
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko
(ReDIF-article, eee:jfinec:v:61:y:2001:i:1:p:43-76) - Long memory and persistence in aggregate output
Journal of Monetary Economics, Elsevier (1989)
by Diebold, Francis X. & Rudebusch, Glenn D.
(ReDIF-article, eee:moneco:v:24:y:1989:i:2:p:189-209) - Financial Risk Measurement and Management
Books, Edward Elgar Publishing (2012)
by
(ReDIF-book, elg:eebook:14102) - A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources and Generalized Duration
Chapters, Edward Elgar Publishing (2006)
by Francis X. Diebold & Lei Ji & Canlin Li
(ReDIF-chapter, elg:eechap:3299_9) - Five questions about business cycles
Economic Review, Federal Reserve Bank of San Francisco (2001)
by Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-article, fip:fedfer:y:2001:p:1-15) - The macroeconomy and the yield curve: a nonstructural analysis
Working Paper Series, Federal Reserve Bank of San Francisco (2003)
by S. Boragan Aruoba & Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-paper, fip:fedfwp:2003-18) - Modeling bond yields in finance and macroeconomics
Working Paper Series, Federal Reserve Bank of San Francisco (2005)
by Francis X. Diebold & Monika Piazzesi & Glenn D. Rudebusch
(ReDIF-paper, fip:fedfwp:2005-04) - The affine arbitrage-free class of Nelson-Siegel term structure models
Working Paper Series, Federal Reserve Bank of San Francisco (2007)
by Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-paper, fip:fedfwp:2007-20) - An arbitrage-free generalized Nelson-Siegel term structure model
Working Paper Series, Federal Reserve Bank of San Francisco (2008)
by Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-paper, fip:fedfwp:2008-07) - Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections
Working Paper Series, Federal Reserve Bank of San Francisco (2020)
by Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-paper, fip:fedfwp:87377) - On the power of Dickey-Fuller tests against fractional alternatives
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1990)
by Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-paper, fip:fedgfe:119) - On the solution of dynamic linear rational expectations models
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1988)
by Francis X. Diebold
(ReDIF-paper, fip:fedgfe:19) - Why Are Estimates of Agricultural Supply Response so Variable?
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) ()
by Francis X. Diebold & Russell L. Lamb
(ReDIF-paper, fip:fedgfe:1996-08) - Dynamic equilibrium economies: a framework for comparing models and data
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1997)
by Jeremy Berkowitz & Francis X. Diebold & Lee E. Ohanian
(ReDIF-paper, fip:fedgfe:1997-23) - Near-rationality and strategic complementarity in a macroeconomic model: policy effects, persistence and multipliers
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1992)
by Antulio N. Bomfim & Francis X. Diebold
(ReDIF-paper, fip:fedgfe:205) - Ex ante turning point forecasting with the composite leading index
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1988)
by Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-paper, fip:fedgfe:40) - Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1988)
by Francis X. Diebold
(ReDIF-paper, fip:fedgfe:41) - Conditional heteroskedasticity in the market
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1988)
by Francis X. Diebold & Jong Im & C. Jevons Lee
(ReDIF-paper, fip:fedgfe:42) - Unit roots in economic time series: a selective survey
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1988)
by Francis X. Diebold & Marc Nerlove
(ReDIF-paper, fip:fedgfe:49) - Is consumption too smooth? Long memory and the Deaton paradox
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1989)
by Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-paper, fip:fedgfe:57) - An application of operational-subjective statistical methods to rational expectations: comment
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1988)
by Francis X. Diebold
(ReDIF-paper, fip:fedgfe:6) - Long memory and persistence in aggregate output
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1988)
by Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-paper, fip:fedgfe:7) - Post-deregulation deposit rate pricing: the multivariate dynamics
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1988)
by Francis X. Diebold & Steven A. Sharpe
(ReDIF-paper, fip:fedgfe:8) - Forecast combination and encompassing: reconciling two divergent literatures
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1989)
by Francis X. Diebold
(ReDIF-paper, fip:fedgfe:80) - Nonparametric exchange rate prediction?
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1989)
by Francis X. Diebold & James M. Nason
(ReDIF-paper, fip:fedgfe:81) - State space modeling of time series: a review essay
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1988)
by Francis X. Diebold
(ReDIF-paper, fip:fedgfe:9) - Forecasting output with the composite leading index: an ex ante analysis
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1989)
by Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-paper, fip:fedgfe:90) - Why are estimates of agricultural supply response so variable?
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1996)
by Francis X. Diebold & Russell L. Lamb
(ReDIF-paper, fip:fedgfe:96-8) - Real-time price discovery in global stock, bond and foreign exchange markets
International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2006)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega
(ReDIF-paper, fip:fedgif:871) - Real-time measurement of business conditions
International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2007)
by S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti
(ReDIF-paper, fip:fedgif:901) - Robust estimation - discussion
Proceedings, Board of Governors of the Federal Reserve System (U.S.) (2005)
by Francis X. Diebold
(ReDIF-article, fip:fedgpr:y:2005:p:82-85) - Stock returns and expected business conditions: half a century of direct evidence
Proceedings, Board of Governors of the Federal Reserve System (U.S.) (2005)
by Sean D. Campbell & Francis X. Diebold
(ReDIF-article, fip:fedgpr:y:2005:x:29) - From the horse’s mouth: gauging conditional expected stock returns from investor surveys
Proceedings, Board of Governors of the Federal Reserve System (U.S.) (2005)
by Gene Amromin & Steven A. Sharpe
(ReDIF-article, fip:fedgpr:y:2005:x:30) - Temporal aggregation of ARCH processes and the distribution of asset returns
Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) (1986)
by Francis X. Diebold
(ReDIF-paper, fip:fedgsp:200) - Structural change and the combination of forecasts
Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) (1986)
by Francis X. Diebold & Peter Pauly
(ReDIF-paper, fip:fedgsp:201) - The dynamics of exchange rate volatility: a multivariate latent factor ARCH model
Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) (1986)
by Francis X. Diebold & Marc Nerlove
(ReDIF-paper, fip:fedgsp:205) - Scoring the leading indicators
Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) (1987)
by Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-paper, fip:fedgsp:206) - The use of prior information in forecast combination
Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) (1987)
by Francis X. Diebold & Peter Pauly
(ReDIF-paper, fip:fedgsp:218) - Does the business cycle have duration memory?
Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) (1987)
by Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-paper, fip:fedgsp:223) - Deviations from random-walk behavior: tests based on the variance-time function
Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) (1987)
by Francis X. Diebold
(ReDIF-paper, fip:fedgsp:224) - Have postwar economic fluctuations been stabilized?
Working Paper Series / Economic Activity Section, Board of Governors of the Federal Reserve System (U.S.) (1991)
by Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-paper, fip:fedgwe:116) - A nonparametric investigation of duration dependence in the American business cycle
Working Paper Series / Economic Activity Section, Board of Governors of the Federal Reserve System (U.S.) (1988)
by Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-paper, fip:fedgwe:90) - International evidence on business cycle duration dependence
Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1990)
by Francis X. Diebold & Glenn D. Rudebusch & Daniel E. Sichel
(ReDIF-paper, fip:fedmem:31) - Real exchange rates under the gold standard
Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1990)
by Francis X. Diebold & Steven Husted & Mark Rush
(ReDIF-paper, fip:fedmem:32) - Have postwar economic fluctuations been stabilized?
Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1990)
by Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-paper, fip:fedmem:33) - On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean
Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1990)
by Yin-Wong Cheung & Francis X. Diebold
(ReDIF-paper, fip:fedmem:34) - Comparing predictive accuracy I: an asymptotic test
Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1991)
by Francis X. Diebold & Roberto S. Mariano
(ReDIF-paper, fip:fedmem:52) - Dynamic equilibrium economies: a framework for comparing models and data
Staff Report, Federal Reserve Bank of Minneapolis (1998)
by Jeremy Berkowitz & Francis X. Diebold & Lee E. Ohanian
(ReDIF-paper, fip:fedmsr:243) - Horizon problems and extreme events in financial risk management
Economic Policy Review, Federal Reserve Bank of New York (1998)
by Peter F. Christoffersen & Francis X. Diebold & Til Schuermann
(ReDIF-article, fip:fednep:y:1998:i:oct:p:109-118:n:v.4no.3) - Modeling volatility dynamics
Research Paper, Federal Reserve Bank of New York (1995)
by Francis X. Diebold & Jose A. Lopez
(ReDIF-paper, fip:fednrp:9522) - Forecast evaluation and combination
Research Paper, Federal Reserve Bank of New York (1995)
by Francis X. Diebold & Jose A. Lopez
(ReDIF-paper, fip:fednrp:9525) - Shorter recessions and longer expansions
Business Review, Federal Reserve Bank of Philadelphia (1991)
by Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-article, fip:fedpbr:y:1991:i:nov:p:13-20) - Are long expansions followed by short contractions?
Business Review, Federal Reserve Bank of Philadelphia (1993)
by Francis X. Diebold
(ReDIF-article, fip:fedpbr:y:1993:i:jul:p:3-11) - Measuring financial asset return and volatility spillovers, with application to global equity markets
Working Papers, Federal Reserve Bank of Philadelphia (2008)
by Francis X. Diebold & Kamil Yilmaz
(ReDIF-paper, fip:fedpwp:08-16) - Real-time measurement of business conditions
Working Papers, Federal Reserve Bank of Philadelphia (2008)
by S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti
(ReDIF-paper, fip:fedpwp:08-19) - Real-time macroeconomic monitoring: real activity, inflation, and interactions
Working Papers, Federal Reserve Bank of Philadelphia (2010)
by S. Boragan Aruoba & Francis X. Diebold
(ReDIF-paper, fip:fedpwp:10-5) - Improving GDP measurement: a forecast combination perspective
Working Papers, Federal Reserve Bank of Philadelphia (2011)
by S. Boragan Aruoba & Francis X. Diebold & Jeremy J. Nalewaik & Frank Schorfheide & Dongho Song
(ReDIF-paper, fip:fedpwp:11-41) - On the network topology of variance decompositions: Measuring the connectedness of financial firms
Working Papers, Federal Reserve Bank of Philadelphia (2011)
by Francis X. Diebold & Kamil Yilmaz
(ReDIF-paper, fip:fedpwp:11-45) - Improving GDP measurement: a measurement-error perspective
Working Papers, Federal Reserve Bank of Philadelphia (2013)
by S. Boragan Aruoba & Francis X. Diebold & Jeremy J. Nalewaik & Frank Schorfheide & Dongho Song
(ReDIF-paper, fip:fedpwp:13-16) - On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates
Working Papers, Federal Reserve Bank of Philadelphia (2021)
by Francis X. Diebold & Minchul Shin & Boyuan Zhang
(ReDIF-paper, fip:fedpwp:89897) - Further evidence on business cycle duration dependence
Working Papers, Federal Reserve Bank of Philadelphia (1991)
by Francis X. Diebold & Glenn D. Rudebusch & Daniel E. Sichel
(ReDIF-paper, fip:fedpwp:91-11) - Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures
Working Papers, Federal Reserve Bank of Philadelphia (1993)
by Celia Chen & Francis X. Diebold
(ReDIF-paper, fip:fedpwp:93-11) - Regime switching with time-varying transition probabilities
Working Papers, Federal Reserve Bank of Philadelphia (1993)
by Francis X. Diebold & Joon-Haeng Lee & Gretchen C. Weinbach
(ReDIF-paper, fip:fedpwp:93-12) - On cointegration and exchange rate dynamics
Working Papers, Federal Reserve Bank of Philadelphia (1993)
by Francis X. Diebold & Javier Gardeazabal & Kamil Yilmaz
(ReDIF-paper, fip:fedpwp:93-2) - Exact maximum likelihood estimation of ARCH models
Working Papers, Federal Reserve Bank of Philadelphia (1993)
by Francis X. Diebold & Til Schuermann
(ReDIF-paper, fip:fedpwp:93-4) - On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean
Working Papers, Federal Reserve Bank of Philadelphia (1993)
by Yin-Wong Cheung & Francis X. Diebold
(ReDIF-paper, fip:fedpwp:93-5) - On comparing information in forecasts from econometric models: a comment on Fair and Shiller
Working Papers, Federal Reserve Bank of Philadelphia (1993)
by Francis X. Diebold
(ReDIF-paper, fip:fedpwp:93-6) - Optimal prediction under asymmetric loss
Working Papers, Federal Reserve Bank of Philadelphia (1997)
by Peter F. Christoffersen & Francis X. Diebold
(ReDIF-paper, fip:fedpwp:97-11) - Cointegration and long-horizon forecasting
Working Papers, Federal Reserve Bank of Philadelphia (1997)
by Peter F. Christoffersen & Francis X. Diebold
(ReDIF-paper, fip:fedpwp:97-14) - Bounded rationality and strategic complementarity in a macroeconomic model: policy effects, persistence, and multipliers
Working Papers, Federal Reserve Bank of Philadelphia (1997)
by Antulio N. Bomfim & Francis X. Diebold
(ReDIF-paper, fip:fedpwp:97-18) - The past, present, and future of macroeconomic forecasting
Working Papers, Federal Reserve Bank of Philadelphia (1997)
by Francis X. Diebold
(ReDIF-paper, fip:fedpwp:97-20) - Measuring predictability: theory and macroeconomic applications
Working Papers, Federal Reserve Bank of Philadelphia (1997)
by Francis X. Diebold & Lutz Kilian
(ReDIF-paper, fip:fedpwp:97-23) - Evaluating density forecasts
Working Papers, Federal Reserve Bank of Philadelphia (1997)
by Francis X. Diebold & Todd A. Gunther & Anthony S. Tay
(ReDIF-paper, fip:fedpwp:97-6) - Dynamic equilibrium economies: a framework for comparing models and data
Working Papers, Federal Reserve Bank of Philadelphia (1997)
by Jeremy Berkowitz & Francis X. Diebold & Lee E. Ohanian
(ReDIF-paper, fip:fedpwp:97-7) - Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange
New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1998)
by Francis X. Diebold & Jinyong Hahn & Anthony S. Tay
(ReDIF-paper, fth:nystfi:98-079) - How Relevant is Volatility Forecasting for Financial Risk Management?
New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1998)
by Peter F. Christoffersen & Francis X. Diebold
(ReDIF-paper, fth:nystfi:98-080) - Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management
New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1998)
by Francis X. Diebold & Til Schuermann & John D. Stroughair
(ReDIF-paper, fth:nystfi:98-081) - The Distribution of Exchange Rate Volatility
New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys
(ReDIF-paper, fth:nystfi:99-059) - Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys
(ReDIF-paper, fth:nystfi:99-060) - (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation
New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys
(ReDIF-paper, fth:nystfi:99-061) - Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management
New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1998)
by Anil Bangia & Francis X. Diebold & Til Schuermann & John D. Stroughair
(ReDIF-paper, fth:nystfi:99-062) - Unit Root Tests are Useful for Selecting Forecasting Models
New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999)
by Francis X. Diebold & Lutz Kilian
(ReDIF-paper, fth:nystfi:99-063) - Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors' Introduction
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1998)
by Diebold, Francis X & West, Kenneth D
(ReDIF-article, ier:iecrev:v:39:y:1998:i:4:p:811-15) - Evaluating Density Forecasts with Applications to Financial Risk Management
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1998)
by Diebold, Francis X & Gunther, Todd A & Tay, Anthony S
(ReDIF-article, ier:iecrev:v:39:y:1998:i:4:p:863-83) - Cointegration and Long-Horizon Forecasting
IMF Working Papers, International Monetary Fund (1997)
by Mr. Francis X. Diebold & Mr. Peter F. Christoffersen
(ReDIF-paper, imf:imfwpa:1997/061) - Globalization, the Business Cycle, and Macroeconomic Monitoring
IMF Working Papers, International Monetary Fund (2011)
by S. Boragan Aruoba & Mr. Marco Terrones & Mr. Ayhan Kose & Mr. Francis X. Diebold
(ReDIF-paper, imf:imfwpa:2011/025) - Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
Management Science, INFORMS (2006)
by Peter F. Christoffersen & Francis X. Diebold
(ReDIF-article, inm:ormnsc:v:52:y:2006:i:8:p:1273-1287) - Further Results on Forecasting and Model Selection under Asymmetric Loss
Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1996)
by Christoffersen, Peter F & Diebold, Francis X
(ReDIF-article, jae:japmet:v:11:y:1996:i:5:p:561-71) - Measuring predictability: theory and macroeconomic applications
Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2001)
by Francis X. Diebold & Lutz Kilian
(ReDIF-article, jae:japmet:v:16:y:2001:i:6:p:657-669) - The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model
Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1989)
by Diebold, Francis X & Nerlove, Marc
(ReDIF-article, jae:japmet:v:4:y:1989:i:1:p:1-21) - Structural Time Series Analysis and Modelling Package: A Review
Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1989)
by Diebold, Francis X
(ReDIF-article, jae:japmet:v:4:y:1989:i:2:p:195-204) - Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets
Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum (2007)
by Francis X. Diebold & Kamil Yılmaz
(ReDIF-paper, koc:wpaper:0705) - Macroeconomic Volatility and Stock Market Volatility,World-Wide
Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum (2007)
by Francis X. Diebold & Kamil Yılmaz
(ReDIF-paper, koc:wpaper:0711) - Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers
Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum (2010)
by Francis X. Diebold & Kamil Yilmaz
(ReDIF-paper, koc:wpaper:1001) - On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum (2011)
by Francis X. Diebold & Kamil Yilmaz
(ReDIF-paper, koc:wpaper:1124) - Estimating Global Bank Network Connectedness
Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum (2015)
by Mert Demirer & Francis X. Diebold & Laura Liu & Kamil Yilmaz
(ReDIF-paper, koc:wpaper:1512) - Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
Multinational Finance Journal, Multinational Finance Journal (2000)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys
(ReDIF-article, mfj:journl:v:4:y:2000:i:3-4:p:159-179) - Globalization, the Business Cycle, and Macroeconomic Monitoring
NBER Chapters, National Bureau of Economic Research, Inc (2010)
by S. Borağan Aruoba & Francis X. Diebold & M. Ayhan Kose & Marco E. Terrones
(ReDIF-chapter, nbr:nberch:12198) - Further Evidence on Business-Cycle Duration Dependence
NBER Chapters, National Bureau of Economic Research, Inc (1993)
by Francis X. Diebold & Glenn Rudebusch & Daniel Sichel
(ReDIF-chapter, nbr:nberch:7194) - Practical Volatility and Correlation Modeling for Financial Market Risk Management
NBER Chapters, National Bureau of Economic Research, Inc (2007)
by Torben G. Andersen & Tim Bollerslev & Peter Christoffersen & Francis X. Diebold
(ReDIF-chapter, nbr:nberch:9618) - Optimal Prediction Under Asymmetric Loss
NBER Technical Working Papers, National Bureau of Economic Research, Inc (1994)
by Peter F. Christoffersen & Francis X. Diebold
(ReDIF-paper, nbr:nberte:0167) - Comparing Predictive Accuracy
NBER Technical Working Papers, National Bureau of Economic Research, Inc (1994)
by Francis X. Diebold & Roberto S. Mariano
(ReDIF-paper, nbr:nberte:0169) - Measuring Volatility Dynamics
NBER Technical Working Papers, National Bureau of Economic Research, Inc (1995)
by Francis X. Diebold & Jose A. Lopez
(ReDIF-paper, nbr:nberte:0173) - Dynamic Equilibrium Economies: A Framework for Comparing Models and Data
NBER Technical Working Papers, National Bureau of Economic Research, Inc (1995)
by Francis X. Diebold & Lee E. Ohanian & Jeremy Berkowitz
(ReDIF-paper, nbr:nberte:0174) - Forecast Evaluation and Combination
NBER Technical Working Papers, National Bureau of Economic Research, Inc (1996)
by Francis X. Diebold & Jose A. Lopez
(ReDIF-paper, nbr:nberte:0192) - Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models
NBER Technical Working Papers, National Bureau of Economic Research, Inc (1996)
by Francis X. Diebold & Til Schuermann
(ReDIF-paper, nbr:nberte:0194) - Measuring Predictability: Theory and Macroeconomic Applications
NBER Technical Working Papers, National Bureau of Economic Research, Inc (1997)
by Francis X. Diebold & Lutz Kilian
(ReDIF-paper, nbr:nberte:0213) - Evaluating Density Forecasts
NBER Technical Working Papers, National Bureau of Economic Research, Inc (1997)
by Francis X. Diebold & Todd A. Gunther & Anthony S. Tay
(ReDIF-paper, nbr:nberte:0215) - Cointegration and Long-Horizon Forecasting
NBER Technical Working Papers, National Bureau of Economic Research, Inc (1997)
by Peter F. Christoffersen & Francis X. Diebold
(ReDIF-paper, nbr:nberte:0217) - Long Memory and Regime Switching
NBER Technical Working Papers, National Bureau of Economic Research, Inc (2000)
by Francis X. Diebold & Atsushi Inoue
(ReDIF-paper, nbr:nberte:0264) - Parametric and Nonparametric Volatility Measurement
NBER Technical Working Papers, National Bureau of Economic Research, Inc (2002)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold
(ReDIF-paper, nbr:nberte:0279) - Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
NBER Working Papers, National Bureau of Economic Research, Inc (2003)
by Peter F. Christoffersen & Francis X. Diebold
(ReDIF-paper, nbr:nberwo:10009) - Forecasting the Term Structure of Government Bond Yields
NBER Working Papers, National Bureau of Economic Research, Inc (2003)
by Francis X. Diebold & Canlin Li
(ReDIF-paper, nbr:nberwo:10048) - Weather Forecasting for Weather Derivatives
NBER Working Papers, National Bureau of Economic Research, Inc (2003)
by Sean D. Campbell & Francis X. Diebold
(ReDIF-paper, nbr:nberwo:10141) - The Nobel Memorial Prize for Robert F. Engle
NBER Working Papers, National Bureau of Economic Research, Inc (2004)
by Francis X. Diebold
(ReDIF-paper, nbr:nberwo:10423) - The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach
NBER Working Papers, National Bureau of Economic Research, Inc (2004)
by Francis X. Diebold & Glenn D. Rudebusch & S. Boragan Aruoba
(ReDIF-paper, nbr:nberwo:10616) - Practical Volatility and Correlation Modeling for Financial Market Risk Management
NBER Working Papers, National Bureau of Economic Research, Inc (2005)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold
(ReDIF-paper, nbr:nberwo:11069) - Modeling Bond Yields in Finance and Macroeconomics
NBER Working Papers, National Bureau of Economic Research, Inc (2005)
by Francis X. Diebold & Monika Piazzesi & Glenn Rudebusch
(ReDIF-paper, nbr:nberwo:11089) - A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
NBER Working Papers, National Bureau of Economic Research, Inc (2005)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu
(ReDIF-paper, nbr:nberwo:11134) - Volatility Forecasting
NBER Working Papers, National Bureau of Economic Research, Inc (2005)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold
(ReDIF-paper, nbr:nberwo:11188) - Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
NBER Working Papers, National Bureau of Economic Research, Inc (2005)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega
(ReDIF-paper, nbr:nberwo:11312) - Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
NBER Working Papers, National Bureau of Economic Research, Inc (2005)
by Sean D. Campbell & Francis X. Diebold
(ReDIF-paper, nbr:nberwo:11736) - Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
NBER Working Papers, National Bureau of Economic Research, Inc (2005)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold
(ReDIF-paper, nbr:nberwo:11775) - Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach
NBER Working Papers, National Bureau of Economic Research, Inc (2007)
by Francis X. Diebold & Canlin Li & Vivian Z. Yue
(ReDIF-paper, nbr:nberwo:13588) - The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models
NBER Working Papers, National Bureau of Economic Research, Inc (2007)
by Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-paper, nbr:nberwo:13611) - Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets
NBER Working Papers, National Bureau of Economic Research, Inc (2008)
by Francis X. Diebold & Kamil Yilmaz
(ReDIF-paper, nbr:nberwo:13811) - Macroeconomic Volatility and Stock Market Volatility, Worldwide
NBER Working Papers, National Bureau of Economic Research, Inc (2008)
by Francis X. Diebold & Kamil Yilmaz
(ReDIF-paper, nbr:nberwo:14269) - Real-Time Measurement of Business Conditions
NBER Working Papers, National Bureau of Economic Research, Inc (2008)
by S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti
(ReDIF-paper, nbr:nberwo:14349) - An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
NBER Working Papers, National Bureau of Economic Research, Inc (2008)
by Jens H.E. Christensen & Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-paper, nbr:nberwo:14463) - Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions
NBER Working Papers, National Bureau of Economic Research, Inc (2010)
by S. Boragan Aruoba & Francis X. Diebold
(ReDIF-paper, nbr:nberwo:15657) - Globalization, the Business Cycle, and Macroeconomic Monitoring
NBER Working Papers, National Bureau of Economic Research, Inc (2010)
by S. Boragan Aruoba & Francis X. Diebold & M. Ayhan Kose & Marco E. Terrones
(ReDIF-paper, nbr:nberwo:16264) - On the Correlation Structure of Microstructure Noise: A Financial Economic Approach
NBER Working Papers, National Bureau of Economic Research, Inc (2010)
by Francis X. Diebold & Georg Strasser
(ReDIF-paper, nbr:nberwo:16469) - Improving GDP Measurement: A Forecast Combination Perspective
NBER Working Papers, National Bureau of Economic Research, Inc (2011)
by S. Boragan Aruoba & Francis X. Diebold & Jeremy Nalewaik & Frank Schorfheide & Dongho Song
(ReDIF-paper, nbr:nberwo:17421) - On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
NBER Working Papers, National Bureau of Economic Research, Inc (2011)
by Francis X. Diebold & Kamil Yilmaz
(ReDIF-paper, nbr:nberwo:17490) - A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities
NBER Working Papers, National Bureau of Economic Research, Inc (2012)
by Fei Chen & Francis X. Diebold & Frank Schorfheide
(ReDIF-paper, nbr:nberwo:18078) - Financial Risk Measurement for Financial Risk Management
NBER Working Papers, National Bureau of Economic Research, Inc (2012)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold
(ReDIF-paper, nbr:nberwo:18084) - Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests
NBER Working Papers, National Bureau of Economic Research, Inc (2012)
by Francis X. Diebold
(ReDIF-paper, nbr:nberwo:18391) - Improving GDP Measurement: A Measurement-Error Perspective
NBER Working Papers, National Bureau of Economic Research, Inc (2013)
by S. Boraǧan Aruoba & Francis X. Diebold & Jeremy Nalewaik & Frank Schorfheide & Dongho Song
(ReDIF-paper, nbr:nberwo:18954) - Assessing Point Forecast Accuracy by Stochastic Error Distance
NBER Working Papers, National Bureau of Economic Research, Inc (2016)
by Francis X. Diebold & Minchul Shin
(ReDIF-paper, nbr:nberwo:22516) - Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility
NBER Working Papers, National Bureau of Economic Research, Inc (2016)
by Francis X. Diebold & Frank Schorfheide & Minchul Shin
(ReDIF-paper, nbr:nberwo:22615) - Estimating Global Bank Network Connectedness
NBER Working Papers, National Bureau of Economic Research, Inc (2017)
by Mert Demirer & Francis X. Diebold & Laura Liu & Kamil Yılmaz
(ReDIF-paper, nbr:nberwo:23140) - Commodity Connectedness
NBER Working Papers, National Bureau of Economic Research, Inc (2017)
by Francis X. Diebold & Laura Liu & Kamil Yilmaz
(ReDIF-paper, nbr:nberwo:23685) - Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives
NBER Working Papers, National Bureau of Economic Research, Inc (2018)
by Francis X. Diebold & Minchul Shin
(ReDIF-paper, nbr:nberwo:24967) - Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession
NBER Working Papers, National Bureau of Economic Research, Inc (2020)
by Francis X. Diebold
(ReDIF-paper, nbr:nberwo:27482) - Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections
NBER Working Papers, National Bureau of Economic Research, Inc (2020)
by Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-paper, nbr:nberwo:28228) - On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates
NBER Working Papers, National Bureau of Economic Research, Inc (2022)
by Francis X. Diebold & Minchul Shin & Boyuan Zhang
(ReDIF-paper, nbr:nberwo:29635) - A New Test for Market Efficiency and Uncovered Interest Parity
NBER Working Papers, National Bureau of Economic Research, Inc (2022)
by Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim
(ReDIF-paper, nbr:nberwo:30638) - When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume
NBER Working Papers, National Bureau of Economic Research, Inc (2022)
by Francis X. Diebold & Glenn D. Rudebusch & Maximilian Göbel & Philippe Goulet Coulombe & Boyuan Zhang
(ReDIF-paper, nbr:nberwo:30732) - On Robust Inference in Time Series Regression
NBER Working Papers, National Bureau of Economic Research, Inc (2024)
by Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim & Aaron Mora
(ReDIF-paper, nbr:nberwo:32554) - Measuring Business Cycles: A Modern Perspective
NBER Working Papers, National Bureau of Economic Research, Inc (1994)
by Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-paper, nbr:nberwo:4643) - Job Stability in the United States
NBER Working Papers, National Bureau of Economic Research, Inc (1994)
by Francis X. Diebold & David Neumark & Daniel Polsky
(ReDIF-paper, nbr:nberwo:4859) - Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again
NBER Working Papers, National Bureau of Economic Research, Inc (1996)
by Francis X. Diebold & Abdelhak S. Senhadji
(ReDIF-paper, nbr:nberwo:5481) - Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers
NBER Working Papers, National Bureau of Economic Research, Inc (1996)
by Antulio N. Bomfim & Francis X. Diebold
(ReDIF-paper, nbr:nberwo:5482) - Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters
NBER Working Papers, National Bureau of Economic Research, Inc (1997)
by Francis X. Diebold & Anthony S. Tay & Kenneth F. Wallis
(ReDIF-paper, nbr:nberwo:6228) - The Past, Present, and Future of Macroeconomic Forecasting
NBER Working Papers, National Bureau of Economic Research, Inc (1997)
by Francis X. Diebold
(ReDIF-paper, nbr:nberwo:6290) - How Relevant is Volatility Forecasting for Financial Risk Management?
NBER Working Papers, National Bureau of Economic Research, Inc (1998)
by Peter F. Christoffersen & Francis X. Diebold
(ReDIF-paper, nbr:nberwo:6844) - Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange
NBER Working Papers, National Bureau of Economic Research, Inc (1998)
by Francis X. Diebold & Jinyong Hahn & Anthony S. Tay
(ReDIF-paper, nbr:nberwo:6845) - Unit Root Tests Are Useful for Selecting Forecasting Models
NBER Working Papers, National Bureau of Economic Research, Inc (1999)
by Francis X. Diebold & Lutz Kilian
(ReDIF-paper, nbr:nberwo:6928) - The Distribution of Exchange Rate Volatility
NBER Working Papers, National Bureau of Economic Research, Inc (1999)
by Torben Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys
(ReDIF-paper, nbr:nberwo:6961) - Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
NBER Working Papers, National Bureau of Economic Research, Inc (2000)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys
(ReDIF-paper, nbr:nberwo:7488) - The Distribution of Stock Return Volatility
NBER Working Papers, National Bureau of Economic Research, Inc (2000)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Heiko Ebens
(ReDIF-paper, nbr:nberwo:7933) - Modeling and Forecasting Realized Volatility
NBER Working Papers, National Bureau of Economic Research, Inc (2001)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys
(ReDIF-paper, nbr:nberwo:8160) - High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models
NBER Working Papers, National Bureau of Economic Research, Inc (2001)
by Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold
(ReDIF-paper, nbr:nberwo:8162) - Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
NBER Working Papers, National Bureau of Economic Research, Inc (2002)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega
(ReDIF-paper, nbr:nberwo:8959) - A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
NBER Working Papers, National Bureau of Economic Research, Inc (2003)
by Michael W. Brandt & Francis X. Diebold
(ReDIF-paper, nbr:nberwo:9664) - Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014
Journal of Financial Econometrics, Oxford University Press (2016)
by Francis X. Diebold & Kamil Yilmaz
(ReDIF-article, oup:jfinec:v:14:y:2016:i:1:p:81-127.) - Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I)
Journal of Financial Econometrics, Oxford University Press (0)
by Francis X Diebold & René Garcia & Kris Jacobs
(ReDIF-article, oup:jfinec:v:18:y::i:3:p:471-472.) - Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I)
Journal of Financial Econometrics, Oxford University Press (2020)
by Francis X Diebold & René Garcia & Kris Jacobs
(ReDIF-article, oup:jfinec:v:18:y:2020:i:3:p:471-472.) - Dynamic Equilibrium Economies: A Framework for Comparing Models and Data
The Review of Economic Studies, Review of Economic Studies Ltd (1998)
by Francis X. Diebold & Lee E. Ohanian & Jeremy Berkowitz
(ReDIF-article, oup:restud:v:65:y:1998:i:3:p:433-451.) - On the Correlation Structure of Microstructure Noise: A Financial Economic Approach
The Review of Economic Studies, Review of Economic Studies Ltd (2013)
by Francis X. Diebold & Georg Strasser
(ReDIF-article, oup:restud:v:80:y:2013:i:4:p:1304-1337) - Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring
OUP Catalogue, Oxford University Press (2015)
by Diebold, Francis X. & Yilmaz, Kamil
(ReDIF-book, oxp:obooks:9780199338306) - Symposium on Forecasting Performance: An Introduction
IMF Staff Papers, Palgrave Macmillan (2002)
by Francis X. Diebold
(ReDIF-article, pal:imfstp:v:49:y:2002:i:1:p:1) - A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2001)
by Michael W. Brandt & Francis X. Diebold
(ReDIF-paper, pen:papers:03-013) - The Macroeconomy and the Yield Curve: A Nonstructural Analysis
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2003)
by Francis X. Diebold & Glenn D. Rudebusch & S. Boragan Aruoba
(ReDIF-paper, pen:papers:03-024) - Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2003)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold
(ReDIF-paper, pen:papers:03-025) - Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2003)
by Peter F. Christoffersen & Francis X.Diebold
(ReDIF-paper, pen:papers:04-009) - The Nobel Memorial Prize for Robert F. Engle
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2004)
by Francis X. Diebold
(ReDIF-paper, pen:papers:04-010) - Realized Beta: Persistence and Predictability
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2003)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu
(ReDIF-paper, pen:papers:04-018) - Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2003)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega
(ReDIF-paper, pen:papers:04-028) - Practical Volatility and Correlation Modeling for Financial Market Risk Management
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold
(ReDIF-paper, pen:papers:05-007) - Modeling Bond Yields in Finance and Macroeconomics
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005)
by Francis X. Diebold & Monika Piazzesi & Glenn D. Rudebusch
(ReDIF-paper, pen:papers:05-008) - A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu
(ReDIF-paper, pen:papers:05-009) - Volatility Forecasting
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold
(ReDIF-paper, pen:papers:05-011) - Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005)
by Sean D. Campbell & Francis X. Diebold
(ReDIF-paper, pen:papers:05-025) - Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2006)
by Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse
(ReDIF-paper, pen:papers:06-016) - A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2006)
by Francis X. Diebold & Lei Ji & Canlin Li
(ReDIF-paper, pen:papers:06-017) - Time Series Analysis
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2006)
by Francis X. Diebold & Lutz Kilian & Marc Nerlove
(ReDIF-paper, pen:papers:06-019) - Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2007)
by Francis X. Diebold & Kamil Yilmaz
(ReDIF-paper, pen:papers:07-002) - Real-Time Measurement of Business Conditions
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2007)
by S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti
(ReDIF-paper, pen:papers:07-028) - The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2007)
by Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-paper, pen:papers:07-029) - Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2007)
by Francis X. Diebold & Canlin Li & Vivian Z. Yue
(ReDIF-paper, pen:papers:07-030) - Real-Time Measurement of Business Conditions, Second Version
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2007)
by S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti
(ReDIF-paper, pen:papers:08-011) - An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2008)
by Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-paper, pen:papers:08-030) - Macroeconomic Volatility and Stock Market Volatility, World-Wide
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2008)
by Francis X. Diebold & Kamil Yilmaz
(ReDIF-paper, pen:papers:08-031) - On the Correlation Structure of Microstructure Noise in Theory and Practice
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2008)
by Francis X. Diebold & Georg H. Strasser
(ReDIF-paper, pen:papers:08-038) - Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2010)
by S. Boragan Aruoba & Francis X. Diebold
(ReDIF-paper, pen:papers:10-002) - Improving GDP Measurement: A Forecast Combination Perspective
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2011)
by Boragan Aruoba & Francis X. Diebold & Jeremy Nalewaik & Frank Schorfheide & Dongho Song
(ReDIF-paper, pen:papers:11-028) - On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2011)
by Francis X. Diebold & Kamil Yılmaz
(ReDIF-paper, pen:papers:11-031) - Financial Risk Measurement for Financial Risk Management
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2011)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold
(ReDIF-paper, pen:papers:11-037) - A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2012)
by Fei Chen & Francis X. Diebold & Frank Schorfheide
(ReDIF-paper, pen:papers:12-020) - Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2012)
by Francis X. Diebold
(ReDIF-paper, pen:papers:12-035) - On the Origin(s) and Development of the Term “Big Data"
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2012)
by Francis X. Diebold
(ReDIF-paper, pen:papers:12-037) - A Personal Perspective on the Origin(s) and Development of “Big Data": The Phenomenon, the Term, and the Discipline, Second Version
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2012)
by Francis X. Diebold
(ReDIF-paper, pen:papers:13-003) - Improving GDP Measurement: A Measurement-Error Perspective
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2013)
by Boragan Aruoba & Francis X. Diebold & Jeremy Nalewaik & Frank Schorfheide & Dongho Song
(ReDIF-paper, pen:papers:13-016) - Measuring the Dynamics of Global Business Cycle Connectedness
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2013)
by Francis X. Diebold & Kamil Yilmaz
(ReDIF-paper, pen:papers:13-070) - Assessing Point Forecast Accuracy by Stochastic Error Distance
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2014)
by Francis X. Diebold & Minchul Shin
(ReDIF-paper, pen:papers:14-038) - Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2015)
by Francis X. Diebold & Frank Schorfheide & Minchul Shin
(ReDIF-paper, pen:papers:15-018) - Estimating Global Bank Network Connectedness
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2015)
by Mert Demirer & Francis X. Diebold & Laura Liu & Kamil Yilmaz
(ReDIF-paper, pen:papers:15-025) - Commodity Connectedness
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2017)
by Francis X. Diebold & Laura Liu & Kamil Yilmaz
(ReDIF-paper, pen:papers:17-003) - Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2017)
by Francis X. Diebold & Minchul Shin
(ReDIF-paper, pen:papers:17-017) - On the Comparison of Interval Forecasts
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2018)
by Ross Askanazi & Francis X. Diebold & Frank Schorfheide & Minchul Shin
(ReDIF-paper, pen:papers:18-013) - Machine Learning for Regularized Survey Forecast Combination: Partially Egalitarian Lasso and its Derivatives
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2018)
by Francis X. Diebold & Minchul Shin
(ReDIF-paper, pen:papers:18-014) - On the Evolution of U.S. Temperature Dynamics
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2019)
by Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-paper, pen:papers:19-012) - Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2019)
by Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-paper, pen:papers:20-001) - Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2020)
by Francis X. Diebold & Maximilian Gobel & Philippe Goulet Coulombe & Glenn D. Rudebusch & Boyuan Zhang
(ReDIF-paper, pen:papers:20-012) - Real-Time Real Economic Activity:Exiting the Great Recession and Entering the Pandemic Recession
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2020)
by Francis X. Diebold
(ReDIF-paper, pen:papers:20-023) - On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone In?ation and Real Interest Rates
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2021)
by Francis X. Diebold & Minchul Shin & Boyuan Zhang
(ReDIF-paper, pen:papers:21-002) - Real-Time Real Economic Activity:Entering and Exiting the Pandemic Recession of 2020
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2022)
by Francis X. Diebold
(ReDIF-paper, pen:papers:22-001) - A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2022)
by Francis X. Diebold & Maximilian Gobel
(ReDIF-paper, pen:papers:22-002) - When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2022)
by Francis X. Diebold & Glenn D. Rudebusch & Maximilian Gobel & Philippe Goulet Coulombe & Boyuan Zhang
(ReDIF-paper, pen:papers:22-011) - On Robust Inference in Time Series Regression
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2022)
by Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim
(ReDIF-paper, pen:papers:22-012) - Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice:Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2022)
by Francis X. Diebold & Maximilian Gobel & Philippe Goulet Coulombe
(ReDIF-paper, pen:papers:22-028) - A New Test forMarket Efficiency and Uncovered Interest Parity
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2022)
by Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim
(ReDIF-paper, pen:papers:22-029) - Introduction
Introductory Chapters, Princeton University Press (2010)
by Francis X. Diebold & Neil A. Doherty & Richard J. Herring
(ReDIF-chapter, pup:chapts:9223-1) - Facts, Factors, and Questions
[Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach]
Introductory Chapters, Princeton University Press (2012)
by Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-chapter, pup:chapts:9895-1) - Business Cycles: Durations, Dynamics, and Forecasting
Economics Books, Princeton University Press (1999)
by Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-book, pup:pbooks:6636) - The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice
Economics Books, Princeton University Press (2010)
by Francis X. Diebold & Neil A. Doherty & Richard J. Herring
(ReDIF-book, pup:pbooks:9223) - Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach
Economics Books, Princeton University Press (2012)
by Francis X. Diebold & Glenn D. Rudebusch
(ReDIF-book, pup:pbooks:9895) - Priors from Frequency-Domain Dummy Observations
2008 Meeting Papers, Society for Economic Dynamics (2008)
by Frank Schorfheide & Francis X. Diebold & Marco Del Negro
(ReDIF-paper, red:sed008:310) - Real-Time Measurement of Business Conditions
Computing in Economics and Finance 2006, Society for Computational Economics (2006)
by Chiara Scotti & S.Boragan Aruoba & Francis X. Diebold & University of Maryland
(ReDIF-paper, sce:scecfa:387) - Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore
Working Papers, Singapore Management University, School of Economics (2004)
by Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse
(ReDIF-paper, siu:wpaper:02-2005) - Has the EMS Reduced Member-Country Exchange Rate Volatility?
Empirical Economics, Springer (1988)
by Diebold, F X & Pauly, P
(ReDIF-article, spr:empeco:v:13:y:1988:i:2:p:81-102) - Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters
Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics (1998)
by Francis X. Diebold & Anthony S. Tay & Kenneth F. Wallis
(ReDIF-paper, ste:nystbu:98-15) - Measuring Predictability: Theory and Macroeconomic Applications
Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics (1998)
by Francis X. Diebold & Lutz Kilian
(ReDIF-paper, ste:nystbu:98-16) - Assessing point forecast accuracy by stochastic error distance
Econometric Reviews, Taylor & Francis Journals (2017)
by Francis X. Diebold & Minchul Shin
(ReDIF-article, taf:emetrv:v:36:y:2017:i:6-9:p:588-598) - Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests
Journal of Business & Economic Statistics, Taylor & Francis Journals (2015)
by Francis X. Diebold
(ReDIF-article, taf:jnlbes:v:33:y:2015:i:1:p:1-1) - Rejoinder
Journal of Business & Economic Statistics, Taylor & Francis Journals (2015)
by Francis X. Diebold
(ReDIF-article, taf:jnlbes:v:33:y:2015:i:1:p:24-24) - Is Consumption Too Smooth? Long Memory and the Deaton Paradox
The Review of Economics and Statistics, MIT Press (1991)
by Diebold, Francis X & Rudebusch, Glenn D
(ReDIF-article, tpr:restat:v:73:y:1991:i:1:p:1-9) - Measuring Business Cycles: A Modern Perspective
The Review of Economics and Statistics, MIT Press (1996)
by Diebold, Francis X & Rudebusch, Glenn D
(ReDIF-article, tpr:restat:v:78:y:1996:i:1:p:67-77) - Bootstrapping Multivariate Spectra
The Review of Economics and Statistics, MIT Press (1998)
by Jeremy Berkowitz & Francis X. Diebold
(ReDIF-article, tpr:restat:v:80:y:1998:i:4:p:664-666) - Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange
The Review of Economics and Statistics, MIT Press (1999)
by Francis X. Diebold & Jinyong Hahn & Anthony S. Tay
(ReDIF-article, tpr:restat:v:81:y:1999:i:4:p:661-673) - How Relevant is Volatility Forecasting for Financial Risk Management?
The Review of Economics and Statistics, MIT Press (2000)
by Peter F. Christoffersen & Francis X. Diebold
(ReDIF-article, tpr:restat:v:82:y:2000:i:1:p:12-22) - Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
The Review of Economics and Statistics, MIT Press (2007)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold
(ReDIF-article, tpr:restat:v:89:y:2007:i:4:p:701-720) - Globalization, the Business Cycle, and Macroeconomic Monitoring
NBER International Seminar on Macroeconomics, University of Chicago Press (2011)
by S. Borağan Aruoba & Francis X. Diebold & M. Ayhan Kose & Marco E. Terrones
(ReDIF-article, ucp:intsma:doi:10.1086/658307) - Job Stability in the United States
Journal of Labor Economics, University of Chicago Press (1997)
by Diebold, Francis X & Neumark, David & Polsky, Daniel
(ReDIF-article, ucp:jlabec:v:15:y:1997:i:2:p:206-33) - Scoring the Leading Indicators
The Journal of Business, University of Chicago Press (1989)
by Diebold, Francis X & Rudebusch, Glenn D
(ReDIF-article, ucp:jnlbus:v:62:y:1989:i:3:p:369-91) - A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
The Journal of Business, University of Chicago Press (2006)
by Michael W. Brandt & Francis X. Diebold
(ReDIF-article, ucp:jnlbus:v:79:y:2006:i:1:p:61-74) - A Nonparametric Investigation of Duration Dependence in the American Business Cycle
Journal of Political Economy, University of Chicago Press (1990)
by Diebold, Francis X & Rudebusch, Glenn D
(ReDIF-article, ucp:jpolec:v:98:y:1990:i:3:p:596-616) - Real Exchange Rates under the Gold Standard
Journal of Political Economy, University of Chicago Press (1991)
by Diebold, Francis X & Husted, Steven & Rush, Mark
(ReDIF-article, ucp:jpolec:v:99:y:1991:i:6:p:1252-71) - Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
Economic Journal, Royal Economic Society (2009)
by Francis X. Diebold & Kamil Yilmaz
(ReDIF-article, wly:econjl:v:119:y:2009:i:534:p:158-171) - Estimating global bank network connectedness
Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2018)
by Mert Demirer & Francis X. Diebold & Laura Liu & Kamil Yilmaz
(ReDIF-article, wly:japmet:v:33:y:2018:i:1:p:1-15) - Evaluating Density Forecasts
CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences ()
by Francis X. Diebold & Todd A. Gunther & Anthony S. Tay
(ReDIF-paper, wop:pennca:97-18) - Measuring Predictability: Theory and Macroeconomic Applications
CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences ()
by Francis X. Diebold & Lutz Kilian
(ReDIF-paper, wop:pennca:97-19) - Optimal Prediction Under Asymmetric Loss
CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences ()
by Peter F. Christoffersen & Francis X. Diebold
(ReDIF-paper, wop:pennca:97-20) - Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again
Home Pages, University of Pennsylvania ()
by Diebold & Senhadji
(ReDIF-paper, wop:pennhp:_054) - Why Are Estimates of Agricultural Supply Response So Variable?
Home Pages, University of Pennsylvania ()
by Diebold & Lamb
(ReDIF-paper, wop:pennhp:_055) - Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers
Home Pages, University of Pennsylvania ()
by Bomfim & Diebold
(ReDIF-paper, wop:pennhp:_057) - Stamp 5.0: A Review
Home Pages, University of Pennsylvania ()
by Diebold, Giorgianni, & Inoue
(ReDIF-paper, wop:pennhp:_058) - Further Results on Forecasting and Model Selection Under Asymmetric Loss
Home Pages, University of Pennsylvania ()
by Christoffersen & Diebold
(ReDIF-paper, wop:pennhp:_059) - Optimal Prediction Under Asymmetric Loss
Home Pages, University of Pennsylvania ()
by Christoffersen & Diebold
(ReDIF-paper, wop:pennhp:_060) - Measuring Business Cycle: A Modern Perspective
Home Pages, University of Pennsylvania ()
by Diebold & Rudebusch
(ReDIF-paper, wop:pennhp:_061) - Modeling Volatility Dynamics
Home Pages, University of Pennsylvania ()
by Diebold & Lopez
(ReDIF-paper, wop:pennhp:_062) - Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing
Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2000)
by Anil Bangia & Francis X. Diebold & Til Schuermann
(ReDIF-paper, wop:pennin:00-26) - The Distribution of Stock Return Volatility
Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2000)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Heiko Ebens
(ReDIF-paper, wop:pennin:00-27) - Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think
Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1999)
by Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold
(ReDIF-paper, wop:pennin:00-28) - Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian
Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1999)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys
(ReDIF-paper, wop:pennin:00-29) - Modeling and Forecasting Realized Volatility
Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2001)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys
(ReDIF-paper, wop:pennin:01-01) - Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?
Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega
(ReDIF-paper, wop:pennin:02-23) - Parametric and Nonparametric Volatility Measurement
Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold
(ReDIF-paper, wop:pennin:02-27) - Forecasting the Term Structure of Government Bond Yields
Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002)
by Francis X. Diebold & Canlin Li
(ReDIF-paper, wop:pennin:02-34) - Weather Forecasting for Weather Derivatives
Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002)
by Sean D. Campbell & Francis X. Diebold
(ReDIF-paper, wop:pennin:02-42) - A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania ()
by Michael W. Brandt & Francis X. Diebold & April
(ReDIF-paper, wop:pennin:03-15) - Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think
Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1997)
by Francis X. Diebold & Andrew Hickman & Atsushi Inoue & Til Schuermann
(ReDIF-paper, wop:pennin:97-34) - Evaluating Density Forecasts
Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1997)
by Francis X. Diebold & Todd A. Gunther & Anthony S. Tay
(ReDIF-paper, wop:pennin:97-37) - How Relevant is Volatility Forecasting for Financial Risk Management?
Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1997)
by Peter F. Christoffersen & Francis X. Diebold
(ReDIF-paper, wop:pennin:97-45) - Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management
Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1998)
by Francis X. Diebold & Til Schuermann & John D. Stroughair
(ReDIF-paper, wop:pennin:98-10) - Horizon Problems and Extreme Events in Financial Risk Management
Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1998)
by Peter F. Christoffersen & Francis X. Diebold & Til Schuermann
(ReDIF-paper, wop:pennin:98-16) - Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange
Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1998)
by Francis X. Diebold & Jinyong Hahn & Anthony S. Tay
(ReDIF-paper, wop:pennin:99-05) - Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management
Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1998)
by Anil Bangia & Francis X. Diebold & Til Schuermann & John D. Stroughair
(ReDIF-paper, wop:pennin:99-06) - The Distribution of Exchange Rate Volatility
Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1999)
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys
(ReDIF-paper, wop:pennin:99-08) - Financial Risk Management in a Volatile Global Environment
Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1999)
by Francis X. Diebold & Anthony M. Santomero
(ReDIF-paper, wop:pennin:99-43) - The Macroeconomy and the Yield Curve: A Nonstructural Analysis
CFS Working Paper Series, Center for Financial Studies (CFS) (2003)
by Francis X. Diebold, & Rudebusch, Glenn D. & Aruoba, S. Boragan
(ReDIF-paper, zbw:cfswop:200331) - Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
CFS Working Paper Series, Center for Financial Studies (CFS) (2003)
by Andersen, Torben G. & Bollerslev, Tim & Francis X. Diebold,
(ReDIF-paper, zbw:cfswop:200335) - A no-arbitrage approach to range-based estimation of return covariances and correlations
CFS Working Paper Series, Center for Financial Studies (CFS) (2004)
by Brandt, Michael W. & Diebold, Francis X.
(ReDIF-paper, zbw:cfswop:200407) - Financial asset returns, direction-of-change forecasting, and volatility dynamics
CFS Working Paper Series, Center for Financial Studies (CFS) (2003)
by Christoffersen, Peter F. & Diebold, Francis X.
(ReDIF-paper, zbw:cfswop:200408) - Forecasting the term structure of government bond yields
CFS Working Paper Series, Center for Financial Studies (CFS) (2003)
by Diebold, Francis X. & Li, Canlin
(ReDIF-paper, zbw:cfswop:200409) - Weather forecasting for weather derivatives
CFS Working Paper Series, Center for Financial Studies (CFS) (2004)
by Campbell, Sean D. & Diebold, Francis X.
(ReDIF-paper, zbw:cfswop:200410) - The Nobel Memorial Prize for Robert F. Engle
CFS Working Paper Series, Center for Financial Studies (CFS) (2004)
by Diebold, Francis X.
(ReDIF-paper, zbw:cfswop:200411) - Realized beta: Persistence and predictability
CFS Working Paper Series, Center for Financial Studies (CFS) (2004)
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Wu, Jin
(ReDIF-paper, zbw:cfswop:200416) - Real-time price discovery in stock, bond and foreign exchange markets
CFS Working Paper Series, Center for Financial Studies (CFS) (2004)
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara
(ReDIF-paper, zbw:cfswop:200419) - Practical volatility and correlation modeling for financial market risk management
CFS Working Paper Series, Center for Financial Studies (CFS) (2005)
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X.
(ReDIF-paper, zbw:cfswop:200502) - Modeling bond yields in finance and macroeconomics
CFS Working Paper Series, Center for Financial Studies (CFS) (2005)
by Diebold, Francis X. & Piazzesi, Monica & Rudebusch, Glenn D.
(ReDIF-paper, zbw:cfswop:200503) - A framework for exploring the macroeconomic determinants of systematic risk
CFS Working Paper Series, Center for Financial Studies (CFS) (2005)
by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Wu, Jin
(ReDIF-paper, zbw:cfswop:200504) - Volatility forecasting
CFS Working Paper Series, Center for Financial Studies (CFS) (2005)
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X.
(ReDIF-paper, zbw:cfswop:200508) - Stock returns and expected business conditions: Half a century of direct evidence
CFS Working Paper Series, Center for Financial Studies (CFS) (2005)
by Campbell, Sean D. & Diebold, Francis X.
(ReDIF-paper, zbw:cfswop:200522) - Measuring financial asset return and volatility spillovers, with application to global equity markets
CFS Working Paper Series, Center for Financial Studies (CFS) (2007)
by Diebold, Francis X. & Yilmaz, Kamil
(ReDIF-paper, zbw:cfswop:200702) - Measuring financial asset return and volatilty spillovers, with application to global equity markets
CFS Working Paper Series, Center for Financial Studies (CFS) (2008)
by Diebold, Francis X. & Yilmaz, Kamil
(ReDIF-paper, zbw:cfswop:200826) - Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach
CFS Working Paper Series, Center for Financial Studies (CFS) (2007)
by Diebold, Francis X. & Li, Canlin & Yue, Vivian Z.
(ReDIF-paper, zbw:cfswop:200827) - On the correlation structure of microstructure noise in theory and practice
CFS Working Paper Series, Center for Financial Studies (CFS) (2008)
by Diebold, Francis X. & Strasser, Georg H.
(ReDIF-paper, zbw:cfswop:200832) - Commodity connectedness
CFS Working Paper Series, Center for Financial Studies (CFS) (2017)
by Diebold, Francis X. & Liu, Laura & Yilmaz, Kamil
(ReDIF-paper, zbw:cfswop:575) - Real-time forecast evaluation of DSGE models with stochastic volatility
CFS Working Paper Series, Center for Financial Studies (CFS) (2017)
by Diebold, Francis X. & Schorfheide, Frank & Shin, Minchul
(ReDIF-paper, zbw:cfswop:577)