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Diebold, Francis X.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
31,939 |
Total
Citations
5,227 |
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1.
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How Relevant is Volatility Forecasting for Financial Risk Management?
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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Posted:
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18 Jan 98
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Last Revised:
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11 Oct 10
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2,147
(2,558)
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44
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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88
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44
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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796
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44
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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40
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44
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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1,223
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44
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2.
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Volatility Forecasting
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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Posted:
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28 Feb 05
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Last Revised:
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29 Jul 10
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1,935
(3,030)
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13
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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122
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13
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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1,813
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13
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3.
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Modeling and Forecasting Realized Volatility
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Versions (2)
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics Labys, Paul
Charles River Associates (CRA) - Utah Office
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Posted:
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09 Mar 01
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Last Revised:
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10 Dec 08
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1,830
(3,310)
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393
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics Labys, Paul
Charles River Associates (CRA) - Utah Office
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1,747
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393
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Continuous-Time Methods, Quadratic Variation, Realized Volatility, Realized Correlation, High-Frequency Data, Exchange Rates, Vector Autoregression, Long Memory, Volatility Forecasting, Correlation Forecasting, Density Forecasting, Risk Management, Value at Risk
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics Labys, Paul
Charles River Associates (CRA) - Utah Office
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83
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393
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4.
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Practical Volatility and Correlation Modeling for Financial Market Risk Management
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Versions (2)
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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Posted:
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21 Jan 05
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Last Revised:
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13 Mar 05
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1,621
(4,122)
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27
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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128
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27
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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1,493
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27
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None
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5.
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Weather Forecasting for Weather Derivatives
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Versions (3)
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Campbell, Sean D.
U.S. Division of Monetary Affairs Diebold, Francis X.
University of Pennsylvania - Department of Economics
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Posted:
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25 Sep 01
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Last Revised:
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18 Sep 10
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1,570
(4,353)
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22
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Campbell, Sean D.
U.S. Division of Monetary Affairs Diebold, Francis X.
University of Pennsylvania - Department of Economics
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45
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22
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Campbell, Sean D.
U.S. Division of Monetary Affairs Diebold, Francis X.
University of Pennsylvania - Department of Economics
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464
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22
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Risk Management, Hedging, Insurance, Seasonality, Average Temperature, Financial Derivatives, Density Forecasting
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Campbell, Sean D.
U.S. Division of Monetary Affairs Diebold, Francis X.
University of Pennsylvania - Department of Economics
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1,061
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22
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Risk Management, Hedging, Insurance, Seasonality, Average Temperature, Financial Derivatives
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6.
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Bangia, Anil
Oliver, Wyman & Company, LLC. Diebold, Francis X.
University of Pennsylvania - Department of Economics Schuermann, Til
Oliver Wyman Stroughair, John
Oliver, Wyman & Company, LLC.
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1,285
(6,205)
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25
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7.
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Bangia, Anil
Oliver, Wyman & Company, LLC. Diebold, Francis X.
University of Pennsylvania - Department of Economics Schuermann, Til
Oliver Wyman
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1,257
(6,404)
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103
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Credit risk, stress testing, ratings migration, credit portfolio management
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8.
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Forecasting the Term Structure of Government Bond Yields
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Versions (2)
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Diebold, Francis X.
University of Pennsylvania - Department of Economics Li, Canlin
University of California, Riverside - A. Gary Anderson Graduate School of Management
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Posted:
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03 Sep 02
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Last Revised:
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28 Oct 03
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1,224
(6,677)
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158
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Diebold, Francis X.
University of Pennsylvania - Department of Economics Li, Canlin
University of California, Riverside - A. Gary Anderson Graduate School of Management
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83
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158
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Diebold, Francis X.
University of Pennsylvania - Department of Economics Li, Canlin
University of California, Riverside - A. Gary Anderson Graduate School of Management
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1,141
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158
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9.
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Diebold, Francis X.
University of Pennsylvania - Department of Economics Kilian, Lutz
University of Michigan at Ann Arbor - Department of Economics Nerlove, Marc
University of Maryland
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975
(9,763)
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64
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Time series analysis, time domain, frequency domain
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10.
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics Wu, Jin (Ginger)
University of Georgia - Department of Banking and Finance
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894
(11,194)
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38
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quadratic variation and covariation, realized volatility, asset pricing, CAPM, equity betas, long memory, nonlinear fractional cointegration, continuous-time methods
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11.
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Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
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Versions (2)
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics
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Posted:
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06 Nov 03
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Last Revised:
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01 Dec 03
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889
(11,276)
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127
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics
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294
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127
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Continuous-time methods, jumps, quadratic variation, realized volatility, bi-power variation, high-frequency data, volatility forecasting, HAR-RV model
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics
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595
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127
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Continuous-time methods, jumps, quadratic variation, realized volatility, bi-power variation, high-frequency data, volatility forecasting, HAR-RV model
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12.
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics Schuermann, Til
Oliver Wyman
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876
(11,546)
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20
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capital regulation
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13.
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Financial Risk Measurement for Financial Risk Management
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Versions (2)
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hide multiple versions |
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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Posted:
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07 Nov 11
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Last Revised:
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19 May 12
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760
(14,377)
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44
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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44
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44
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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716
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44
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Market risk, volatility, GARCH
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14.
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Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
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Versions (2)
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Export Bibliographic Info |
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Vega, Clara
Board of Governors of the Federal Reserve System Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics
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Posted:
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30 Jun 04
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Last Revised:
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17 Jul 09
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749
(14,641)
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151
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Vega, Clara
Board of Governors of the Federal Reserve System Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics
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37
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151
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Vega, Clara
Board of Governors of the Federal Reserve System Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics
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712
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151
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Asset Pricing, Macroeconomic News Announcements, Financial Market Linkages, Market Microstructure, High-Frequency Data, Survey Data, Asset Return Volatility, Forecasting
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15.
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Parametric and Nonparametric Volatility Measurement
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Versions (2)
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics
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Posted:
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31 Jul 02
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Last Revised:
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18 Aug 02
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729
(15,247)
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144
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics
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34
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144
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics
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695
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144
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16.
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics Labys, Paul
Charles River Associates (CRA) - Utah Office
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630
(18,844)
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301
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Realized Volatility, Integrated Volatility, Quadratic Variation, Long-Memory, High-Frequency Data, Risk Management, Forecasting
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17.
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics Mariano, Roberto S.
Singapore Management University Tay, Anthony S.
National University of Singapore (NUS) - Department of Economics Tse, Yiu Kuen
Singapore Management University - School of Economics & Social Sciences
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591
(20,590)
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4
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Volatility, variance, skewness, kurtosis, market timing, asset management, asset allocation, portfolio management
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18.
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The Macroeconomy and the Yield Curve: A Nonstructural Analysis
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Rudebusch, Glenn D.
Federal Reserve Bank of San Francisco Diebold, Francis X.
University of Pennsylvania - Department of Economics Aruoba, S. Boragan
University of Maryland - Department of Economics
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Posted:
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28 Oct 03
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Last Revised:
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14 Dec 03
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585
(20,904)
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24
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Rudebusch, Glenn D.
Federal Reserve Bank of San Francisco Diebold, Francis X.
University of Pennsylvania - Department of Economics Aruoba, S. Boragan
University of Maryland - Department of Economics
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207
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23
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Yield curve, term structure, interest rates, macroeconomic fundamentals, factor model, state-space model
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Diebold, Francis X.
University of Pennsylvania - Department of Economics Rudebusch, Glenn D.
Federal Reserve Bank of San Francisco Aruoba, S. Boragan
University of Maryland - Department of Economics
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378
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24
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Yield curve, term structure, interest rates, macroeconomic fundamentals, factor model, statespace model
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19.
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Cointegration and Long-Horizon Forecasting
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Versions (3)
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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Posted:
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22 Jan 98
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Last Revised:
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07 Aug 10
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579
(21,170)
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14
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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39
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14
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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39
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14
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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501
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14
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20.
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A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics Wu, Jin (Ginger)
University of Georgia - Department of Banking and Finance
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Posted:
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08 Feb 05
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Last Revised:
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15 Mar 05
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553
(22,504)
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24
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics Wu, Jin (Ginger)
University of Georgia - Department of Banking and Finance
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32
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24
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics Wu, Jin (Ginger)
University of Georgia - Department of Banking and Finance
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521
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24
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Realized volatility, realized beta, conditional CAPM, business cycle
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21.
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Range-Based Estimation of Stochastic Volatility Models
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Alizadeh, Sassan
University of Pennsylvania - Department of Economics Brandt, Michael W.
Duke University - Fuqua School of Business Diebold, Francis X.
University of Pennsylvania - Department of Economics
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Posted:
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02 May 01
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Last Revised:
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29 Nov 03
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550
(22,655)
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163
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Alizadeh, Sassan
University of Pennsylvania - Department of Economics Brandt, Michael W.
Duke University - Fuqua School of Business Diebold, Francis X.
University of Pennsylvania - Department of Economics
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0
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Alizadeh, Sassan
University of Pennsylvania - Department of Economics Brandt, Michael W.
Duke University - Fuqua School of Business Diebold, Francis X.
University of Pennsylvania - Department of Economics
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550
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163
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22.
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Financial Asset Returns, Direction-of-Change Forecasting and Volatility Dynamics
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Versions (3)
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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Posted:
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05 Oct 03
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Last Revised:
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19 Sep 09
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547
(22,838)
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26
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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146
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26
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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373
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26
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Conditional Mean Dependence, Conditional Volatility
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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28
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23.
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Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
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Versions (2)
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Vega, Clara
Board of Governors of the Federal Reserve System Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics
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Posted:
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17 May 02
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Last Revised:
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27 Oct 10
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547
(22,838)
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221
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Vega, Clara
Board of Governors of the Federal Reserve System Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics
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36
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221
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Vega, Clara
Board of Governors of the Federal Reserve System Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
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511
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221
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| |
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| |
Exchange Rates, Macroeconomic News Announcements, Jumps, Market Microstructure, High-Frequency Data, Expectations Data, Anticipations Data, Order Flow, Asset Return Volatility, Forecasting
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24.
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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466
(28,284)
|
9
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|
| |
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| |
Financial Asset Returns, Market Timing, and Volatility Dynamics
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25.
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Modeling Bond Yields in Finance and Macroeconomics
|
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|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Piazzesi, Monika
University of Chicago - Booth School of Business Rudebusch, Glenn D.
Federal Reserve Bank of San Francisco
|
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Posted:
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|
21 Jan 05
|
|
Last Revised:
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|
23 Feb 05
|
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426
(31,811)
|
53
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|
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|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Piazzesi, Monika
University of Chicago - Booth School of Business Rudebusch, Glenn D.
Federal Reserve Bank of San Francisco
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38
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53
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|
| |
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| |
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Diebold, Francis X.
University of Pennsylvania - Department of Economics Piazzesi, Monika
University of Chicago - Booth School of Business Rudebusch, Glenn D.
Federal Reserve Bank of San Francisco
|
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388
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53
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| |
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| |
term structure, yield curve, Nelson-Siegel model, affine equilibrium model
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26.
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|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Ji, Lei
University of Pennsylvania - Department of Economics Li, Canlin
University of California, Riverside - A. Gary Anderson Graduate School of Management
|
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402
(34,251)
|
12
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|
| |
|
| |
Term structure; Yield curve; Factor model; Risk Management
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|
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27.
|
|
The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models
|
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|
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|
Christensen, Jens Henrik Eggert
FRB of San Francisco - Financial Research Diebold, Francis X.
University of Pennsylvania - Department of Economics Rudebusch, Glenn D.
Federal Reserve Bank of San Francisco
|
|
Posted:
|
|
01 Oct 07
|
|
Last Revised:
|
|
11 Sep 10
|
|
390
(35,547)
|
37
|
|
|
|
|
Christensen, Jens Henrik Eggert
FRB of San Francisco - Financial Research Diebold, Francis X.
University of Pennsylvania - Department of Economics Rudebusch, Glenn D.
Federal Reserve Bank of San Francisco
|
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47
|
37
|
|
| |
|
| |
|
|
|
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|
Christensen, Jens Henrik Eggert
FRB of San Francisco - Financial Research Diebold, Francis X.
University of Pennsylvania - Department of Economics Rudebusch, Glenn D.
Federal Reserve Bank of San Francisco
|
|
109
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37
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|
| |
|
| |
interest rates, econometric models
|
|
|
|
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Christensen, Jens Henrik Eggert
FRB of San Francisco - Financial Research Rudebusch, Glenn D.
Federal Reserve Bank of San Francisco
|
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234
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37
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|
| |
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| |
arbitrage, Nelson-Siegel, term structure, factor models, forecast accuracy
|
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28.
|
|
The Nobel Memorial Prize for Robert F. Engle
|
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|
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|
Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
|
Posted:
|
|
05 Apr 04
|
|
Last Revised:
|
|
26 Jun 10
|
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368
(38,168)
|
5
|
|
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|
Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
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27
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5
|
|
| |
|
| |
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Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
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101
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5
|
|
| |
|
| |
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Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
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26
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5
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| |
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| |
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Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
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214
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5
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| |
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| |
Econometric Theory, Finance
|
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29.
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Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets
|
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|
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|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Yilmaz, Kamil
Koc University
|
|
Posted:
|
|
12 Jan 07
|
|
Last Revised:
|
|
28 Sep 10
|
|
332
(43,253)
|
30
|
|
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|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Yilmaz, Kamil
Koc University
|
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3
|
30
|
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| |
|
| |
|
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|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Yilmaz, Kamil
Koc University
|
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25
|
30
|
|
| |
|
| |
|
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|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Yilmaz, Kamil
Koc University
|
|
304
|
30
|
|
| |
|
| |
Asset Market, Asset Return, Stock Market, Emerging Market, Market Linkage, Financial Crisis, Herd Behavior, Contagion
|
|
|
|
|
|
30.
|
|
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
|
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|
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|
Campbell, Sean D.
U.S. Division of Monetary Affairs Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
|
Posted:
|
|
26 Sep 05
|
|
Last Revised:
|
|
28 Jul 10
|
|
329
(43,718)
|
17
|
|
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|
|
Campbell, Sean D.
U.S. Division of Monetary Affairs Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
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30
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17
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| |
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| |
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Campbell, Sean D.
U.S. Division of Monetary Affairs Diebold, Francis X.
University of Pennsylvania - Department of Economics
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299
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17
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|
| |
|
| |
Business cycle, expected equity returns, prediction, Livingston survey, risk aversion, equity premium, risk premium
|
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|
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31.
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Yilmaz, Kamil
Koc University
|
|
327
(44,022)
|
6
|
|
| |
|
| |
Financial market, equity market, asset return, risk, variance, asset pricing
|
|
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32.
|
|
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach
|
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|
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|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Li, Canlin
University of California, Riverside - A. Gary Anderson Graduate School of Management Yue, Vivian Zhanwei
Federal Reserve Board of Governors
|
|
Posted:
|
|
03 Oct 07
|
|
Last Revised:
|
|
19 Aug 10
|
|
310
(46,872)
|
21
|
|
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Li, Canlin
University of California, Riverside - A. Gary Anderson Graduate School of Management Yue, Vivian Zhanwei
Federal Reserve Board of Governors
|
|
42
|
21
|
|
| |
|
| |
|
|
|
|
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Li, Canlin
University of California, Riverside - A. Gary Anderson Graduate School of Management Yue, Vivian Zhanwei
Federal Reserve Board of Governors
|
|
268
|
21
|
|
| |
|
| |
Term Structure, Interest Rate, Dynamic Factor Model, Global Yield, World Yield, Bond Market
|
|
|
|
|
|
33.
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Schuermann, Til
Oliver Wyman Stroughair, John
Oliver, Wyman & Company, LLC.
|
|
302
(48,347)
|
39
|
|
| |
|
| |
|
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|
34.
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Gunther, Todd A.
affiliation not provided to SSRN Tay, Anthony S.
National University of Singapore (NUS) - Department of Economics
|
|
302
(48,347)
|
151
|
|
| |
|
| |
|
|
|
35.
|
|
The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach
|
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|
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|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Rudebusch, Glenn D.
Federal Reserve Bank of San Francisco Aruoba, S. Boragan
University of Maryland - Department of Economics
|
|
Posted:
|
|
08 Jul 04
|
|
Last Revised:
|
|
06 Jul 10
|
|
284
(51,905)
|
116
|
|
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Rudebusch, Glenn D.
Federal Reserve Bank of San Francisco Aruoba, S. Boragan
University of Maryland - Department of Economics
|
|
57
|
116
|
|
| |
|
| |
|
|
|
|
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Rudebusch, Glenn D.
Federal Reserve Bank of San Francisco Aruoba, S. Boragan
University of Maryland - Department of Economics
|
|
227
|
116
|
|
| |
|
| |
Term structure, interest rates, macroeconomic fundamentals, factor model, state-space model
|
|
|
|
|
|
36.
|
|
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets
|
Show Abstracts |
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Versions (3)
|
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|
Andersen, Torben G.
Northwestern University - Kellogg School of Management Vega, Clara
Board of Governors of the Federal Reserve System Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
|
Posted:
|
|
05 Dec 06
|
|
Last Revised:
|
|
18 Aug 08
|
|
277
(53,431)
|
147
|
|
|
|
|
Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics Vega, Clara
Board of Governors of the Federal Reserve System
|
|
106
|
147
|
|
| |
|
| |
Asset Pricing, Macroeconomic News Announcements, Financial Market Linkages, Market Microstructure, High-Frequency Data, Survey Data, Asset Return Volatility, Forecasting
|
|
|
|
|
|
|
Andersen, Torben G.
Northwestern University - Kellogg School of Management Vega, Clara
Board of Governors of the Federal Reserve System Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
|
0
|
|
|
| |
|
| |
Asset Pricing, Macroeconomic News Announcements, Financial Market Linkages, Market Microstructure, High-Frequency Data, Survey Data, Asset Return Volatility, Forecasting
|
|
|
|
|
|
|
Andersen, Torben G.
Northwestern University - Kellogg School of Management Vega, Clara
Board of Governors of the Federal Reserve System Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
|
171
|
147
|
|
| |
|
| |
Asset Pricing, Macroeconomic News Announcements, Financial Market Linkages, Market Microstructure, High-Frequency Data, Survey Data, Asset Return Volatility, Forecasting
|
|
|
|
|
|
37.
|
|
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
|
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|
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|
Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
|
Posted:
|
|
16 Feb 06
|
|
Last Revised:
|
|
05 Sep 10
|
|
273
(54,292)
|
226
|
|
|
|
|
Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
|
238
|
118
|
|
| |
|
| |
Continuous-time methods, jumps, quadratic variation, realized volatility, bi-power variation, highfrequency data, volatility forecasting, macroeconomic news, HAR-RV model, HAR-RV-CJ model
|
|
|
|
|
|
|
Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
|
35
|
226
|
|
| |
|
| |
|
|
|
|
|
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38.
|
|
|
Alizadeh, Sassan
University of Pennsylvania - Department of Economics Brandt, Michael W.
Duke University - Fuqua School of Business Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
|
241
(62,268)
|
61
|
|
| |
|
| |
|
|
|
39.
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Inoue, Atsushi
North Carolina State University - Department of Agricultural & Resource Economics
|
|
229
(65,757)
|
6
|
|
| |
|
| |
|
|
|
40.
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Brandt, Michael W.
Duke University - Fuqua School of Business
|
|
223
(67,630)
|
52
|
|
| |
|
| |
Range-based Estimation, Volatility, Covariance, Correlation, Absence of Arbitrage, Exchange Rates, Stock Returns, Bond returns, Bid-ask Bounce, Asynchronous Trading
|
|
|
41.
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Strasser, Georg
Boston College
|
|
206
(73,395)
|
8
|
|
| |
|
| |
Realized volatility, Market microstructure theory, High-frequency data, Financial econometrics
|
|
|
42.
|
|
The Distribution of Exchange Rate Volatility
|
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|
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|
Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics Labys, Paul
Charles River Associates (CRA) - Utah Office
|
|
Posted:
|
|
23 Jun 99
|
|
Last Revised:
|
|
12 Oct 10
|
|
191
(79,074)
|
295
|
|
|
|
|
Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics Labys, Paul
Charles River Associates (CRA) - Utah Office
|
|
113
|
294
|
|
| |
|
| |
Financial Market Volatility, High-Frequency Data, Realized Volatility, Quadratic Variation, Exchange Rates, Long-Memory
|
|
|
|
|
|
|
Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics Labys, Paul
Charles River Associates (CRA) - Utah Office
|
|
78
|
295
|
|
| |
|
| |
|
|
|
|
|
|
43.
|
|
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
|
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|
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|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Brandt, Michael W.
Duke University - Fuqua School of Business
|
|
Posted:
|
|
04 May 03
|
|
Last Revised:
|
|
26 Jan 05
|
|
158
(94,481)
|
52
|
|
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Brandt, Michael W.
Duke University - Fuqua School of Business
|
|
129
|
52
|
|
| |
|
| |
Range-based estimation, volatility, covariance, correlation, absence of arbitrage, exchange rates, stock returns, bond returns, bid-ask bounce, asynchronous trading
|
|
|
|
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Brandt, Michael W.
Duke University - Fuqua School of Business
|
|
29
|
52
|
|
| |
|
| |
|
|
|
|
|
|
44.
|
|
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data
|
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|
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|
Berkowitz, Jeremy
University of Houston - Department of Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics Ohanian, Lee E.
University of California, Los Angeles (UCLA) - Department of Economics
|
|
Posted:
|
|
28 Jul 97
|
|
Last Revised:
|
|
25 Jun 10
|
|
155
(96,125)
|
27
|
|
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Ohanian, Lee E.
University of California, Los Angeles (UCLA) - Department of Economics Berkowitz, Jeremy
University of Houston - Department of Finance
|
|
12
|
27
|
|
| |
|
| |
|
|
|
|
|
|
|
Berkowitz, Jeremy
University of Houston - Department of Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics Ohanian, Lee E.
University of California, Los Angeles (UCLA) - Department of Economics
|
|
143
|
27
|
|
| |
|
| |
|
|
|
|
|
|
45.
|
|
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
|
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|
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|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Yilmaz, Kamil
Koc University
|
|
Posted:
|
|
03 Oct 11
|
|
Last Revised:
|
|
08 Oct 11
|
|
152
(97,827)
|
3
|
|
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Yilmaz, Kamil
Koc University
|
|
22
|
3
|
|
| |
|
| |
|
|
|
|
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Yilmaz, Kamil
Koc University
|
|
47
|
3
|
|
| |
|
| |
Risk measurement, risk management, portfolio allocation, market risk, credit risk, systemic risk, asset markets, degree distribution
|
|
|
|
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Yilmaz, Kamil
Koc University
|
|
83
|
3
|
|
| |
|
| |
Risk measurement, risk management, portfolio allocation, market risk, credit risk, systemic risk, asset markets, degree distribution
|
|
|
|
|
|
46.
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Yilmaz, Kamil
Koc University
|
| Posted: |
|
15 Jan 10
|
|
Last Revised:
|
|
29 Mar 10
|
|
149
(99,592)
|
9
|
|
| |
|
| |
Asset Market, Asset Return, Stock Market, Market Linkage, Financial Crisis, Contagion, Vector Autoregression, Variance Decomposition
|
|
|
47.
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
|
139
(105,699)
|
|
|
| |
|
| |
Massive data, computing, statistics, econometrics
|
|
|
48.
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
|
127
(113,968)
|
|
|
| |
|
| |
massive data, computing, statistics, econometrics
|
|
|
49.
|
|
Real-Time Measurement of Business Conditions
|
Show Abstracts |
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|
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|
Aruoba, S. Boragan
University of Maryland - Department of Economics Diebold, Francis X.
University of Pennsylvania - Department of Economics Scotti, Chiara
Board of Governors of the Federal Reserve System
|
|
Posted:
|
|
22 Sep 07
|
|
Last Revised:
|
|
17 Sep 10
|
|
124
(116,220)
|
39
|
|
|
|
|
Aruoba, S. Boragan
University of Maryland - Department of Economics Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
|
33
|
39
|
|
| |
|
| |
Business cycle, Expansion, Recession, Macroeconomic forecasting, State space model, Dynamic factor model, Contraction, Turning point
|
|
|
|
|
|
|
Aruoba, S. Boragan
University of Maryland - Department of Economics Diebold, Francis X.
University of Pennsylvania - Department of Economics Scotti, Chiara
Board of Governors of the Federal Reserve System
|
|
14
|
39
|
|
| |
|
| |
|
|
|
|
|
|
|
Aruoba, S. Boragan
University of Maryland - Department of Economics Diebold, Francis X.
University of Pennsylvania - Department of Economics Scotti, Chiara
Board of Governors of the Federal Reserve System
|
|
77
|
39
|
|
| |
|
| |
Import prices, Export prices, Trade balance, Marshall-Lerner condition, DGE model
|
|
|
|
|
|
50.
|
|
|
Christensen, Jens Henrik Eggert
FRB of San Francisco - Financial Research Diebold, Francis X.
University of Pennsylvania - Department of Economics Rudebusch, Glenn D.
Federal Reserve Bank of San Francisco
|
|
122
(117,736)
|
7
|
|
| |
|
| |
Yield Curve, Interest Rate, Bond Market, Svensson Model
|
|
|
51.
|
|
|
Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics Ebens, Heiko
Johns Hopkins University - Department of Economics
|
|
119
(120,033)
|
303
|
|
| |
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| |
|
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52.
|
|
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions
|
Show Abstracts |
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Versions (3)
|
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|
Aruoba, S. Boragan
University of Maryland - Department of Economics Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
|
Posted:
|
|
12 Jan 10
|
|
Last Revised:
|
|
05 Jul 10
|
|
117
(121,709)
|
3
|
|
|
|
|
Aruoba, S. Boragan
University of Maryland - Department of Economics Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
|
28
|
3
|
|
| |
|
| |
Nowcasting, Prices, Wages, Business cycle, Expansion, Contraction, Recession, Turning point, State-space model, Dynamic factor model
|
|
|
|
|
|
|
Aruoba, S. Boragan
University of Maryland - Department of Economics Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
|
24
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3
|
|
| |
|
| |
|
|
|
|
|
|
|
Aruoba, S. Boragan
University of Maryland - Department of Economics Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
| Posted: |
|
12 Jan 10
|
|
Last Revised:
|
|
17 Jan 10
|
|
65
|
3
|
|
| |
|
| |
Nowcasting, Prices, Wages, Business cycle, Expansion, Contraction, Recession, Turning point, State-space model, Dynamic factor model
|
|
|
|
|
|
53.
|
|
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities
|
Show Abstracts |
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|
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|
Chen, Fei
HUST Diebold, Francis X.
University of Pennsylvania - Department of Economics Schorfheide, Frank
University of Pennsylvania - Department of Economics
|
|
Posted:
|
|
10 May 12
|
|
Last Revised:
|
|
19 May 12
|
|
114
(124,226)
|
2
|
|
|
|
|
Chen, Fei
HUST Diebold, Francis X.
University of Pennsylvania - Department of Economics Schorfheide, Frank
University of Pennsylvania - Department of Economics
|
|
3
|
2
|
|
| |
|
| |
|
|
|
|
|
|
|
Chen, Fei
HUST Diebold, Francis X.
University of Pennsylvania - Department of Economics Schorfheide, Frank
University of Pennsylvania - Department of Economics
|
|
111
|
2
|
|
| |
|
| |
High-frequency trading data, point process, long memory, time deformation, scaling law, self-similarity, regime-switching model, market microstructure, liquidity
|
|
|
|
|
|
54.
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Mariano, Roberto S.
Singapore Management University
|
|
102
(134,705)
|
552
|
|
| |
|
| |
|
|
|
55.
|
|
Globalization, the Business Cycle, and Macroeconomic Monitoring
|
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Versions (2)
|
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|
Kose, M. Ayhan
International Monetary Fund (IMF) Aruoba, S. Boragan
University of Maryland - Department of Economics Terrones, Marco E.
International Monetary Fund (IMF) Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
|
Posted:
|
|
16 Aug 10
|
|
Last Revised:
|
|
07 Feb 11
|
|
93
(143,394)
|
2
|
|
|
|
|
Kose, M. Ayhan
International Monetary Fund (IMF) Aruoba, S. Boragan
University of Maryland - Department of Economics Terrones, Marco E.
International Monetary Fund (IMF) Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
|
78
|
2
|
|
| |
|
| |
Business cycles, Cross country analysis, Globalization, Group of seven
|
|
|
|
|
|
|
Aruoba, S. Boragan
University of Maryland - Department of Economics Diebold, Francis X.
University of Pennsylvania - Department of Economics Kose, M. Ayhan
International Monetary Fund (IMF) Terrones, Marco E.
International Monetary Fund (IMF)
|
|
15
|
2
|
|
| |
|
| |
|
|
|
|
|
|
56.
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Lopez, Jose A.
Federal Reserve Bank of San Francisco
|
|
81
(156,765)
|
69
|
|
| |
|
| |
|
|
|
57.
|
|
Improving GDP Measurement: A Forecast Combination Perspective
|
Show Abstracts |
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Versions (3)
|
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|
Aruoba, S. Boragan
University of Maryland - Department of Economics Diebold, Francis X.
University of Pennsylvania - Department of Economics Nalewaik, Jeremy
Federal Reserve Board Schorfheide, Frank
University of Pennsylvania - Department of Economics Song, Dongho
University of Pennsylvania - Department of Economics
|
|
Posted:
|
|
09 Sep 11
|
|
Last Revised:
|
|
03 Oct 11
|
|
80
(157,949)
|
1
|
|
|
|
|
Aruoba, S. Boragan
University of Maryland - Department of Economics Diebold, Francis X.
University of Pennsylvania - Department of Economics Nalewaik, Jeremy
Federal Reserve Board Schorfheide, Frank
University of Pennsylvania - Department of Economics Song, Dongho
University of Pennsylvania - Department of Economics
|
|
19
|
1
|
|
| |
|
| |
National Income and Product Accounts, Output, Expenditure, Economic Activity, Business Cycle, Recession
|
|
|
|
|
|
|
Aruoba, S. Boragan
University of Maryland - Department of Economics Diebold, Francis X.
University of Pennsylvania - Department of Economics Nalewaik, Jeremy
Federal Reserve Board Schorfheide, Frank
University of Pennsylvania - Department of Economics Song, Dongho
University of Pennsylvania - Department of Economics
|
|
15
|
1
|
|
| |
|
| |
|
|
|
|
|
|
|
Aruoba, S. Boragan
University of Maryland - Department of Economics Diebold, Francis X.
University of Pennsylvania - Department of Economics Nalewaik, Jeremy
Federal Reserve Board Schorfheide, Frank
University of Pennsylvania - Department of Economics Song, Dongho
University of Pennsylvania - Department of Economics
|
|
46
|
1
|
|
| |
|
| |
National Income and Product Accounts, Output, Expenditure, Economic Activity, Business Cycle, Recession
|
|
|
|
|
|
58.
|
|
|
Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics Labys, Paul
Charles River Associates (CRA) - Utah Office
|
|
79
(159,204)
|
39
|
|
| |
|
| |
|
|
|
59.
|
|
|
Aruoba, S. Boragan
University of Maryland - Department of Economics Diebold, Francis X.
University of Pennsylvania - Department of Economics Scotti, Chiara
Board of Governors of the Federal Reserve System
|
|
78
(160,414)
|
38
|
|
| |
|
| |
Business cycle, Expansion, Recession, State space model, Macroeconomic forecasting, Dynamic factor model, Contraction, Turning point
|
|
|
60.
|
|
Unit Root Tests are Useful for Selecting Forecasting Models
|
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|
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|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Kilian, Lutz
University of Michigan at Ann Arbor - Department of Economics
|
|
Posted:
|
|
26 Mar 99
|
|
Last Revised:
|
|
11 Nov 08
|
|
66
(176,619)
|
23
|
|
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Kilian, Lutz
University of Michigan at Ann Arbor - Department of Economics
|
|
36
|
23
|
|
| |
|
| |
|
|
|
|
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Kilian, Lutz
University of Michigan at Ann Arbor - Department of Economics
|
|
30
|
23
|
|
| |
|
| |
|
|
|
|
|
|
61.
|
|
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests
|
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|
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|
Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
|
Posted:
|
|
11 Sep 12
|
|
Last Revised:
|
|
15 Sep 12
|
|
55
(193,856)
|
1
|
|
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
|
2
|
1
|
|
| |
|
| |
|
|
|
|
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
|
53
|
1
|
|
| |
|
| |
Forecasting, model comparison, model selection, out-of-sample tests
|
|
|
|
|
|
62.
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Lopez, Jose A.
Federal Reserve Bank of San Francisco
|
|
53
(197,209)
|
1
|
|
| |
|
| |
|
|
|
63.
|
|
Improving GDP Measurement: A Measurement-Error Perspective
|
Show Abstracts |
Hide Abstracts |
Versions (3)
|
hide multiple versions |
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|
Aruoba, S. Boragan
University of Maryland - Department of Economics Diebold, Francis X.
University of Pennsylvania - Department of Economics Nalewaik, Jeremy
Federal Reserve Board Schorfheide, Frank
University of Pennsylvania - Department of Economics Song, Dongho
University of Pennsylvania - Department of Economics
|
|
Posted:
|
|
04 Apr 13
|
|
Last Revised:
|
|
11 May 13
|
|
52
(198,978)
|
1
|
|
|
|
|
Aruoba, S. Boragan
University of Maryland - Department of Economics Diebold, Francis X.
University of Pennsylvania - Department of Economics Nalewaik, Jeremy
Federal Reserve Board Schorfheide, Frank
University of Pennsylvania - Department of Economics Song, Dongho
University of Pennsylvania - Department of Economics
|
|
2
|
|
|
| |
|
| |
Income, Output, expenditure, business cycle, expansion, contraction, recession, turning point, state-space model, dynamic factor model, forecast combination
|
|
|
|
|
|
|
Aruoba, S. Boragan
University of Maryland - Department of Economics Diebold, Francis X.
University of Pennsylvania - Department of Economics Nalewaik, Jeremy
Federal Reserve Board Schorfheide, Frank
University of Pennsylvania - Department of Economics Song, Dongho
University of Pennsylvania - Department of Economics
|
|
3
|
1
|
|
| |
|
| |
|
|
|
|
|
|
|
Aruoba, S. Boragan
University of Maryland - Department of Economics Diebold, Francis X.
University of Pennsylvania - Department of Economics Nalewaik, Jeremy
Federal Reserve Board Schorfheide, Frank
University of Pennsylvania - Department of Economics Song, Dongho
University of Pennsylvania - Department of Economics
|
|
47
|
1
|
|
| |
|
| |
Income, output, expenditure, business cycle, expansion, contraction, recession, turning point, state-space model, dynamic factor model, forecast combination
|
|
|
|
|
|
64.
|
|
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange
|
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|
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|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Hahn, Jinyong
University of California, Los Angeles Tay, Anothony S.
affiliation not provided to SSRN
|
|
Posted:
|
|
26 Feb 99
|
|
Last Revised:
|
|
11 Oct 10
|
|
50
(202,445)
|
5
|
|
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Hahn, Jinyong
University of California, Los Angeles Tay, Anothony S.
affiliation not provided to SSRN
|
|
28
|
5
|
|
| |
|
| |
|
|
|
|
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Hahn, Jinyong
University of California, Los Angeles Tay, Anthony S.
National University of Singapore (NUS) - Department of Economics
|
|
22
|
5
|
|
| |
|
| |
|
|
|
|
|
|
65.
|
|
|
Alizadeh, Sassan
University of Pennsylvania - Department of Economics Brandt, Michael W.
Duke University - Fuqua School of Business Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
|
49
(204,316)
|
61
|
|
| |
|
| |
|
|
|
66.
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
|
39
(224,194)
|
27
|
|
| |
|
| |
|
|
|
67.
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Yilmaz, Kamil
Koc University
|
|
38
(226,378)
|
7
|
|
| |
|
| |
|
|
|
68.
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Gunther, Todd A.
affiliation not provided to SSRN Tay, Anthony S.
National University of Singapore (NUS) - Department of Economics
|
|
34
(235,470)
|
202
|
|
| |
|
| |
|
|
|
69.
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Neumark, David
University of California, Irvine - Department of Economics Polsky, Daniel
University of Pennsylvania - School of Medicine
|
|
31
(243,031)
|
22
|
|
| |
|
| |
|
|
|
70.
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Inoue, Atsushi
North Carolina State University - Department of Agricultural & Resource Economics
|
|
30
(245,662)
|
109
|
|
| |
|
| |
|
|
|
71.
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
|
29
(248,439)
|
9
|
|
| |
|
| |
|
|
|
72.
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Rudebusch, Glenn D.
Federal Reserve Bank of San Francisco
|
|
29
(248,439)
|
51
|
|
| |
|
| |
|
|
|
73.
|
|
|
Berkowitz, Jeremy
University of Houston - Department of Finance Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
|
25
(260,729)
|
8
|
|
| |
|
| |
|
|
|
74.
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Hahn, Jinyong
University of California, Los Angeles Tay, Anthony S.
National University of Singapore (NUS) - Department of Economics
|
|
24
(264,046)
|
5
|
|
| |
|
| |
|
|
|
75.
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Tay, Anthony S.
National University of Singapore (NUS) - Department of Economics Wallis, Kenneth F.
University of Warwick - Department of Economics
|
|
24
(264,046)
|
62
|
|
| |
|
| |
|
|
|
76.
|
|
|
Christensen, Jens Henrik Eggert
FRB of San Francisco - Financial Research Diebold, Francis X.
University of Pennsylvania - Department of Economics Rudebusch, Glenn D.
Federal Reserve Bank of San Francisco
|
|
23
(267,410)
|
7
|
|
| |
|
| |
|
|
|
77.
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Senhadji, Abdelhak S.
Washington University
|
|
23
(267,410)
|
2
|
|
| |
|
| |
|
|
|
78.
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Schuermann, Til
Oliver Wyman
|
|
22
(270,809)
|
|
|
| |
|
| |
|
|
|
79.
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Kilian, Lutz
University of Michigan at Ann Arbor - Department of Economics
|
|
19
(281,444)
|
20
|
|
| |
|
| |
|
|
|
80.
|
|
|
Diebold, Francis X.
University of Pennsylvania - Department of Economics Strasser, Georg
Boston College
|
|
15
(295,737)
|
|
|
| |
|
| |
|
|
|
81.
|
|
|
Bomfim, Antulio N.
affiliation not provided to SSRN Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
|
15
(295,737)
|
3
|
|
| |
|
| |
|
|
|
82.
|
|
|
Bomfim, Antúlio N.
affiliation not provided to SSRN Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
|
2
(339,165)
|
3
|
|
| |
|
| |
|
|
|
83.
|
|
|
Christensen, Jens Henrik Eggert
FRB of San Francisco - Financial Research Diebold, Francis X.
University of Pennsylvania - Department of Economics Rudebusch, Glenn D.
Federal Reserve Bank of San Francisco
|
|
2
(339,165)
|
7
|
|
| |
|
| |
|
|
