Francis X. Diebold

University of Pennsylvania - Department of Economics

Paul F. and Warren S. Miller Professor of Economics

Ronald O. Perelman Center for Political Science

133 South 36th Street

Philadelphia, PA 19104-6297

United States

http://www.ssc.upenn.edu/~fdiebold/

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

97

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Rank 434

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in Total Papers Downloads

45,786

SSRN CITATIONS
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3,211

CROSSREF CITATIONS

8,056

Scholarly Papers (97)

1.
Downloads 2,626 ( 5,110)
Citation 8

Volatility Forecasting

PIER Working Paper No. 05-011; CFS Working Paper No. 2005/08
Number of pages: 114 Posted: 28 Feb 2005
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 2,377 (5,896)
Citation 1

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Volatility Forecasting

NBER Working Paper No. w11188
Number of pages: 113 Posted: 20 May 2005 Last Revised: 29 Jul 2010
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 249 (133,054)
Citation 3

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2.

Modeling Liquidity Risk with Implications for Traditional Market Risk Measurement and Management

NYU Working Paper No. FIN-99-062
Number of pages: 16 Posted: 11 Nov 2008
Anil Bangia, Francis X. Diebold, Til Schuermann and John Stroughair
Oliver, Wyman & Company, LLC., University of Pennsylvania - Department of Economics, Oliver Wyman and Oliver, Wyman & Company, LLC.
Downloads 2,296 (6,387)
Citation 1

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3.
Downloads 2,261 ( 6,557)
Citation 175

Modeling and Forecasting Realized Volatility

PIER Working Paper No. 01-002
Number of pages: 47 Posted: 02 May 2001
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 2,130 (7,115)
Citation 181

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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

Modeling and Forecasting Realized Volatility

NBER Working Paper No. w8160
Number of pages: 47 Posted: 09 Mar 2001 Last Revised: 11 Feb 2002
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 131 (236,894)
Citation 1

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How Relevant is Volatility Forecasting for Financial Risk Management?

97-45
Number of pages: 31 Posted: 18 Jan 1998
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 1,267 (16,400)
Citation 8

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How Relevant is Volatility Forecasting for Financial Risk Management?

Review of Economics and Statistics
Number of pages: 40 Posted: 07 Oct 1999
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 831 (30,562)

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How Relevant is Volatility Forecasting for Financial Risk Management?

NYU Working Paper No. FIN-98-080
Number of pages: 32 Posted: 11 Nov 2008
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 107 (275,347)

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How Relevant is Volatility Forecasting for Financial Risk Management?

NBER Working Paper No. w6844
Number of pages: 27 Posted: 17 Sep 1999 Last Revised: 11 Oct 2010
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 54 (411,295)

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5.

On the Origin(s) and Development of the Term 'Big Data'

PIER Working Paper No. 12-037
Number of pages: 8 Posted: 26 Sep 2012
Francis X. Diebold
University of Pennsylvania - Department of Economics
Downloads 2,017 (7,978)
Citation 22

Abstract:

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Massive data, computing, statistics, econometrics

Practical Volatility and Correlation Modeling for Financial Market Risk Management

PIER Working Paper No. 05-007, CFS Working Paper 2005/02
Number of pages: 41 Posted: 21 Jan 2005
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 1,612 (11,292)
Citation 2

Abstract:

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Practical Volatility and Correlation Modeling for Financial Market Risk Management

NBER Working Paper No. w11069
Number of pages: 41 Posted: 16 Feb 2005
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 201 (163,811)
Citation 6

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7.

A Personal Perspective on the Origin(s) and Development of 'Big Data': The Phenomenon, the Term, and the Discipline, Second Version

PIER Working Paper No. 13-003
Number of pages: 8 Posted: 18 Jan 2013
Francis X. Diebold
University of Pennsylvania - Department of Economics
Downloads 1,802 (9,585)
Citation 24

Abstract:

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massive data, computing, statistics, econometrics

8.
Downloads 1,725 ( 10,335)
Citation 38

Weather Forecasting for Weather Derivatives

PIER Working Paper No. 01-031
Number of pages: 118 Posted: 25 Sep 2001
Sean D. Campbell and Francis X. Diebold
U.S. Division of Monetary Affairs and University of Pennsylvania - Department of Economics
Downloads 1,153 (18,922)

Abstract:

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Risk Management, Hedging, Insurance, Seasonality, Average Temperature, Financial Derivatives

Weather Forecasting for Weather Derivatives

PIER Working Paper No. 02-046
Number of pages: 45 Posted: 22 Dec 2002
Sean D. Campbell and Francis X. Diebold
U.S. Division of Monetary Affairs and University of Pennsylvania - Department of Economics
Downloads 508 (58,756)
Citation 1

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Risk Management, Hedging, Insurance, Seasonality, Average Temperature, Financial Derivatives, Density Forecasting

Weather Forecasting for Weather Derivatives

NBER Working Paper No. w10141
Number of pages: 30 Posted: 10 Dec 2003 Last Revised: 18 Sep 2010
Sean D. Campbell and Francis X. Diebold
U.S. Division of Monetary Affairs and University of Pennsylvania - Department of Economics
Downloads 64 (377,546)
Citation 1

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9.
Downloads 1,497 ( 12,889)
Citation 327

Forecasting the Term Structure of Government Bond Yields

PIER Working Paper No. 02-026
Number of pages: 48 Posted: 03 Sep 2002
Francis X. Diebold and Canlin Li
University of Pennsylvania - Department of Economics and University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management
Downloads 1,365 (14,627)
Citation 48

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Forecasting the Term Structure of Government Bond Yields

NBER Working Paper No. w10048
Number of pages: 43 Posted: 28 Oct 2003
Francis X. Diebold and Canlin Li
University of Pennsylvania - Department of Economics and University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management
Downloads 132 (235,536)
Citation 38

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10.

Ratings Migration and the Business Cycle, with Application to Credit Portfolio Stress Testing

PIER Working Paper No. 01-004
Number of pages: 46 Posted: 02 May 2001
Anil Bangia, Francis X. Diebold and Til Schuermann
Oliver, Wyman & Company, LLC., University of Pennsylvania - Department of Economics and Oliver Wyman
Downloads 1,440 (13,756)
Citation 29

Abstract:

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Credit risk, stress testing, ratings migration, credit portfolio management

11.
Downloads 1,310 ( 15,885)
Citation 30

Financial Risk Measurement for Financial Risk Management

PIER Working Paper No. 11-037
Number of pages: 130 Posted: 07 Nov 2011
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 1,218 (17,415)
Citation 1

Abstract:

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Market risk, volatility, GARCH

Financial Risk Measurement for Financial Risk Management

NBER Working Paper No. w18084
Number of pages: 130 Posted: 19 May 2012
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 92 (304,862)
Citation 3

Abstract:

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12.

Realized Beta: Persistence and Predictability

PIER Working Paper No. 04-018
Number of pages: 63 Posted: 07 May 2004
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and University of Georgia - Department of Banking and Finance
Downloads 1,184 (18,507)
Citation 43

Abstract:

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quadratic variation and covariation, realized volatility, asset pricing, CAPM, equity betas, long memory, nonlinear fractional cointegration, continuous-time methods

13.

Horizon Problems and Extreme Events in Financial Risk Management

Economic Policy Review, Vol. 4, No. 3, October 1998
Number of pages: 10 Posted: 10 Feb 1999
Peter Christoffersen, Francis X. Diebold and Til Schuermann
University of Toronto - Rotman School of Management, University of Pennsylvania - Department of Economics and Oliver Wyman
Downloads 1,175 (18,724)
Citation 28

Abstract:

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capital regulation

14.

Time Series Analysis

PIER Working Paper No. 06-019
Number of pages: 24 Posted: 21 Jun 2006
Francis X. Diebold, Lutz Kilian and Marc Nerlove
University of Pennsylvania - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Maryland
Downloads 1,120 (20,119)
Citation 1

Abstract:

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Time series analysis, time domain, frequency domain

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 No. 03-025
Number of pages: 41 Posted: 06 Nov 2003
Torben G. Andersen, Tim Bollerslev and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 749 (35,233)
Citation 32

Abstract:

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Continuous-time methods, jumps, quadratic variation, realized volatility, bi-power variation, high-frequency data, volatility forecasting, HAR-RV model

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 No. 2003/35
Number of pages: 42 Posted: 01 Dec 2003
Torben G. Andersen, Tim Bollerslev and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 356 (90,208)
Citation 43

Abstract:

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Continuous-time methods, jumps, quadratic variation, realized volatility, bi-power variation, high-frequency data, volatility forecasting, HAR-RV model

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets

PIER Working Paper No. 04-028; Simon School Working Paper No. FR 04-13
Number of pages: 51 Posted: 30 Jun 2004
Torben G. Andersen, Clara Vega, Tim Bollerslev and Francis X. Diebold
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 829 (30,668)
Citation 12

Abstract:

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Asset Pricing, Macroeconomic News Announcements, Financial Market Linkages, Market Microstructure, High-Frequency Data, Survey Data, Asset Return Volatility, Forecasting

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets

NBER Working Paper No. w11312
Number of pages: 56 Posted: 09 Jun 2005 Last Revised: 17 Jul 2009
Torben G. Andersen, Clara Vega, Tim Bollerslev and Francis X. Diebold
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 63 (380,785)
Citation 6

Abstract:

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17.

Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence

PIER Working Paper No. 06-016
Number of pages: 32 Posted: 12 Jun 2006
University of Toronto - Rotman School of Management, University of Pennsylvania - Department of Economics, Singapore Management University, Singapore Management University - School of Economics and Singapore Management University - School of Social Sciences
Downloads 818 (31,719)
Citation 4

Abstract:

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Volatility, variance, skewness, kurtosis, market timing, asset management, asset allocation, portfolio management

18.
Downloads 798 ( 32,796)
Citation 134

Parametric and Nonparametric Volatility Measurement

PIER Working Paper No. 02-019
Number of pages: 69 Posted: 31 Jul 2002
Torben G. Andersen, Tim Bollerslev and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 737 (36,022)
Citation 3

Abstract:

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Parametric and Nonparametric Volatility Measurement

NBER Working Paper No. t0279
Number of pages: 68 Posted: 18 Aug 2002
Torben G. Andersen, Tim Bollerslev and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 61 (387,131)
Citation 31

Abstract:

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19.

The Distribution of Realized Exchange Rate Volatility

PIER Working Paper No. 01-003
Number of pages: 32 Posted: 02 May 2001
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 768 (34,540)
Citation 75

Abstract:

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Realized Volatility, Integrated Volatility, Quadratic Variation, Long-Memory, High-Frequency Data, Risk Management, Forecasting

The Macroeconomy and the Yield Curve: A Nonstructural Analysis

PIER Working Paper No. 03-024
Number of pages: 39 Posted: 28 Oct 2003
Francis X. Diebold, Glenn D. Rudebusch and S. Borağan Aruoba
University of Pennsylvania - Department of Economics, Federal Reserve Bank of San Francisco and University of Maryland - Department of Economics
Downloads 449 (68,559)
Citation 6

Abstract:

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Yield curve, term structure, interest rates, macroeconomic fundamentals, factor model, statespace model

The Macroeconomy and the Yield Curve: A Nonstructural Analysis

CFS Working Paper No. 2003/31
Number of pages: 40 Posted: 14 Dec 2003
Glenn D. Rudebusch, Francis X. Diebold and S. Borağan Aruoba
Federal Reserve Bank of San Francisco, University of Pennsylvania - Department of Economics and University of Maryland - Department of Economics
Downloads 225 (147,100)
Citation 2

Abstract:

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Yield curve, term structure, interest rates, macroeconomic fundamentals, factor model, state-space model

21.

A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration

PIER Working Paper No. 06-017
Number of pages: 44 Posted: 21 Jun 2006
Francis X. Diebold, Lei Ji and Canlin Li
University of Pennsylvania - Department of Economics, University of Pennsylvania - Department of Economics and University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management
Downloads 661 (42,338)
Citation 9

Abstract:

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Term structure; Yield curve; Factor model; Risk Management

22.
Downloads 650 ( 43,329)
Citation 4

Range-Based Estimation of Stochastic Volatility Models

PIER Working Paper No. 01-007
Number of pages: 65 Posted: 02 May 2001
Sassan Alizadeh, Michael W. Brandt and Francis X. Diebold
University of Pennsylvania - Department of Economics, Duke University - Fuqua School of Business and University of Pennsylvania - Department of Economics
Downloads 650 (42,701)
Citation 4

Abstract:

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Range-Based Estimation of Stochastic Volatility Models

Journal of Finance, Vol. 57, pp. 1047-1091, 2002
Posted: 04 Sep 2001
Sassan Alizadeh, Michael W. Brandt and Francis X. Diebold
University of Pennsylvania - Department of Economics, Duke University - Fuqua School of Business and University of Pennsylvania - Department of Economics

Abstract:

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Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics

PIER Working Paper No. 04-009; EFA 2004 Maastricht Meetings Paper No. 4809
Number of pages: 41 Posted: 19 Apr 2004
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 415 (75,453)
Citation 1

Abstract:

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Conditional Mean Dependence, Conditional Volatility

Financial Asset Returns, Direction-of-Change Forecasting and Volatility Dynamics

Rodney L. White Center for Financial Research Working Paper No. 05-04
Number of pages: 41 Posted: 08 Jul 2004
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 181 (180,412)
Citation 17

Abstract:

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Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics

NBER Working Paper No. w10009
Number of pages: 40 Posted: 05 Oct 2003 Last Revised: 19 Sep 2009
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 53 (414,854)
Citation 3

Abstract:

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Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

PIER Working Paper No. 02-011
Number of pages: 38 Posted: 17 May 2002
Clara Vega, Torben G. Andersen, Tim Bollerslev and Francis X. Diebold
Board of Governors of the Federal Reserve System, Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 586 (49,003)
Citation 2

Abstract:

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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

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

NBER Working Paper No. w8959
Number of pages: 38 Posted: 24 May 2002 Last Revised: 27 Oct 2010
Torben G. Andersen, Clara Vega, Tim Bollerslev and Francis X. Diebold
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 60 (390,433)
Citation 45

Abstract:

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25.
Downloads 631 ( 45,051)
Citation 2

Cointegration and Long-Horizon Forecasting

IMF Working Paper No. 97/61
Number of pages: 30 Posted: 22 Jan 1998
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 529 (55,836)
Citation 2

Abstract:

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Cointegration and Long-Horizon Forecasting

NBER Working Paper No. t0217
Number of pages: 30 Posted: 25 Jul 2000 Last Revised: 07 Aug 2010
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 51 (422,265)

Abstract:

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Cointegration and Long-Horizon Forecasting

NYU Working Paper No. SOR-98-8
Number of pages: 36 Posted: 31 Oct 2008
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 51 (422,265)

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A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

PIER Working Paper No. 05-009; CFS Working Paper No. 2005/04
Number of pages: 18 Posted: 08 Feb 2005
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and University of Georgia - Department of Banking and Finance
Downloads 568 (50,985)

Abstract:

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Realized volatility, realized beta, conditional CAPM, business cycle

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

NBER Working Paper No. w11134
Number of pages: 18 Posted: 15 Mar 2005
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and University of Georgia - Department of Banking and Finance
Downloads 54 (411,295)
Citation 4

Abstract:

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27.

Financial Asset Returns, Market Timing, and Volatility Dynamics

Number of pages: 32 Posted: 19 Apr 2002
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 622 (45,926)
Citation 7

Abstract:

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Financial Asset Returns, Market Timing, and Volatility Dynamics

28.
Downloads 497 ( 61,066)
Citation 73

Modeling Bond Yields in Finance and Macroeconomics

PIER Working Paper No. 05-008
Number of pages: 20 Posted: 21 Jan 2005
Francis X. Diebold, Monika Piazzesi and Glenn D. Rudebusch
University of Pennsylvania - Department of Economics, University of Chicago - Booth School of Business and Federal Reserve Bank of San Francisco
Downloads 439 (70,470)

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term structure, yield curve, Nelson-Siegel model, affine equilibrium model

Modeling Bond Yields in Finance and Macroeconomics

NBER Working Paper No. w11089
Number of pages: 20 Posted: 23 Feb 2005
Francis X. Diebold, Monika Piazzesi and Glenn D. Rudebusch
University of Pennsylvania - Department of Economics, University of Chicago - Booth School of Business and Federal Reserve Bank of San Francisco
Downloads 58 (397,206)
Citation 8

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29.
Downloads 442 ( 70,559)
Citation 1

Commodity Connectedness

PIER Working Paper No. 17-003
Number of pages: 30 Posted: 13 Mar 2017
Francis X. Diebold, Laura Liu and Kamil Yilmaz
University of Pennsylvania - Department of Economics, Indiana University Bloomington - Department of Economics and Koc University
Downloads 370 (86,277)

Abstract:

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network centrality, network visualization, pairwise connectedness, total directional connect- edness, total connectedness, vector autoregression, variance decomposition, LASSO

Commodity Connectedness

CFS Working Paper, No. 575
Number of pages: 32 Posted: 20 Sep 2017 Last Revised: 18 Jan 2018
Francis X. Diebold, Laura Liu and Kamil Yilmaz
University of Pennsylvania - Department of Economics, Indiana University Bloomington - Department of Economics and Koc University
Downloads 57 (400,646)
Citation 1

Abstract:

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network centrality, network visualization, pairwise connectedness, total directional connect- edness, total connectedness, vector autoregression, variance decomposition, LASSO

Commodity Connectedness

NBER Working Paper No. w23685
Number of pages: 30 Posted: 21 Aug 2017
Francis X. Diebold, Laura Liu and Kamil Yilmaz
University of Pennsylvania - Department of Economics, Indiana University Bloomington - Department of Economics and Koc University
Downloads 15 (617,341)

Abstract:

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The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models

PIER Working Paper No. 07-029
Number of pages: 38 Posted: 01 Oct 2007
University of Pennsylvania - Department of Economics, FRB of San Francisco - Financial Research and Federal Reserve Bank of San Francisco
Downloads 259 (127,786)

Abstract:

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arbitrage, Nelson-Siegel, term structure, factor models, forecast accuracy

The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models

Number of pages: 38 Posted: 02 Nov 2007
FRB of San Francisco - Financial Research, University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 119 (254,879)
Citation 1

Abstract:

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interest rates, econometric models

The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models

NBER Working Paper No. w13611
Number of pages: 38 Posted: 29 Nov 2007 Last Revised: 11 Sep 2010
FRB of San Francisco - Financial Research, University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 58 (397,206)
Citation 15

Abstract:

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Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets

PIER Working Paper No. 07-002
Number of pages: 21 Posted: 12 Jan 2007
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 369 (86,539)
Citation 42

Abstract:

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Asset Market, Asset Return, Stock Market, Emerging Market, Market Linkage, Financial Crisis, Herd Behavior, Contagion

Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets

NBER Working Paper No. w13811
Number of pages: 20 Posted: 15 Feb 2008 Last Revised: 28 Sep 2010
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 36 (486,202)

Abstract:

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Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets

Economic Journal, Vol. 119, No. 534, pp. 158-171, January 2009
Number of pages: 14 Posted: 10 Dec 2008
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 4 (701,246)
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32.
Downloads 401 ( 79,193)
Citation 7

The Nobel Memorial Prize for Robert F. Engle

PIER Working Paper No. 04-010
Number of pages: 28 Posted: 05 Apr 2004
Francis X. Diebold
University of Pennsylvania - Department of Economics
Downloads 226 (146,465)

Abstract:

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Econometric Theory, Finance

The Nobel Memorial Prize for Robert F. Engle

Rodney L. White Center for Financial Research Working Paper No. 07-04
Number of pages: 29 Posted: 08 Jul 2004
Francis X. Diebold
University of Pennsylvania - Department of Economics
Downloads 116 (259,763)

Abstract:

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The Nobel Memorial Prize for Robert F. Engle

NBER Working Paper No. w10423
Number of pages: 29 Posted: 23 Apr 2004 Last Revised: 26 Jun 2010
Francis X. Diebold
University of Pennsylvania - Department of Economics
Downloads 32 (506,577)
Citation 1

Abstract:

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The Nobel Memorial Prize for Robert F. Engle

Scandinavian Journal of Economics, Vol. 106, pp. 165-185, June 2004
Number of pages: 22 Posted: 26 Sep 2004
Francis X. Diebold
University of Pennsylvania - Department of Economics
Downloads 27 (535,225)
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Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility

CREATES Research Paper No. 2007-18
Number of pages: 50 Posted: 23 Jun 2008
Torben G. Andersen, Tim Bollerslev and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 292 (112,470)
Citation 85

Abstract:

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Continuous-time methods, jumps, quadratic variation, realized volatility, bi-power variation, highfrequency data, volatility forecasting, macroeconomic news, HAR-RV model, HAR-RV-CJ model

Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility

NBER Working Paper No. w11775
Number of pages: 49 Posted: 16 Feb 2006 Last Revised: 05 Sep 2010
Torben G. Andersen, Tim Bollerslev and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 101 (286,700)
Citation 13

Abstract:

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Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

FRB International Finance Discussion Paper No. 871
Number of pages: 40 Posted: 05 Dec 2006
Torben G. Andersen, Clara Vega, Tim Bollerslev and Francis X. Diebold
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System, Duke University - Finance and University of Pennsylvania - Department of Economics
Downloads 198 (166,161)
Citation 36

Abstract:

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Asset Pricing, Macroeconomic News Announcements, Financial Market Linkages, Market Microstructure, High-Frequency Data, Survey Data, Asset Return Volatility, Forecasting

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

CREATES Research Paper No. 2007-20
Number of pages: 38 Posted: 23 Jun 2008
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Clara Vega
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 192 (171,000)
Citation 14

Abstract:

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Asset Pricing, Macroeconomic News Announcements, Financial Market Linkages, Market Microstructure, High-Frequency Data, Survey Data, Asset Return Volatility, Forecasting

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

Journal of International Economics, Vol. 73, No. 2, 2007
Posted: 03 Jun 2008
Torben G. Andersen, Clara Vega, Tim Bollerslev and Francis X. Diebold
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System, Duke University - Finance and University of Pennsylvania - Department of Economics

Abstract:

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Asset Pricing, Macroeconomic News Announcements, Financial Market Linkages, Market Microstructure, High-Frequency Data, Survey Data, Asset Return Volatility, Forecasting

35.

Evaluating Density Forecasts with Applications to Financial Risk Management

NYU Working Paper No. SOR-98-6
Number of pages: 22 Posted: 31 Oct 2008
Francis X. Diebold, Todd A. Gunther and Anthony S. Tay
University of Pennsylvania - Department of Economics, affiliation not provided to SSRN and Singapore Management University - School of Economics
Downloads 385 (83,031)
Citation 31

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36.

Macroeconomic Volatility and Stock Market Volatility, World-Wide

PIER Working Paper No. 08-031
Number of pages: 35 Posted: 25 Aug 2008
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 385 (83,031)
Citation 9

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Financial market, equity market, asset return, risk, variance, asset pricing

Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach

PIER Working Paper No. 07-030
Number of pages: 39 Posted: 03 Oct 2007
Francis X. Diebold, Canlin Li and Vivian Z. Yue
University of Pennsylvania - Department of Economics, University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management and Emory University
Downloads 312 (104,688)

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Term Structure, Interest Rate, Dynamic Factor Model, Global Yield, World Yield, Bond Market

Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach

NBER Working Paper No. w13588
Number of pages: 44 Posted: 14 Nov 2007 Last Revised: 19 Aug 2010
Francis X. Diebold, Canlin Li and Vivian Z. Yue
University of Pennsylvania - Department of Economics, University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management and Emory University
Downloads 60 (390,433)
Citation 6

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Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence

PIER Working Paper No. 05-025
Number of pages: 29 Posted: 26 Sep 2005
Sean D. Campbell and Francis X. Diebold
U.S. Division of Monetary Affairs and University of Pennsylvania - Department of Economics
Downloads 329 (98,701)

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Business cycle, expected equity returns, prediction, Livingston survey, risk aversion, equity premium, risk premium

Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence

NBER Working Paper No. w11736
Number of pages: 29 Posted: 27 Jan 2006 Last Revised: 28 Jul 2010
Sean D. Campbell and Francis X. Diebold
U.S. Division of Monetary Affairs and University of Pennsylvania - Department of Economics
Downloads 42 (458,706)

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The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach

Rodney L. White Center for Financial Research Working Paper No. 16-04
Number of pages: 41 Posted: 08 Jul 2004
Francis X. Diebold, Glenn D. Rudebusch and S. Borağan Aruoba
University of Pennsylvania - Department of Economics, Federal Reserve Bank of San Francisco and University of Maryland - Department of Economics
Downloads 282 (116,802)
Citation 1

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Term structure, interest rates, macroeconomic fundamentals, factor model, state-space model

The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach

NBER Working Paper No. w10616
Number of pages: 40 Posted: 28 Jul 2004 Last Revised: 06 Jul 2010
Francis X. Diebold, Glenn D. Rudebusch and S. Borağan Aruoba
University of Pennsylvania - Department of Economics, Federal Reserve Bank of San Francisco and University of Maryland - Department of Economics
Downloads 78 (337,915)
Citation 18

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On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms

PIER Working Paper No. 11-031
Number of pages: 38 Posted: 03 Oct 2011
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 123 (248,542)

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Risk measurement, risk management, portfolio allocation, market risk, credit risk, systemic risk, asset markets, degree distribution

On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms

CAFE Research Paper No. 13.08
Number of pages: 38 Posted: 27 Aug 2013
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 109 (271,726)
Citation 97

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Risk measurement, risk management, portfolio allocation, market risk, credit risk, systemic risk, asset markets, degree distribution

On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms

FRB of Philadelphia Working Paper No. 11-45
Number of pages: 38 Posted: 04 Oct 2011
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 76 (343,208)
Citation 3

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Risk measurement, risk management, portfolio allocation, market risk, credit risk, systemic risk, asset markets, degree distribution

On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms

NBER Working Paper No. w17490
Number of pages: 38 Posted: 08 Oct 2011
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 45 (445,907)

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41.

Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management

NYU Working Paper No. FIN-98-081
Number of pages: 13 Posted: 11 Nov 2008
Francis X. Diebold, Til Schuermann and John Stroughair
University of Pennsylvania - Department of Economics, Oliver Wyman and Oliver, Wyman & Company, LLC.
Downloads 335 (97,321)
Citation 2

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42.
Downloads 303 (108,694)
Citation 32

Estimating Global Bank Network Connectedness

PIER Working Paper No. 15-025
Number of pages: 34 Posted: 18 Jul 2015 Last Revised: 30 Jul 2015
Mert Demirer, Francis X. Diebold, Laura Liu and Kamil Yilmaz
Massachusetts Institute of Technology (MIT), University of Pennsylvania - Department of Economics, Indiana University Bloomington - Department of Economics and Koc University
Downloads 289 (113,699)
Citation 4

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Systemic risk, connectedness, systemically important financial institutions, vector autoregres- sion, variance decomposition, lasso, elastic net, adaptive lasso, adaptive elastic net

Estimating Global Bank Network Connectedness

NBER Working Paper No. w23140
Number of pages: 35 Posted: 13 Feb 2017
Mert Demirer, Francis X. Diebold, Laura Liu and Kamil Yilmaz
Massachusetts Institute of Technology (MIT), University of Pennsylvania - Department of Economics, Indiana University Bloomington - Department of Economics and Koc University
Downloads 14 (624,826)
Citation 19

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43.

Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting than You Think

Wharton FIC Working Paper No. 00-28
Number of pages: 50 Posted: 20 Nov 2000
Sassan Alizadeh, Michael W. Brandt and Francis X. Diebold
University of Pennsylvania - Department of Economics, Duke University - Fuqua School of Business and University of Pennsylvania - Department of Economics
Downloads 275 (120,542)
Citation 52

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44.

Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers

International Journal of Forecasting, Forthcoming
Number of pages: 29 Posted: 15 Jan 2010 Last Revised: 29 Mar 2010
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 271 (122,327)
Citation 45

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Asset Market, Asset Return, Stock Market, Market Linkage, Financial Crisis, Contagion, Vector Autoregression, Variance Decomposition

45.

Long Memory and Structural Change

PIER Working Paper No. 01-006
Number of pages: 41 Posted: 02 May 2001
Francis X. Diebold and Atsushi Inoue
University of Pennsylvania - Department of Economics and Southern Methodist University
Downloads 271 (122,327)
Citation 2

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46.

Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts

PIER Working Paper No. 17-017
Number of pages: 28 Posted: 07 Sep 2017
Francis X. Diebold and Minchul Shin
University of Pennsylvania - Department of Economics and University of Illinois
Downloads 269 (123,308)
Citation 3

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Forecast Combination, Forecast Surveys, Shrinkage, Model Selection, LASSO, Regularization

47.
Downloads 256 (129,932)
Citation 127

The Distribution of Exchange Rate Volatility

NYU Working Paper No. FIN-99-059
Number of pages: 30 Posted: 11 Nov 2008
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 156 (205,303)
Citation 6

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Financial Market Volatility, High-Frequency Data, Realized Volatility, Quadratic Variation, Exchange Rates, Long-Memory

The Distribution of Exchange Rate Volatility

NBER Working Paper No. w6961
Number of pages: 49 Posted: 23 Jun 1999 Last Revised: 12 Oct 2010
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 100 (288,598)

Abstract:

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48.

A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations (Second Version)

PIER Working Paper No. 03-013
Number of pages: 21 Posted: 04 Jun 2003
Francis X. Diebold and Michael W. Brandt
University of Pennsylvania - Department of Economics and Duke University - Fuqua School of Business
Downloads 245 (135,761)
Citation 18

Abstract:

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Range-based Estimation, Volatility, Covariance, Correlation, Absence of Arbitrage, Exchange Rates, Stock Returns, Bond returns, Bid-ask Bounce, Asynchronous Trading

49.

On the Correlation Structure of Microstructure Noise in Theory and Practice

PIER Working Paper No. 08-038
Number of pages: 68 Posted: 20 Oct 2008
Francis X. Diebold and Georg Strasser
University of Pennsylvania - Department of Economics and European Central Bank (ECB) - Directorate General Research
Downloads 233 (142,613)
Citation 13

Abstract:

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Realized volatility, Market microstructure theory, High-frequency data, Financial econometrics

50.

Measuring the Dynamics of Global Business Cycle Connectedness

PIER Working Paper No. 13-070
Number of pages: 30 Posted: 19 Dec 2013 Last Revised: 23 Dec 2013
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 223 (148,828)
Citation 13

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Synchronization, coupling, de-coupling, network, G-7, real activity, industrial production, globalization

51.

The Distribution of Stock Return Volatility

NBER Working Paper No. w7933
Number of pages: 41 Posted: 30 Sep 2000 Last Revised: 19 Oct 2010
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Heiko Ebens
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 208 (158,904)
Citation 38

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Dynamic Equilibrium Economies: A Framework for Comparing Models and Data

FEDS PAPER NUMBER: (97-23)
Number of pages: 32 Posted: 28 Jul 1997
Jeremy Berkowitz, Francis X. Diebold and Lee E. Ohanian
University of Houston - Department of Finance, University of Pennsylvania - Department of Economics and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 158 (203,120)
Citation 1

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Dynamic Equilibrium Economies: A Framework for Comparing Models and Data

NBER Working Paper No. t0174
Number of pages: 40 Posted: 14 Jul 2000 Last Revised: 25 Jun 2010
Francis X. Diebold, Lee E. Ohanian and Jeremy Berkowitz
University of Pennsylvania - Department of Economics, University of California, Los Angeles (UCLA) - Department of Economics and University of Houston - Department of Finance
Downloads 26 (541,514)

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53.
Downloads 183 (178,707)
Citation 90

Real-Time Measurement of Business Conditions

FRB International Finance Discussion Paper No. 901
Number of pages: 36 Posted: 22 Sep 2007
S. Borağan Aruoba, Francis X. Diebold and Chiara Scotti
University of Maryland - Department of Economics, University of Pennsylvania - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 104 (280,980)

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Import prices, Export prices, Trade balance, Marshall-Lerner condition, DGE model

Real-Time Measurement of Business Conditions

FRB of Philadelphia Working Paper No. 08-19
Number of pages: 30 Posted: 24 Sep 2008
S. Borağan Aruoba and Francis X. Diebold
University of Maryland - Department of Economics and University of Pennsylvania - Department of Economics
Downloads 53 (414,854)
Citation 96

Abstract:

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Business cycle, Expansion, Recession, Macroeconomic forecasting, State space model, Dynamic factor model, Contraction, Turning point

Real-Time Measurement of Business Conditions

NBER Working Paper No. w14349
Number of pages: 30 Posted: 23 Sep 2008 Last Revised: 17 Sep 2010
S. Borağan Aruoba, Francis X. Diebold and Chiara Scotti
University of Maryland - Department of Economics, University of Pennsylvania - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 26 (541,514)

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A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations

CFS Working Paper No. 2004/07
Number of pages: 37 Posted: 26 Jan 2005
Francis X. Diebold and Michael W. Brandt
University of Pennsylvania - Department of Economics and Duke University - Fuqua School of Business
Downloads 141 (223,321)
Citation 1

Abstract:

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Range-based estimation, volatility, covariance, correlation, absence of arbitrage, exchange rates, stock returns, bond returns, bid-ask bounce, asynchronous trading

A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations

NBER Working Paper No. w9664
Number of pages: 16 Posted: 04 May 2003
Francis X. Diebold and Michael W. Brandt
University of Pennsylvania - Department of Economics and Duke University - Fuqua School of Business
Downloads 42 (458,706)
Citation 3

Abstract:

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55.

Comparing Predictive Accuracy

NBER Working Paper No. t0169
Number of pages: 35 Posted: 25 Jul 2000 Last Revised: 27 Oct 2008
Francis X. Diebold and Roberto S. Mariano
University of Pennsylvania - Department of Economics and Singapore Management University
Downloads 183 (178,707)

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A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities

PIER Working Paper No. 12-020
Number of pages: 62 Posted: 10 May 2012
Fei Chen, Francis X. Diebold and Frank Schorfheide
HUST, University of Pennsylvania - Department of Economics and University of Pennsylvania - Department of Economics
Downloads 158 (203,120)

Abstract:

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High-frequency trading data, point process, long memory, time deformation, scaling law, self-similarity, regime-switching model, market microstructure, liquidity

A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities

NBER Working Paper No. w18078
Number of pages: 62 Posted: 12 May 2012
Fei Chen, Francis X. Diebold and Frank Schorfheide
HUST, University of Pennsylvania - Department of Economics and University of Pennsylvania - Department of Economics
Downloads 14 (624,826)

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Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions

PIER Working Paper No. 10-002
Number of pages: 17 Posted: 12 Jan 2010 Last Revised: 17 Jan 2010
S. Borağan Aruoba and Francis X. Diebold
University of Maryland - Department of Economics and University of Pennsylvania - Department of Economics
Downloads 82 (327,844)
Citation 14

Abstract:

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Nowcasting, Prices, Wages, Business cycle, Expansion, Contraction, Recession, Turning point, State-space model, Dynamic factor model

Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions

FRB of Philadelphia Working Paper No. 10-5
Number of pages: 17 Posted: 29 Jan 2010
S. Borağan Aruoba and Francis X. Diebold
University of Maryland - Department of Economics and University of Pennsylvania - Department of Economics
Downloads 48 (433,783)
Citation 9

Abstract:

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Nowcasting, Prices, Wages, Business cycle, Expansion, Contraction, Recession, Turning point, State-space model, Dynamic factor model

Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions

NBER Working Paper No. w15657
Number of pages: 17 Posted: 18 Jan 2010 Last Revised: 05 Jul 2010
S. Borağan Aruoba and Francis X. Diebold
University of Maryland - Department of Economics and University of Pennsylvania - Department of Economics
Downloads 35 (491,082)

Abstract:

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58.

An Arbitrage-Free Generalized Nelson-Siege Term Structure Model

PIER Working Paper No. 08-030
Number of pages: 30 Posted: 25 Aug 2008
FRB of San Francisco - Financial Research, University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 141 (222,750)

Abstract:

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Yield Curve, Interest Rate, Bond Market, Svensson Model

59.

A Markov-Switching Multifractal Inter-Trade Duration Model, with Application to US Equities

Journal of Econometrics (2013), Forthcoming
Number of pages: 62 Posted: 27 Aug 2013
Fei Chen, Francis X. Diebold and Frank Schorfheide
HUST, University of Pennsylvania - Department of Economics and University of Pennsylvania - Department of Economics
Downloads 140 (224,056)
Citation 1

Abstract:

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High-frequency trading data, point process, long memory, time deformation, scaling law, self-similarity, regime-switching model, market microstructure, liquidity

Globalization, the Business Cycle, and Macroeconomic Monitoring

IMF Working Paper No. 11/25
Number of pages: 53 Posted: 07 Feb 2011
World Bank, University of Maryland - Department of Economics, International Monetary Fund (IMF) and University of Pennsylvania - Department of Economics
Downloads 108 (273,562)
Citation 2

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Business cycles, Cross country analysis, Globalization, Group of seven

NBER Working Paper No. w16264
Number of pages: 52 Posted: 16 Aug 2010 Last Revised: 15 Jun 2020
University of Maryland - Department of Economics, University of Pennsylvania - Department of Economics, World Bank and International Monetary Fund (IMF)
Downloads 27 (535,225)

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Improving GDP Measurement: A Forecast Combination Perspective

PIER Working Paper No. 11-028
Number of pages: 30 Posted: 09 Sep 2011
University of Maryland - Department of Economics, University of Pennsylvania - Department of Economics, Board of Governors of the Federal Reserve System, University of Pennsylvania - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 66 (371,528)

Abstract:

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National Income and Product Accounts, Output, Expenditure, Economic Activity, Business Cycle, Recession

Improving GDP Measurement: a Forecast Combination Perspective

NBER Working Paper No. w17421
Number of pages: 30 Posted: 21 Sep 2011 Last Revised: 03 Oct 2011
University of Maryland - Department of Economics, University of Pennsylvania - Department of Economics, Board of Governors of the Federal Reserve System, University of Pennsylvania - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 33 (501,335)

Abstract:

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Improving GDP Measurement: A Forecast Combination Perspective

FRB of Philadelphia Working Paper No. 11-41
Number of pages: 30 Posted: 21 Sep 2011
University of Maryland - Department of Economics, University of Pennsylvania - Department of Economics, Board of Governors of the Federal Reserve System, University of Pennsylvania - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 33 (501,335)
Citation 2

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National Income and Product Accounts, Output, Expenditure, Economic Activity, Business Cycle, Recession

Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests

PIER Working Paper No. 12-035
Number of pages: 18 Posted: 11 Sep 2012
Francis X. Diebold
University of Pennsylvania - Department of Economics
Downloads 79 (335,305)

Abstract:

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Forecasting, model comparison, model selection, out-of-sample tests

Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests

CAFE Research Paper No. 13.05
Number of pages: 18 Posted: 27 Aug 2013
Francis X. Diebold
University of Pennsylvania - Department of Economics
Downloads 39 (472,170)
Citation 157

Abstract:

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Forecasting, model comparison, model selection, out-of-sample tests

Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests

NBER Working Paper No. w18391
Number of pages: 18 Posted: 15 Sep 2012
Francis X. Diebold
University of Pennsylvania - Department of Economics
Downloads 12 (639,835)
Citation 84

Abstract:

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Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian

NBER Working Paper No. w7488
Number of pages: 23 Posted: 10 Mar 2000 Last Revised: 10 Apr 2001
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 103 (282,899)
Citation 2

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Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian

Multinational Finance Journal, Vol. 4, No. 3/4, p. 159-179, 2000
Number of pages: 21 Posted: 08 Jul 2015
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 24 (554,724)
Citation 1

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high-frequency data; integrated volatility; realized volatility; risk management

On the Correlation Structure of Microstructure Noise: A Financial Economic Approach

CAFE Research Paper No. 13.07
Number of pages: 73 Posted: 27 Aug 2013
Francis X. Diebold and Georg Strasser
University of Pennsylvania - Department of Economics and European Central Bank (ECB) - Directorate General Research
Downloads 90 (309,097)
Citation 2

Abstract:

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Realized volatility, Market microstructure theory, High-frequency data, Financial econometrics

On the Correlation Structure of Microstructure Noise: A Financial Economic Approach

NBER Working Paper No. w16469
Number of pages: 65 Posted: 18 Oct 2010
Francis X. Diebold and Georg Strasser
University of Pennsylvania - Department of Economics and European Central Bank (ECB) - Directorate General Research
Downloads 26 (541,514)

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65.

Forecast Evaluation and Combination

NBER Working Paper No. t0192
Number of pages: 48 Posted: 22 Jul 2000 Last Revised: 13 Jul 2010
Francis X. Diebold and Jose A. Lopez
University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 111 (266,763)
Citation 4

Abstract:

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66.

Real-Time Measurement of Business Conditions, Second Version

PIER Working Paper No. 08-011
Number of pages: 28 Posted: 04 Apr 2008
S. Borağan Aruoba, Francis X. Diebold and Chiara Scotti
University of Maryland - Department of Economics, University of Pennsylvania - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 110 (268,503)
Citation 4

Abstract:

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Business cycle, Expansion, Recession, State space model, Macroeconomic forecasting, Dynamic factor model, Contraction, Turning point

Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility

PIER Working Paper No. 15-018
Number of pages: 25 Posted: 22 May 2015
Francis X. Diebold, Frank Schorfheide and Minchul Shin
University of Pennsylvania - Department of Economics, University of Pennsylvania - Department of Economics and University of Illinois
Downloads 77 (340,561)

Abstract:

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Dynamic stochastic general equilibrium model, prediction, stochastic volatility

Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility

CFS Working Paper, No. 577
Number of pages: 53 Posted: 27 Sep 2017 Last Revised: 18 Jan 2018
Francis X. Diebold, Frank Schorfheide and Minchul Shin
University of Pennsylvania - Department of Economics, University of Pennsylvania - Department of Economics and University of Illinois
Downloads 24 (554,724)
Citation 1

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Dynamic Stochastic General Equilibrium Model, Prediction, Stochastic Volatility

Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility

NBER Working Paper No. w22615
Number of pages: 50 Posted: 12 Sep 2016
Francis X. Diebold, Frank Schorfheide and Minchul Shin
University of Pennsylvania - Department of Economics, University of Pennsylvania - Department of Economics and University of Illinois
Downloads 7 (677,589)
Citation 4

Abstract:

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68.

Macroeconomic Volatility and Stock Market Volatility, Worldwide

NBER Working Paper No. w14269
Number of pages: 35 Posted: 27 Aug 2008 Last Revised: 29 Jun 2010
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 101 (284,812)
Citation 1

Abstract:

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Improving GDP Measurement: A Measurement-Error Perspective

PIER Working Paper No. 13-016
Number of pages: 36 Posted: 04 Apr 2013
University of Maryland - Department of Economics, University of Pennsylvania - Department of Economics, Board of Governors of the Federal Reserve System, University of Pennsylvania - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 65 (374,524)

Abstract:

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Income, output, expenditure, business cycle, expansion, contraction, recession, turning point, state-space model, dynamic factor model, forecast combination

Improving GDP Measurement: A Measurement-Error Perspective

FRB of Philadelphia Working Paper No. 13-16
Number of pages: 36 Posted: 11 May 2013
University of Maryland - Department of Economics, University of Pennsylvania - Department of Economics, Board of Governors of the Federal Reserve System, University of Pennsylvania - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 19 (588,936)
Citation 1

Abstract:

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Income, Output, expenditure, business cycle, expansion, contraction, recession, turning point, state-space model, dynamic factor model, forecast combination

Improving GDP Measurement: A Measurement-Error Perspective

NBER Working Paper No. w18954
Number of pages: 36 Posted: 13 Apr 2013
University of Maryland - Department of Economics, University of Pennsylvania - Department of Economics, Board of Governors of the Federal Reserve System, University of Pennsylvania - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 13 (632,169)
Citation 16

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Machine Learning for Regularized Survey Forecast Combination: Partially- Egalitarian Lasso and its Derivatives

PIER Working Paper No. 18-014
Number of pages: 33 Posted: 22 Aug 2018
Francis X. Diebold and Minchul Shin
University of Pennsylvania - Department of Economics and University of Illinois
Downloads 80 (332,832)

Abstract:

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Forecast combination, forecast surveys, shrinkage, model selection, LASSO, regularization

Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives

NBER Working Paper No. w24967
Number of pages: 33 Posted: 17 Sep 2018
Francis X. Diebold and Minchul Shin
University of Pennsylvania - Department of Economics and University of Illinois
Downloads 10 (654,752)
Citation 4

Abstract:

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Unit Root Tests are Useful for Selecting Forecasting Models

NYU Working Paper No. FIN-99-063
Number of pages: 32 Posted: 11 Nov 2008
Francis X. Diebold and Lutz Kilian
University of Pennsylvania - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 44 (450,055)
Citation 1

Abstract:

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Unit Root Tests are Useful for Selecting Forecasting Models

NBER Working Paper No. w6928
Number of pages: 30 Posted: 26 Mar 1999 Last Revised: 07 May 2000
Francis X. Diebold and Lutz Kilian
University of Pennsylvania - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 39 (472,170)

Abstract:

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72.

Measuring Volatility Dynamics

NBER Working Paper No. t0173
Number of pages: 50 Posted: 24 Jul 2000 Last Revised: 24 Dec 2015
Francis X. Diebold and Jose Lopez
University of Pennsylvania - Department of Economics and University of Pennsylvania
Downloads 75 (342,307)

Abstract:

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Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange

NYU Working Paper No. FIN-98-079
Number of pages: 42 Posted: 11 Nov 2008
Francis X. Diebold, Jinyong Hahn and Anothony S. Tay
University of Pennsylvania - Department of Economics, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 34 (496,122)

Abstract:

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Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange

NBER Working Paper No. w6845
Number of pages: 38 Posted: 26 Feb 1999 Last Revised: 11 Oct 2010
Francis X. Diebold, Jinyong Hahn and Anthony S. Tay
University of Pennsylvania - Department of Economics, affiliation not provided to SSRN and Singapore Management University - School of Economics
Downloads 29 (523,273)

Abstract:

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74.

High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models

NBER Working Paper No. w8162
Number of pages: 65 Posted: 09 Mar 2001 Last Revised: 05 Oct 2001
Sassan Alizadeh, Michael W. Brandt and Francis X. Diebold
University of Pennsylvania - Department of Economics, Duke University - Fuqua School of Business and University of Pennsylvania - Department of Economics
Downloads 62 (378,843)

Abstract:

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75.

Optimal Prediction Under Asymmetric Loss

NBER Working Paper No. t0167
Number of pages: 38 Posted: 19 Jul 2000
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 54 (404,893)
Citation 1

Abstract:

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Assessing Point Forecast Accuracy by Stochastic Error Distance

PIER Working Paper No. 14-038
Number of pages: 18 Posted: 11 Nov 2014
Francis X. Diebold and Minchul Shin
University of Pennsylvania - Department of Economics and University of Illinois
Downloads 39 (472,170)
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Forecast accuracy, forecast evaluation, absolute-error loss, quadratic loss, squared-error loss

Assessing Point Forecast Accuracy by Stochastic Error Distance

NBER Working Paper No. w22516
Number of pages: 20 Posted: 22 Aug 2016
Francis X. Diebold and Minchul Shin
University of Pennsylvania - Department of Economics and University of Illinois
Downloads 10 (654,752)
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77.

Measuring Business Cycles: A Modern Perspective

NBER Working Paper No. w4643
Number of pages: 35 Posted: 25 Jul 2000 Last Revised: 14 Sep 2010
Francis X. Diebold and Glenn D. Rudebusch
University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 48 (426,168)
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78.

Bootstrapping Multivariate Spectra

NYU Working Paper No. SOR-98-9
Number of pages: 11 Posted: 31 Oct 2008
Jeremy Berkowitz and Francis X. Diebold
University of Houston - Department of Finance and University of Pennsylvania - Department of Economics
Downloads 46 (433,757)
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79.

Evaluating Density Forecasts

NBER Working Paper No. t0215
Number of pages: 38 Posted: 26 Aug 2000 Last Revised: 05 Aug 2010
Francis X. Diebold, Todd A. Gunther and Anthony S. Tay
University of Pennsylvania - Department of Economics, affiliation not provided to SSRN and Singapore Management University - School of Economics
Downloads 45 (437,559)

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80.

Assessing Point Forecast Accuracy by Stochastic Divergence from Zero

PIER Working Paper No. 14-011
Number of pages: 19 Posted: 01 Apr 2014
Francis X. Diebold and Minchul Shin
University of Pennsylvania - Department of Economics and University of Illinois
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forecast accuracy, forecast evaluation, absolute-error loss, quadratic loss, squared-error loss

81.

Job Stability in the United States

NBER Working Paper No. w4859
Number of pages: 33 Posted: 14 Jul 2000
Francis X. Diebold, David Neumark and Daniel Polsky
University of Pennsylvania - Department of Economics, University of California, Irvine - Department of Economics and Bloomberg School of Public Health, Department of Health Policy and Management, Johns Hopkins University
Downloads 42 (449,592)
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82.

Long Memory and Regime Switching

NBER Working Paper No. t0264
Number of pages: 46 Posted: 18 Nov 2000 Last Revised: 23 Sep 2010
Francis X. Diebold and Atsushi Inoue
University of Pennsylvania - Department of Economics and Southern Methodist University
Downloads 41 (453,727)
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83.

On the Evolution of U.S. Temperature Dynamics

PIER Working Paper No. 19-012, July 2019
Number of pages: 92 Posted: 09 Jul 2019
Francis X. Diebold and Glenn D. Rudebusch
University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 40 (457,969)

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DTR, temperature volatility, temperature variability, climate modeling, climate change

84.

The Past, Present, and Future of Macroeconomic Forecasting

NBER Working Paper No. w6290
Number of pages: 35 Posted: 25 May 2006 Last Revised: 07 Oct 2010
Francis X. Diebold
University of Pennsylvania - Department of Economics
Downloads 40 (457,969)
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85.

An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model

NBER Working Paper No. w14463
Number of pages: 34 Posted: 10 Nov 2008 Last Revised: 10 Jul 2010
FRB of San Francisco - Financial Research, University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 38 (466,424)

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86.

Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections

PIER Working Paper No. 20-001
Number of pages: 29 Posted: 03 Jan 2020
Francis X. Diebold and Glenn D. Rudebusch
University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
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sea ice extent; climate models; climate change; climate trends; climate predition; cryospheric science

87.

Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitorlng the Risk of High-Frequency Returns on Foreign Exchange

NYU Working Paper No. SOR-98-7
Number of pages: 38 Posted: 31 Oct 2008
Francis X. Diebold, Jinyong Hahn and Anthony S. Tay
University of Pennsylvania - Department of Economics, affiliation not provided to SSRN and Singapore Management University - School of Economics
Downloads 33 (489,272)
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88.

Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters

NBER Working Paper No. w6228
Number of pages: 26 Posted: 26 Aug 2000 Last Revised: 07 Oct 2010
Francis X. Diebold, Anthony S. Tay and Kenneth F. Wallis
University of Pennsylvania - Department of Economics, Singapore Management University - School of Economics and University of Warwick - Department of Economics
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89.

Deterministic vs. Stochastic Trend in U.S. Gnp, Yet Again

NBER Working Paper No. w5481
Number of pages: 19 Posted: 14 May 1998 Last Revised: 13 Jun 2012
Francis X. Diebold and Abdelhak S. Senhadji
University of Pennsylvania - Department of Economics and International Monetary Fund (IMF)
Downloads 32 (494,092)

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90.

Measuring Predictability: Theory and Macroeconomic Applications

NBER Working Paper No. t0213
Number of pages: 51 Posted: 24 Jul 2000 Last Revised: 03 Aug 2010
Francis X. Diebold and Lutz Kilian
University of Pennsylvania - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 30 (504,208)
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91.

Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models

NBER Working Paper No. t0194
Number of pages: 24 Posted: 27 Aug 2000 Last Revised: 23 Oct 2010
Francis X. Diebold and Til Schuermann
University of Pennsylvania - Department of Economics and Oliver Wyman
Downloads 28 (514,839)

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92.

Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers

NBER Working Paper No. w5482
Number of pages: 29 Posted: 21 May 1998 Last Revised: 28 Jun 2010
Antulio N. Bomfim and Francis X. Diebold
Macroeconomic Advisers, LLC and University of Pennsylvania - Department of Economics
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93.
Downloads 23 (544,120)
Citation 3

On the Comparison of Interval Forecasts

PIER Working Paper No. 18-013
Number of pages: 23 Posted: 03 Aug 2018
Ross Askanazi, Francis X. Diebold, Frank Schorfheide and Minchul Shin
University of Pennsylvania, School of Arts & Sciences, Department of Economics, University of Pennsylvania - Department of Economics, University of Pennsylvania - Department of Economics and University of Illinois
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Forecast accuracy, forecast evaluation, prediction

On the Comparison of Interval Forecasts

Journal of Time Series Analysis, Vol. 39, Issue 6, pp. 953-965, 2018
Number of pages: 13 Posted: 07 Oct 2018
Ross Askanazi, Francis X. Diebold, Frank Schorfheide and Minchul Shin
University of Pennsylvania, School of Arts & Sciences, Department of Economics, University of Pennsylvania - Department of Economics, University of Pennsylvania - Department of Economics and University of Illinois
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Forecast accuracy, forecast evaluation, prediction

Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession

PIER Working Paper No. 20-023
Number of pages: 25 Posted: 01 Jul 2020
Francis X. Diebold
University of Pennsylvania - Department of Economics
Downloads 13 (632,169)

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Aruboba-Dieold-Scotti index, ADS index, nowcasting, business cycle, recession, expansion, coincident indicator, real economic activity, forecasting, Big Data

Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession

NBER Working Paper No. w27482
Number of pages: 25 Posted: 07 Jul 2020
Francis X. Diebold
University of Pennsylvania - Department of Economics
Downloads 1 (735,614)

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95.

Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach

PIER Working Paper No. 20-012
Number of pages: 22 Posted: 02 Apr 2020
University of Pennsylvania - Department of Economics, affiliation not provided to SSRN, University of Pennsylvania - Department of Economics, Federal Reserve Bank of San Francisco and University of Pennsylvania - Department of Economics
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Climate modeling, nowcasting, model averaging, ensemble averaging

96.

Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers

The Economic Journal, Vol. 107, Issue 444, pp. 1358-1374, 1997
Number of pages: 17 Posted: 02 Feb 2012
Antúlio N. Bomfim and Francis X. Diebold
affiliation not provided to SSRN and University of Pennsylvania - Department of Economics
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97.

An Arbitrage-Free Generalized Nelson–Siegel Term Structure Model

Econometrics Journal, Vol. 12, Issue 3, pp. C33-C64, November 2009
Number of pages: 32 Posted: 01 Dec 2009
FRB of San Francisco - Financial Research, University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
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