Author Page for Francis X. Diebold

Volatility Forecasting

Number of pages: 114 Posted: 28 Feb 2005

Torben G. Andersen, Tim Bollerslev, Peter Christoffersen and Francis X. Diebold

Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics

Downloads 2,436 (6,996)

Abstract:

Volatility Forecasting

NBER Working Paper No. w11188

Number of pages: 113 Posted: 20 May 2005 Last Revised: 29 Jul 2021

Torben G. Andersen, Tim Bollerslev, Peter Christoffersen and Francis X. Diebold

Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics

Downloads 303 (125,900)

Citation 3

Abstract:

2.

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 2,643 (6,257)

Citation 27

Abstract:

3.

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 2,527 (6,728)

Citation 1

Abstract:

4.

Modeling and Forecasting Realized Volatility

Downloads 2,358 ( 7,528)

Citation 236

2

Modeling and Forecasting Realized Volatility

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 2,194 (8,282)

Citation 203

Abstract:

Modeling and Forecasting Realized Volatility

NBER Working Paper No. w8160

Number of pages: 47 Posted: 09 Mar 2001 Last Revised: 19 Apr 2021

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 164 (226,949)

Citation 42

Abstract:

5.

How Relevant is Volatility Forecasting for Financial Risk Management?

Downloads 2,276 ( 7,971)

Citation 11

4

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 1,275 (19,540)

Citation 11

Abstract:

How Relevant is Volatility Forecasting for Financial Risk Management?

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 838 (35,852)

Abstract:

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 108 (314,036)

Abstract:

How Relevant is Volatility Forecasting for Financial Risk Management?

NBER Working Paper No. w6844

Number of pages: 27 Posted: 17 Sep 1999 Last Revised: 15 Sep 2021

Peter Christoffersen and Francis X. Diebold

University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics

Downloads 55 (466,050)

Abstract:

6.

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 2,044 (9,486)

Citation 29

Abstract:

7.

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Downloads 1,847 ( 11,185)

Citation 96

2

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Number of pages: 41 Posted: 21 Jan 2005

Torben G. Andersen, Tim Bollerslev, Peter Christoffersen and Francis X. Diebold

Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics

Downloads 1,636 (13,295)

Citation 2

Abstract:

Practical Volatility and Correlation Modeling for Financial Market Risk Management

NBER Working Paper No. w11069

Number of pages: 41 Posted: 16 Feb 2005 Last Revised: 07 Oct 2021

Torben G. Andersen, Tim Bollerslev, Peter Christoffersen and Francis X. Diebold

Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics

Downloads 211 (181,180)

Citation 11

Abstract:

8.

Weather Forecasting for Weather Derivatives

Downloads 1,760 ( 12,069)

Citation 42

3

Weather Forecasting for Weather Derivatives

Number of pages: 118 Posted: 25 Sep 2001

Sean D. Campbell and Francis X. Diebold

Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics

Downloads 1,168 (22,278)

Citation 2

Abstract:

Weather Forecasting for Weather Derivatives

Number of pages: 45 Posted: 22 Dec 2002

Sean D. Campbell and Francis X. Diebold

Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics

Downloads 522 (66,916)

Citation 1

Abstract:

Weather Forecasting for Weather Derivatives

NBER Working Paper No. w10141

Number of pages: 30 Posted: 10 Dec 2003 Last Revised: 18 Sep 2021

Sean D. Campbell and Francis X. Diebold

Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics

Downloads 70 (411,739)

Citation 2

Abstract:

9.

Forecasting the Term Structure of Government Bond Yields

Downloads 1,549 ( 14,740)

Citation 350

2

Forecasting the Term Structure of Government Bond Yields

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 1,410 (16,777)

Citation 49

Abstract:

Forecasting the Term Structure of Government Bond Yields

NBER Working Paper No. w10048

Number of pages: 43 Posted: 28 Oct 2003 Last Revised: 17 Jun 2021

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 139 (260,441)

Citation 52

Abstract:

10.

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

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 1,488 (15,756)

Citation 36

Abstract:

11.

Financial Risk Measurement for Financial Risk Management

Downloads 1,333 ( 18,592)

Citation 32

2

Financial Risk Measurement for Financial Risk Management

PIER Working Paper No. 11-037

Number of pages: 130 Posted: 07 Nov 2011

Torben G. Andersen, Tim Bollerslev, Peter Christoffersen and Francis X. Diebold

Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics

Downloads 1,236 (20,504)

Citation 1

Abstract:

Financial Risk Measurement for Financial Risk Management

NBER Working Paper No. w18084

Number of pages: 130 Posted: 19 May 2012 Last Revised: 31 May 2021

Torben G. Andersen, Tim Bollerslev, Peter Christoffersen and Francis X. Diebold

Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics

Downloads 97 (337,738)

Citation 5

Abstract:

12.

Realized Beta: Persistence and Predictability

Number of pages: 63 Posted: 07 May 2004

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Jin (Ginger) Wu

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 1,251 (20,474)

Citation 45

Abstract:

13.

Horizon Problems and Extreme Events in Financial Risk Management

Economic Policy Review, Vol. 4, No. 3, October 1998, Wharton Financial Institutions Center 98-16

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 1,207 (21,605)

Citation 29

Abstract:

14.

Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility

Downloads 1,152 ( 23,122)

Citation 32

2

Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility

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 787 (39,099)

Citation 35

Abstract:

Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility

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 365 (102,481)

Citation 39

Abstract:

15.

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 1,149 (23,243)

Citation 1

Abstract:

16.

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

Downloads 951 ( 30,502)

Citation 80

2

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

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 855 (34,856)

Citation 12

Abstract:

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 96 (340,035)

Citation 8

Abstract:

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

Peter Christoffersen, Francis X. Diebold, Roberto S. Mariano, Anthony S. Tay and Yiu Kuen Tse

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 840 (36,252)

Citation 4

Abstract:

18.

Parametric and Nonparametric Volatility Measurement

Downloads 812 ( 37,957)

Citation 138

2

Parametric and Nonparametric Volatility Measurement

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 743 (42,268)

Citation 2

Abstract:

Parametric and Nonparametric Volatility Measurement

NBER Working Paper No. t0279

Number of pages: 68 Posted: 18 Aug 2002 Last Revised: 08 Oct 2021

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 69 (415,022)

Citation 33

Abstract:

19.

The Distribution of Realized Exchange Rate Volatility

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 795 (39,111)

Citation 98

Abstract:

20.

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 713 (45,313)

Citation 9

Abstract:

21.

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 710 (45,558)

Citation 7

Abstract:

22.

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

Downloads 700 ( 46,444)

Citation 41

3

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

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 419 (87,371)

Citation 1

Abstract:

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 200 (190,560)

Citation 18

Abstract:

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: 09 May 2021

Peter Christoffersen and Francis X. Diebold

University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics

Downloads 81 (378,462)

Citation 3

Abstract:

23.

The Macroeconomy and the Yield Curve: A Nonstructural Analysis

Downloads 692 ( 47,190)

Citation 6

2

The Macroeconomy and the Yield Curve: A Nonstructural Analysis

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 465 (77,178)

Citation 6

Abstract:

The Macroeconomy and the Yield Curve: A Nonstructural Analysis

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 227 (168,872)

Citation 2

Abstract:

24.

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

Downloads 690 ( 47,347)

Citation 367

2

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

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 598 (56,351)

Citation 2

Abstract:

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: 26 Jun 2021

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 92 (349,431)

Citation 52

Abstract:

25.

Range-Based Estimation of Stochastic Volatility Models

Downloads 674 ( 48,884)

2

Range-Based Estimation of Stochastic Volatility Models

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 674 (48,231)

Citation 4

Abstract:

Range-Based Estimation of Stochastic Volatility Models

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:

26.

Cointegration and Long-Horizon Forecasting

Downloads 104 ( 52,416)

Citation 1

2

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 52 (478,219)

Abstract:

Cointegration and Long-Horizon Forecasting

NBER Working Paper No. t0217

Number of pages: 30 Posted: 25 Jul 2000 Last Revised: 07 Aug 2021

Peter Christoffersen and Francis X. Diebold

University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics

Downloads 52 (478,219)

Abstract:

27.

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

Downloads 635 ( 52,859)

Citation 37

2

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

Number of pages: 18 Posted: 08 Feb 2005

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Jin (Ginger) Wu

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 575 (59,219)

Abstract:

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

NBER Working Paper No. w11134

Number of pages: 18 Posted: 15 Mar 2005 Last Revised: 05 Jun 2021

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Jin (Ginger) Wu

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 60 (446,704)

Citation 6

Abstract:

28.

Modeling Bond Yields in Finance and Macroeconomics

Downloads 509 ( 69,831)

Citation 76

2

Modeling Bond Yields in Finance and Macroeconomics

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 447 (80,928)

Abstract:

Modeling Bond Yields in Finance and Macroeconomics

NBER Working Paper No. w11089

Number of pages: 20 Posted: 23 Feb 2005 Last Revised: 21 Apr 2021

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 62 (439,304)

Citation 11

Abstract:

29.

Commodity Connectedness

Downloads 471 ( 76,769)

Citation 3

3

Commodity Connectedness

PIER Working Paper No. 17-003, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

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 381 (97,576)

Citation 1

Abstract:

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 71 (408,531)

Citation 1

Abstract:

Commodity Connectedness

NBER Working Paper No. w23685

Number of pages: 30 Posted: 21 Aug 2017 Last Revised: 21 Mar 2021

Francis X. Diebold, Laura Liu and Kamil Yilmaz

University of Pennsylvania - Department of Economics, Indiana University Bloomington - Department of Economics and Koc University

Downloads 19 (670,188)

Citation 2

Abstract:

30.

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

Downloads 451 ( 80,830)

Citation 114

3

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

Francis X. Diebold, Jens Henrik Eggert Christensen and Glenn D. Rudebusch

University of Pennsylvania - Department of Economics, FRB of San Francisco - Financial Research and Federal Reserve Bank of San Francisco

Downloads 268 (143,276)

Abstract:

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

FRB of San Francisco Working Paper No. 2007-20

Number of pages: 38 Posted: 02 Nov 2007

Jens Henrik Eggert Christensen, Francis X. Diebold and Glenn D. Rudebusch

FRB of San Francisco - Financial Research, University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco

Downloads 122 (287,834)

Citation 1

Abstract:

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 2021

Jens Henrik Eggert Christensen, Francis X. Diebold and Glenn D. Rudebusch

FRB of San Francisco - Financial Research, University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco

Downloads 61 (443,006)

Citation 29

Abstract:

31.

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

Downloads 420 ( 87,893)

Citation 142

2

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 299 (127,763)

Citation 99

Abstract:

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 2021

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 121 (289,546)

Citation 36

Abstract:

32.

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

Downloads 419 ( 88,108)

Citation 77

3

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 211 (181,180)

Citation 56

Abstract:

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 208 (183,591)

Citation 15

Abstract:

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

Journal of International Economics, Vol. 73, No. 2, 2007, FRB International Finance Discussion Paper No. 871

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:

33.

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

Downloads 416 ( 88,828)

Citation 81

2

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

PIER Working Paper No. 07-002, FRB of Philadelphia Working Paper No. WP 08-16, CFS Working Paper No. 2007/02

Number of pages: 21 Posted: 12 Jan 2007

Francis X. Diebold and Kamil Yilmaz

University of Pennsylvania - Department of Economics and Koc University

Downloads 379 (98,164)

Citation 83

Abstract:

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: 27 Sep 2021

Francis X. Diebold and Kamil Yilmaz

University of Pennsylvania - Department of Economics and Koc University

Downloads 37 (549,593)

Abstract:

34.

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 411 (90,169)

Citation 44

Abstract:

35.

The Nobel Memorial Prize for Robert F. Engle

Downloads 407 ( 91,155)

Citation 7

4

The Nobel Memorial Prize for Robert F. Engle

Number of pages: 28 Posted: 05 Apr 2004

Francis X. Diebold

University of Pennsylvania - Department of Economics

Downloads 227 (168,872)

Abstract:

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 119 (293,119)

Abstract:

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 2021

Francis X. Diebold

University of Pennsylvania - Department of Economics

Downloads 34 (566,503)

Citation 1

Abstract:

The Nobel Memorial Prize for Robert F. Engle

Number of pages: 22 Posted: 26 Sep 2004

Francis X. Diebold

University of Pennsylvania - Department of Economics

Downloads 27 (610,292)

Add to Cart

Abstract:

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 393 (94,827)

Citation 9

Abstract:

37.

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

Downloads 391 ( 95,429)

Citation 60

2

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 320 (118,722)

Citation 1

Abstract:

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 2021

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 71 (408,531)

Citation 8

Abstract:

38.

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

Downloads 387 ( 96,625)

Citation 168

4

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

PIER Working Paper No. 11-031, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

Number of pages: 38 Posted: 03 Oct 2011

Francis X. Diebold and Kamil Yilmaz

University of Pennsylvania - Department of Economics and Koc University

Downloads 129 (275,895)

Citation 65

Abstract:

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 129 (275,895)

Citation 94

Abstract:

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 80 (381,299)

Citation 3

Abstract:

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 Last Revised: 17 Oct 2021

Francis X. Diebold and Kamil Yilmaz

University of Pennsylvania - Department of Economics and Koc University

Downloads 49 (491,075)

Abstract:

39.

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

Downloads 387 ( 96,625)

Citation 239

2

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 302 (126,387)

Citation 3

Abstract:

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: 05 Jul 2021

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 85 (367,434)

Citation 25

Abstract:

40.

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

Downloads 381 ( 98,394)

Citation 35

2

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

PIER Working Paper No. 05-025, CFS Working Paper No. 2005/22

Number of pages: 29 Posted: 26 Sep 2005

Sean D. Campbell and Francis X. Diebold

Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics

Downloads 335 (112,928)

Abstract:

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 2021

Sean D. Campbell and Francis X. Diebold

Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics

Downloads 46 (504,690)

Citation 1

Abstract:

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 344 (110,291)

Citation 3

Abstract:

42.

Estimating Global Bank Network Connectedness

Downloads 321 (119,044)

Citation 47

2

Estimating Global Bank Network Connectedness

PIER Working Paper No. 15-025, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

Number of pages: 34 Posted: 18 Jul 2015 Last Revised: 11 Sep 2020

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 304 (125,435)

Citation 4

Abstract:

Estimating Global Bank Network Connectedness

NBER Working Paper No. w23140

Number of pages: 35 Posted: 13 Feb 2017 Last Revised: 24 Sep 2021

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 17 (685,856)

Citation 33

Abstract:

43.

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 300 (127,997)

Citation 82

Abstract:

44.

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 286 (134,579)

Citation 71

Abstract:

45.

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 281 (136,995)

Citation 3

Abstract:

46.

Long Memory and Structural Change

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 273 (141,126)

Citation 2

Abstract:

47.

The Distribution of Exchange Rate Volatility

Downloads 273 (141,126)

Citation 129

2

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 164 (226,949)

Citation 10

Abstract:

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 109 (311,994)

Abstract:

48.

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 261 (147,785)

Citation 19

Abstract:

49.

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

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 250 (154,231)

Citation 17

Abstract:

50.

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 237 (162,435)

Citation 14

Abstract:

51.

The Distribution of Stock Return Volatility

NBER Working Paper No. w7933

Number of pages: 41 Posted: 30 Sep 2000 Last Revised: 07 Mar 2021

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 226 (170,032)

Citation 67

Abstract:

52.

Real-Time Measurement of Business Conditions

Downloads 199 (191,550)

Citation 112

3

Real-Time Measurement of Business Conditions

FRB International Finance Discussion Paper No. 901, PIER Working Paper No. 07-028

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 114 (302,186)

Abstract:

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 56 (462,089)

Citation 102

Abstract:

Real-Time Measurement of Business Conditions

NBER Working Paper No. w14349

Number of pages: 30 Posted: 23 Sep 2008 Last Revised: 17 Sep 2021

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 29 (596,884)

Citation 6

Abstract:

53.

Comparing Predictive Accuracy

NBER Working Paper No. t0169

Number of pages: 35 Posted: 25 Jul 2000 Last Revised: 20 Jun 2021

Francis X. Diebold and Roberto S. Mariano

University of Pennsylvania - Department of Economics and Singapore Management University

Downloads 194 (195,891)

Citation 1

Abstract:

54.

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

Downloads 191 (198,690)

Citation 14

2

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

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 147 (248,940)

Citation 1

Abstract:

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 Last Revised: 30 May 2021

Francis X. Diebold and Michael W. Brandt

University of Pennsylvania - Department of Economics and Duke University - Fuqua School of Business

Downloads 44 (514,179)

Citation 4

Abstract:

55.

Dynamic Equilibrium Economies: A Framework for Comparing Models and Data

Downloads 190 (199,622)

Citation 5

2

Dynamic Equilibrium Economies: A Framework for Comparing Models and Data

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 159 (233,127)

Citation 1

Abstract:

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 31 (584,181)

Citation 1

Abstract:

56.

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

Downloads 175 (214,497)

2

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 159 (233,127)

Abstract:

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 Last Revised: 26 May 2021

Fei Chen, Francis X. Diebold and Frank Schorfheide

HUST, University of Pennsylvania - Department of Economics and University of Pennsylvania - Department of Economics

Downloads 16 (693,869)

Abstract:

57.

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

Downloads 168 (222,129)

Citation 19

3

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 83 (372,831)

Citation 14

Abstract:

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 (495,409)

Citation 14

Abstract:

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

NBER Working Paper No. w15657

Number of pages: 17 Posted: 18 Jan 2010 Last Revised: 14 Oct 2021

S. Borağan Aruoba and Francis X. Diebold

University of Maryland - Department of Economics and University of Pennsylvania - Department of Economics

Downloads 37 (549,593)

Abstract:

58.

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

Downloads 150 (244,255)

Citation 40

2

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: 19 Jun 2021

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 124 (284,327)

Citation 2

Abstract:

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 26 (617,323)

Citation 2

Abstract:

59.

An Arbitrage-Free Generalized Nelson-Siege Term Structure Model

PIER Working Paper No. 08-030

Number of pages: 30 Posted: 25 Aug 2008

Jens Henrik Eggert Christensen, Francis X. Diebold and Glenn D. Rudebusch

FRB of San Francisco - Financial Research, University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco

Downloads 144 (252,415)

Abstract:

60.

Globalization, the Business Cycle, and Macroeconomic Monitoring

Downloads 143 (253,823)

Citation 7

2

Globalization, the Business Cycle, and Macroeconomic Monitoring

IMF Working Paper No. 11/25

Number of pages: 53 Posted: 07 Feb 2011

M. Ayhan Kose, S. Borağan Aruoba, Marco E. Terrones and Francis X. Diebold

World Bank, University of Maryland - Department of Economics, International Monetary Fund (IMF) and University of Pennsylvania - Department of Economics

Downloads 115 (300,260)

Citation 3

Abstract:

NBER Working Paper No. w16264

Number of pages: 52 Posted: 16 Aug 2010 Last Revised: 15 Jun 2020

S. Borağan Aruoba, Francis X. Diebold, M. Ayhan Kose and Marco E. Terrones

University of Maryland - Department of Economics, University of Pennsylvania - Department of Economics, World Bank and International Monetary Fund (IMF)

Downloads 28 (603,593)

Abstract:

61.

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

Journal of Econometrics (2013), Forthcoming, CAFE Research Paper No. 13.06

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 142 (255,246)

Citation 1

Abstract:

62.

Improving GDP Measurement: A Forecast Combination Perspective

Downloads 139 (259,593)

Citation 3

3

Improving GDP Measurement: A Forecast Combination Perspective

PIER Working Paper No. 11-028

Number of pages: 30 Posted: 09 Sep 2011

S. Borağan Aruoba, Francis X. Diebold, Jeremy Nalewaik, Frank Schorfheide and Dongho Song

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 67 (421,725)

Abstract:

Improving GDP Measurement: a Forecast Combination Perspective

NBER Working Paper No. w17421

Number of pages: 30 Posted: 21 Sep 2011 Last Revised: 07 Feb 2021

S. Borağan Aruoba, Francis X. Diebold, Jeremy Nalewaik, Frank Schorfheide and Dongho Song

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 37 (549,593)

Citation 1

Abstract:

Improving GDP Measurement: A Forecast Combination Perspective

FRB of Philadelphia Working Paper No. 11-41

Number of pages: 30 Posted: 21 Sep 2011

S. Borağan Aruoba, Francis X. Diebold, Jeremy Nalewaik, Frank Schorfheide and Dongho Song

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 35 (560,806)

Citation 1

Abstract:

63.

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

Downloads 138 (261,051)

Citation 1,409

3

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 81 (378,462)

Abstract:

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 44 (514,179)

Citation 203

Abstract:

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 Last Revised: 07 Oct 2021

Francis X. Diebold

University of Pennsylvania - Department of Economics

Downloads 13 (718,981)

Citation 168

Abstract:

64.

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

Downloads 122 (286,542)

Citation 7

2

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 93 (347,044)

Citation 6

Abstract:

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 29 (596,884)

Abstract:

65.

Forecast Evaluation and Combination

NBER Working Paper No. t0192

Number of pages: 48 Posted: 22 Jul 2000 Last Revised: 12 Jul 2021

Francis X. Diebold and Jose A. Lopez

University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco

Downloads 118 (293,452)

Citation 2

Abstract:

66.

Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility

Downloads 116 (296,911)

Citation 13

3

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 (389,945)

Abstract:

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 31 (584,181)

Citation 1

Abstract:

Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility

NBER Working Paper No. w22615

Number of pages: 50 Posted: 12 Sep 2016 Last Revised: 18 Apr 2021

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 8 (761,777)

Citation 9

Abstract:

67.

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 114 (300,614)

Citation 3

Abstract:

68.

Macroeconomic Volatility and Stock Market Volatility, Worldwide

NBER Working Paper No. w14269

Number of pages: 35 Posted: 27 Aug 2008 Last Revised: 28 Jun 2021

Francis X. Diebold and Kamil Yilmaz

University of Pennsylvania - Department of Economics and Koc University

Downloads 105 (318,290)

Citation 1

Abstract:

69.

Improving GDP Measurement: A Measurement-Error Perspective

Downloads 100 (328,733)

Citation 23

3

Improving GDP Measurement: A Measurement-Error Perspective

PIER Working Paper No. 13-016

Number of pages: 36 Posted: 04 Apr 2013

S. Borağan Aruoba, Francis X. Diebold, Jeremy Nalewaik, Frank Schorfheide and Dongho Song

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 (425,222)

Abstract:

Improving GDP Measurement: A Measurement-Error Perspective

FRB of Philadelphia Working Paper No. 13-16

Number of pages: 36 Posted: 11 May 2013

S. Borağan Aruoba, Francis X. Diebold, Jeremy Nalewaik, Frank Schorfheide and Dongho Song

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 21 (654,600)

Citation 1

Abstract:

Improving GDP Measurement: A Measurement-Error Perspective

NBER Working Paper No. w18954

Number of pages: 36 Posted: 13 Apr 2013 Last Revised: 17 Oct 2021

S. Borağan Aruoba, Francis X. Diebold, Jeremy Nalewaik, Frank Schorfheide and Dongho Song

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 (718,981)

Citation 20

Abstract:

70.

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

Downloads 97 (335,230)

Citation 16

2

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 84 (370,131)

Abstract:

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 Last Revised: 20 Sep 2021

Francis X. Diebold and Minchul Shin

University of Pennsylvania - Department of Economics and University of Illinois

Downloads 13 (718,981)

Citation 15

Abstract:

71.

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

Downloads 89 (353,873)

Citation 1

2

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

Downloads 88 (359,536)

Citation 1

Abstract:

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

NBER Working Paper No. w28228

Number of pages: 31 Posted: 21 Dec 2020 Last Revised: 19 Aug 2021

Francis X. Diebold and Glenn D. Rudebusch

University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco

Downloads 1 (828,486)

Citation 1

Add to Cart

Abstract:

72.

Unit Root Tests are Useful for Selecting Forecasting Models

Downloads 88 (356,410)

Citation 24

2

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 45 (509,401)

Citation 1

Abstract:

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 Jun 2021

Francis X. Diebold and Lutz Kilian

University of Pennsylvania - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas

Downloads 43 (518,935)

Abstract:

73.

Measuring Volatility Dynamics

NBER Working Paper No. t0173

Number of pages: 50 Posted: 24 Jul 2000 Last Revised: 24 Jun 2021

Francis X. Diebold and Jose Lopez

University of Pennsylvania - Department of Economics and University of Pennsylvania

Downloads 80 (377,496)

Abstract:

74.

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

Downloads 71 (403,768)

Citation 4

2

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

NBER Working Paper No. w27482

Number of pages: 25 Posted: 04 Aug 2020 Last Revised: 05 Aug 2021

Francis X. Diebold

University of Pennsylvania - Department of Economics

Downloads 38 (544,272)

Abstract:

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 33 (572,334)

Citation 4

Abstract:

75.

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 67 (416,460)

Abstract:

76.

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

Downloads 66 (419,801)

2

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, University of California, Los Angeles and affiliation not provided to SSRN

Downloads 34 (566,503)

Abstract:

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: 16 Sep 2021

Francis X. Diebold, Jinyong Hahn and Anthony S. Tay

University of Pennsylvania - Department of Economics, University of California, Los Angeles and Singapore Management University - School of Economics

Downloads 32 (578,168)

Abstract:

77.

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: 22 Apr 2021

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 63 (429,885)

Abstract:

78.

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 55 (458,758)

Citation 2

Abstract:

79.

Assessing Point Forecast Accuracy by Stochastic Error Distance

Downloads 52 (470,349)

Citation 8

2

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 41 (528,812)

Citation 1

Abstract:

Assessing Point Forecast Accuracy by Stochastic Error Distance

NBER Working Paper No. w22516

Number of pages: 20 Posted: 22 Aug 2016 Last Revised: 11 Jul 2021

Francis X. Diebold and Minchul Shin

University of Pennsylvania - Department of Economics and University of Illinois

Downloads 11 (736,032)

Citation 2

Abstract:

80.

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 51 (474,417)

Citation 2

Abstract:

81.

On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inﬂation and Real Interest Rates

PIER Working Paper No. 21-002

Number of pages: 36 Posted: 08 Jan 2021

Francis X. Diebold, Minchul Shin and Boyuan Zhang

University of Pennsylvania - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of Pennsylvania - Department of Economics

Downloads 50 (478,464)

Abstract:

82.

Measuring Business Cycles: A Modern Perspective

NBER Working Paper No. w4643

Number of pages: 35 Posted: 25 Jul 2000 Last Revised: 10 Sep 2021

Francis X. Diebold and Glenn D. Rudebusch

University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco

Downloads 50 (478,464)

Citation 19

Abstract:

83.

Evaluating Density Forecasts

NBER Working Paper No. t0215

Number of pages: 38 Posted: 26 Aug 2000 Last Revised: 05 Aug 2021

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 47 (491,045)

Abstract:

84.

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

Downloads 46 (495,394)

Abstract:

85.

Long Memory and Regime Switching

NBER Working Paper No. t0264

Number of pages: 46 Posted: 18 Nov 2000 Last Revised: 23 Sep 2021

Francis X. Diebold and Atsushi Inoue

University of Pennsylvania - Department of Economics and Southern Methodist University

Downloads 46 (495,394)

Citation 9

Abstract:

86.

Job Stability in the United States

NBER Working Paper No. w4859

Number of pages: 33 Posted: 14 Jul 2000 Last Revised: 13 Oct 2021

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 43 (508,785)

Citation 4

Abstract:

87.

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 2021

Jens Henrik Eggert Christensen, Francis X. Diebold and Glenn D. Rudebusch

FRB of San Francisco - Financial Research, University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco

Downloads 42 (513,338)

Abstract:

88.

The Past, Present, and Future of Macroeconomic Forecasting

NBER Working Paper No. w6290

Number of pages: 35 Posted: 25 May 2006 Last Revised: 10 Sep 2021

Francis X. Diebold

University of Pennsylvania - Department of Economics

Downloads 41 (518,073)

Abstract:

89.

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: 10 Jul 2021

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

Downloads 39 (527,662)

Citation 1

Abstract:

90.

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 38 (532,495)

Abstract:

91.

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, University of California, Los Angeles and Singapore Management University - School of Economics

Downloads 35 (547,902)

Citation 7

Abstract:

92.

Measuring Predictability: Theory and Macroeconomic Applications

NBER Working Paper No. t0213

Number of pages: 51 Posted: 24 Jul 2000 Last Revised: 02 Aug 2021

Francis X. Diebold and Lutz Kilian

University of Pennsylvania - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas

Downloads 33 (558,658)

Abstract:

93.

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 30 (575,363)

Abstract:

94.

Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004-2014

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

Number of pages: 54 Posted: 06 Oct 2015

Francis X. Diebold and Kamil Yilmaz

University of Pennsylvania - Department of Economics and Koc University

Downloads 28 (587,422)

Citation 8

Abstract:

95.

On the Comparison of Interval Forecasts

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Citation 4

2

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

Downloads 27 (610,292)

Citation 2

Abstract:

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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Citation 3

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Abstract:

96.

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: 26 Jun 2021

Antulio N. Bomfim and Francis X. Diebold

Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics

Downloads 25 (606,588)

Abstract:

97.

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

Francis X. Diebold, Maximilian Göbel, Philippe Goulet Coulombe, Glenn D. Rudebusch and Boyuan Zhang

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

Downloads 24 (613,392)

Citation 1

Abstract:

98.

On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates

FRB of Philadelphia Working Paper No. 21-06

Posted: 14 May 2021

Francis X. Diebold, Minchul Shin and Boyuan Zhang

University of Pennsylvania - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of Pennsylvania - Department of Economics

Francis X. Diebold

University of Pennsylvania - Department of Economics

Paul F. and Warren S. Miller Professor of Economics

National Bureau of Economic Research (NBER)

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