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

104

DOWNLOADS
Rank 686

SSRN RANKINGS

Top 686

in Total Papers Downloads

57,224

SSRN CITATIONS
Rank 20

SSRN RANKINGS

Top 20

in Total Papers Citations

8,516

CROSSREF CITATIONS

8,016

Scholarly Papers (104)

1.

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 4,243 (4,477)
Citation 57

Abstract:

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Massive data, computing, statistics, econometrics

2.
Downloads 3,178 ( 7,222)
Citation 8

Volatility Forecasting

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 2,562 (9,948)

Abstract:

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Volatility Forecasting

NBER Working Paper No. w11188
Number of pages: 113 Posted: 20 May 2005 Last Revised: 29 Jul 2022
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 616 (79,681)
Citation 4

Abstract:

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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 2,960 (8,049)
Citation 2

Abstract:

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4.
Downloads 2,621 ( 9,773)
Citation 340

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 2,327 (11,606)
Citation 197

Abstract:

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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: 26 Oct 2022
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 294 (188,982)
Citation 155

Abstract:

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5.

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 2,582 (9,994)
Citation 44

Abstract:

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massive data, computing, statistics, econometrics

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 1,336 (27,407)
Citation 16

Abstract:

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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 856 (51,771)

Abstract:

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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 122 (418,941)

Abstract:

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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: 15 Sep 2022
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 76 (578,761)

Abstract:

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Practical Volatility and Correlation Modeling for Financial Market Risk Management

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 1,698 (19,077)
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 Last Revised: 01 Oct 2022
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 267 (208,702)
Citation 22

Abstract:

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8.
Downloads 1,871 (16,650)
Citation 49

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 1,211 (31,689)
Citation 2

Abstract:

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

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 548 (92,442)
Citation 1

Abstract:

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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 2022
Sean D. Campbell and Francis X. Diebold
Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics
Downloads 112 (447,045)
Citation 2

Abstract:

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9.
Downloads 1,801 (17,737)
Citation 402

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 1,493 (23,276)
Citation 49

Abstract:

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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 Last Revised: 17 Dec 2022
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 308 (179,769)
Citation 52

Abstract:

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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 1,618 (20,904)
Citation 36

Abstract:

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

11.
Downloads 1,415 (25,618)
Citation 39

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 1,283 (29,118)
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 Last Revised: 01 Jun 2023
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 132 (393,931)
Citation 13

Abstract:

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12.

Realized Beta: Persistence and Predictability

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 1,377 (26,673)
Citation 51

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, 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 1,324 (28,245)
Citation 30

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 1,286 (29,500)
Citation 3

Abstract:

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Time series analysis, time domain, frequency domain

Downloads 845 (52,709)
Citation 38

Abstract:

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

Downloads 401 (134,452)
Citation 39

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

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 884 (49,539)
Citation 15

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: 30 Nov 2022
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 131 (396,334)
Citation 12

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 935 (46,489)
Citation 5

Abstract:

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

18.

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 909 (48,335)
Citation 28

Abstract:

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

19.
Downloads 870 (51,386)
Citation 144

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 760 (60,793)
Citation 2

Abstract:

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Parametric and Nonparametric Volatility Measurement

NBER Working Paper No. t0279
Number of pages: 68 Posted: 18 Aug 2002 Last Revised: 08 Apr 2023
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 110 (453,249)
Citation 33

Abstract:

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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 452 (116,844)
Citation 1

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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 225 (247,099)
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: 07 Nov 2022
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 188 (292,061)
Citation 3

Abstract:

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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 808 (56,770)
Citation 9

Abstract:

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Term structure; Yield curve; Factor model; Risk Management

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 637 (76,380)
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: 26 Jun 2022
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 138 (380,246)
Citation 52

Abstract:

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23.

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 767 (60,954)
Citation 7

Abstract:

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Financial Asset Returns, Market Timing, and Volatility Dynamics

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 513 (100,366)
Citation 8

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

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 252 (221,135)
Citation 2

Abstract:

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

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 759 (60,898)
Citation 5

Abstract:

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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:

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26.
Downloads 144 (70,149)
Citation 4

Cointegration and Long-Horizon Forecasting

NBER Working Paper No. t0217
Number of pages: 30 Posted: 25 Jul 2000 Last Revised: 05 Feb 2023
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 75 (583,284)

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 69 (611,832)

Abstract:

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A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

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 591 (83,950)

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 Last Revised: 05 Jun 2022
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 80 (561,274)
Citation 6

Abstract:

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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 329 (167,648)
Citation 99

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: 06 Mar 2022
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 259 (215,128)
Citation 76

Abstract:

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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 222 (250,235)
Citation 94

Abstract:

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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

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 167 (324,522)
Citation 65

Abstract:

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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 affiliation not provided to SSRN
Downloads 121 (421,508)
Citation 97

Abstract:

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Portfolio management, Systemic risk, Risk management

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 Apr 2022
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 74 (587,900)

Abstract:

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30.
Downloads 574 (88,237)
Citation 81

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, Stanford University and Federal Reserve Bank of San Francisco
Downloads 472 (111,018)

Abstract:

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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 Last Revised: 26 Oct 2022
Francis X. Diebold, Monika Piazzesi and Glenn D. Rudebusch
University of Pennsylvania - Department of Economics, Stanford University and Federal Reserve Bank of San Francisco
Downloads 102 (479,152)
Citation 16

Abstract:

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31.
Downloads 549 (93,308)
Citation 5

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 409 (131,503)
Citation 2

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 106 (465,839)
Citation 2

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 Last Revised: 20 Mar 2023
Francis X. Diebold, Laura Liu and Kamil Yilmaz
University of Pennsylvania - Department of Economics, Indiana University Bloomington - Department of Economics and Koc University
Downloads 34 (838,942)
Citation 4

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 294 (188,982)

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

FRB of San Francisco Working Paper No. 2007-20
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 143 (369,654)
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 2022
FRB of San Francisco - Financial Research, University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 76 (578,761)
Citation 54

Abstract:

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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 430 (123,979)
Citation 157

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 2022
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 76 (578,761)
Citation 102

Abstract:

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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 379 (143,404)
Citation 2

Abstract:

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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 2022
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 126 (408,820)
Citation 21

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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 496 (105,808)
Citation 65

Abstract:

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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 248 (224,718)
Citation 15

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

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 233 (238,936)
Citation 56

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, 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:

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

37.
Downloads 465 (114,248)
Citation 84

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 403 (133,671)
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 Last Revised: 25 Mar 2023
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 62 (648,201)
Citation 33

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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 332 (166,012)
Citation 2

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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 2022
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 112 (447,045)
Citation 25

Abstract:

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39.

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 438 (122,543)
Citation 9

Abstract:

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

40.
Downloads 426 (126,605)
Citation 8

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 241 (231,150)

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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 135 (386,976)

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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 2022
Francis X. Diebold
University of Pennsylvania - Department of Economics
Downloads 50 (719,906)
Citation 1

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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 354 (154,817)

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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 2022
Sean D. Campbell and Francis X. Diebold
Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics
Downloads 55 (688,338)
Citation 1

Abstract:

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42.

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 405 (134,214)
Citation 319

Abstract:

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

43.

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 374 (146,831)
Citation 3

Abstract:

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44.

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 365 (150,885)
Citation 24

Abstract:

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

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 349 (158,446)
Citation 3

Abstract:

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

46.
Downloads 326 (170,583)
Citation 131

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 192 (286,394)
Citation 12

Abstract:

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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: 09 Jan 2022
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 134 (389,305)

Abstract:

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47.

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 318 (175,056)
Citation 71

Abstract:

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48.

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 298 (187,505)
Citation 2

Abstract:

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49.

The Distribution of Stock Return Volatility

NBER Working Paper No. w7933
Number of pages: 41 Posted: 30 Sep 2000 Last Revised: 05 Sep 2022
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 273 (205,168)
Citation 146

Abstract:

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50.

Comparing Predictive Accuracy

NBER Working Paper No. t0169
Number of pages: 35 Posted: 25 Jul 2000 Last Revised: 19 Jun 2023
Francis X. Diebold and Roberto S. Mariano
University of Pennsylvania - Department of Economics and Singapore Management University
Downloads 273 (205,168)

Abstract:

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51.
Downloads 268 (209,065)
Citation 138

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 147 (361,512)

Abstract:

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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 79 (565,576)
Citation 92

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 2022
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 42 (775,800)
Citation 6

Abstract:

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52.

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 265 (211,415)
Citation 17

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

53.

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 260 (215,413)
Citation 14

Abstract:

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

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 102 (479,152)
Citation 5

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 97 (496,056)
Citation 183

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 Last Revised: 03 Apr 2022
Francis X. Diebold
University of Pennsylvania - Department of Economics
Downloads 33 (847,250)
Citation 489

Abstract:

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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 163 (331,473)
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 Last Revised: 29 Nov 2022
Francis X. Diebold and Michael W. Brandt
University of Pennsylvania - Department of Economics and Duke University - Fuqua School of Business
Downloads 66 (626,762)
Citation 4

Abstract:

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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 181 (302,141)
Citation 2

Abstract:

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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 2023
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 42 (775,800)

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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 181 (302,141)

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 Last Revised: 26 May 2023
Fei Chen, Francis X. Diebold and Frank Schorfheide
HUST, University of Pennsylvania - Department of Economics and University of Pennsylvania - Department of Economics
Downloads 34 (838,942)

Abstract:

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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 89 (524,814)

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: 06 Feb 2023
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 58 (670,564)
Citation 1

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 57 (676,506)
Citation 1

Abstract:

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

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 2022
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 159 (338,642)
Citation 9

Abstract:

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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 39 (798,658)
Citation 3

Abstract:

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

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 144 (367,657)
Citation 3

Abstract:

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

Globalization, the Business Cycle, and Macroeconomic Monitoring

NBER Working Paper No. w16264
Number of pages: 52 Posted: 16 Aug 2010 Last Revised: 11 Jun 2023
University of Maryland - Department of Economics, University of Pennsylvania - Department of Economics, World Bank and International Monetary Fund (IMF)
Downloads 49 (726,488)
Citation 1

Abstract:

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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 98 (492,588)

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 62 (648,201)
Citation 1

Abstract:

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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 Last Revised: 17 Apr 2023
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 22 (949,790)
Citation 12

Abstract:

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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 124 (413,842)
Citation 6

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 Last Revised: 03 Jul 2022
Francis X. Diebold and Georg Strasser
University of Pennsylvania - Department of Economics and European Central Bank (ECB) - Directorate General Research
Downloads 50 (719,906)

Abstract:

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63.

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 171 (318,104)
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

64.

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 167 (324,659)

Abstract:

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Yield Curve, Interest Rate, Bond Market, Svensson Model

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 86 (536,472)
Citation 3

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 43 (768,429)
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 Last Revised: 17 Apr 2022
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 (814,289)
Citation 20

Abstract:

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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 103 (475,854)
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

NBER Working Paper No. w15657
Number of pages: 17 Posted: 18 Jan 2010 Last Revised: 14 Apr 2023
S. Borağan Aruoba and Francis X. Diebold
University of Maryland - Department of Economics and University of Pennsylvania - Department of Economics
Downloads 56 (682,443)

Abstract:

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67.

Forecast Evaluation and Combination

NBER Working Paper No. t0192
Number of pages: 48 Posted: 22 Jul 2000 Last Revised: 13 Jul 2023
Francis X. Diebold and Jose A. Lopez
University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 157 (342,109)
Citation 2

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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 112 (447,045)
Citation 1

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 Last Revised: 22 Mar 2023
Francis X. Diebold and Minchul Shin
University of Pennsylvania - Department of Economics and University of Illinois
Downloads 33 (847,250)
Citation 28

Abstract:

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69.

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 140 (375,407)
Citation 3

Abstract:

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

70.

Macroeconomic Volatility and Stock Market Volatility, Worldwide

NBER Working Paper No. w14269
Number of pages: 35 Posted: 27 Aug 2008 Last Revised: 29 Dec 2022
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 129 (400,221)
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: 08 Dec 2022
Francis X. Diebold and Lutz Kilian
University of Pennsylvania - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 67 (621,649)

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 62 (648,201)
Citation 4

Abstract:

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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 111 (450,106)
Citation 1

Abstract:

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sea ice extent; climate models; climate change; climate trends; climate predition; cryospheric science

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: 17 Feb 2023
Francis X. Diebold and Glenn D. Rudebusch
University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 14 (1,035,180)
Citation 6

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: 16 Sep 2022
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 63 (642,726)

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, University of California, Los Angeles and affiliation not provided to SSRN
Downloads 50 (719,906)

Abstract:

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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: 03 Feb 2023
Francis X. Diebold
University of Pennsylvania - Department of Economics
Downloads 58 (670,564)
Citation 1

Abstract:

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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 53 (700,666)
Citation 4

Abstract:

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

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 88 (528,683)
Citation 1

Abstract:

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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 Last Revised: 10 Jul 2023
Francis X. Diebold and Minchul Shin
University of Pennsylvania - Department of Economics and University of Illinois
Downloads 23 (939,737)
Citation 2

Abstract:

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76.

Measuring Volatility Dynamics

NBER Working Paper No. t0173
Number of pages: 50 Posted: 24 Jul 2000 Last Revised: 24 Jun 2023
Francis X. Diebold and Jose Lopez
University of Pennsylvania - Department of Economics and University of Pennsylvania
Downloads 105 (466,125)

Abstract:

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77.

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 100 (485,584)

Abstract:

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

78.

On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness

Number of pages: 11 Posted: 22 Nov 2022
Francis X. Diebold and Kamil Yilmaz
University of Pennsylvania - Department of Economics and Koc University
Downloads 92 (512,764)

Abstract:

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Contagion, Spillovers, Financial markets, Vector autoregressions, Variance decompositions.

79.

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: 26 Oct 2022
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 78 (562,797)

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80.

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 74 (580,025)

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Density forecasts, forecast combination, survey forecasts, shrinkage, model selection, regularization, partially egalitarian LASSO, model averaging, subset averaging

81.

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 74 (580,025)
Citation 8

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Systemic risk, Network connectedness, Systemically important financial institutions, Vector autoregression, Variance decomposition

82.

Measuring Business Cycles: A Modern Perspective

NBER Working Paper No. w4643
Number of pages: 35 Posted: 25 Jul 2000 Last Revised: 11 Mar 2022
Francis X. Diebold and Glenn D. Rudebusch
University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 73 (584,429)
Citation 21

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83.

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 72 (588,795)

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forecast accuracy, forecast evaluation, absolute-error loss, quadratic loss, squared-error loss

84.

Evaluating Density Forecasts

NBER Working Paper No. t0215
Number of pages: 38 Posted: 26 Aug 2000 Last Revised: 03 Feb 2023
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 70 (597,979)

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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 2022
FRB of San Francisco - Financial Research, University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 69 (602,653)

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86.

Optimal Prediction Under Asymmetric Loss

NBER Working Paper No. t0167
Number of pages: 38 Posted: 19 Jul 2000 Last Revised: 18 Jun 2023
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 69 (602,653)
Citation 1

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87.

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 2022
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 68 (607,239)
Citation 1

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88.

Job Stability in the United States

NBER Working Paper No. w4859
Number of pages: 33 Posted: 14 Jul 2000 Last Revised: 13 Oct 2022
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 68 (607,239)
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89.

Long Memory and Regime Switching

NBER Working Paper No. t0264
Number of pages: 46 Posted: 18 Nov 2000 Last Revised: 24 Mar 2023
Francis X. Diebold and Atsushi Inoue
University of Pennsylvania - Department of Economics and Southern Methodist University
Downloads 66 (616,717)
Citation 9

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90.

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 63 (631,760)
Citation 2

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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 61 (642,037)
Citation 7

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92.

The Past, Present, and Future of Macroeconomic Forecasting

NBER Working Paper No. w6290
Number of pages: 35 Posted: 25 May 2006 Last Revised: 11 Mar 2022
Francis X. Diebold
University of Pennsylvania - Department of Economics
Downloads 58 (657,948)
Citation 4

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93.

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, Bocconi University, Université du Québec à Montréal - Département des Sciences Économiques, Federal Reserve Bank of San Francisco and University of Pennsylvania - Department of Economics
Downloads 57 (663,520)
Citation 1

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Climate modeling, nowcasting, model averaging, ensemble averaging

94.

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. Boragan Aruoba and Francis X. Diebold
affiliation not provided to SSRN and University of Pennsylvania - Department of Economics
Downloads 57 (663,520)
Citation 2

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Financial crises, Real-time data, Macroeconomics

95.

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: 25 Dec 2022
Francis X. Diebold and Abdelhak S. Senhadji
University of Pennsylvania - Department of Economics and International Monetary Fund (IMF)
Downloads 53 (686,128)
Citation 1

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96.

Measuring Predictability: Theory and Macroeconomic Applications

NBER Working Paper No. t0213
Number of pages: 51 Posted: 24 Jul 2000 Last Revised: 01 Feb 2023
Francis X. Diebold and Lutz Kilian
University of Pennsylvania - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 47 (723,116)

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97.

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 42 (756,589)
Citation 4

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Forecast accuracy, forecast evaluation, prediction

98.

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 2022
Antulio N. Bomfim and Francis X. Diebold
Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics
Downloads 40 (770,916)

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99.

Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models

NBER Working Paper No. t0194
Number of pages: 24 Posted: 27 Aug 2000 Last Revised: 15 Jul 2023
Francis X. Diebold and Til Schuermann
University of Pennsylvania - Department of Economics and Oliver Wyman
Downloads 39 (778,035)

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100.

A New Test for Market Efficiency and Uncovered Interest Parity

NBER Working Paper No. w30638
Number of pages: 27 Posted: 14 Nov 2022 Last Revised: 14 Apr 2023
Richard Baillie, Francis X. Diebold, George Kapetanios and Kun Kim
Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management, University of Pennsylvania - Department of Economics, King's College, London and Concordia University
Downloads 11 (1,029,253)
Citation 1
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Dynamic Equilibrium Economies: A Framework for Comparing Models and Data

FRB of Philadelphia Working Paper No. 97-7
Number of pages: 66 Posted: 18 Jan 2022 Last Revised: 20 Jan 2022
Jeremy Berkowitz, Francis X. Diebold and Lee E. Ohanian
Board of Governors of the Federal Reserve System, University of Pennsylvania - Department of Economics and University of Minnesota
Downloads 6 (1,114,882)
Citation 2

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time series analysis

Dynamic Equilibrium Economies: A Framework for Comparing Models and Data

FEDS Working Paper No. 1997-23
Number of pages: 32 Posted: 25 Oct 2021
Francis X. Diebold, Lee E. Ohanian and Jeremy Berkowitz
University of Pennsylvania - Department of Economics, University of Minnesota and Board of Governors of the Federal Reserve System
Downloads 4 (1,131,736)

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Econometric models

102.

Why are Estimates of Agricultural Supply Response so Variable?

FEDS Working Paper No. 96-8
Number of pages: 35 Posted: 25 Oct 2021
Francis X. Diebold and Russell L. Lamb
University of Pennsylvania - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 10 (1,038,662)

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Agriculture - Forecasting, Agricultural prices

103.

When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume

NBER Working Paper No. w30732
Number of pages: 38 Posted: 12 Dec 2022 Last Revised: 17 Jul 2023
University of Pennsylvania - Department of Economics, Brookings Institution, Bocconi University, Université du Québec à Montréal - Département des Sciences Économiques and University of Pennsylvania
Downloads 8 (1,056,616)
Citation 2
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On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates

FRB of Philadelphia Working Paper No. 21-6
Posted: 14 May 2021 Last Revised: 12 Oct 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

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Density forecasts, forecast combinations, survey forecasts, shrinkage, model selection, regularization, partially egalitarian LASSO, model averaging, subset averaging

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

NBER Working Paper No. w29635
Number of pages: 46 Posted: 10 Jan 2022 Last Revised: 24 Jun 2023
Francis X. Diebold, Minchul Shin and Boyuan Zhang
University of Pennsylvania - Department of Economics, University of Illinois and University of Pennsylvania
Downloads 5 (1,123,476)
Citation 2

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