Author Page for Francis X. Diebold

Volatility Forecasting

PIER Working Paper No. 05-011; CFS Working Paper No. 2005/08

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 2,377 (5,896)

Citation 1

Abstract:

Volatility Forecasting

NBER Working Paper No. w11188

Number of pages: 113 Posted: 20 May 2005 Last Revised: 29 Jul 2010

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 249 (133,054)

Citation 3

Abstract:

2.

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

NYU Working Paper No. FIN-99-062

Number of pages: 16 Posted: 11 Nov 2008

Anil Bangia, Francis X. Diebold, Til Schuermann and John Stroughair

Oliver, Wyman & Company, LLC., University of Pennsylvania - Department of Economics, Oliver Wyman and Oliver, Wyman & Company, LLC.

Downloads 2,296 (6,387)

Citation 1

Abstract:

3.

Modeling and Forecasting Realized Volatility

Downloads 2,261 ( 6,557)

Citation 175

2

Modeling and Forecasting Realized Volatility

PIER Working Paper No. 01-002

Number of pages: 47 Posted: 02 May 2001

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys

Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office

Downloads 2,130 (7,115)

Citation 181

Abstract:

Modeling and Forecasting Realized Volatility

NBER Working Paper No. w8160

Number of pages: 47 Posted: 09 Mar 2001 Last Revised: 11 Feb 2002

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys

Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office

Downloads 131 (236,894)

Citation 1

Abstract:

4.

How Relevant is Volatility Forecasting for Financial Risk Management?

Downloads 2,259 ( 6,568)

Citation 8

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 1,267 (16,400)

Citation 8

Abstract:

How Relevant is Volatility Forecasting for Financial Risk Management?

Review of Economics and Statistics

Number of pages: 40 Posted: 07 Oct 1999

Peter Christoffersen and Francis X. Diebold

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

Downloads 831 (30,562)

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 107 (275,347)

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: 11 Oct 2010

Peter Christoffersen and Francis X. Diebold

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

Downloads 54 (411,295)

Abstract:

5.

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

PIER Working Paper No. 12-037

Number of pages: 8 Posted: 26 Sep 2012

Francis X. Diebold

University of Pennsylvania - Department of Economics

Downloads 2,017 (7,978)

Citation 22

Abstract:

6.

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Downloads 1,813 ( 9,497)

Citation 92

2

Practical Volatility and Correlation Modeling for Financial Market Risk Management

PIER Working Paper No. 05-007, CFS Working Paper 2005/02

Number of pages: 41 Posted: 21 Jan 2005

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 1,612 (11,292)

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

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 201 (163,811)

Citation 6

Abstract:

7.

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

PIER Working Paper No. 13-003

Number of pages: 8 Posted: 18 Jan 2013

Francis X. Diebold

University of Pennsylvania - Department of Economics

Downloads 1,802 (9,585)

Citation 24

Abstract:

8.

Weather Forecasting for Weather Derivatives

Downloads 1,725 ( 10,335)

Citation 38

3

Weather Forecasting for Weather Derivatives

PIER Working Paper No. 01-031

Number of pages: 118 Posted: 25 Sep 2001

Sean D. Campbell and Francis X. Diebold

U.S. Division of Monetary Affairs and University of Pennsylvania - Department of Economics

Downloads 1,153 (18,922)

Abstract:

Weather Forecasting for Weather Derivatives

PIER Working Paper No. 02-046

Number of pages: 45 Posted: 22 Dec 2002

Sean D. Campbell and Francis X. Diebold

U.S. Division of Monetary Affairs and University of Pennsylvania - Department of Economics

Downloads 508 (58,756)

Citation 1

Abstract:

Weather Forecasting for Weather Derivatives

NBER Working Paper No. w10141

Number of pages: 30 Posted: 10 Dec 2003 Last Revised: 18 Sep 2010

Sean D. Campbell and Francis X. Diebold

U.S. Division of Monetary Affairs and University of Pennsylvania - Department of Economics

Downloads 64 (377,546)

Citation 1

Abstract:

9.

Forecasting the Term Structure of Government Bond Yields

Downloads 1,497 ( 12,889)

Citation 327

2

Forecasting the Term Structure of Government Bond Yields

PIER Working Paper No. 02-026

Number of pages: 48 Posted: 03 Sep 2002

Francis X. Diebold and Canlin Li

University of Pennsylvania - Department of Economics and University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management

Downloads 1,365 (14,627)

Citation 48

Abstract:

Forecasting the Term Structure of Government Bond Yields

NBER Working Paper No. w10048

Number of pages: 43 Posted: 28 Oct 2003

Francis X. Diebold and Canlin Li

University of Pennsylvania - Department of Economics and University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management

Downloads 132 (235,536)

Citation 38

Abstract:

10.

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

PIER Working Paper No. 01-004

Number of pages: 46 Posted: 02 May 2001

Anil Bangia, Francis X. Diebold and Til Schuermann

Oliver, Wyman & Company, LLC., University of Pennsylvania - Department of Economics and Oliver Wyman

Downloads 1,440 (13,756)

Citation 29

Abstract:

11.

Financial Risk Measurement for Financial Risk Management

Downloads 1,310 ( 15,885)

Citation 30

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 1,218 (17,415)

Citation 1

Abstract:

Financial Risk Measurement for Financial Risk Management

NBER Working Paper No. w18084

Number of pages: 130 Posted: 19 May 2012

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 92 (304,862)

Citation 3

Abstract:

12.

Realized Beta: Persistence and Predictability

PIER Working Paper No. 04-018

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 1,184 (18,507)

Citation 43

Abstract:

13.

Horizon Problems and Extreme Events in Financial Risk Management

Economic Policy Review, Vol. 4, No. 3, October 1998

Number of pages: 10 Posted: 10 Feb 1999

Peter Christoffersen, Francis X. Diebold and Til Schuermann

University of Toronto - Rotman School of Management, University of Pennsylvania - Department of Economics and Oliver Wyman

Downloads 1,175 (18,724)

Citation 28

Abstract:

14.

Time Series Analysis

PIER Working Paper No. 06-019

Number of pages: 24 Posted: 21 Jun 2006

Francis X. Diebold, Lutz Kilian and Marc Nerlove

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

Downloads 1,120 (20,119)

Citation 1

Abstract:

15.

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

Downloads 1,105 ( 20,525)

Citation 34

2

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

PIER Working Paper No. 03-025

Number of pages: 41 Posted: 06 Nov 2003

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

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

Downloads 749 (35,233)

Citation 32

Abstract:

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

CFS Working Paper No. 2003/35

Number of pages: 42 Posted: 01 Dec 2003

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

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

Downloads 356 (90,208)

Citation 43

Abstract:

16.

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

Downloads 892 ( 28,068)

Citation 78

2

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

PIER Working Paper No. 04-028; Simon School Working Paper No. FR 04-13

Number of pages: 51 Posted: 30 Jun 2004

Torben G. Andersen, Clara Vega, Tim Bollerslev and Francis X. Diebold

Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System, Duke University - Finance and University of Pennsylvania - Department of Economics

Downloads 829 (30,668)

Citation 12

Abstract:

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

NBER Working Paper No. w11312

Number of pages: 56 Posted: 09 Jun 2005 Last Revised: 17 Jul 2009

Torben G. Andersen, Clara Vega, Tim Bollerslev and Francis X. Diebold

Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System, Duke University - Finance and University of Pennsylvania - Department of Economics

Downloads 63 (380,785)

Citation 6

Abstract:

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 818 (31,719)

Citation 4

Abstract:

18.

Parametric and Nonparametric Volatility Measurement

Downloads 798 ( 32,796)

Citation 134

2

Parametric and Nonparametric Volatility Measurement

PIER Working Paper No. 02-019

Number of pages: 69 Posted: 31 Jul 2002

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

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

Downloads 737 (36,022)

Citation 3

Abstract:

Parametric and Nonparametric Volatility Measurement

NBER Working Paper No. t0279

Number of pages: 68 Posted: 18 Aug 2002

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

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

Downloads 61 (387,131)

Citation 31

Abstract:

19.

The Distribution of Realized Exchange Rate Volatility

PIER Working Paper No. 01-003

Number of pages: 32 Posted: 02 May 2001

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys

Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office

Downloads 768 (34,540)

Citation 75

Abstract:

20.

The Macroeconomy and the Yield Curve: A Nonstructural Analysis

Downloads 674 ( 41,235)

Citation 6

2

The Macroeconomy and the Yield Curve: A Nonstructural Analysis

PIER Working Paper No. 03-024

Number of pages: 39 Posted: 28 Oct 2003

Francis X. Diebold, Glenn D. Rudebusch and S. Borağan Aruoba

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

Downloads 449 (68,559)

Citation 6

Abstract:

The Macroeconomy and the Yield Curve: A Nonstructural Analysis

CFS Working Paper No. 2003/31

Number of pages: 40 Posted: 14 Dec 2003

Glenn D. Rudebusch, Francis X. Diebold and S. Borağan Aruoba

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

Downloads 225 (147,100)

Citation 2

Abstract:

21.

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

PIER Working Paper No. 06-017

Number of pages: 44 Posted: 21 Jun 2006

Francis X. Diebold, Lei Ji and Canlin Li

University of Pennsylvania - Department of Economics, University of Pennsylvania - Department of Economics and University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management

Downloads 661 (42,338)

Citation 9

Abstract:

22.

Range-Based Estimation of Stochastic Volatility Models

Downloads 650 ( 43,329)

Citation 4

2

Range-Based Estimation of Stochastic Volatility Models

PIER Working Paper No. 01-007

Number of pages: 65 Posted: 02 May 2001

Sassan Alizadeh, Michael W. Brandt and Francis X. Diebold

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

Downloads 650 (42,701)

Citation 4

Abstract:

Range-Based Estimation of Stochastic Volatility Models

Journal of Finance, Vol. 57, pp. 1047-1091, 2002

Posted: 04 Sep 2001

Sassan Alizadeh, Michael W. Brandt and Francis X. Diebold

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

Abstract:

23.

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

Downloads 649 ( 43,408)

Citation 38

3

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

PIER Working Paper No. 04-009; EFA 2004 Maastricht Meetings Paper No. 4809

Number of pages: 41 Posted: 19 Apr 2004

Peter Christoffersen and Francis X. Diebold

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

Downloads 415 (75,453)

Citation 1

Abstract:

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

Rodney L. White Center for Financial Research Working Paper No. 05-04

Number of pages: 41 Posted: 08 Jul 2004

Peter Christoffersen and Francis X. Diebold

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

Downloads 181 (180,412)

Citation 17

Abstract:

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

NBER Working Paper No. w10009

Number of pages: 40 Posted: 05 Oct 2003 Last Revised: 19 Sep 2009

Peter Christoffersen and Francis X. Diebold

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

Downloads 53 (414,854)

Citation 3

Abstract:

24.

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

Downloads 646 ( 43,658)

Citation 353

2

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

PIER Working Paper No. 02-011

Number of pages: 38 Posted: 17 May 2002

Clara Vega, Torben G. Andersen, Tim Bollerslev and Francis X. Diebold

Board of Governors of the Federal Reserve System, Northwestern University - Kellogg School of Management, Duke University - Finance and University of Pennsylvania - Department of Economics

Downloads 586 (49,003)

Citation 2

Abstract:

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

NBER Working Paper No. w8959

Number of pages: 38 Posted: 24 May 2002 Last Revised: 27 Oct 2010

Torben G. Andersen, Clara Vega, Tim Bollerslev and Francis X. Diebold

Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System, Duke University - Finance and University of Pennsylvania - Department of Economics

Downloads 60 (390,433)

Citation 45

Abstract:

25.

Cointegration and Long-Horizon Forecasting

Downloads 631 ( 45,051)

Citation 2

3

Cointegration and Long-Horizon Forecasting

IMF Working Paper No. 97/61

Number of pages: 30 Posted: 22 Jan 1998

Peter Christoffersen and Francis X. Diebold

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

Downloads 529 (55,836)

Citation 2

Abstract:

Cointegration and Long-Horizon Forecasting

NBER Working Paper No. t0217

Number of pages: 30 Posted: 25 Jul 2000 Last Revised: 07 Aug 2010

Peter Christoffersen and Francis X. Diebold

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

Downloads 51 (422,265)

Abstract:

Cointegration and Long-Horizon Forecasting

NYU Working Paper No. SOR-98-8

Number of pages: 36 Posted: 31 Oct 2008

Peter Christoffersen and Francis X. Diebold

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

Downloads 51 (422,265)

Abstract:

26.

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

Downloads 622 ( 45,926)

Citation 35

2

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

PIER Working Paper No. 05-009; CFS Working Paper No. 2005/04

Number of pages: 18 Posted: 08 Feb 2005

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 568 (50,985)

Abstract:

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

NBER Working Paper No. w11134

Number of pages: 18 Posted: 15 Mar 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 54 (411,295)

Citation 4

Abstract:

27.

Financial Asset Returns, Market Timing, and Volatility Dynamics

Number of pages: 32 Posted: 19 Apr 2002

Peter Christoffersen and Francis X. Diebold

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

Downloads 622 (45,926)

Citation 7

Abstract:

28.

Modeling Bond Yields in Finance and Macroeconomics

Downloads 497 ( 61,066)

Citation 73

2

Modeling Bond Yields in Finance and Macroeconomics

PIER Working Paper No. 05-008

Number of pages: 20 Posted: 21 Jan 2005

Francis X. Diebold, Monika Piazzesi and Glenn D. Rudebusch

University of Pennsylvania - Department of Economics, University of Chicago - Booth School of Business and Federal Reserve Bank of San Francisco

Downloads 439 (70,470)

Abstract:

Modeling Bond Yields in Finance and Macroeconomics

NBER Working Paper No. w11089

Number of pages: 20 Posted: 23 Feb 2005

Francis X. Diebold, Monika Piazzesi and Glenn D. Rudebusch

University of Pennsylvania - Department of Economics, University of Chicago - Booth School of Business and Federal Reserve Bank of San Francisco

Downloads 58 (397,206)

Citation 8

Abstract:

29.

Commodity Connectedness

Downloads 442 ( 70,559)

Citation 1

3

Commodity Connectedness

PIER Working Paper No. 17-003

Number of pages: 30 Posted: 13 Mar 2017

Francis X. Diebold, Laura Liu and Kamil Yilmaz

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

Downloads 370 (86,277)

Abstract:

Commodity Connectedness

CFS Working Paper, No. 575

Number of pages: 32 Posted: 20 Sep 2017 Last Revised: 18 Jan 2018

Francis X. Diebold, Laura Liu and Kamil Yilmaz

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

Downloads 57 (400,646)

Citation 1

Abstract:

Commodity Connectedness

NBER Working Paper No. w23685

Number of pages: 30 Posted: 21 Aug 2017

Francis X. Diebold, Laura Liu and Kamil Yilmaz

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

Downloads 15 (617,341)

Abstract:

30.

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

Downloads 436 ( 71,726)

Citation 100

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 259 (127,786)

Abstract:

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

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 119 (254,879)

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 2010

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 58 (397,206)

Citation 15

Abstract:

31.

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

Downloads 409 ( 77,431)

Citation 43

3

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

PIER Working Paper No. 07-002

Number of pages: 21 Posted: 12 Jan 2007

Francis X. Diebold and Kamil Yilmaz

University of Pennsylvania - Department of Economics and Koc University

Downloads 369 (86,539)

Citation 42

Abstract:

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

NBER Working Paper No. w13811

Number of pages: 20 Posted: 15 Feb 2008 Last Revised: 28 Sep 2010

Francis X. Diebold and Kamil Yilmaz

University of Pennsylvania - Department of Economics and Koc University

Downloads 36 (486,202)

Abstract:

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

Economic Journal, Vol. 119, No. 534, pp. 158-171, January 2009

Number of pages: 14 Posted: 10 Dec 2008

Francis X. Diebold and Kamil Yilmaz

University of Pennsylvania - Department of Economics and Koc University

Downloads 4 (701,246)

Add to Cart

Abstract:

32.

The Nobel Memorial Prize for Robert F. Engle

Downloads 401 ( 79,193)

Citation 7

4

The Nobel Memorial Prize for Robert F. Engle

PIER Working Paper No. 04-010

Number of pages: 28 Posted: 05 Apr 2004

Francis X. Diebold

University of Pennsylvania - Department of Economics

Downloads 226 (146,465)

Abstract:

The Nobel Memorial Prize for Robert F. Engle

Rodney L. White Center for Financial Research Working Paper No. 07-04

Number of pages: 29 Posted: 08 Jul 2004

Francis X. Diebold

University of Pennsylvania - Department of Economics

Downloads 116 (259,763)

Abstract:

The Nobel Memorial Prize for Robert F. Engle

NBER Working Paper No. w10423

Number of pages: 29 Posted: 23 Apr 2004 Last Revised: 26 Jun 2010

Francis X. Diebold

University of Pennsylvania - Department of Economics

Downloads 32 (506,577)

Citation 1

Abstract:

The Nobel Memorial Prize for Robert F. Engle

Scandinavian Journal of Economics, Vol. 106, pp. 165-185, June 2004

Number of pages: 22 Posted: 26 Sep 2004

Francis X. Diebold

University of Pennsylvania - Department of Economics

Downloads 27 (535,225)

Add to Cart

Abstract:

33.

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

Downloads 393 ( 81,044)

Citation 118

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 292 (112,470)

Citation 85

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 2010

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

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

Downloads 101 (286,700)

Citation 13

Abstract:

34.

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

Downloads 390 ( 81,759)

Citation 48

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 198 (166,161)

Citation 36

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 192 (171,000)

Citation 14

Abstract:

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

Journal of International Economics, Vol. 73, No. 2, 2007

Posted: 03 Jun 2008

Torben G. Andersen, Clara Vega, Tim Bollerslev and Francis X. Diebold

Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System, Duke University - Finance and University of Pennsylvania - Department of Economics

Abstract:

35.

Evaluating Density Forecasts with Applications to Financial Risk Management

NYU Working Paper No. SOR-98-6

Number of pages: 22 Posted: 31 Oct 2008

Francis X. Diebold, Todd A. Gunther and Anthony S. Tay

University of Pennsylvania - Department of Economics, affiliation not provided to SSRN and Singapore Management University - School of Economics

Downloads 385 (83,031)

Citation 31

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 385 (83,031)

Citation 9

Abstract:

37.

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

Downloads 372 ( 86,486)

Citation 57

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 312 (104,688)

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 2010

Francis X. Diebold, Canlin Li and Vivian Z. Yue

University of Pennsylvania - Department of Economics, University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management and Emory University

Downloads 60 (390,433)

Citation 6

Abstract:

38.

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

Downloads 371 ( 86,732)

Citation 33

2

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

PIER Working Paper No. 05-025

Number of pages: 29 Posted: 26 Sep 2005

Sean D. Campbell and Francis X. Diebold

U.S. Division of Monetary Affairs and University of Pennsylvania - Department of Economics

Downloads 329 (98,701)

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 2010

Sean D. Campbell and Francis X. Diebold

U.S. Division of Monetary Affairs and University of Pennsylvania - Department of Economics

Downloads 42 (458,706)

Abstract:

39.

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

Downloads 360 ( 89,739)

Citation 225

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 282 (116,802)

Citation 1

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: 06 Jul 2010

Francis X. Diebold, Glenn D. Rudebusch and S. Borağan Aruoba

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

Downloads 78 (337,915)

Citation 18

Abstract:

40.

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

Downloads 353 ( 91,840)

Citation 100

4

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

PIER Working Paper No. 11-031

Number of pages: 38 Posted: 03 Oct 2011

Francis X. Diebold and Kamil Yilmaz

University of Pennsylvania - Department of Economics and Koc University

Downloads 123 (248,542)

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 109 (271,726)

Citation 97

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 76 (343,208)

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

Francis X. Diebold and Kamil Yilmaz

University of Pennsylvania - Department of Economics and Koc University

Downloads 45 (445,907)

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 335 (97,321)

Citation 2

Abstract:

42.

Estimating Global Bank Network Connectedness

Downloads 303 (108,694)

Citation 32

2

Estimating Global Bank Network Connectedness

PIER Working Paper No. 15-025

Number of pages: 34 Posted: 18 Jul 2015 Last Revised: 30 Jul 2015

Mert Demirer, Francis X. Diebold, Laura Liu and Kamil Yilmaz

Massachusetts Institute of Technology (MIT), University of Pennsylvania - Department of Economics, Indiana University Bloomington - Department of Economics and Koc University

Downloads 289 (113,699)

Citation 4

Abstract:

Estimating Global Bank Network Connectedness

NBER Working Paper No. w23140

Number of pages: 35 Posted: 13 Feb 2017

Mert Demirer, Francis X. Diebold, Laura Liu and Kamil Yilmaz

Massachusetts Institute of Technology (MIT), University of Pennsylvania - Department of Economics, Indiana University Bloomington - Department of Economics and Koc University

Downloads 14 (624,826)

Citation 19

Abstract:

43.

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

Wharton FIC Working Paper No. 00-28

Number of pages: 50 Posted: 20 Nov 2000

Sassan Alizadeh, Michael W. Brandt and Francis X. Diebold

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

Downloads 275 (120,542)

Citation 52

Abstract:

44.

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

International Journal of Forecasting, Forthcoming

Number of pages: 29 Posted: 15 Jan 2010 Last Revised: 29 Mar 2010

Francis X. Diebold and Kamil Yilmaz

University of Pennsylvania - Department of Economics and Koc University

Downloads 271 (122,327)

Citation 45

Abstract:

45.

Long Memory and Structural Change

PIER Working Paper No. 01-006

Number of pages: 41 Posted: 02 May 2001

Francis X. Diebold and Atsushi Inoue

University of Pennsylvania - Department of Economics and Southern Methodist University

Downloads 271 (122,327)

Citation 2

Abstract:

46.

Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts

PIER Working Paper No. 17-017

Number of pages: 28 Posted: 07 Sep 2017

Francis X. Diebold and Minchul Shin

University of Pennsylvania - Department of Economics and University of Illinois

Downloads 269 (123,308)

Citation 3

Abstract:

47.

The Distribution of Exchange Rate Volatility

Downloads 256 (129,932)

Citation 127

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 156 (205,303)

Citation 6

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 100 (288,598)

Abstract:

48.

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

PIER Working Paper No. 03-013

Number of pages: 21 Posted: 04 Jun 2003

Francis X. Diebold and Michael W. Brandt

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

Downloads 245 (135,761)

Citation 18

Abstract:

49.

On the Correlation Structure of Microstructure Noise in Theory and Practice

PIER Working Paper No. 08-038

Number of pages: 68 Posted: 20 Oct 2008

Francis X. Diebold and Georg Strasser

University of Pennsylvania - Department of Economics and European Central Bank (ECB) - Directorate General Research

Downloads 233 (142,613)

Citation 13

Abstract:

50.

Measuring the Dynamics of Global Business Cycle Connectedness

PIER Working Paper No. 13-070

Number of pages: 30 Posted: 19 Dec 2013 Last Revised: 23 Dec 2013

Francis X. Diebold and Kamil Yilmaz

University of Pennsylvania - Department of Economics and Koc University

Downloads 223 (148,828)

Citation 13

Abstract:

51.

The Distribution of Stock Return Volatility

NBER Working Paper No. w7933

Number of pages: 41 Posted: 30 Sep 2000 Last Revised: 19 Oct 2010

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Heiko Ebens

Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Johns Hopkins University - Department of Economics

Downloads 208 (158,904)

Citation 38

Abstract:

52.

Dynamic Equilibrium Economies: A Framework for Comparing Models and Data

Downloads 184 (177,836)

Citation 4

2

Dynamic Equilibrium Economies: A Framework for Comparing Models and Data

FEDS PAPER NUMBER: (97-23)

Number of pages: 32 Posted: 28 Jul 1997

Jeremy Berkowitz, Francis X. Diebold and Lee E. Ohanian

University of Houston - Department of Finance, University of Pennsylvania - Department of Economics and University of California, Los Angeles (UCLA) - Department of Economics

Downloads 158 (203,120)

Citation 1

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 26 (541,514)

Abstract:

53.

Real-Time Measurement of Business Conditions

Downloads 183 (178,707)

Citation 90

3

Real-Time Measurement of Business Conditions

FRB International Finance Discussion Paper No. 901

Number of pages: 36 Posted: 22 Sep 2007

S. Borağan Aruoba, Francis X. Diebold and Chiara Scotti

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

Downloads 104 (280,980)

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 53 (414,854)

Citation 96

Abstract:

Real-Time Measurement of Business Conditions

NBER Working Paper No. w14349

Number of pages: 30 Posted: 23 Sep 2008 Last Revised: 17 Sep 2010

S. Borağan Aruoba, Francis X. Diebold and Chiara Scotti

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

Downloads 26 (541,514)

Abstract:

54.

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

Downloads 183 (178,707)

Citation 12

2

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

CFS Working Paper No. 2004/07

Number of pages: 37 Posted: 26 Jan 2005

Francis X. Diebold and Michael W. Brandt

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

Downloads 141 (223,321)

Citation 1

Abstract:

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

NBER Working Paper No. w9664

Number of pages: 16 Posted: 04 May 2003

Francis X. Diebold and Michael W. Brandt

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

Downloads 42 (458,706)

Citation 3

Abstract:

55.

Comparing Predictive Accuracy

NBER Working Paper No. t0169

Number of pages: 35 Posted: 25 Jul 2000 Last Revised: 27 Oct 2008

Francis X. Diebold and Roberto S. Mariano

University of Pennsylvania - Department of Economics and Singapore Management University

Downloads 183 (178,707)

Abstract:

56.

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

Downloads 172 (188,750)

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 158 (203,120)

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

Fei Chen, Francis X. Diebold and Frank Schorfheide

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

Downloads 14 (624,826)

Abstract:

57.

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

Downloads 165 (195,531)

Citation 14

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 82 (327,844)

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 (433,783)

Citation 9

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: 05 Jul 2010

S. Borağan Aruoba and Francis X. Diebold

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

Downloads 35 (491,082)

Abstract:

58.

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 141 (222,750)

Abstract:

59.

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

Journal of Econometrics (2013), Forthcoming

Number of pages: 62 Posted: 27 Aug 2013

Fei Chen, Francis X. Diebold and Frank Schorfheide

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

Downloads 140 (224,056)

Citation 1

Abstract:

60.

Globalization, the Business Cycle, and Macroeconomic Monitoring

Downloads 135 (230,561)

Citation 6

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 108 (273,562)

Citation 2

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 27 (535,225)

Abstract:

61.

Improving GDP Measurement: A Forecast Combination Perspective

Downloads 132 (234,768)

Citation 2

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 66 (371,528)

Abstract:

Improving GDP Measurement: a Forecast Combination Perspective

NBER Working Paper No. w17421

Number of pages: 30 Posted: 21 Sep 2011 Last Revised: 03 Oct 2011

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 33 (501,335)

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 33 (501,335)

Citation 2

Abstract:

62.

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

Downloads 130 (237,464)

Citation 1,286

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 79 (335,305)

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 39 (472,170)

Citation 157

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

Francis X. Diebold

University of Pennsylvania - Department of Economics

Downloads 12 (639,835)

Citation 84

Abstract:

63.

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

Downloads 127 (241,736)

Citation 39

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: 10 Apr 2001

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys

Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office

Downloads 103 (282,899)

Citation 2

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 24 (554,724)

Citation 1

Abstract:

64.

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

Downloads 116 (258,609)

Citation 2

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 90 (309,097)

Citation 2

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 26 (541,514)

Abstract:

65.

Forecast Evaluation and Combination

NBER Working Paper No. t0192

Number of pages: 48 Posted: 22 Jul 2000 Last Revised: 13 Jul 2010

Francis X. Diebold and Jose A. Lopez

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

Downloads 111 (266,763)

Citation 4

Abstract:

66.

Real-Time Measurement of Business Conditions, Second Version

PIER Working Paper No. 08-011

Number of pages: 28 Posted: 04 Apr 2008

S. Borağan Aruoba, Francis X. Diebold and Chiara Scotti

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

Downloads 110 (268,503)

Citation 4

Abstract:

67.

Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility

Downloads 108 (272,041)

Citation 8

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 (340,561)

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 24 (554,724)

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

Francis X. Diebold, Frank Schorfheide and Minchul Shin

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

Downloads 7 (677,589)

Citation 4

Abstract:

68.

Macroeconomic Volatility and Stock Market Volatility, Worldwide

NBER Working Paper No. w14269

Number of pages: 35 Posted: 27 Aug 2008 Last Revised: 29 Jun 2010

Francis X. Diebold and Kamil Yilmaz

University of Pennsylvania - Department of Economics and Koc University

Downloads 101 (284,812)

Citation 1

Abstract:

69.

Improving GDP Measurement: A Measurement-Error Perspective

Downloads 97 (292,479)

Citation 20

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 65 (374,524)

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 19 (588,936)

Citation 1

Abstract:

Improving GDP Measurement: A Measurement-Error Perspective

NBER Working Paper No. w18954

Number of pages: 36 Posted: 13 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 13 (632,169)

Citation 16

Abstract:

70.

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

Downloads 90 (306,609)

Citation 7

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 80 (332,832)

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

Francis X. Diebold and Minchul Shin

University of Pennsylvania - Department of Economics and University of Illinois

Downloads 10 (654,752)

Citation 4

Abstract:

71.

Unit Root Tests are Useful for Selecting Forecasting Models

Downloads 83 (322,444)

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 44 (450,055)

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 May 2000

Francis X. Diebold and Lutz Kilian

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

Downloads 39 (472,170)

Abstract:

72.

Measuring Volatility Dynamics

NBER Working Paper No. t0173

Number of pages: 50 Posted: 24 Jul 2000 Last Revised: 24 Dec 2015

Francis X. Diebold and Jose Lopez

University of Pennsylvania - Department of Economics and University of Pennsylvania

Downloads 75 (342,307)

Abstract:

73.

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

Downloads 63 (375,802)

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, affiliation not provided to SSRN and affiliation not provided to SSRN

Downloads 34 (496,122)

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: 11 Oct 2010

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

University of Pennsylvania - Department of Economics, affiliation not provided to SSRN and Singapore Management University - School of Economics

Downloads 29 (523,273)

Abstract:

74.

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

NBER Working Paper No. w8162

Number of pages: 65 Posted: 09 Mar 2001 Last Revised: 05 Oct 2001

Sassan Alizadeh, Michael W. Brandt and Francis X. Diebold

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

Downloads 62 (378,843)

Abstract:

75.

Optimal Prediction Under Asymmetric Loss

NBER Working Paper No. t0167

Number of pages: 38 Posted: 19 Jul 2000

Peter Christoffersen and Francis X. Diebold

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

Downloads 54 (404,893)

Citation 1

Abstract:

76.

Assessing Point Forecast Accuracy by Stochastic Error Distance

Downloads 49 (422,462)

Citation 7

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 39 (472,170)

Citation 1

Abstract:

Assessing Point Forecast Accuracy by Stochastic Error Distance

NBER Working Paper No. w22516

Number of pages: 20 Posted: 22 Aug 2016

Francis X. Diebold and Minchul Shin

University of Pennsylvania - Department of Economics and University of Illinois

Downloads 10 (654,752)

Citation 1

Abstract:

77.

Measuring Business Cycles: A Modern Perspective

NBER Working Paper No. w4643

Number of pages: 35 Posted: 25 Jul 2000 Last Revised: 14 Sep 2010

Francis X. Diebold and Glenn D. Rudebusch

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

Downloads 48 (426,168)

Citation 9

Abstract:

78.

Bootstrapping Multivariate Spectra

NYU Working Paper No. SOR-98-9

Number of pages: 11 Posted: 31 Oct 2008

Jeremy Berkowitz and Francis X. Diebold

University of Houston - Department of Finance and University of Pennsylvania - Department of Economics

Downloads 46 (433,757)

Citation 1

Abstract:

79.

Evaluating Density Forecasts

NBER Working Paper No. t0215

Number of pages: 38 Posted: 26 Aug 2000 Last Revised: 05 Aug 2010

Francis X. Diebold, Todd A. Gunther and Anthony S. Tay

University of Pennsylvania - Department of Economics, affiliation not provided to SSRN and Singapore Management University - School of Economics

Downloads 45 (437,559)

Abstract:

80.

Assessing Point Forecast Accuracy by Stochastic Divergence from Zero

PIER Working Paper No. 14-011

Number of pages: 19 Posted: 01 Apr 2014

Francis X. Diebold and Minchul Shin

University of Pennsylvania - Department of Economics and University of Illinois

Downloads 44 (441,488)

Abstract:

81.

Job Stability in the United States

NBER Working Paper No. w4859

Number of pages: 33 Posted: 14 Jul 2000

Francis X. Diebold, David Neumark and Daniel Polsky

University of Pennsylvania - Department of Economics, University of California, Irvine - Department of Economics and Bloomberg School of Public Health, Department of Health Policy and Management, Johns Hopkins University

Downloads 42 (449,592)

Citation 3

Abstract:

82.

Long Memory and Regime Switching

NBER Working Paper No. t0264

Number of pages: 46 Posted: 18 Nov 2000 Last Revised: 23 Sep 2010

Francis X. Diebold and Atsushi Inoue

University of Pennsylvania - Department of Economics and Southern Methodist University

Downloads 41 (453,727)

Citation 7

Abstract:

83.

On the Evolution of U.S. Temperature Dynamics

PIER Working Paper No. 19-012, July 2019

Number of pages: 92 Posted: 09 Jul 2019

Francis X. Diebold and Glenn D. Rudebusch

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

Downloads 40 (457,969)

Abstract:

84.

The Past, Present, and Future of Macroeconomic Forecasting

NBER Working Paper No. w6290

Number of pages: 35 Posted: 25 May 2006 Last Revised: 07 Oct 2010

Francis X. Diebold

University of Pennsylvania - Department of Economics

Downloads 40 (457,969)

Citation 1

Abstract:

85.

An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model

NBER Working Paper No. w14463

Number of pages: 34 Posted: 10 Nov 2008 Last Revised: 10 Jul 2010

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 38 (466,424)

Abstract:

86.

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

PIER Working Paper No. 20-001

Number of pages: 29 Posted: 03 Jan 2020

Francis X. Diebold and Glenn D. Rudebusch

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

Downloads 35 (484,458)

Abstract:

87.

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

NYU Working Paper No. SOR-98-7

Number of pages: 38 Posted: 31 Oct 2008

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

University of Pennsylvania - Department of Economics, affiliation not provided to SSRN and Singapore Management University - School of Economics

Downloads 33 (489,272)

Citation 6

Abstract:

88.

Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters

NBER Working Paper No. w6228

Number of pages: 26 Posted: 26 Aug 2000 Last Revised: 07 Oct 2010

Francis X. Diebold, Anthony S. Tay and Kenneth F. Wallis

University of Pennsylvania - Department of Economics, Singapore Management University - School of Economics and University of Warwick - Department of Economics

Downloads 33 (489,272)

Citation 5

Abstract:

89.

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

NBER Working Paper No. w5481

Number of pages: 19 Posted: 14 May 1998 Last Revised: 13 Jun 2012

Francis X. Diebold and Abdelhak S. Senhadji

University of Pennsylvania - Department of Economics and International Monetary Fund (IMF)

Downloads 32 (494,092)

Abstract:

90.

Measuring Predictability: Theory and Macroeconomic Applications

NBER Working Paper No. t0213

Number of pages: 51 Posted: 24 Jul 2000 Last Revised: 03 Aug 2010

Francis X. Diebold and Lutz Kilian

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

Downloads 30 (504,208)

Citation 1

Abstract:

91.

Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models

NBER Working Paper No. t0194

Number of pages: 24 Posted: 27 Aug 2000 Last Revised: 23 Oct 2010

Francis X. Diebold and Til Schuermann

University of Pennsylvania - Department of Economics and Oliver Wyman

Downloads 28 (514,839)

Abstract:

92.

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

NBER Working Paper No. w5482

Number of pages: 29 Posted: 21 May 1998 Last Revised: 28 Jun 2010

Antulio N. Bomfim and Francis X. Diebold

Macroeconomic Advisers, LLC and University of Pennsylvania - Department of Economics

Downloads 24 (538,088)

Abstract:

93.

On the Comparison of Interval Forecasts

Downloads 23 (544,120)

Citation 3

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 23 (561,412)

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

Downloads 0

Citation 3

Add to Cart

Abstract:

94.

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

Downloads 14 (601,536)

2

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

PIER Working Paper No. 20-023

Number of pages: 25 Posted: 01 Jul 2020

Francis X. Diebold

University of Pennsylvania - Department of Economics

Downloads 13 (632,169)

Abstract:

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

NBER Working Paper No. w27482

Number of pages: 25 Posted: 07 Jul 2020

Francis X. Diebold

University of Pennsylvania - Department of Economics

Downloads 1 (735,614)

Abstract:

95.

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

PIER Working Paper No. 20-012

Number of pages: 22 Posted: 02 Apr 2020

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 8 (642,803)

Abstract:

96.

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

The Economic Journal, Vol. 107, Issue 444, pp. 1358-1374, 1997

Number of pages: 17 Posted: 02 Feb 2012

Antúlio N. Bomfim and Francis X. Diebold

affiliation not provided to SSRN and University of Pennsylvania - Department of Economics

Downloads 2 (689,169)

Add to Cart

Abstract:

97.

An Arbitrage-Free Generalized Nelson–Siegel Term Structure Model

Econometrics Journal, Vol. 12, Issue 3, pp. C33-C64, November 2009

Number of pages: 32 Posted: 01 Dec 2009

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 2 (689,169)

Citation 6

Add to Cart

Francis X. Diebold

University of Pennsylvania - Department of Economics

Paul F. and Warren S. Miller Professor of Economics

National Bureau of Economic Research (NBER)

97

Top 434

45,786

Top 20

3,211

8,056

Scholarly Papers (97)

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

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