Author Page for Francis X. Diebold

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 3,169 (5,402)

Citation 33

Abstract:

2.

Volatility Forecasting

Number of pages: 114 Posted: 28 Feb 2005

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

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

Downloads 2,478 (7,868)

Abstract:

Volatility Forecasting

NBER Working Paper No. w11188

Number of pages: 113 Posted: 20 May 2005 Last Revised: 29 Jul 2022

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 403 (102,890)

Citation 3

Abstract:

3.

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

NYU Working Paper No. FIN-99-062

Number of pages: 16 Posted: 11 Nov 2008

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

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

Downloads 2,671 (7,088)

Citation 1

Abstract:

4.

Modeling and Forecasting Realized Volatility

Downloads 2,437 ( 8,215)

Citation 236

2

Modeling and Forecasting Realized Volatility

Number of pages: 47 Posted: 02 May 2001

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

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

Downloads 2,231 (9,279)

Citation 202

Abstract:

Modeling and Forecasting Realized Volatility

NBER Working Paper No. w8160

Number of pages: 47 Posted: 09 Mar 2001 Last Revised: 20 Apr 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 206 (207,028)

Citation 46

Abstract:

5.

How Relevant is Volatility Forecasting for Financial Risk Management?

Downloads 2,290 ( 9,058)

Citation 11

4

How Relevant is Volatility Forecasting for Financial Risk Management?

97-45

Number of pages: 31 Posted: 18 Jan 1998

Peter Christoffersen and Francis X. Diebold

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

Downloads 1,284 (22,044)

Citation 11

Abstract:

How Relevant is Volatility Forecasting for Financial Risk Management?

Number of pages: 40 Posted: 07 Oct 1999

Peter Christoffersen and Francis X. Diebold

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

Downloads 840 (40,578)

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 109 (344,990)

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: 16 Mar 2022

Peter Christoffersen and Francis X. Diebold

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

Downloads 57 (503,508)

Abstract:

6.

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

PIER Working Paper No. 13-003

Number of pages: 8 Posted: 18 Jan 2013

Francis X. Diebold

University of Pennsylvania - Department of Economics

Downloads 2,211 (9,570)

Citation 34

Abstract:

7.

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Downloads 1,881 ( 12,502)

Citation 96

2

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Number of pages: 41 Posted: 21 Jan 2005

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

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

Downloads 1,660 (14,997)

Citation 2

Abstract:

Practical Volatility and Correlation Modeling for Financial Market Risk Management

NBER Working Paper No. w11069

Number of pages: 41 Posted: 16 Feb 2005 Last Revised: 01 Apr 2022

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 221 (192,829)

Citation 11

Abstract:

8.

Weather Forecasting for Weather Derivatives

Downloads 1,781 ( 13,662)

Citation 42

3

Weather Forecasting for Weather Derivatives

Number of pages: 118 Posted: 25 Sep 2001

Sean D. Campbell and Francis X. Diebold

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

Downloads 1,178 (25,048)

Citation 2

Abstract:

Weather Forecasting for Weather Derivatives

Number of pages: 45 Posted: 22 Dec 2002

Sean D. Campbell and Francis X. Diebold

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

Downloads 527 (74,673)

Citation 1

Abstract:

Weather Forecasting for Weather Derivatives

NBER Working Paper No. w10141

Number of pages: 30 Posted: 10 Dec 2003 Last Revised: 19 Mar 2022

Sean D. Campbell and Francis X. Diebold

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

Downloads 76 (433,285)

Citation 2

Abstract:

9.

Forecasting the Term Structure of Government Bond Yields

Downloads 1,594 ( 16,192)

Citation 350

2

Forecasting the Term Structure of Government Bond Yields

Number of pages: 48 Posted: 03 Sep 2002

Francis X. Diebold and Canlin Li

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

Downloads 1,430 (18,728)

Citation 49

Abstract:

Forecasting the Term Structure of Government Bond Yields

NBER Working Paper No. w10048

Number of pages: 43 Posted: 28 Oct 2003 Last Revised: 17 Jun 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 164 (251,823)

Citation 52

Abstract:

10.

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

Number of pages: 46 Posted: 02 May 2001

Anil Bangia, Francis X. Diebold and Til Schuermann

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

Downloads 1,529 (17,291)

Citation 36

Abstract:

11.

Financial Risk Measurement for Financial Risk Management

Downloads 1,352 ( 20,735)

Citation 32

2

Financial Risk Measurement for Financial Risk Management

PIER Working Paper No. 11-037

Number of pages: 130 Posted: 07 Nov 2011

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

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

Downloads 1,247 (23,045)

Citation 1

Abstract:

Financial Risk Measurement for Financial Risk Management

NBER Working Paper No. w18084

Number of pages: 130 Posted: 19 May 2012 Last Revised: 01 Jun 2022

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 105 (354,010)

Citation 5

Abstract:

12.

Realized Beta: Persistence and Predictability

Number of pages: 63 Posted: 07 May 2004

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

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

Downloads 1,309 (21,780)

Citation 45

Abstract:

13.

Horizon Problems and Extreme Events in Financial Risk Management

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

Number of pages: 10 Posted: 10 Feb 1999

Peter Christoffersen, Francis X. Diebold and Til Schuermann

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

Downloads 1,256 (23,183)

Citation 30

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 1,197 (24,884)

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 1,173 ( 25,631)

Citation 32

2

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

Number of pages: 41 Posted: 06 Nov 2003

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

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

Downloads 803 (43,111)

Citation 35

Abstract:

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

Number of pages: 42 Posted: 01 Dec 2003

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

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

Downloads 370 (113,181)

Citation 39

Abstract:

16.

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

Downloads 966 ( 33,820)

Citation 81

2

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

Number of pages: 51 Posted: 30 Jun 2004

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

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

Downloads 858 (39,427)

Citation 14

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: 30 May 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 108 (347,229)

Citation 8

Abstract:

17.

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

PIER Working Paper No. 06-016

Number of pages: 32 Posted: 12 Jun 2006

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

University of Toronto - Rotman School of Management, University of Pennsylvania - Department of Economics, Singapore Management University, Singapore Management University - School of Economics and Singapore Management University - School of Social Sciences

Downloads 862 (39,722)

Citation 4

Abstract:

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 832 (41,746)

Citation 98

Abstract:

19.

Parametric and Nonparametric Volatility Measurement

Downloads 822 ( 42,397)

Citation 138

2

Parametric and Nonparametric Volatility Measurement

Number of pages: 69 Posted: 31 Jul 2002

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

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

Downloads 747 (47,487)

Citation 2

Abstract:

Parametric and Nonparametric Volatility Measurement

NBER Working Paper No. t0279

Number of pages: 68 Posted: 18 Aug 2002 Last Revised: 08 Apr 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 75 (436,449)

Citation 33

Abstract:

20.

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

Downloads 730 ( 49,614)

Citation 41

3

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

Number of pages: 41 Posted: 19 Apr 2004

Peter Christoffersen and Francis X. Diebold

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

Downloads 421 (97,509)

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 203 (208,870)

Citation 18

Abstract:

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

NBER Working Paper No. w10009

Number of pages: 40 Posted: 05 Oct 2003 Last Revised: 09 May 2021

Peter Christoffersen and Francis X. Diebold

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

Downloads 106 (351,709)

Citation 3

Abstract:

21.

Financial Asset Returns, Market Timing, and Volatility Dynamics

Number of pages: 32 Posted: 19 Apr 2002

Peter Christoffersen and Francis X. Diebold

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

Downloads 727 (49,872)

Citation 7

Abstract:

22.

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 723 (50,246)

Citation 9

Abstract:

23.

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

Downloads 704 ( 52,080)

Citation 367

2

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

Number of pages: 38 Posted: 17 May 2002

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

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

Downloads 604 (62,652)

Citation 2

Abstract:

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

NBER Working Paper No. w8959

Number of pages: 38 Posted: 24 May 2002 Last Revised: 26 Jun 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 100 (365,817)

Citation 52

Abstract:

24.

The Macroeconomy and the Yield Curve: A Nonstructural Analysis

Downloads 701 ( 52,413)

Citation 3

2

The Macroeconomy and the Yield Curve: A Nonstructural Analysis

Number of pages: 39 Posted: 28 Oct 2003

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

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

Downloads 474 (84,816)

Citation 1

Abstract:

The Macroeconomy and the Yield Curve: A Nonstructural Analysis

Number of pages: 40 Posted: 14 Dec 2003

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

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

Downloads 227 (187,846)

Citation 2

Abstract:

25.

Range-Based Estimation of Stochastic Volatility Models

Downloads 689 ( 53,700)

2

Range-Based Estimation of Stochastic Volatility Models

Number of pages: 65 Posted: 02 May 2001

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

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

Downloads 689 (52,993)

Citation 4

Abstract:

Range-Based Estimation of Stochastic Volatility Models

Posted: 04 Sep 2001

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

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

Abstract:

26.

Cointegration and Long-Horizon Forecasting

Downloads 107 ( 58,315)

Citation 1

2

Cointegration and Long-Horizon Forecasting

NBER Working Paper No. t0217

Number of pages: 30 Posted: 25 Jul 2000 Last Revised: 07 Aug 2022

Peter Christoffersen and Francis X. Diebold

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

Downloads 55 (512,006)

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 52 (525,413)

Citation 1

Abstract:

27.

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

Downloads 640 ( 58,898)

Citation 37

2

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

Number of pages: 18 Posted: 08 Feb 2005

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

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

Downloads 577 (66,441)

Abstract:

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

NBER Working Paper No. w11134

Number of pages: 18 Posted: 15 Mar 2005 Last Revised: 05 Jun 2022

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 63 (479,247)

Citation 6

Abstract:

28.

Modeling Bond Yields in Finance and Macroeconomics

Downloads 521 ( 76,367)

Citation 76

2

Modeling Bond Yields in Finance and Macroeconomics

Number of pages: 20 Posted: 21 Jan 2005

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

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

Downloads 450 (90,252)

Abstract:

Modeling Bond Yields in Finance and Macroeconomics

NBER Working Paper No. w11089

Number of pages: 20 Posted: 23 Feb 2005 Last Revised: 21 Apr 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 71 (449,961)

Citation 11

Abstract:

29.

Commodity Connectedness

Downloads 489 ( 82,489)

Citation 3

3

Commodity Connectedness

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

Number of pages: 30 Posted: 13 Mar 2017

Francis X. Diebold, Laura Liu and Kamil Yilmaz

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

Downloads 386 (107,918)

Citation 1

Abstract:

Commodity Connectedness

CFS Working Paper, No. 575

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

Francis X. Diebold, Laura Liu and Kamil Yilmaz

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

Downloads 81 (417,283)

Citation 1

Abstract:

Commodity Connectedness

NBER Working Paper No. w23685

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

Francis X. Diebold, Laura Liu and Kamil Yilmaz

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

Downloads 22 (709,008)

Citation 2

Abstract:

30.

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

Downloads 464 ( 87,908)

Citation 114

3

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

PIER Working Paper No. 07-029

Number of pages: 38 Posted: 01 Oct 2007

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

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

Downloads 273 (156,587)

Abstract:

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

FRB of San Francisco Working Paper No. 2007-20

Number of pages: 38 Posted: 02 Nov 2007

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

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

Downloads 127 (308,931)

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: 12 Mar 2022

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 64 (475,395)

Citation 29

Abstract:

31.

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

Downloads 455 ( 89,894)

Citation 142

2

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

CREATES Research Paper No. 2007-18

Number of pages: 50 Posted: 23 Jun 2008

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

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

Downloads 308 (138,236)

Citation 99

Abstract:

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

NBER Working Paper No. w11775

Number of pages: 49 Posted: 16 Feb 2006 Last Revised: 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 147 (275,800)

Citation 36

Abstract:

32.

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 443 (92,722)

Citation 44

Abstract:

33.

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

Downloads 438 ( 93,930)

Citation 81

2

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

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

Number of pages: 21 Posted: 12 Jan 2007

Francis X. Diebold and Kamil Yilmaz

University of Pennsylvania - Department of Economics and Koc University

Downloads 387 (107,555)

Citation 83

Abstract:

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

NBER Working Paper No. w13811

Number of pages: 20 Posted: 15 Feb 2008 Last Revised: 28 Mar 2022

Francis X. Diebold and Kamil Yilmaz

University of Pennsylvania - Department of Economics and Koc University

Downloads 51 (530,100)

Abstract:

34.

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

Downloads 424 ( 97,591)

Citation 165

4

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 154 (265,489)

Citation 94

Abstract:

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 135 (294,936)

Citation 65

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 affiliation not provided to SSRN

Downloads 85 (405,464)

Abstract:

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

NBER Working Paper No. w17490

Number of pages: 38 Posted: 08 Oct 2011 Last Revised: 17 Apr 2022

Francis X. Diebold and Kamil Yilmaz

University of Pennsylvania - Department of Economics and Koc University

Downloads 50 (534,758)

Abstract:

35.

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

Downloads 424 ( 97,591)

Citation 77

3

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

FRB International Finance Discussion Paper No. 871

Number of pages: 40 Posted: 05 Dec 2006

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

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

Downloads 214 (198,792)

Citation 56

Abstract:

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

CREATES Research Paper No. 2007-20

Number of pages: 38 Posted: 23 Jun 2008

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

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

Downloads 210 (202,372)

Citation 15

Abstract:

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

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

Posted: 03 Jun 2008

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

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

Abstract:

36.

The Nobel Memorial Prize for Robert F. Engle

Downloads 411 (101,149)

Citation 7

4

The Nobel Memorial Prize for Robert F. Engle

Number of pages: 28 Posted: 05 Apr 2004

Francis X. Diebold

University of Pennsylvania - Department of Economics

Downloads 228 (187,063)

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 121 (320,313)

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 2022

Francis X. Diebold

University of Pennsylvania - Department of Economics

Downloads 35 (614,939)

Citation 1

Abstract:

The Nobel Memorial Prize for Robert F. Engle

Number of pages: 22 Posted: 26 Sep 2004

Francis X. Diebold

University of Pennsylvania - Department of Economics

Downloads 27 (669,040)

Abstract:

37.

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 400 (104,367)

Citation 9

Abstract:

38.

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

Downloads 399 (104,663)

Citation 60

2

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

PIER Working Paper No. 07-030

Number of pages: 39 Posted: 03 Oct 2007

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

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

Downloads 323 (131,447)

Citation 1

Abstract:

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

NBER Working Paper No. w13588

Number of pages: 44 Posted: 14 Nov 2007 Last Revised: 17 Feb 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 76 (433,285)

Citation 8

Abstract:

39.

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

Downloads 392 (106,773)

Citation 239

2

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

Rodney L. White Center for Financial Research Working Paper No. 16-04

Number of pages: 41 Posted: 08 Jul 2004

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

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

Downloads 304 (140,163)

Citation 3

Abstract:

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

NBER Working Paper No. w10616

Number of pages: 40 Posted: 28 Jul 2004 Last Revised: 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 88 (396,903)

Citation 25

Abstract:

40.

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

Downloads 382 (110,024)

Citation 35

2

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

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

Number of pages: 29 Posted: 26 Sep 2005

Sean D. Campbell and Francis X. Diebold

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

Downloads 336 (126,082)

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 2022

Sean D. Campbell and Francis X. Diebold

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

Downloads 46 (554,127)

Citation 1

Abstract:

41.

Estimating Global Bank Network Connectedness

Downloads 357 (119,022)

Citation 47

2

Estimating Global Bank Network Connectedness

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

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

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

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

Downloads 331 (128,128)

Citation 4

Abstract:

Estimating Global Bank Network Connectedness

NBER Working Paper No. w23140

Number of pages: 35 Posted: 13 Feb 2017 Last Revised: 25 Mar 2022

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 26 (684,435)

Citation 33

Abstract:

42.

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 353 (120,163)

Citation 3

Abstract:

43.

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

International Journal of Forecasting, Forthcoming

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

Francis X. Diebold and Kamil Yilmaz

University of Pennsylvania - Department of Economics and Koc University

Downloads 327 (130,550)

Citation 82

Abstract:

44.

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 298 (143,797)

Citation 3

Abstract:

45.

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 291 (147,420)

Citation 71

Abstract:

46.

The Distribution of Exchange Rate Volatility

Downloads 287 (149,603)

Citation 129

2

The Distribution of Exchange Rate Volatility

NYU Working Paper No. FIN-99-059

Number of pages: 30 Posted: 11 Nov 2008

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

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

Downloads 170 (244,236)

Citation 10

Abstract:

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 117 (328,065)

Abstract:

47.

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 282 (152,225)

Citation 22

Abstract:

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 278 (154,948)

Citation 2

Abstract:

49.

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

Number of pages: 21 Posted: 04 Jun 2003

Francis X. Diebold and Michael W. Brandt

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

Downloads 252 (170,383)

Citation 17

Abstract:

50.

On the Correlation Structure of Microstructure Noise in Theory and Practice

PIER Working Paper No. 08-038

Number of pages: 68 Posted: 20 Oct 2008

Francis X. Diebold and Georg Strasser

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

Downloads 239 (179,299)

Citation 14

Abstract:

51.

The Distribution of Stock Return Volatility

NBER Working Paper No. w7933

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

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

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

Downloads 236 (181,463)

Citation 67

Abstract:

52.

Comparing Predictive Accuracy

NBER Working Paper No. t0169

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

Francis X. Diebold and Roberto S. Mariano

University of Pennsylvania - Department of Economics and Singapore Management University

Downloads 210 (202,587)

Citation 1

Abstract:

53.

Real-Time Measurement of Business Conditions

Downloads 204 (208,101)

Citation 112

3

Real-Time Measurement of Business Conditions

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

Number of pages: 36 Posted: 22 Sep 2007

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

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

Downloads 117 (328,065)

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 57 (503,508)

Citation 102

Abstract:

Real-Time Measurement of Business Conditions

NBER Working Paper No. w14349

Number of pages: 30 Posted: 23 Sep 2008 Last Revised: 18 Mar 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 30 (647,471)

Citation 6

Abstract:

54.

Dynamic Equilibrium Economies: A Framework for Comparing Models and Data

Downloads 204 (208,101)

Citation 5

2

Dynamic Equilibrium Economies: A Framework for Comparing Models and Data

Number of pages: 32 Posted: 28 Jul 1997

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

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

Downloads 172 (241,824)

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 2022

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 32 (633,944)

Citation 1

Abstract:

55.

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

Downloads 196 (215,776)

Citation 14

2

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

Number of pages: 37 Posted: 26 Jan 2005

Francis X. Diebold and Michael W. Brandt

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

Downloads 149 (272,756)

Citation 1

Abstract:

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

NBER Working Paper No. w9664

Number of pages: 16 Posted: 04 May 2003 Last Revised: 30 May 2021

Francis X. Diebold and Michael W. Brandt

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

Downloads 47 (549,105)

Citation 4

Abstract:

56.

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

Downloads 180 (232,361)

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 161 (255,880)

Abstract:

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

NBER Working Paper No. w18078

Number of pages: 62 Posted: 12 May 2012 Last Revised: 26 May 2022

Fei Chen, Francis X. Diebold and Frank Schorfheide

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

Downloads 19 (734,635)

Abstract:

57.

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

Downloads 163 (252,705)

Citation 40

2

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

NBER Working Paper No. w7488

Number of pages: 23 Posted: 10 Mar 2000 Last Revised: 19 Jun 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 136 (293,264)

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 27 (669,040)

Citation 2

Abstract:

58.

Globalization, the Business Cycle, and Macroeconomic Monitoring

Downloads 151 (269,002)

Citation 3

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 121 (320,313)

Citation 3

Abstract:

Globalization, the Business Cycle, and Macroeconomic Monitoring

NBER Working Paper No. w16264

Number of pages: 52 Posted: 16 Aug 2010 Last Revised: 11 Jun 2022

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 30 (647,471)

Abstract:

59.

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 148 (273,450)

Citation 1

Abstract:

60.

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

Downloads 148 (273,450)

Citation 1,409

3

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

PIER Working Paper No. 12-035

Number of pages: 18 Posted: 11 Sep 2012

Francis X. Diebold

University of Pennsylvania - Department of Economics

Downloads 89 (394,066)

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 46 (554,127)

Citation 203

Abstract:

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

NBER Working Paper No. w18391

Number of pages: 18 Posted: 15 Sep 2012 Last Revised: 03 Apr 2022

Francis X. Diebold

University of Pennsylvania - Department of Economics

Downloads 13 (790,739)

Citation 168

Abstract:

61.

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 145 (277,949)

Abstract:

62.

Improving GDP Measurement: A Forecast Combination Perspective

Downloads 139 (287,271)

Citation 3

3

Improving GDP Measurement: A Forecast Combination Perspective

PIER Working Paper No. 11-028

Number of pages: 30 Posted: 09 Sep 2011

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

University of Maryland - Department of Economics, University of Pennsylvania - Department of Economics, Board of Governors of the Federal Reserve System, University of Pennsylvania - Department of Economics and Johns Hopkins University - Carey Business School

Downloads 67 (464,231)

Abstract:

Improving GDP Measurement: a Forecast Combination Perspective

NBER Working Paper No. w17421

Number of pages: 30 Posted: 21 Sep 2011 Last Revised: 08 Aug 2022

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

University of Maryland - Department of Economics, University of Pennsylvania - Department of Economics, Board of Governors of the Federal Reserve System, University of Pennsylvania - Department of Economics and Johns Hopkins University - Carey Business School

Downloads 37 (602,861)

Citation 1

Abstract:

Improving GDP Measurement: A Forecast Combination Perspective

FRB of Philadelphia Working Paper No. 11-41

Number of pages: 30 Posted: 21 Sep 2011

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

University of Maryland - Department of Economics, University of Pennsylvania - Department of Economics, Board of Governors of the Federal Reserve System, University of Pennsylvania - Department of Economics and Johns Hopkins University - Carey Business School

Downloads 35 (614,939)

Citation 1

Abstract:

63.

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

Downloads 125 (311,307)

Citation 7

2

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

CAFE Research Paper No. 13.07

Number of pages: 73 Posted: 27 Aug 2013

Francis X. Diebold and Georg Strasser

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

Downloads 93 (383,285)

Citation 6

Abstract:

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

NBER Working Paper No. w16469

Number of pages: 65 Posted: 18 Oct 2010 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 32 (633,944)

Abstract:

64.

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

Downloads 122 (316,850)

Citation 7

2

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

PIER Working Paper No. 10-002

Number of pages: 17 Posted: 12 Jan 2010 Last Revised: 17 Jan 2010

S. Borağan Aruoba and Francis X. Diebold

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

Downloads 83 (411,273)

Citation 14

Abstract:

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

NBER Working Paper No. w15657

Number of pages: 17 Posted: 18 Jan 2010 Last Revised: 14 Apr 2022

S. Borağan Aruoba and Francis X. Diebold

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

Downloads 39 (591,410)

Abstract:

65.

Forecast Evaluation and Combination

NBER Working Paper No. t0192

Number of pages: 48 Posted: 22 Jul 2000 Last Revised: 13 Jul 2022

Francis X. Diebold and Jose A. Lopez

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

Downloads 122 (316,850)

Citation 2

Abstract:

66.

Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility

Downloads 121 (318,788)

Citation 13

3

Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility

PIER Working Paper No. 15-018

Number of pages: 25 Posted: 22 May 2015

Francis X. Diebold, Frank Schorfheide and Minchul Shin

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

Downloads 78 (426,777)

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 34 (621,107)

Citation 1

Abstract:

Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility

NBER Working Paper No. w22615

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

Francis X. Diebold, Frank Schorfheide and Minchul Shin

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

Downloads 9 (831,895)

Citation 9

Abstract:

67.

Real-Time Measurement of Business Conditions, Second Version

PIER Working Paper No. 08-011

Number of pages: 28 Posted: 04 Apr 2008

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

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

Downloads 116 (328,358)

Citation 3

Abstract:

68.

Macroeconomic Volatility and Stock Market Volatility, Worldwide

NBER Working Paper No. w14269

Number of pages: 35 Posted: 27 Aug 2008 Last Revised: 29 Jun 2022

Francis X. Diebold and Kamil Yilmaz

University of Pennsylvania - Department of Economics and Koc University

Downloads 108 (344,992)

Citation 1

Abstract:

69.

Improving GDP Measurement: A Measurement-Error Perspective

Downloads 101 (360,701)

Citation 23

3

Improving GDP Measurement: A Measurement-Error Perspective

PIER Working Paper No. 13-016

Number of pages: 36 Posted: 04 Apr 2013

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

University of Maryland - Department of Economics, University of Pennsylvania - Department of Economics, Board of Governors of the Federal Reserve System, University of Pennsylvania - Department of Economics and Johns Hopkins University - Carey Business School

Downloads 66 (467,849)

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 22 (709,008)

Citation 1

Abstract:

Improving GDP Measurement: A Measurement-Error Perspective

NBER Working Paper No. w18954

Number of pages: 36 Posted: 13 Apr 2013 Last Revised: 17 Apr 2022

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 (790,739)

Citation 20

Abstract:

70.

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

Downloads 98 (367,850)

Citation 16

2

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

PIER Working Paper No. 18-014

Number of pages: 33 Posted: 22 Aug 2018

Francis X. Diebold and Minchul Shin

University of Pennsylvania - Department of Economics and University of Illinois

Downloads 85 (405,464)

Abstract:

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

NBER Working Paper No. w24967

Number of pages: 33 Posted: 17 Sep 2018 Last Revised: 21 Mar 2022

Francis X. Diebold and Minchul Shin

University of Pennsylvania - Department of Economics and University of Illinois

Downloads 13 (790,739)

Citation 15

Abstract:

71.

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

Downloads 97 (370,206)

Citation 1

2

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

PIER Working Paper No. 20-001

Number of pages: 29 Posted: 03 Jan 2020

Francis X. Diebold and Glenn D. Rudebusch

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

Downloads 95 (378,038)

Citation 1

Abstract:

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

NBER Working Paper No. w28228

Number of pages: 31 Posted: 21 Dec 2020 Last Revised: 17 Feb 2022

Francis X. Diebold and Glenn D. Rudebusch

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

Downloads 2 (916,852)

Citation 1

Add to Cart

Abstract:

72.

Unit Root Tests are Useful for Selecting Forecasting Models

Downloads 96 (372,592)

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 49 (539,416)

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: 08 Jun 2022

Francis X. Diebold and Lutz Kilian

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

Downloads 47 (549,105)

Abstract:

73.

Measuring Volatility Dynamics

NBER Working Paper No. t0173

Number of pages: 50 Posted: 24 Jul 2000 Last Revised: 24 Jun 2022

Francis X. Diebold and Jose Lopez

University of Pennsylvania - Department of Economics and University of Pennsylvania

Downloads 88 (393,282)

Abstract:

74.

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 79 (419,019)

Abstract:

75.

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

Downloads 78 (422,170)

Citation 4

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 39 (591,410)

Citation 4

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: 04 Aug 2020 Last Revised: 05 Aug 2022

Francis X. Diebold

University of Pennsylvania - Department of Economics

Downloads 39 (591,410)

Abstract:

76.

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

Downloads 77 (425,317)

2

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: 17 Mar 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 42 (574,950)

Abstract:

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 35 (614,939)

Abstract:

77.

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

NBER Working Paper No. w8162

Number of pages: 65 Posted: 09 Mar 2001 Last Revised: 22 Apr 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 64 (468,920)

Abstract:

78.

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 62 (476,389)

Abstract:

79.

Optimal Prediction Under Asymmetric Loss

NBER Working Paper No. t0167

Number of pages: 38 Posted: 19 Jul 2000 Last Revised: 18 Jun 2022

Peter Christoffersen and Francis X. Diebold

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

Downloads 56 (499,752)

Citation 2

Abstract:

80.

Bootstrapping Multivariate Spectra

NYU Working Paper No. SOR-98-9

Number of pages: 11 Posted: 31 Oct 2008

Jeremy Berkowitz and Francis X. Diebold

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

Downloads 53 (512,172)

Citation 2

Abstract:

81.

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 53 (512,172)

Citation 19

Abstract:

82.

Assessing Point Forecast Accuracy by Stochastic Error Distance

Downloads 52 (516,488)

Citation 8

2

Assessing Point Forecast Accuracy by Stochastic Error Distance

PIER Working Paper No. 14-038

Number of pages: 18 Posted: 11 Nov 2014

Francis X. Diebold and Minchul Shin

University of Pennsylvania - Department of Economics and University of Illinois

Downloads 41 (580,375)

Citation 1

Abstract:

Assessing Point Forecast Accuracy by Stochastic Error Distance

NBER Working Paper No. w22516

Number of pages: 20 Posted: 22 Aug 2016 Last Revised: 09 Jan 2022

Francis X. Diebold and Minchul Shin

University of Pennsylvania - Department of Economics and University of Illinois

Downloads 11 (811,010)

Citation 2

Abstract:

83.

Evaluating Density Forecasts

NBER Working Paper No. t0215

Number of pages: 38 Posted: 26 Aug 2000 Last Revised: 05 Aug 2022

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 52 (516,488)

Abstract:

84.

Long Memory and Regime Switching

NBER Working Paper No. t0264

Number of pages: 46 Posted: 18 Nov 2000 Last Revised: 24 Mar 2022

Francis X. Diebold and Atsushi Inoue

University of Pennsylvania - Department of Economics and Southern Methodist University

Downloads 51 (520,961)

Citation 9

Abstract:

85.

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 49 (529,804)

Abstract:

86.

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 48 (534,401)

Abstract:

87.

An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model

NBER Working Paper No. w14463

Number of pages: 34 Posted: 10 Nov 2008 Last Revised: 10 Jul 2022

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 48 (534,401)

Abstract:

88.

Job Stability in the United States

NBER Working Paper No. w4859

Number of pages: 33 Posted: 14 Jul 2000 Last Revised: 13 Apr 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 45 (548,463)

Citation 4

Abstract:

89.

Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters

NBER Working Paper No. w6228

Number of pages: 26 Posted: 26 Aug 2000 Last Revised: 10 Jul 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 43 (558,258)

Citation 1

Abstract:

90.

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 41 (568,385)

Abstract:

91.

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 40 (573,544)

Citation 8

Abstract:

92.

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 Jun 2022

Francis X. Diebold and Abdelhak S. Senhadji

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

Downloads 40 (573,544)

Abstract:

93.

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 38 (583,934)

Citation 7

Abstract:

94.

Measuring Predictability: Theory and Macroeconomic Applications

NBER Working Paper No. t0213

Number of pages: 51 Posted: 24 Jul 2000 Last Revised: 03 Aug 2022

Francis X. Diebold and Lutz Kilian

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

Downloads 36 (595,016)

Abstract:

95.

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 2022

Francis X. Diebold and Til Schuermann

University of Pennsylvania - Department of Economics and Oliver Wyman

Downloads 32 (618,371)

Abstract:

96.

On the Comparison of Interval Forecasts

Downloads 29 (637,273)

Citation 4

2

On the Comparison of Interval Forecasts

PIER Working Paper No. 18-013

Number of pages: 23 Posted: 03 Aug 2018

Ross Askanazi, Francis X. Diebold, Frank Schorfheide and Minchul Shin

University of Pennsylvania, School of Arts & Sciences, Department of Economics, University of Pennsylvania - Department of Economics, University of Pennsylvania - Department of Economics and University of Illinois

Downloads 28 (661,680)

Citation 2

Abstract:

On the Comparison of Interval Forecasts

Journal of Time Series Analysis, Vol. 39, Issue 6, pp. 953-965, 2018

Number of pages: 13 Posted: 07 Oct 2018

Ross Askanazi, Francis X. Diebold, Frank Schorfheide and Minchul Shin

University of Pennsylvania, School of Arts & Sciences, Department of Economics, University of Pennsylvania - Department of Economics, University of Pennsylvania - Department of Economics and University of Illinois

Downloads 1 (933,540)

Citation 3

Abstract:

97.

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

PIER Working Paper No. 20-012

Number of pages: 22 Posted: 02 Apr 2020

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

University of Pennsylvania - Department of Economics, affiliation not provided to SSRN, Université du Québec à Montréal - Département des Sciences Économiques, Federal Reserve Bank of San Francisco and University of Pennsylvania - Department of Economics

Downloads 27 (650,727)

Citation 1

Abstract:

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 27 (650,727)

Abstract:

99.

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

Downloads 4 (853,945)

2

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

Abstract:

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: 23 Jun 2022

Francis X. Diebold, Minchul Shin and Boyuan Zhang

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

Downloads 4 (888,754)

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Abstract:

100.

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 3 (865,816)

Abstract:

101.

Dynamic Equilibrium Economies: A Framework for Comparing Models and Data

Downloads 0 (910,098)

2

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 0

Abstract:

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 0

Francis X. Diebold

University of Pennsylvania - Department of Economics

Paul F. and Warren S. Miller Professor of Economics

National Bureau of Economic Research (NBER)

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