Access Statistics for Francis Diebold

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"Big Data" and its Origins 0 1 4 163 0 8 15 131
(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation 0 0 0 973 1 8 13 1,829
A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting 0 0 0 11 0 6 8 36
A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting 0 0 0 22 0 1 6 40
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 207 3 5 12 587
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 187 1 7 17 499
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 1 0 4 4 28
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 65 0 8 12 211
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 32 0 7 9 149
A New Test for Market Efficiency and Uncovered Interest Parity 0 0 0 10 0 6 7 26
A New Test for Market Efficiency and Uncovered Interest Parity 0 0 0 24 0 4 10 60
A New Test forMarket Efficiency and Uncovered Interest Parity 0 0 1 9 0 6 14 41
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 155 1 5 10 371
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 26 0 7 8 178
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 136 0 2 6 376
A Personal Perspective on the Origin(s) and Development of “Big Data": The Phenomenon, the Term, and the Discipline, Second Version 0 1 2 169 0 7 21 509
A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration 0 0 1 621 2 6 17 1,892
A framework for exploring the macroeconomic determinants of systematic risk 0 0 1 184 0 5 10 539
A no-arbitrage approach to range-based estimation of return covariances and correlations 0 0 1 139 0 3 9 355
A nonparametric investigation of duration dependence in the American business cycle 0 0 0 1 1 4 8 370
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 0 0 0 188 0 7 10 539
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 0 0 0 104 3 17 22 353
An application of operational-subjective statistical methods to rational expectations: comment 0 0 0 0 1 4 4 420
An arbitrage-free generalized Nelson-Siegel term structure model 0 0 0 337 4 14 19 822
Assessing Point Forecast Accuracy by Stochastic Error Distance 0 0 0 77 0 15 16 62
Assessing Point Forecast Accuracy by Stochastic Error Distance 0 0 0 53 2 9 12 55
Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice: Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models 0 0 0 3 0 4 5 13
Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice: Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models 0 0 0 42 0 8 11 25
Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice:Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models 0 0 0 46 0 2 3 11
Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics 0 0 0 7 1 1 7 507
Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts 0 0 1 72 0 7 12 76
Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers 7 20 72 1,813 48 120 272 4,388
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 273 0 2 5 1,514
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 211 0 5 8 821
Bounded rationality and strategic complementarity in a macroeconomic model: policy effects, persistence, and multipliers 0 0 0 2 0 2 4 465
Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions 0 0 0 4 0 3 7 13
Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions 0 0 0 4 1 4 4 10
Clustered Network Connectedness: A New Measurement Framework with Application to Global Equity Markets 1 1 20 20 9 14 37 37
Clustered Network Connectedness: A New Measurement Framework, with Application to Global Equity Markets 7 7 7 7 6 6 6 6
Clustered Network Connectedness:A New Measurement Frameworkwith Application to Global Equity Markets 1 3 28 28 5 14 81 81
Cointegration and Long-Horizon Forecasting 0 0 0 549 0 4 8 1,755
Cointegration and Long-Horizon Forecasting 0 0 0 196 1 24 32 516
Cointegration and long-horizon forecasting 0 0 1 618 1 2 5 1,580
Commodity Connectedness 0 0 0 15 2 7 11 55
Commodity Connectedness 0 0 6 130 4 16 32 388
Commodity connectedness 0 0 1 24 1 5 9 99
Comparing Predictive Accuracy 1 5 19 1,923 4 33 90 4,653
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 0 2 2 53 1 11 18 206
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 0 1 1 357 1 14 18 392
Comparing predictive accuracy I: an asymptotic test 0 3 7 221 3 21 55 1,291
Conditional heteroskedasticity in the market 0 0 0 0 1 6 6 401
Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think 0 0 3 427 1 8 23 1,527
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again 0 0 0 304 2 8 15 1,697
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again 0 0 1 474 2 7 10 3,481
Deviations from random-walk behavior: tests based on the variance-time function 0 0 0 0 2 4 10 474
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 1 1 423 1 8 10 979
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 11 0 8 11 96
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 11 0 7 9 103
Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore 0 0 2 103 1 6 10 304
Does the business cycle have duration memory? 0 0 0 1 0 4 5 286
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data 0 0 0 211 0 8 12 1,602
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 154 0 4 5 1,156
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 92 1 16 21 651
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 140 0 2 6 620
Estimating Global Bank Network Connectedness 0 0 0 9 0 3 14 105
Estimating Global Bank Network Connectedness 0 0 1 63 4 16 26 221
Estimating Global Bank Network Connectedness 0 0 0 553 3 17 28 1,260
Evaluating Density Forecasts 0 0 0 189 0 6 10 552
Evaluating Density Forecasts 0 0 0 69 3 10 13 380
Evaluating Density Forecasts 0 0 0 383 2 27 32 1,320
Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters 0 1 1 272 0 7 16 1,272
Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters 0 0 0 0 1 5 8 659
Evaluating density forecasts 0 1 1 258 0 25 31 886
Ex ante turning point forecasting with the composite leading index 0 0 0 0 1 4 4 575
Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models 0 0 0 292 0 10 12 1,733
Exact maximum likelihood estimation of ARCH models 0 0 0 0 2 4 6 779
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 0 0 0 303 0 4 7 1,120
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 304 1 10 11 851
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 495 1 7 17 1,621
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 230 1 5 12 685
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 2 213 0 9 15 605
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 0 576 3 5 6 1,948
Financial Risk Management in a Volatile Global Environment 0 0 0 715 2 5 19 2,193
Financial Risk Measurement for Financial Risk Management 0 0 0 247 0 8 17 569
Financial Risk Measurement for Financial Risk Management 0 0 3 182 3 16 33 571
Financial Risk Measurement for Financial Risk Management 0 0 0 207 1 23 32 615
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 0 1 215 2 5 11 427
Forecast Evaluation and Combination 0 0 0 1,081 0 11 18 3,187
Forecast combination and encompassing: reconciling two divergent literatures 0 0 0 0 0 3 4 514
Forecast evaluation and combination 0 0 1 521 0 19 21 1,562
Forecasting output with the composite leading index: an ex ante analysis 0 0 0 0 2 5 10 1,045
Forecasting the Term Structure of Government Bond Yields 2 2 4 843 6 15 29 2,305
Forecasting the Term Structure of Government Bond Yields 0 0 0 898 0 6 20 2,157
Forecasting the term structure of government bond yields 0 1 5 833 0 10 27 2,019
Further Results on Forecasting and Model Selection Under Asymmetric Loss 0 0 0 184 1 8 10 495
Further evidence on business cycle duration dependence 0 0 0 0 2 5 10 420
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach 0 1 2 363 7 16 31 922
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach 0 0 0 178 0 10 11 668
Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach 0 0 1 13 2 8 13 81
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 196 1 5 8 528
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 114 1 5 8 291
Have postwar economic fluctuations been stabilized? 0 0 1 63 3 7 10 491
Have postwar economic fluctuations been stabilized? 0 0 0 0 2 9 15 382
High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models 0 0 0 221 2 6 13 896
Horizon Problems and Extreme Events in Financial Risk Management 0 0 1 514 4 9 15 1,756
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 1 333 1 4 5 918
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 790 0 6 10 2,805
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 3 7 11 1,592
Improving GDP Measurement: A Forecast Combination Perspective 0 0 0 57 2 8 9 198
Improving GDP Measurement: A Forecast Combination Perspective 0 0 0 80 1 4 9 286
Improving GDP Measurement: A Measurement-Error Perspective 0 0 0 70 2 8 11 168
Improving GDP Measurement: A Measurement-Error Perspective 0 0 0 53 0 7 9 177
Improving GDP measurement: a forecast combination perspective 0 0 0 71 1 11 16 146
Improving GDP measurement: a measurement-error perspective 0 0 0 45 3 8 9 216
International evidence on business cycle duration dependence 0 0 0 56 0 7 10 385
Is consumption too smooth? Long memory and the Deaton paradox 0 0 0 0 1 6 8 1,020
Job Stability in the United States 0 0 0 158 3 12 14 1,316
Long Memory and Regime Switching 0 0 1 588 7 13 16 1,482
Long memory and persistence in aggregate output 0 0 0 1 0 2 3 867
Machine Learning and the Yield Curve: Tree-Based Macroeconomic Regime Switching 0 0 5 31 1 3 12 61
Machine Learning and the Yield Curve:Tree-Based Macroeconomic Regime Switching 1 1 3 16 6 14 38 65
Machine Learning for Regularized Survey Forecast Combination: Partially Egalitarian Lasso and its Derivatives 0 0 0 39 3 14 17 148
Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives 0 0 0 72 0 6 11 123
Macroeconomic Volatility and Stock Market Volatility, World-Wide 0 0 1 159 0 5 9 389
Macroeconomic Volatility and Stock Market Volatility, Worldwide 0 0 1 215 1 9 15 686
Macroeconomic Volatility and Stock Market Volatility,World-Wide 0 0 4 964 2 14 40 2,512
Measuring Business Cycle: A Modern Perspective 0 1 1 461 0 10 12 1,043
Measuring Business Cycles: A Modern Perspective 0 1 1 538 4 13 24 1,505
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 1 6 14 238 6 35 65 712
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 0 3 156 2 8 16 557
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 1 2 175 6 18 38 630
Measuring Predictability: Theory And Macroeconomic Applications 0 0 1 127 2 12 16 583
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 51 0 5 9 386
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 197 0 5 11 1,185
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 1 2 8 12 644
Measuring Volatility Dynamics 0 0 0 504 2 5 7 1,965
Measuring financial asset return and volatility spillovers, with application to global equity markets 0 0 1 114 5 29 50 521
Measuring financial asset return and volatility spillovers, with application to global equity markets 0 0 1 25 5 16 20 241
Measuring financial asset return and volatilty spillovers, with application to global equity markets 0 0 2 39 39 96 115 341
Measuring predictability: theory and macroeconomic applications 0 0 0 166 4 9 19 756
Measuring the Dynamics of Global Business Cycle Connectedness 0 0 1 148 0 4 8 461
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 0 52 1 13 16 525
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 1 479 1 13 23 2,282
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 3 291 2 5 12 1,046
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 0 2 356 2 10 15 1,277
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 371 5 8 14 970
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 206 2 13 17 509
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 258 2 14 18 646
Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management 0 0 1 529 4 14 21 1,356
Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management 1 1 4 1,413 10 22 44 3,651
Modeling Volatility Dynamics 0 0 0 372 1 6 8 719
Modeling and Forecasting Realized Volatility 0 0 1 1,262 10 35 59 3,047
Modeling and Forecasting Realized Volatility 2 2 7 999 6 16 35 2,205
Modeling and Forecasting Realized Volatility 0 0 5 796 3 11 27 1,920
Modeling bond yields in finance and macroeconomics 0 0 1 271 3 11 14 729
Modeling volatility dynamics 1 1 3 412 10 20 25 1,024
Near-rationality and strategic complementarity in a macroeconomic model: policy effects, persistence and multipliers 0 0 0 0 1 1 3 159
Nonparametric exchange rate prediction? 0 0 0 3 2 7 14 1,480
On Robust Inference in Time Series Regression 0 0 0 20 5 7 12 56
On Robust Inference in Time Series Regression 0 1 1 125 0 14 16 58
On Robust Inference in Time Series Regression 0 0 0 4 2 3 10 47
On cointegration and exchange rate dynamics 0 0 0 3 3 13 16 548
On comparing information in forecasts from econometric models: a comment on Fair and Shiller 0 0 0 0 0 2 2 156
On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean 0 0 0 1 0 5 6 266
On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean 0 0 0 85 1 8 17 697
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone In?ation and Real Interest Rates 0 0 0 7 0 4 7 29
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 0 11 0 0 1 16
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 0 0 0 4 4 40
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 0 12 0 5 5 32
On the Comparison of Interval Forecasts 0 0 1 46 1 11 20 106
On the Correlation Structure of Microstructure Noise in Theory and Practice 0 0 0 90 3 6 7 287
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 37 0 6 8 158
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 163 3 7 14 462
On the Evolution of U.S. Temperature Dynamics 0 0 0 69 0 8 9 89
On the Evolution of U.S. Temperature Dynamics 0 0 0 12 1 3 7 35
On the Financing of Climate Change Adaptation in Developing Countries 0 0 1 43 1 2 10 25
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 1 2 5 115 4 12 30 377
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 1 3 263 4 7 27 556
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 1 5 178 2 12 30 790
On the Origin(s) and Development of the Term “Big Data" 0 0 2 275 4 9 19 454
On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness 0 0 2 10 1 1 8 38
On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness 1 2 2 44 3 27 45 160
On the Wisdom of Crowds (of Economists) 1 1 37 37 1 7 19 19
On the Wisdom of Crowds (of Economists) 0 0 2 2 2 11 14 14
On the correlation structure of microstructure noise in theory and practice 0 0 1 11 2 4 9 76
On the network topology of variance decompositions: Measuring the connectedness of financial firms 0 1 4 125 3 25 40 441
On the power of Dickey-Fuller tests against fractional alternatives 0 0 0 2 2 8 12 693
On the solution of dynamic linear rational expectations models 0 0 0 0 0 4 5 539
Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach 0 0 0 18 1 6 20 53
Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach 0 0 0 5 0 2 5 30
Optimal Prediction Under Asymmetric Loss 0 0 0 77 0 10 18 375
Optimal Prediction Under Asymmetric Loss 0 0 0 127 1 6 11 450
Optimal Prediction Under Asymmetric Loss 0 0 0 259 1 8 9 1,091
Optimal prediction under asymmetric loss 2 3 4 297 3 11 22 1,042
Parametric and Nonparametric Volatility Measurement 0 0 0 830 3 11 13 2,123
Parametric and Nonparametric Volatility Measurement 0 0 0 692 1 5 10 1,615
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 0 0 1 0 2 7 864
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 1 2 638 3 10 13 1,248
Post-deregulation deposit rate pricing: the multivariate dynamics 0 0 0 1 2 6 7 513
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 421 1 8 14 911
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 6 11 17 1,207
Practical volatility and correlation modeling for financial market risk management 0 0 2 397 0 6 18 869
Priors from Frequency-Domain Dummy Observations 0 1 2 38 1 10 12 107
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 15 2 3 5 29
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 11 1 4 8 32
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 2 9 15 16 42
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 8 1 8 11 45
Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function 0 0 0 0 1 5 5 441
Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think 0 0 1 815 3 8 16 2,209
Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing 0 0 3 1,608 4 35 41 3,644
Real exchange rates under the gold standard 0 0 0 252 0 5 16 1,614
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility 0 0 0 105 7 17 23 168
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility 0 0 0 2 0 2 7 38
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 0 102 1 6 12 362
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 1 1 124 0 10 15 339
Real-Time Measurement of Business Conditions 1 2 3 111 3 14 27 325
Real-Time Measurement of Business Conditions 0 0 0 0 1 3 8 637
Real-Time Measurement of Business Conditions 0 0 0 91 0 7 13 296
Real-Time Measurement of Business Conditions, Second Version 0 0 0 120 1 7 11 266
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 236 0 4 6 748
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 122 0 5 7 386
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 198 1 6 6 1,126
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 0 0 149 2 6 12 519
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 181 2 11 14 815
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 218 0 6 13 686
Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 0 0 0 7 0 2 5 45
Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession 0 0 0 21 4 8 14 87
Real-Time Real Economic Activity:Entering and Exiting the Pandemic Recession of 2020 0 2 2 13 0 5 10 41
Real-Time Real Economic Activity:Exiting the Great Recession and Entering the Pandemic Recession 0 0 0 40 1 3 10 69
Real-time forecast evaluation of DSGE models with stochastic volatility 0 0 1 74 3 8 15 99
Real-time macroeconomic monitoring: real activity, inflation, and interactions 0 0 0 40 0 4 18 228
Real-time measurement of business conditions 0 0 0 174 2 8 12 645
Real-time measurement of business conditions 0 0 1 148 0 5 16 358
Real-time price discovery in global stock, bond and foreign exchange markets 0 0 1 279 2 7 12 1,013
Real-time price discovery in stock, bond and foreign exchange markets 0 0 1 144 2 8 12 568
Realized Beta: Persistence and Predictability 0 0 0 516 4 9 17 932
Realized beta: Persistence and predictability 0 0 2 221 4 11 19 655
Regime switching with time-varying transition probabilities 0 0 0 10 4 13 24 2,426
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 4 171 2 8 19 577
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 2 356 2 9 17 1,002
Scoring the leading indicators 0 0 0 1 1 8 12 1,053
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 0 0 0 354 0 5 12 1,034
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 0 0 0 163 2 11 20 549
Stamp 5.0: A Review 0 0 0 143 0 3 3 587
State space modeling of time series: a review essay 0 0 0 0 1 4 9 1,184
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 1 182 2 14 25 432
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 0 106 0 3 5 358
Stock returns and expected business conditions: Half a century of direct evidence 0 0 1 113 0 7 8 385
Structural change and the combination of forecasts 0 0 0 2 3 10 11 602
Temporal aggregation of ARCH processes and the distribution of asset returns 0 0 0 0 0 4 9 327
Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures 0 0 0 1 0 5 13 593
The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models 0 1 1 230 2 11 24 667
The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models 0 0 0 152 0 5 8 431
The Distribution of Exchange Rate Volatility 0 0 1 552 1 8 14 1,457
The Distribution of Exchange Rate Volatility 0 0 0 323 1 6 16 876
The Distribution of Exchange Rate Volatility 0 0 1 531 0 6 11 1,324
The Distribution of Stock Return Volatility 0 0 0 906 1 6 11 2,411
The Distribution of Stock Return Volatility 0 0 0 839 0 5 12 2,248
The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach 0 0 2 496 6 15 33 1,370
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 332 3 19 20 954
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 151 1 4 7 492
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 26 1 8 11 80
The Nobel Memorial Prize for Robert F. Engle 0 0 0 61 2 5 11 307
The Nobel Memorial Prize for Robert F. Engle 0 0 0 145 0 3 6 541
The Nobel Memorial Prize for Robert F. Engle 0 0 0 148 0 7 9 615
The Past, Present, and Future of Macroeconomic Forecasting 0 0 0 288 2 12 15 956
The affine arbitrage-free class of Nelson-Siegel term structure models 0 0 2 200 4 12 19 597
The dynamics of exchange rate volatility: a multivariate latent factor ARCH model 0 0 0 1 3 12 19 843
The past, present, and future of macroeconomic forecasting 0 0 0 379 0 3 9 1,156
The use of prior information in forecast combination 0 0 0 1 2 5 6 505
Time Series Analysis 0 1 3 145 2 6 13 397
Time Series Analysis 0 0 4 1,108 0 4 13 1,798
Unit Root Tests Are Useful for Selecting Forecasting Models 0 0 0 409 3 11 15 1,464
Unit Root Tests are Useful for Selecting Forecasting Models 0 0 0 313 0 3 9 702
Unit roots in economic time series: a selective survey 0 0 0 3 1 16 22 1,220
Volatility Forecasting 0 0 1 562 5 16 23 1,023
Volatility Forecasting 0 0 0 950 3 10 24 1,296
Volatility forecasting 0 1 2 339 4 20 22 755
Weather Forecasting for Weather Derivatives 0 0 1 665 0 7 12 1,744
Weather Forecasting for Weather Derivatives 0 0 0 300 2 10 16 1,052
Weather forecasting for weather derivatives 0 0 1 328 7 9 12 851
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 1 0 3 11 22
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 48 1 7 8 34
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 11 0 3 9 63
Why Are Estimates of Agricultural Supply Response So Variable? 0 0 0 140 1 4 5 437
Why Are Estimates of Agricultural Supply Response so Variable? 0 0 0 11 2 3 4 25
Why are estimates of agricultural supply response so variable? 0 1 1 195 1 6 10 694
Total Working Papers 31 88 399 65,263 570 2,654 4,667 215,843

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 106 0 11 16 503
A Markov-switching multifractal inter-trade duration model, with application to US equities 0 0 1 50 1 7 16 223
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 1 2 79 1 6 10 453
A Nonparametric Investigation of Duration Dependence in the American Business Cycle 0 0 1 182 0 4 8 582
A benchmark model for fixed-target Arctic sea ice forecasting 0 0 0 0 0 8 11 20
A new test for market efficiency and uncovered interest parity 0 0 1 2 2 5 12 19
An Application of Operational-Subjective Statistical Methods to Rational Expectations: Comment 0 0 0 0 0 1 1 119
An arbitrage-free generalized Nelson--Siegel term structure model 0 0 0 138 2 19 22 571
Are long expansions followed by short contractions? 0 0 0 2 1 4 4 243
Assessing and comparing fixed-target forecasts of Arctic sea ice: Glide charts for feature-engineered linear regression and machine learning models 0 0 1 1 3 6 12 13
Assessing point forecast accuracy by stochastic error distance 0 0 0 2 0 2 6 21
Assessing point forecast accuracy by stochastic loss distance 0 0 0 10 1 4 5 51
Better to give than to receive: Predictive directional measurement of volatility spillovers 18 56 150 763 68 213 575 2,368
Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 2 146 2 7 14 1,163
Bootstrapping Multivariate Spectra 0 0 0 49 0 3 5 206
Climate models underestimate the sensitivity of Arctic sea ice to carbon emissions 0 0 0 2 1 5 7 17
Cointegration and Long-Horizon Forecasting 0 0 0 0 1 5 9 464
Comment 0 0 0 11 2 5 7 54
Comparing Predictive Accuracy 0 0 0 0 4 23 88 3,328
Comparing Predictive Accuracy 0 0 0 0 31 120 464 7,492
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 2 9 14 72 7 39 65 272
Discussion: The effect of seasonal adjustment filters on tests for a unit root 0 0 0 10 1 3 7 67
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data 0 0 0 86 4 7 14 362
Econometrics: Retrospect and prospect 0 0 0 24 2 4 6 118
Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate 0 0 0 15 0 3 9 91
Equity Market Spillovers in the Americas 0 0 1 126 1 13 18 429
Estimating global bank network connectedness 0 0 2 59 9 25 44 263
Evaluating Density Forecasts with Applications to Financial Risk Management 0 0 0 2 7 12 29 2,067
Exact maximum-likelihood estimation of autoregressive models via the Kalman filter 0 0 0 207 0 1 3 406
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 1 18 1 16 29 160
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 52 3 10 16 300
Five questions about business cycles 0 0 1 385 4 6 12 1,783
Forecast combination and encompassing: Reconciling two divergent literatures 0 0 1 86 0 6 9 213
Forecasting and empirical methods in finance and macroeconomics 0 1 2 73 2 7 10 196
Forecasting the term structure of government bond yields 4 6 50 545 32 71 237 2,195
Forecasting, Structural Time Series Models and the Kalman Filter, Andrew C. Harvey Cambridge University Press, 1939 - Fore Casting, Structural Time Series Models and The Kalman FilterAdrew C. Harvey Cambridge University Press, 1989 0 0 0 88 0 2 9 248
Fractional integration and interval prediction 0 0 0 31 1 5 10 132
From the horse’s mouth: gauging conditional expected stock returns from investor surveys 0 0 0 12 2 3 4 88
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 0 0 194 0 4 5 662
Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach 1 3 16 279 9 29 61 1,113
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 35 2 6 13 178
Has the EMS Reduced Member-Country Exchange Rate Volatility? 0 0 0 0 0 1 2 160
Have Postwar Economic Fluctuations Been Stabilized? 0 0 1 55 2 12 18 398
Horizon problems and extreme events in financial risk management 0 0 1 191 6 13 19 776
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 2 348 2 7 13 1,124
Improving GDP measurement: A measurement-error perspective 0 0 1 81 0 9 22 386
Is Consumption Too Smooth? Long Memory and the Deaton Paradox 0 0 0 157 1 8 13 540
Job Stability in the United States 0 0 0 201 1 5 14 1,617
Long memory and persistence in aggregate output 0 0 0 160 3 4 6 369
Long memory and regime switching 0 0 0 279 3 10 14 791
Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives 2 4 11 42 6 20 43 152
Measuring Business Cycles: A Modern Perspective 0 2 7 506 11 24 48 1,705
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 0 0 0 654 10 29 71 2,360
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 2 4 19 72 13 40 105 240
Measuring predictability: theory and macroeconomic applications 0 0 0 222 1 7 11 845
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 5 5 23 605 15 43 129 2,042
Modeling Bond Yields in Finance and Macroeconomics 0 0 1 249 10 20 26 811
Modeling and Forecasting Realized Volatility 0 0 0 1,158 10 52 117 3,757
Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange 0 0 2 257 2 5 12 692
Nonparametric exchange rate prediction? 0 0 3 495 3 5 11 1,351
On Cointegration and Exchange Rate Dynamics 0 0 0 233 1 9 13 705
On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean 0 1 1 70 1 8 9 230
On robust inference in time-series regression 0 1 2 2 2 11 14 14
On the Comparison of Interval Forecasts 0 0 0 3 2 12 16 46
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 42 5 9 16 239
On the aggregation of probability assessments: Regularized mixtures of predictive densities for Eurozone inflation and real interest rates 2 2 5 5 4 6 13 19
On the network topology of variance decompositions: Measuring the connectedness of financial firms 1 6 38 864 27 82 218 2,554
On the power of Dickey-Fuller tests against fractional alternatives 0 0 1 154 2 11 19 403
Optimal Prediction Under Asymmetric Loss 0 0 0 72 1 8 11 258
Optimal combination of Arctic sea ice extent measures: A dynamic factor modeling approach 0 0 0 2 2 6 7 17
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 1 1 2 0 4 12 15
Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics 0 0 0 0 1 7 10 786
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 8 0 2 4 26
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 0 1 6 9 11
Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections 0 0 0 1 1 5 9 20
Range‐Based Estimation of Stochastic Volatility Models 0 0 1 137 5 16 35 503
Ratings migration and the business cycle, with application to credit portfolio stress testing 0 2 4 469 6 29 49 1,166
Real Exchange Rates under the Gold Standard 0 0 1 286 2 6 12 1,632
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 0 130 3 8 10 531
Real-Time Measurement of Business Conditions 1 1 5 334 2 35 58 1,014
Real-time forecast evaluation of DSGE models with stochastic volatility 0 0 0 14 1 5 11 91
Real-time price discovery in global stock, bond and foreign exchange markets 0 1 5 360 5 20 53 1,259
Rejoinder 0 0 0 3 1 3 4 41
Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms 0 1 1 8 2 15 20 49
Reprint of: When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume 0 0 0 0 1 3 3 5
Robust estimation - discussion 0 0 0 0 0 3 7 57
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 1 4 15 695 6 24 66 1,929
Scoring the Leading Indicators 1 2 3 768 2 10 20 1,749
Serial Correlation and the Combination of Forecasts 0 0 0 0 0 3 7 398
Shorter recessions and longer expansions 1 1 1 37 2 3 4 509
Software review 0 0 0 8 2 8 9 124
State space modeling of time series: A review essay 0 0 0 163 0 4 8 347
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 1 129 3 13 18 444
Stock returns and expected business conditions: half a century of direct evidence 0 0 1 24 0 8 10 152
Structural Time Series Analysis and Modelling Package: A Review 0 0 0 101 3 4 5 408
Structural change and the combination of forecasts 0 0 2 2 1 6 10 14
Symposium on Forecasting Performance: An Introduction 0 0 0 49 0 2 4 168
Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors' Introduction 0 0 0 1 0 4 9 290
THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003 0 0 0 21 1 5 6 81
Testing for bubbles, reflecting barriers and other anomalies 0 0 1 9 0 3 7 52
Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures 0 0 0 205 1 8 15 486
The Distribution of Realized Exchange Rate Volatility 0 1 5 214 2 15 37 700
The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model 0 2 3 751 2 10 14 1,612
The Nobel Memorial Prize for Robert F. Engle 0 0 0 35 0 7 13 419
The Past, Present, and Future of Macroeconomic Forecasting 0 1 1 181 1 5 13 802
The Uncertain Unit Root in Real GNP: Comment 0 0 1 100 5 9 14 411
The affine arbitrage-free class of Nelson-Siegel term structure models 0 1 23 450 3 22 84 1,390
The distribution of realized stock return volatility 0 1 9 867 3 12 44 2,252
The econometrics of macroeconomics, finance, and the interface 0 0 0 437 1 5 8 832
The exact initial covariance matrix of the state vector of a general MA(q) process 0 0 0 25 0 3 5 153
The macroeconomy and the yield curve: a dynamic latent factor approach 2 7 17 627 12 37 95 1,968
The use of prior information in forecast combination 0 0 1 126 5 12 17 297
Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 0 1 1 78 3 9 13 237
Unit-Root Tests Are Useful for Selecting Forecasting Models 0 0 0 0 3 21 28 696
Weather Forecasting for Weather Derivatives 0 0 3 98 1 5 15 357
When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume 0 0 0 2 1 8 12 22
Why are estimates of agricultural supply response so variable? 0 0 0 47 0 3 9 217
Total Journal Articles 43 128 470 19,123 447 1,661 3,857 80,576

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Business Cycles: Durations, Dynamics, and Forecasting 0 0 0 0 1 10 13 166
Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring 0 0 0 0 23 49 130 717
The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice 0 0 0 0 1 5 15 208
Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach 0 0 0 0 4 12 42 569
Total Books 0 0 0 0 29 76 200 1,660

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources and Generalized Duration 1 1 2 26 1 20 25 127
Commodity Connectedness 0 0 1 48 1 6 13 196
Equity Market Spillovers in the Americas 1 1 3 67 3 10 20 227
Facts, Factors, and Questions 0 0 0 104 1 8 11 277
Financial Risk Measurement for Financial Risk Management 1 2 3 62 2 32 47 378
Further Evidence on Business-Cycle Duration Dependence 0 0 0 96 1 10 11 250
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 60 1 13 16 175
Introduction 0 0 0 3 1 2 9 25
On Asymmetry in Economic Time Series 0 0 0 0 2 3 4 5
On the Evolution of US Temperature Dynamics 1 1 2 4 1 5 14 25
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 1 1 251 1 10 13 777
Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 0 0 0 0 0 1 3 11
Realized Beta: Persistence and Predictability 1 1 8 11 1 6 31 44
Volatility and Correlation Forecasting 2 2 7 683 10 45 73 2,412
Total Chapters 7 9 27 1,415 26 171 290 4,929

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