Access Statistics for Francis Diebold

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"Big Data" and its Origins 0 0 4 163 1 6 15 132
(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation 0 0 0 973 2 8 14 1,831
A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting 0 0 0 11 1 4 9 37
A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting 0 0 0 22 1 2 7 41
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 187 0 5 14 499
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 207 0 4 11 587
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 65 2 10 14 213
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 1 2 5 6 30
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 32 1 5 10 150
A New Test for Market Efficiency and Uncovered Interest Parity 0 0 0 10 0 3 7 26
A New Test for Market Efficiency and Uncovered Interest Parity 0 0 0 24 0 3 10 60
A New Test forMarket Efficiency and Uncovered Interest Parity 0 0 1 9 1 4 14 42
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 155 0 3 10 371
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 136 1 3 7 377
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 26 1 3 9 179
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 1 3 20 510
A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration 0 0 1 621 2 7 19 1,894
A framework for exploring the macroeconomic determinants of systematic risk 0 0 1 184 0 4 10 539
A no-arbitrage approach to range-based estimation of return covariances and correlations 0 0 1 139 0 1 9 355
A nonparametric investigation of duration dependence in the American business cycle 0 0 0 1 2 6 9 372
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 0 0 0 104 2 17 24 355
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 0 0 0 188 2 5 12 541
An application of operational-subjective statistical methods to rational expectations: comment 0 0 0 0 0 3 4 420
An arbitrage-free generalized Nelson-Siegel term structure model 0 0 0 337 0 14 19 822
Assessing Point Forecast Accuracy by Stochastic Error Distance 0 0 0 77 1 11 17 63
Assessing Point Forecast Accuracy by Stochastic Error Distance 0 0 0 53 1 9 13 56
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 1 5 6 14
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 2 7 12 27
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 1 3 4 12
Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics 0 0 0 7 0 1 6 507
Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts 0 0 1 72 0 6 11 76
Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers 2 15 66 1,815 23 121 278 4,411
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 273 2 3 7 1,516
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 211 1 5 9 822
Bounded rationality and strategic complementarity in a macroeconomic model: policy effects, persistence, and multipliers 0 0 0 2 0 1 4 465
Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions 0 0 0 4 1 5 5 11
Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions 0 0 0 4 0 2 7 13
Clustered Network Connectedness: A New Measurement Framework with Application to Global Equity Markets 0 1 15 20 4 15 39 41
Clustered Network Connectedness: A New Measurement Framework, with Application to Global Equity Markets 1 8 8 8 2 8 8 8
Clustered Network Connectedness:A New Measurement Frameworkwith Application to Global Equity Markets 0 1 21 28 3 12 65 84
Cointegration and Long-Horizon Forecasting 0 0 0 196 1 13 33 517
Cointegration and Long-Horizon Forecasting 0 0 0 549 0 2 8 1,755
Cointegration and long-horizon forecasting 0 0 1 618 0 2 5 1,580
Commodity Connectedness 0 0 0 15 2 6 13 57
Commodity Connectedness 1 1 7 131 4 13 35 392
Commodity connectedness 0 0 1 24 2 7 10 101
Comparing Predictive Accuracy 1 3 20 1,924 7 31 95 4,660
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 0 1 2 53 0 7 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 8 19 393
Comparing predictive accuracy I: an asymptotic test 2 3 8 223 10 23 61 1,301
Conditional heteroskedasticity in the market 0 0 0 0 0 6 6 401
Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think 0 0 3 427 2 5 23 1,529
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again 0 0 0 304 1 8 15 1,698
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again 0 0 1 474 0 5 10 3,481
Deviations from random-walk behavior: tests based on the variance-time function 0 0 0 0 0 4 10 474
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 1 1 1 12 3 8 12 106
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 1 1 423 3 8 13 982
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 1 1 1 12 1 8 11 97
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 0 6 10 304
Does the business cycle have duration memory? 0 0 0 1 0 2 5 286
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data 0 0 0 211 0 7 12 1,602
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 92 2 18 23 653
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 140 0 2 6 620
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 154 0 3 5 1,156
Estimating Global Bank Network Connectedness 0 0 0 9 0 2 14 105
Estimating Global Bank Network Connectedness 0 0 0 553 1 9 28 1,261
Estimating Global Bank Network Connectedness 0 0 1 63 0 12 26 221
Evaluating Density Forecasts 0 0 0 189 0 4 10 552
Evaluating Density Forecasts 0 0 0 69 1 8 13 381
Evaluating Density Forecasts 0 0 0 383 1 8 33 1,321
Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters 0 0 1 272 0 3 13 1,272
Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters 0 0 0 0 0 3 8 659
Evaluating density forecasts 0 0 1 258 1 10 32 887
Ex ante turning point forecasting with the composite leading index 0 0 0 0 0 4 4 575
Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models 0 0 0 292 0 7 12 1,733
Exact maximum likelihood estimation of ARCH models 0 0 0 0 0 3 6 779
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 0 0 0 303 4 6 10 1,124
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 304 1 8 12 852
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 495 2 5 19 1,623
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 2 213 1 7 15 606
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 230 3 5 15 688
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 0 576 1 6 6 1,949
Financial Risk Management in a Volatile Global Environment 0 0 0 715 1 4 19 2,194
Financial Risk Measurement for Financial Risk Management 1 1 3 183 4 12 36 575
Financial Risk Measurement for Financial Risk Management 0 0 0 207 1 10 32 616
Financial Risk Measurement for Financial Risk Management 0 0 0 247 1 2 18 570
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 0 1 215 0 3 11 427
Forecast Evaluation and Combination 0 0 0 1,081 1 7 19 3,188
Forecast combination and encompassing: reconciling two divergent literatures 0 0 0 0 1 3 5 515
Forecast evaluation and combination 0 0 1 521 1 16 22 1,563
Forecasting output with the composite leading index: an ex ante analysis 0 0 0 0 1 6 11 1,046
Forecasting the Term Structure of Government Bond Yields 1 3 4 844 3 14 31 2,308
Forecasting the Term Structure of Government Bond Yields 0 0 0 898 4 9 24 2,161
Forecasting the term structure of government bond yields 1 1 4 834 3 8 27 2,022
Further Results on Forecasting and Model Selection Under Asymmetric Loss 0 0 0 184 2 7 12 497
Further evidence on business cycle duration dependence 0 0 0 0 1 5 11 421
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach 0 0 0 178 1 6 12 669
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach 0 0 2 363 3 16 33 925
Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach 0 0 1 13 0 7 13 81
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 196 1 4 9 529
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 114 0 5 8 291
Have postwar economic fluctuations been stabilized? 0 0 1 63 1 6 11 492
Have postwar economic fluctuations been stabilized? 0 0 0 0 1 9 15 383
High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models 0 0 0 221 1 6 14 897
Horizon Problems and Extreme Events in Financial Risk Management 0 0 1 514 0 6 15 1,756
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 1 333 1 4 6 919
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 790 0 4 10 2,805
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 1 7 12 1,593
Improving GDP Measurement: A Forecast Combination Perspective 0 0 0 80 0 4 8 286
Improving GDP Measurement: A Forecast Combination Perspective 0 0 0 57 2 7 11 200
Improving GDP Measurement: A Measurement-Error Perspective 0 0 0 70 0 5 11 168
Improving GDP Measurement: A Measurement-Error Perspective 0 0 0 53 0 4 9 177
Improving GDP measurement: a forecast combination perspective 0 0 0 71 0 11 16 146
Improving GDP measurement: a measurement-error perspective 0 0 0 45 1 7 10 217
International evidence on business cycle duration dependence 0 0 0 56 0 6 10 385
Is consumption too smooth? Long memory and the Deaton paradox 0 0 0 0 0 5 8 1,020
Job Stability in the United States 0 0 0 158 1 11 14 1,317
Long Memory and Regime Switching 0 0 0 588 2 14 17 1,484
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 4 31 3 6 14 64
Machine Learning and the Yield Curve:Tree-Based Macroeconomic Regime Switching 1 2 4 17 3 12 40 68
Machine Learning for Regularized Survey Forecast Combination: Partially Egalitarian Lasso and its Derivatives 0 0 0 39 1 9 18 149
Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives 1 1 1 73 2 7 13 125
Macroeconomic Volatility and Stock Market Volatility, World-Wide 0 0 1 159 1 5 9 390
Macroeconomic Volatility and Stock Market Volatility, Worldwide 0 0 0 215 2 7 16 688
Macroeconomic Volatility and Stock Market Volatility,World-Wide 0 0 3 964 2 10 39 2,514
Measuring Business Cycle: A Modern Perspective 0 0 1 461 1 8 13 1,044
Measuring Business Cycles: A Modern Perspective 1 1 2 539 4 12 26 1,509
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 1 5 15 239 8 25 73 720
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 2 2 5 158 3 9 18 560
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 0 2 175 3 14 39 633
Measuring Predictability: Theory And Macroeconomic Applications 0 0 1 127 0 8 16 583
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 51 0 2 9 386
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 1 1 6 13 645
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 197 3 8 13 1,188
Measuring Volatility Dynamics 1 1 1 505 3 7 10 1,968
Measuring financial asset return and volatility spillovers, with application to global equity markets 0 0 1 114 3 22 52 524
Measuring financial asset return and volatility spillovers, with application to global equity markets 0 0 1 25 2 13 22 243
Measuring financial asset return and volatilty spillovers, with application to global equity markets 1 1 3 40 24 110 138 365
Measuring predictability: theory and macroeconomic applications 0 0 0 166 4 13 16 760
Measuring the Dynamics of Global Business Cycle Connectedness 0 0 1 148 0 2 8 461
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 3 291 2 7 13 1,048
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 0 52 1 9 16 526
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 1 479 0 10 20 2,282
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 0 1 356 2 8 15 1,279
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 371 0 8 14 970
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 206 1 8 17 510
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 258 1 10 19 647
Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management 1 1 2 530 3 16 24 1,359
Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management 1 2 5 1,414 5 17 48 3,656
Modeling Volatility Dynamics 0 0 0 372 1 6 9 720
Modeling and Forecasting Realized Volatility 0 2 6 999 1 14 35 2,206
Modeling and Forecasting Realized Volatility 0 0 5 796 4 10 30 1,924
Modeling and Forecasting Realized Volatility 0 0 1 1,262 2 34 59 3,049
Modeling bond yields in finance and macroeconomics 0 0 1 271 2 8 16 731
Modeling volatility dynamics 0 1 3 412 1 20 26 1,025
Near-rationality and strategic complementarity in a macroeconomic model: policy effects, persistence and multipliers 0 0 0 0 0 1 2 159
Nonparametric exchange rate prediction? 0 0 0 3 0 6 13 1,480
On Robust Inference in Time Series Regression 0 0 1 125 0 5 16 58
On Robust Inference in Time Series Regression 0 0 0 4 0 2 10 47
On Robust Inference in Time Series Regression 0 0 0 20 0 6 11 56
On cointegration and exchange rate dynamics 0 0 0 3 0 11 16 548
On comparing information in forecasts from econometric models: a comment on Fair and Shiller 0 0 0 0 0 1 2 156
On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean 0 0 0 85 0 6 17 697
On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean 0 0 0 1 0 4 6 266
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone In?ation and Real Interest Rates 0 0 0 7 1 3 8 30
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 0 12 0 4 5 32
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 0 0 1 4 5 41
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 0 11 1 1 2 17
On the Comparison of Interval Forecasts 0 0 1 46 0 6 20 106
On the Correlation Structure of Microstructure Noise in Theory and Practice 0 0 0 90 1 5 8 288
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 37 0 3 8 158
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 163 1 7 15 463
On the Evolution of U.S. Temperature Dynamics 0 0 0 69 1 5 10 90
On the Evolution of U.S. Temperature Dynamics 0 0 0 12 1 3 8 36
On the Financing of Climate Change Adaptation in Developing Countries 0 0 1 43 0 2 10 25
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 0 5 178 0 5 30 790
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 1 3 263 2 8 29 558
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 1 4 115 2 8 31 379
On the Origin(s) and Development of the Term “Big Data" 1 1 3 276 3 11 21 457
On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness 0 0 1 10 1 2 8 39
On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness 0 1 2 44 5 27 49 165
On the Wisdom of Crowds (of Economists) 0 0 2 2 0 9 14 14
On the Wisdom of Crowds (of Economists) 0 1 37 37 0 5 19 19
On the Wisdom of Crowds (of Economists) 5 5 5 5 1 1 1 1
On the correlation structure of microstructure noise in theory and practice 0 0 1 11 0 3 9 76
On the network topology of variance decompositions: Measuring the connectedness of financial firms 1 2 5 126 2 18 42 443
On the power of Dickey-Fuller tests against fractional alternatives 0 0 0 2 0 7 12 693
On the solution of dynamic linear rational expectations models 0 0 0 0 0 3 5 539
Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach 0 0 0 18 0 3 20 53
Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach 0 0 0 5 1 3 6 31
Optimal Prediction Under Asymmetric Loss 0 0 0 77 3 9 21 378
Optimal Prediction Under Asymmetric Loss 0 0 0 259 1 6 10 1,092
Optimal Prediction Under Asymmetric Loss 0 0 0 127 0 1 11 450
Optimal prediction under asymmetric loss 0 2 4 297 3 10 25 1,045
Parametric and Nonparametric Volatility Measurement 0 0 0 692 5 9 15 1,620
Parametric and Nonparametric Volatility Measurement 0 0 0 830 2 8 15 2,125
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 0 0 1 1 2 8 865
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 0 2 638 3 12 16 1,251
Post-deregulation deposit rate pricing: the multivariate dynamics 0 0 0 1 1 6 8 514
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 0 9 17 1,207
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 421 2 5 15 913
Practical volatility and correlation modeling for financial market risk management 0 0 2 397 0 4 18 869
Priors from Frequency-Domain Dummy Observations 0 0 2 38 1 8 13 108
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 8 0 6 10 45
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 2 1 15 17 43
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 15 0 3 5 29
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 11 0 1 8 32
Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function 0 0 0 0 0 5 5 441
Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think 0 0 1 815 1 7 17 2,210
Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing 0 0 2 1,608 9 41 49 3,653
Real exchange rates under the gold standard 0 0 0 252 3 6 18 1,617
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility 0 0 0 105 1 15 24 169
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility 0 0 0 2 1 2 7 39
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 0 102 0 5 12 362
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 1 124 2 10 17 341
Real-Time Measurement of Business Conditions 0 0 0 0 1 3 9 638
Real-Time Measurement of Business Conditions 0 0 0 91 0 5 13 296
Real-Time Measurement of Business Conditions 0 2 3 111 1 13 28 326
Real-Time Measurement of Business Conditions, Second Version 0 0 0 120 0 5 11 266
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 122 1 5 8 387
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 236 0 3 6 748
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 198 1 7 7 1,127
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 0 0 149 1 6 12 520
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 218 0 2 13 686
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 181 0 10 14 815
Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 0 0 0 7 0 2 4 45
Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession 0 0 0 21 2 8 15 89
Real-Time Real Economic Activity:Entering and Exiting the Pandemic Recession of 2020 0 1 2 13 2 4 12 43
Real-Time Real Economic Activity:Exiting the Great Recession and Entering the Pandemic Recession 0 0 0 40 1 4 11 70
Real-time forecast evaluation of DSGE models with stochastic volatility 0 0 1 74 1 7 16 100
Real-time macroeconomic monitoring: real activity, inflation, and interactions 0 0 0 40 2 4 18 230
Real-time measurement of business conditions 0 0 0 174 1 8 13 646
Real-time measurement of business conditions 0 0 1 148 0 3 14 358
Real-time price discovery in global stock, bond and foreign exchange markets 0 0 1 279 0 5 11 1,013
Real-time price discovery in stock, bond and foreign exchange markets 0 0 1 144 1 7 12 569
Realized Beta: Persistence and Predictability 0 0 0 516 4 11 20 936
Realized beta: Persistence and predictability 1 1 3 222 2 11 21 657
Regime switching with time-varying transition probabilities 0 0 0 10 15 25 38 2,441
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 4 171 1 4 20 578
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 2 356 0 8 16 1,002
Scoring the leading indicators 0 0 0 1 0 6 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 0 163 1 9 20 550
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 3 12 1,034
Stamp 5.0: A Review 0 0 0 143 0 1 3 587
State space modeling of time series: a review essay 0 0 0 0 0 4 9 1,184
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 0 106 0 0 5 358
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 1 182 1 12 25 433
Stock returns and expected business conditions: Half a century of direct evidence 0 0 1 113 0 2 8 385
Structural change and the combination of forecasts 0 0 0 2 1 7 12 603
Temporal aggregation of ARCH processes and the distribution of asset returns 0 0 0 0 1 3 10 328
Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures 0 0 0 1 1 4 14 594
The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models 1 2 2 231 2 11 21 669
The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models 0 0 0 152 0 4 8 431
The Distribution of Exchange Rate Volatility 0 0 1 531 0 3 10 1,324
The Distribution of Exchange Rate Volatility 0 0 1 552 0 3 13 1,457
The Distribution of Exchange Rate Volatility 0 0 0 323 1 5 17 877
The Distribution of Stock Return Volatility 0 0 0 839 2 5 14 2,250
The Distribution of Stock Return Volatility 0 0 0 906 2 5 13 2,413
The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach 0 0 1 496 3 16 35 1,373
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 26 0 8 11 80
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 332 1 19 21 955
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 151 3 6 10 495
The Nobel Memorial Prize for Robert F. Engle 0 0 0 148 1 6 9 616
The Nobel Memorial Prize for Robert F. Engle 0 0 0 61 2 5 13 309
The Nobel Memorial Prize for Robert F. Engle 0 0 0 145 1 4 7 542
The Past, Present, and Future of Macroeconomic Forecasting 0 0 0 288 1 10 16 957
The affine arbitrage-free class of Nelson-Siegel term structure models 0 0 2 200 1 8 20 598
The dynamics of exchange rate volatility: a multivariate latent factor ARCH model 0 0 0 1 1 11 20 844
The past, present, and future of macroeconomic forecasting 0 0 0 379 1 3 10 1,157
The use of prior information in forecast combination 0 0 0 1 0 5 6 505
Time Series Analysis 0 0 3 145 0 3 13 397
Time Series Analysis 0 0 4 1,108 1 3 13 1,799
Unit Root Tests Are Useful for Selecting Forecasting Models 0 0 0 409 0 9 14 1,464
Unit Root Tests are Useful for Selecting Forecasting Models 0 0 0 313 2 4 11 704
Unit roots in economic time series: a selective survey 0 0 0 3 0 15 22 1,220
Volatility Forecasting 0 0 1 562 2 13 25 1,025
Volatility Forecasting 0 0 0 950 6 14 29 1,302
Volatility forecasting 0 1 2 339 1 13 22 756
Weather Forecasting for Weather Derivatives 0 0 0 300 0 5 14 1,052
Weather Forecasting for Weather Derivatives 0 0 0 665 2 5 13 1,746
Weather forecasting for weather derivatives 0 0 1 328 3 12 15 854
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 1 0 2 10 22
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 48 0 7 8 34
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 11 2 3 10 65
Why Are Estimates of Agricultural Supply Response So Variable? 0 0 0 140 0 3 5 437
Why Are Estimates of Agricultural Supply Response so Variable? 0 0 0 11 0 3 4 25
Why are estimates of agricultural supply response so variable? 0 0 1 195 1 4 11 695
Total Working Papers 31 83 392 65,294 406 2,295 4,911 216,249

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 5 15 503
A Markov-switching multifractal inter-trade duration model, with application to US equities 0 0 1 50 2 8 18 225
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 1 2 79 0 5 10 453
A Nonparametric Investigation of Duration Dependence in the American Business Cycle 0 0 0 182 1 5 8 583
A benchmark model for fixed-target Arctic sea ice forecasting 0 0 0 0 0 6 10 20
A new test for market efficiency and uncovered interest parity 0 0 1 2 0 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 1 17 23 572
Are long expansions followed by short contractions? 0 0 0 2 0 3 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 1 6 13 14
Assessing point forecast accuracy by stochastic error distance 0 0 0 2 1 2 7 22
Assessing point forecast accuracy by stochastic loss distance 0 0 0 10 1 4 6 52
Better to give than to receive: Predictive directional measurement of volatility spillovers 15 50 160 778 45 185 607 2,413
Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 1 146 0 6 13 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 8 18
Cointegration and Long-Horizon Forecasting 0 0 0 0 4 7 13 468
Comment 0 0 0 11 0 5 7 54
Comparing Predictive Accuracy 0 0 0 0 5 20 91 3,333
Comparing Predictive Accuracy 0 0 0 0 45 122 498 7,537
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 0 8 14 72 10 35 75 282
Discussion: The effect of seasonal adjustment filters on tests for a unit root 0 0 0 10 0 3 7 67
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data 0 0 0 86 0 6 14 362
Econometrics: Retrospect and prospect 0 0 0 24 0 3 6 118
Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate 0 0 0 15 2 3 11 93
Equity Market Spillovers in the Americas 0 0 1 126 0 10 18 429
Estimating global bank network connectedness 1 1 3 60 2 17 45 265
Evaluating Density Forecasts with Applications to Financial Risk Management 0 0 0 2 6 17 35 2,073
Exact maximum-likelihood estimation of autoregressive models via the Kalman filter 1 1 1 208 2 3 5 408
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 1 18 2 13 29 162
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 52 0 8 15 300
Five questions about business cycles 0 0 1 385 0 6 12 1,783
Forecast combination and encompassing: Reconciling two divergent literatures 0 0 1 86 0 5 9 213
Forecasting and empirical methods in finance and macroeconomics 0 0 2 73 0 4 10 196
Forecasting the term structure of government bond yields 6 10 52 551 18 70 239 2,213
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 1 9 248
Fractional integration and interval prediction 0 0 0 31 0 5 9 132
From the horse’s mouth: gauging conditional expected stock returns from investor surveys 0 0 0 12 0 3 4 88
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 0 0 194 1 2 6 663
Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach 2 4 18 281 3 27 63 1,116
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 35 2 7 15 180
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 0 9 18 398
Horizon problems and extreme events in financial risk management 0 0 1 191 0 12 19 776
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 2 348 0 6 13 1,124
Improving GDP measurement: A measurement-error perspective 0 0 1 81 0 3 22 386
Is Consumption Too Smooth? Long Memory and the Deaton Paradox 0 0 0 157 2 9 15 542
Job Stability in the United States 0 0 0 201 0 4 13 1,617
Long memory and persistence in aggregate output 0 0 0 160 0 3 6 369
Long memory and regime switching 0 0 0 279 2 9 16 793
Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives 7 10 17 49 13 27 53 165
Measuring Business Cycles: A Modern Perspective 0 1 7 506 3 24 49 1,708
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 0 3 18 72 5 29 104 245
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 0 0 0 654 4 27 69 2,364
Measuring predictability: theory and macroeconomic applications 0 0 0 222 1 6 12 846
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 2 7 23 607 8 34 128 2,050
Modeling Bond Yields in Finance and Macroeconomics 0 0 1 249 3 23 28 814
Modeling and Forecasting Realized Volatility 0 0 0 1,158 10 31 125 3,767
Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange 0 0 2 257 2 7 14 694
Nonparametric exchange rate prediction? 0 0 2 495 0 4 10 1,351
On Cointegration and Exchange Rate Dynamics 0 0 0 233 0 7 13 705
On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean 0 1 1 70 0 7 9 230
On robust inference in time-series regression 0 0 2 2 1 8 15 15
On the Comparison of Interval Forecasts 0 0 0 3 0 9 16 46
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 42 2 9 18 241
On the aggregation of probability assessments: Regularized mixtures of predictive densities for Eurozone inflation and real interest rates 0 2 3 5 2 7 12 21
On the network topology of variance decompositions: Measuring the connectedness of financial firms 5 9 43 869 33 88 247 2,587
On the power of Dickey-Fuller tests against fractional alternatives 0 0 1 154 1 10 20 404
Optimal Prediction Under Asymmetric Loss 0 0 0 72 3 9 14 261
Optimal combination of Arctic sea ice extent measures: A dynamic factor modeling approach 0 0 0 2 0 4 7 17
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 0 1 2 1 4 12 16
Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics 0 0 0 0 0 4 10 786
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 0 0 5 9 11
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
Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections 0 0 0 1 1 4 9 21
Range‐Based Estimation of Stochastic Volatility Models 1 1 2 138 5 13 40 508
Ratings migration and the business cycle, with application to credit portfolio stress testing 1 2 5 470 6 31 55 1,172
Real Exchange Rates under the Gold Standard 0 0 1 286 0 5 12 1,632
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 0 130 1 8 11 532
Real-Time Measurement of Business Conditions 0 1 4 334 2 14 58 1,016
Real-time forecast evaluation of DSGE models with stochastic volatility 0 0 0 14 1 4 12 92
Real-time price discovery in global stock, bond and foreign exchange markets 1 1 5 361 3 16 53 1,262
Rejoinder 0 0 0 3 0 2 4 41
Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms 0 0 1 8 0 9 19 49
Reprint of: When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume 0 0 0 0 0 3 3 5
Robust estimation - discussion 0 0 0 0 1 4 8 58
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 3 5 16 698 10 25 73 1,939
Scoring the Leading Indicators 0 2 3 768 0 9 20 1,749
Serial Correlation and the Combination of Forecasts 0 0 0 0 0 3 7 398
Shorter recessions and longer expansions 0 1 1 37 0 3 4 509
Software review 0 0 0 8 0 8 8 124
State space modeling of time series: A review essay 0 0 0 163 0 3 8 347
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 0 129 1 12 18 445
Stock returns and expected business conditions: half a century of direct evidence 0 0 1 24 1 8 11 153
Structural Time Series Analysis and Modelling Package: A Review 0 0 0 101 1 5 6 409
Structural change and the combination of forecasts 2 2 4 4 3 5 13 17
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 2 8 290
THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003 0 0 0 21 2 4 8 83
Testing for bubbles, reflecting barriers and other anomalies 0 0 1 9 1 3 8 53
Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures 0 0 0 205 1 6 16 487
The Distribution of Realized Exchange Rate Volatility 0 0 4 214 6 12 39 706
The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model 0 0 3 751 2 10 16 1,614
The Nobel Memorial Prize for Robert F. Engle 0 0 0 35 1 7 13 420
The Past, Present, and Future of Macroeconomic Forecasting 0 1 1 181 2 6 14 804
The Uncertain Unit Root in Real GNP: Comment 0 0 1 100 1 9 15 412
The affine arbitrage-free class of Nelson-Siegel term structure models 1 2 24 451 5 24 89 1,395
The distribution of realized stock return volatility 1 1 9 868 1 8 38 2,253
The econometrics of macroeconomics, finance, and the interface 0 0 0 437 0 3 8 832
The exact initial covariance matrix of the state vector of a general MA(q) process 1 1 1 26 1 4 6 154
The macroeconomy and the yield curve: a dynamic latent factor approach 4 8 21 631 11 37 103 1,979
The use of prior information in forecast combination 0 0 1 126 0 12 17 297
Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 0 1 1 78 1 8 14 238
Unit-Root Tests Are Useful for Selecting Forecasting Models 0 0 0 0 2 21 30 698
Weather Forecasting for Weather Derivatives 0 0 1 98 1 4 14 358
When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume 0 0 0 2 1 7 13 23
Why are estimates of agricultural supply response so variable? 0 0 0 47 0 1 8 217
Total Journal Articles 54 137 497 19,177 326 1,493 4,060 80,902

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 6 14 167
Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring 0 0 0 0 12 47 133 729
The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice 0 0 0 0 0 2 14 208
Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach 0 0 0 0 5 10 46 574
Total Books 0 0 0 0 18 65 207 1,678

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 0 1 2 26 0 15 25 127
Commodity Connectedness 0 0 1 48 1 6 14 197
Equity Market Spillovers in the Americas 1 2 4 68 1 6 21 228
Facts, Factors, and Questions 0 0 0 104 1 6 12 278
Financial Risk Measurement for Financial Risk Management 0 1 2 62 2 16 47 380
Further Evidence on Business-Cycle Duration Dependence 0 0 0 96 1 9 12 251
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 60 0 10 14 175
Introduction 0 0 0 3 0 1 9 25
On Asymmetry in Economic Time Series 0 0 0 0 0 3 4 5
On the Evolution of US Temperature Dynamics 0 1 1 4 2 5 12 27
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 251 3 10 16 780
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 2 8 12 4 6 33 48
Volatility and Correlation Forecasting 1 3 8 684 7 33 80 2,419
Total Chapters 3 10 27 1,418 22 127 302 4,951

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