Access Statistics for Francis Diebold

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"Big Data" and its Origins 0 1 4 163 5 9 15 131
(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation 0 0 0 973 5 7 13 1,828
A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting 0 0 0 11 3 7 9 36
A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting 0 0 0 22 1 2 6 40
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 187 4 9 17 498
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 207 1 5 10 584
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 65 8 10 12 211
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 32 4 8 10 149
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 1 3 4 4 28
A New Test for Market Efficiency and Uncovered Interest Parity 0 0 0 10 3 6 7 26
A New Test for Market Efficiency and Uncovered Interest Parity 0 0 0 24 3 4 10 60
A New Test forMarket Efficiency and Uncovered Interest Parity 0 1 1 9 3 9 14 41
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 155 2 6 10 370
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 136 2 3 6 376
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 26 2 8 8 178
A Personal Perspective on the Origin(s) and Development of “Big Data": The Phenomenon, the Term, and the Discipline, Second Version 1 1 3 169 2 7 24 509
A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration 0 1 1 621 3 6 16 1,890
A framework for exploring the macroeconomic determinants of systematic risk 0 0 1 184 4 9 11 539
A no-arbitrage approach to range-based estimation of return covariances and correlations 0 0 1 139 1 4 9 355
A nonparametric investigation of duration dependence in the American business cycle 0 0 0 1 3 6 8 369
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 0 0 0 104 12 16 19 350
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 0 0 0 188 3 7 11 539
An application of operational-subjective statistical methods to rational expectations: comment 0 0 0 0 2 3 3 419
An arbitrage-free generalized Nelson-Siegel term structure model 0 0 0 337 10 11 16 818
Assessing Point Forecast Accuracy by Stochastic Error Distance 0 0 0 77 10 16 16 62
Assessing Point Forecast Accuracy by Stochastic Error Distance 0 0 0 53 6 7 11 53
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 4 5 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 5 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 2 3 3 11
Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics 0 0 0 7 0 2 7 506
Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts 0 0 1 72 6 9 12 76
Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers 6 15 69 1,806 50 86 234 4,340
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 273 1 4 6 1,514
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 211 4 5 8 821
Bounded rationality and strategic complementarity in a macroeconomic model: policy effects, persistence, and multipliers 0 0 0 2 1 2 4 465
Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions 0 0 0 4 3 3 3 9
Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions 0 0 0 4 2 5 7 13
Clustered Network Connectedness: A New Measurement Framework with Application to Global Equity Markets 0 0 19 19 2 6 28 28
Clustered Network Connectedness: A New Measurement Framework, with Application to Global Equity Markets 0 0 0 0 0 0 0 0
Clustered Network Connectedness:A New Measurement Frameworkwith Application to Global Equity Markets 0 3 27 27 4 12 76 76
Cointegration and Long-Horizon Forecasting 0 0 0 196 11 27 31 515
Cointegration and Long-Horizon Forecasting 0 0 0 549 2 6 9 1,755
Cointegration and long-horizon forecasting 0 0 1 618 1 2 5 1,579
Commodity Connectedness 0 4 7 130 5 17 31 384
Commodity Connectedness 0 0 0 15 2 8 9 53
Commodity connectedness 0 0 1 24 4 6 9 98
Comparing Predictive Accuracy 1 6 19 1,922 20 44 92 4,649
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 1 1 1 357 6 14 17 391
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 1 2 2 53 6 13 17 205
Comparing predictive accuracy I: an asymptotic test 1 4 7 221 10 24 53 1,288
Conditional heteroskedasticity in the market 0 0 0 0 5 5 5 400
Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think 0 0 3 427 2 10 22 1,526
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again 0 0 1 474 3 5 8 3,479
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again 0 0 0 304 5 9 13 1,695
Deviations from random-walk behavior: tests based on the variance-time function 0 0 0 0 2 2 8 472
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 1 1 1 423 4 7 9 978
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 11 5 8 9 103
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 11 7 9 11 96
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 5 5 10 303
Does the business cycle have duration memory? 0 0 0 1 2 4 5 286
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data 0 0 0 211 7 9 13 1,602
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 92 15 18 20 650
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 154 3 5 6 1,156
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 140 2 3 6 620
Estimating Global Bank Network Connectedness 0 0 0 9 2 9 15 105
Estimating Global Bank Network Connectedness 0 0 1 63 8 16 22 217
Estimating Global Bank Network Connectedness 0 0 0 553 5 17 26 1,257
Evaluating Density Forecasts 0 0 0 69 4 8 10 377
Evaluating Density Forecasts 0 0 0 383 5 27 31 1,318
Evaluating Density Forecasts 0 0 0 189 4 7 11 552
Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters 0 1 1 272 3 7 16 1,272
Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters 0 0 0 0 2 6 7 658
Evaluating density forecasts 0 1 1 258 9 29 32 886
Ex ante turning point forecasting with the composite leading index 0 0 0 0 3 3 4 574
Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models 0 0 0 292 7 10 12 1,733
Exact maximum likelihood estimation of ARCH models 0 0 0 0 1 2 5 777
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 0 0 0 303 2 5 7 1,120
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 304 6 10 10 850
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 495 2 10 16 1,620
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 230 1 7 11 684
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 1 2 213 6 11 16 605
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 0 576 2 2 3 1,945
Financial Risk Management in a Volatile Global Environment 0 0 0 715 1 4 18 2,191
Financial Risk Measurement for Financial Risk Management 0 0 0 207 8 26 31 614
Financial Risk Measurement for Financial Risk Management 0 0 0 247 1 14 17 569
Financial Risk Measurement for Financial Risk Management 0 0 3 182 5 20 32 568
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 0 1 215 1 5 9 425
Forecast Evaluation and Combination 0 0 0 1,081 6 12 19 3,187
Forecast combination and encompassing: reconciling two divergent literatures 0 0 0 0 2 4 4 514
Forecast evaluation and combination 0 0 1 521 15 20 21 1,562
Forecasting output with the composite leading index: an ex ante analysis 0 0 0 0 3 6 9 1,043
Forecasting the Term Structure of Government Bond Yields 0 0 2 841 5 11 25 2,299
Forecasting the Term Structure of Government Bond Yields 0 0 0 898 5 7 20 2,157
Forecasting the term structure of government bond yields 0 1 5 833 5 13 28 2,019
Further Results on Forecasting and Model Selection Under Asymmetric Loss 0 0 0 184 4 8 9 494
Further evidence on business cycle duration dependence 0 0 0 0 2 6 9 418
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach 0 1 2 363 6 13 24 915
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach 0 0 0 178 5 11 11 668
Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach 0 0 1 13 5 6 12 79
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 114 4 4 10 290
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 196 2 6 7 527
Have postwar economic fluctuations been stabilized? 0 0 1 63 2 4 9 488
Have postwar economic fluctuations been stabilized? 0 0 0 0 6 8 13 380
High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models 0 0 0 221 3 9 11 894
Horizon Problems and Extreme Events in Financial Risk Management 0 1 1 514 2 7 11 1,752
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 1 333 2 3 4 917
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 790 4 7 10 2,805
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 3 5 8 1,589
Improving GDP Measurement: A Forecast Combination Perspective 0 0 0 57 3 6 7 196
Improving GDP Measurement: A Forecast Combination Perspective 0 0 0 80 3 3 11 285
Improving GDP Measurement: A Measurement-Error Perspective 0 0 0 70 3 6 11 166
Improving GDP Measurement: A Measurement-Error Perspective 0 0 0 53 4 7 10 177
Improving GDP measurement: a forecast combination perspective 0 0 0 71 10 14 15 145
Improving GDP measurement: a measurement-error perspective 0 0 0 45 3 6 7 213
International evidence on business cycle duration dependence 0 0 0 56 6 8 10 385
Is consumption too smooth? Long memory and the Deaton paradox 0 0 0 0 4 6 7 1,019
Job Stability in the United States 0 0 0 158 7 10 11 1,313
Long Memory and Regime Switching 0 0 2 588 5 6 11 1,475
Long memory and persistence in aggregate output 0 0 0 1 2 2 4 867
Machine Learning and the Yield Curve: Tree-Based Macroeconomic Regime Switching 0 1 6 31 2 4 13 60
Machine Learning and the Yield Curve:Tree-Based Macroeconomic Regime Switching 0 0 3 15 3 10 33 59
Machine Learning for Regularized Survey Forecast Combination: Partially Egalitarian Lasso and its Derivatives 0 0 0 39 5 12 52 145
Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives 0 0 0 72 5 8 11 123
Macroeconomic Volatility and Stock Market Volatility, World-Wide 0 0 1 159 4 7 9 389
Macroeconomic Volatility and Stock Market Volatility, Worldwide 0 0 1 215 4 9 15 685
Macroeconomic Volatility and Stock Market Volatility,World-Wide 0 0 4 964 6 15 38 2,510
Measuring Business Cycle: A Modern Perspective 0 1 2 461 7 10 15 1,043
Measuring Business Cycles: A Modern Perspective 0 1 1 538 4 11 21 1,501
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 1 3 156 4 7 14 555
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 1 3 175 5 14 33 624
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 3 7 13 237 11 35 59 706
Measuring Predictability: Theory And Macroeconomic Applications 0 0 1 127 6 11 14 581
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 1 3 8 10 642
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 197 5 7 11 1,185
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 51 2 7 9 386
Measuring Volatility Dynamics 0 0 0 504 2 3 5 1,963
Measuring financial asset return and volatility spillovers, with application to global equity markets 0 0 1 25 6 13 15 236
Measuring financial asset return and volatility spillovers, with application to global equity markets 0 1 1 114 14 28 46 516
Measuring financial asset return and volatilty spillovers, with application to global equity markets 0 0 2 39 47 67 76 302
Measuring predictability: theory and macroeconomic applications 0 0 0 166 5 7 15 752
Measuring the Dynamics of Global Business Cycle Connectedness 0 0 1 148 2 4 8 461
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 1 479 9 16 23 2,281
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 1 4 291 3 5 11 1,044
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 0 52 7 12 15 524
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 0 2 356 4 9 14 1,275
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 206 5 12 15 507
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 371 3 5 10 965
Modeling Bond Yields in Finance and Macroeconomics 0 0 1 258 7 14 17 644
Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management 0 0 1 529 9 14 18 1,352
Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management 0 0 3 1,412 2 21 34 3,641
Modeling Volatility Dynamics 0 0 0 372 4 5 7 718
Modeling and Forecasting Realized Volatility 0 2 5 796 3 12 25 1,917
Modeling and Forecasting Realized Volatility 0 1 2 1,262 22 36 52 3,037
Modeling and Forecasting Realized Volatility 0 2 5 997 7 16 30 2,199
Modeling bond yields in finance and macroeconomics 0 0 1 271 3 9 11 726
Modeling volatility dynamics 0 0 2 411 9 11 15 1,014
Near-rationality and strategic complementarity in a macroeconomic model: policy effects, persistence and multipliers 0 0 0 0 0 0 3 158
Nonparametric exchange rate prediction? 0 0 0 3 4 9 12 1,478
On Robust Inference in Time Series Regression 0 0 1 4 0 4 10 45
On Robust Inference in Time Series Regression 0 0 0 20 1 3 8 51
On Robust Inference in Time Series Regression 0 1 2 125 5 14 18 58
On cointegration and exchange rate dynamics 0 0 0 3 8 11 14 545
On comparing information in forecasts from econometric models: a comment on Fair and Shiller 0 0 0 0 1 2 3 156
On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean 0 0 0 1 4 6 7 266
On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean 0 0 0 85 5 9 16 696
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone In?ation and Real Interest Rates 0 0 0 7 2 6 7 29
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 0 12 4 5 5 32
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 0 0 3 4 5 40
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 Comparison of Interval Forecasts 0 0 1 46 5 13 19 105
On the Correlation Structure of Microstructure Noise in Theory and Practice 0 0 0 90 1 4 4 284
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 163 3 6 12 459
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 37 3 7 8 158
On the Evolution of U.S. Temperature Dynamics 0 0 0 69 4 8 9 89
On the Evolution of U.S. Temperature Dynamics 0 0 0 12 1 4 6 34
On the Financing of Climate Change Adaptation in Developing Countries 0 0 1 43 1 1 10 24
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 1 5 178 3 15 28 788
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 1 2 3 263 2 12 24 552
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 1 4 114 2 15 27 373
On the Origin(s) and Development of the Term “Big Data" 0 0 2 275 4 5 16 450
On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness 0 0 2 10 0 1 7 37
On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness 0 1 1 43 19 26 42 157
On the Wisdom of Crowds (of Economists) 0 0 36 36 4 8 18 18
On the Wisdom of Crowds (of Economists) 0 2 2 2 7 11 12 12
On the correlation structure of microstructure noise in theory and practice 0 0 1 11 1 4 7 74
On the network topology of variance decompositions: Measuring the connectedness of financial firms 1 1 4 125 13 26 37 438
On the power of Dickey-Fuller tests against fractional alternatives 0 0 0 2 5 9 10 691
On the solution of dynamic linear rational expectations models 0 0 0 0 3 5 5 539
Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach 0 0 0 18 2 5 21 52
Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach 0 0 0 5 2 3 5 30
Optimal Prediction Under Asymmetric Loss 0 0 0 259 4 8 8 1,090
Optimal Prediction Under Asymmetric Loss 0 0 0 127 0 8 11 449
Optimal Prediction Under Asymmetric Loss 0 0 0 77 6 13 18 375
Optimal prediction under asymmetric loss 0 1 2 295 4 17 19 1,039
Parametric and Nonparametric Volatility Measurement 0 0 0 830 3 8 10 2,120
Parametric and Nonparametric Volatility Measurement 0 0 0 692 3 6 10 1,614
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 0 0 1 1 2 9 864
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 1 3 638 6 9 11 1,245
Post-deregulation deposit rate pricing: the multivariate dynamics 0 0 0 1 3 5 6 511
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 421 2 10 14 910
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 3 8 11 1,201
Practical volatility and correlation modeling for financial market risk management 0 0 2 397 4 9 18 869
Priors from Frequency-Domain Dummy Observations 0 1 2 38 6 9 12 106
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 8 5 8 10 44
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 15 1 1 3 27
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 11 0 5 7 31
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 2 5 6 7 33
Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function 0 0 0 0 4 4 5 440
Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think 0 0 1 815 3 6 14 2,206
Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing 0 0 3 1,608 28 31 37 3,640
Real exchange rates under the gold standard 0 0 0 252 3 10 16 1,614
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility 0 0 0 105 7 15 16 161
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility 0 0 0 2 1 3 8 38
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 0 102 4 9 12 361
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 1 1 124 8 11 15 339
Real-Time Measurement of Business Conditions 0 0 0 91 5 7 14 296
Real-Time Measurement of Business Conditions 0 0 0 0 1 5 7 636
Real-Time Measurement of Business Conditions 1 1 2 110 9 13 25 322
Real-Time Measurement of Business Conditions, Second Version 0 0 0 120 4 6 10 265
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 236 3 5 6 748
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 122 4 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 5 5 5 1,125
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 0 0 149 3 7 10 517
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 218 2 7 14 686
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 181 8 9 12 813
Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 0 0 0 7 2 3 5 45
Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession 0 0 0 21 2 7 11 83
Real-Time Real Economic Activity:Entering and Exiting the Pandemic Recession of 2020 1 2 2 13 2 7 10 41
Real-Time Real Economic Activity:Exiting the Great Recession and Entering the Pandemic Recession 0 0 0 40 2 2 9 68
Real-time forecast evaluation of DSGE models with stochastic volatility 0 0 1 74 3 10 12 96
Real-time macroeconomic monitoring: real activity, inflation, and interactions 0 0 0 40 2 11 19 228
Real-time measurement of business conditions 0 0 0 174 5 6 11 643
Real-time measurement of business conditions 0 0 1 148 3 6 16 358
Real-time price discovery in global stock, bond and foreign exchange markets 0 0 1 279 3 6 11 1,011
Real-time price discovery in stock, bond and foreign exchange markets 0 0 1 144 4 7 10 566
Realized Beta: Persistence and Predictability 0 0 0 516 3 6 14 928
Realized beta: Persistence and predictability 0 0 2 221 5 10 16 651
Regime switching with time-varying transition probabilities 0 0 0 10 6 11 22 2,422
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 4 171 1 7 21 575
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 2 356 6 9 15 1,000
Scoring the leading indicators 0 0 0 1 5 9 12 1,052
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 3 8 13 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 6 12 18 547
Stamp 5.0: A Review 0 0 0 143 1 3 3 587
State space modeling of time series: a review essay 0 0 0 0 3 4 8 1,183
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 1 182 9 16 23 430
Stock returns and expected business conditions: Half a century of direct evidence 0 0 1 113 2 7 8 385
Structural change and the combination of forecasts 0 0 0 2 3 7 8 599
Temporal aggregation of ARCH processes and the distribution of asset returns 0 0 0 0 2 4 10 327
Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures 0 0 0 1 3 8 13 593
The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models 1 1 1 230 7 12 24 665
The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models 0 0 0 152 4 6 8 431
The Distribution of Exchange Rate Volatility 0 0 1 552 2 10 13 1,456
The Distribution of Exchange Rate Volatility 0 0 1 323 3 6 16 875
The Distribution of Exchange Rate Volatility 0 0 1 531 3 6 11 1,324
The Distribution of Stock Return Volatility 0 0 0 839 3 7 13 2,248
The Distribution of Stock Return Volatility 0 0 0 906 2 9 10 2,410
The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach 0 0 2 496 7 15 28 1,364
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 26 7 8 11 79
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 1 151 2 4 7 491
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 332 15 17 19 951
The Nobel Memorial Prize for Robert F. Engle 0 0 0 148 5 8 9 615
The Nobel Memorial Prize for Robert F. Engle 0 0 0 61 1 6 9 305
The Nobel Memorial Prize for Robert F. Engle 0 0 0 145 3 4 6 541
The Past, Present, and Future of Macroeconomic Forecasting 0 0 0 288 7 11 13 954
The affine arbitrage-free class of Nelson-Siegel term structure models 0 0 2 200 3 8 16 593
The dynamics of exchange rate volatility: a multivariate latent factor ARCH model 0 0 0 1 7 12 17 840
The past, present, and future of macroeconomic forecasting 0 0 0 379 2 6 9 1,156
The use of prior information in forecast combination 0 0 0 1 3 3 4 503
Time Series Analysis 0 1 4 1,108 2 6 14 1,798
Time Series Analysis 0 1 3 145 1 5 11 395
Unit Root Tests Are Useful for Selecting Forecasting Models 0 0 0 409 6 8 12 1,461
Unit Root Tests are Useful for Selecting Forecasting Models 0 0 0 313 2 6 10 702
Unit roots in economic time series: a selective survey 0 0 0 3 14 17 21 1,219
Volatility Forecasting 0 0 0 950 5 14 22 1,293
Volatility Forecasting 0 1 1 562 6 16 18 1,018
Volatility forecasting 1 1 2 339 8 16 18 751
Weather Forecasting for Weather Derivatives 0 0 0 300 3 10 14 1,050
Weather Forecasting for Weather Derivatives 0 0 1 665 3 7 12 1,744
Weather forecasting for weather derivatives 0 0 1 328 2 2 6 844
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 48 6 6 7 33
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 1 2 6 11 22
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 11 1 5 9 63
Why Are Estimates of Agricultural Supply Response So Variable? 0 0 0 140 2 4 4 436
Why Are Estimates of Agricultural Supply Response so Variable? 0 0 0 11 1 2 2 23
Why are estimates of agricultural supply response so variable? 0 1 1 195 2 8 9 693
Total Working Papers 21 87 388 65,232 1,319 2,628 4,294 215,273

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 5 11 16 503
A Markov-switching multifractal inter-trade duration model, with application to US equities 0 0 1 50 5 9 15 222
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 1 1 2 79 4 7 10 452
A Nonparametric Investigation of Duration Dependence in the American Business Cycle 0 0 1 182 4 4 9 582
A benchmark model for fixed-target Arctic sea ice forecasting 0 0 0 0 6 8 11 20
A new test for market efficiency and uncovered interest parity 0 0 1 2 3 5 10 17
An Application of Operational-Subjective Statistical Methods to Rational Expectations: Comment 0 0 0 0 1 1 2 119
An arbitrage-free generalized Nelson--Siegel term structure model 0 0 0 138 14 17 21 569
Are long expansions followed by short contractions? 0 0 0 2 2 3 3 242
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 2 5 9 10
Assessing point forecast accuracy by stochastic error distance 0 0 0 2 1 3 6 21
Assessing point forecast accuracy by stochastic loss distance 0 0 0 10 2 3 5 50
Better to give than to receive: Predictive directional measurement of volatility spillovers 17 53 136 745 72 213 523 2,300
Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 2 146 4 6 12 1,161
Bootstrapping Multivariate Spectra 0 0 0 49 3 5 6 206
Climate models underestimate the sensitivity of Arctic sea ice to carbon emissions 0 0 0 2 3 4 7 16
Cointegration and Long-Horizon Forecasting 0 0 0 0 2 5 8 463
Comment 0 0 0 11 3 5 5 52
Comparing Predictive Accuracy 0 0 0 0 46 143 457 7,461
Comparing Predictive Accuracy 0 0 0 0 11 22 92 3,324
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 6 8 12 70 18 41 58 265
Discussion: The effect of seasonal adjustment filters on tests for a unit root 0 0 0 10 2 3 6 66
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data 0 0 0 86 2 4 11 358
Econometrics: Retrospect and prospect 0 0 0 24 1 2 4 116
Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate 0 0 0 15 1 6 9 91
Equity Market Spillovers in the Americas 0 0 1 126 9 13 18 428
Estimating global bank network connectedness 0 0 3 59 6 19 38 254
Evaluating Density Forecasts with Applications to Financial Risk Management 0 0 0 2 4 11 24 2,060
Exact maximum-likelihood estimation of autoregressive models via the Kalman filter 0 0 0 207 1 2 3 406
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 1 18 10 20 30 159
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 52 5 8 14 297
Five questions about business cycles 0 0 1 385 2 5 10 1,779
Forecast combination and encompassing: Reconciling two divergent literatures 0 0 1 86 5 6 9 213
Forecasting and empirical methods in finance and macroeconomics 0 1 2 73 2 6 9 194
Forecasting the term structure of government bond yields 0 10 47 541 20 65 214 2,163
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 1 6 10 248
Fractional integration and interval prediction 0 0 0 31 4 5 9 131
From the horse’s mouth: gauging conditional expected stock returns from investor surveys 0 0 0 12 1 1 2 86
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 0 0 194 1 5 5 662
Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach 1 4 15 278 15 26 54 1,104
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 1 35 3 7 13 176
Has the EMS Reduced Member-Country Exchange Rate Volatility? 0 0 0 0 1 1 3 160
Have Postwar Economic Fluctuations Been Stabilized? 0 0 1 55 7 11 17 396
Horizon problems and extreme events in financial risk management 0 1 1 191 6 10 13 770
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 2 348 4 5 11 1,122
Improving GDP measurement: A measurement-error perspective 0 0 1 81 3 10 23 386
Is Consumption Too Smooth? Long Memory and the Deaton Paradox 0 0 0 157 6 10 13 539
Job Stability in the United States 0 0 0 201 3 7 13 1,616
Long memory and persistence in aggregate output 0 0 0 160 0 1 3 366
Long memory and regime switching 0 0 0 279 4 7 12 788
Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives 1 4 9 40 8 20 39 146
Measuring Business Cycles: A Modern Perspective 1 3 10 506 10 18 43 1,694
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 0 0 0 654 13 28 70 2,350
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 1 3 19 70 11 36 98 227
Measuring predictability: theory and macroeconomic applications 0 0 0 222 4 8 10 844
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 4 18 600 11 54 117 2,027
Modeling Bond Yields in Finance and Macroeconomics 0 0 1 249 10 12 18 801
Modeling and Forecasting Realized Volatility 0 0 0 1,158 11 67 112 3,747
Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange 0 0 2 257 3 4 10 690
Nonparametric exchange rate prediction? 0 0 4 495 1 2 9 1,348
On Cointegration and Exchange Rate Dynamics 0 0 0 233 6 9 13 704
On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean 1 1 1 70 6 7 8 229
On robust inference in time-series regression 0 1 2 2 5 10 12 12
On the Comparison of Interval Forecasts 0 0 0 3 7 14 14 44
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 42 2 6 11 234
On the aggregation of probability assessments: Regularized mixtures of predictive densities for Eurozone inflation and real interest rates 0 0 3 3 1 4 9 15
On the network topology of variance decompositions: Measuring the connectedness of financial firms 3 9 40 863 28 83 207 2,527
On the power of Dickey-Fuller tests against fractional alternatives 0 0 1 154 7 10 18 401
Optimal Prediction Under Asymmetric Loss 0 0 0 72 5 8 10 257
Optimal combination of Arctic sea ice extent measures: A dynamic factor modeling approach 0 0 0 2 2 4 5 15
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 1 2 2 3 9 13 15
Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics 0 0 0 0 3 8 9 785
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 0 4 5 8 10
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 8 2 3 4 26
Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections 0 0 0 1 2 4 8 19
Range‐Based Estimation of Stochastic Volatility Models 0 0 1 137 3 20 31 498
Ratings migration and the business cycle, with application to credit portfolio stress testing 1 3 4 469 19 30 43 1,160
Real Exchange Rates under the Gold Standard 0 0 1 286 3 6 10 1,630
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 0 130 4 5 8 528
Real-Time Measurement of Business Conditions 0 2 4 333 10 47 56 1,012
Real-time forecast evaluation of DSGE models with stochastic volatility 0 0 0 14 2 5 10 90
Real-time price discovery in global stock, bond and foreign exchange markets 0 1 5 360 8 21 49 1,254
Rejoinder 0 0 0 3 1 2 3 40
Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms 0 1 1 8 7 16 18 47
Reprint of: When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume 0 0 0 0 2 2 2 4
Robust estimation - discussion 0 0 0 0 3 6 8 57
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 1 4 16 694 9 27 64 1,923
Scoring the Leading Indicators 1 1 2 767 7 10 19 1,747
Serial Correlation and the Combination of Forecasts 0 0 0 0 3 5 7 398
Shorter recessions and longer expansions 0 0 0 36 1 1 2 507
Software review 0 0 0 8 6 6 7 122
State space modeling of time series: A review essay 0 0 0 163 3 5 8 347
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 1 129 8 11 15 441
Stock returns and expected business conditions: half a century of direct evidence 0 0 1 24 7 8 10 152
Structural Time Series Analysis and Modelling Package: A Review 0 0 0 101 1 1 2 405
Structural change and the combination of forecasts 0 1 2 2 1 6 9 13
Symposium on Forecasting Performance: An Introduction 0 0 0 49 2 3 5 168
Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors' Introduction 0 0 0 1 2 4 9 290
THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003 0 0 0 21 1 5 6 80
Testing for bubbles, reflecting barriers and other anomalies 0 0 1 9 2 4 7 52
Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures 0 0 1 205 4 10 15 485
The Distribution of Realized Exchange Rate Volatility 0 2 6 214 4 23 36 698
The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model 0 2 3 751 6 8 13 1,610
The Nobel Memorial Prize for Robert F. Engle 0 0 0 35 6 7 13 419
The Past, Present, and Future of Macroeconomic Forecasting 1 1 1 181 3 7 13 801
The Uncertain Unit Root in Real GNP: Comment 0 0 1 100 3 6 9 406
The affine arbitrage-free class of Nelson-Siegel term structure models 1 3 29 450 16 28 89 1,387
The distribution of realized stock return volatility 0 3 9 867 4 23 43 2,249
The econometrics of macroeconomics, finance, and the interface 0 0 1 437 2 5 8 831
The exact initial covariance matrix of the state vector of a general MA(q) process 0 0 0 25 3 3 5 153
The macroeconomy and the yield curve: a dynamic latent factor approach 2 9 16 625 14 34 85 1,956
The use of prior information in forecast combination 0 0 1 126 7 10 12 292
Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 1 1 2 78 4 8 11 234
Unit-Root Tests Are Useful for Selecting Forecasting Models 0 0 0 0 16 19 27 693
Weather Forecasting for Weather Derivatives 0 0 3 98 2 8 14 356
When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume 0 0 0 2 5 9 11 21
Why are estimates of agricultural supply response so variable? 0 0 0 47 1 3 9 217
Total Journal Articles 40 138 457 19,080 720 1,702 3,581 80,129

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 4 11 13 165
Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring 0 0 0 0 12 35 113 694
The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice 0 0 0 0 1 8 14 207
Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach 0 0 0 0 1 10 39 565
Total Books 0 0 0 0 18 64 179 1,631

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 0 2 25 14 19 25 126
Commodity Connectedness 0 1 1 48 4 9 12 195
Equity Market Spillovers in the Americas 0 0 2 66 2 11 18 224
Facts, Factors, and Questions 0 0 0 104 4 8 12 276
Financial Risk Measurement for Financial Risk Management 0 1 2 61 12 35 46 376
Further Evidence on Business-Cycle Duration Dependence 0 0 0 96 7 10 10 249
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 60 9 12 16 174
Introduction 0 0 0 3 0 4 8 24
On Asymmetry in Economic Time Series 0 0 0 0 1 2 3 3
On the Evolution of US Temperature Dynamics 0 0 2 3 2 5 14 24
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 1 1 251 6 11 12 776
Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 0 0 0 0 1 2 3 11
Realized Beta: Persistence and Predictability 0 0 7 10 1 6 31 43
Volatility and Correlation Forecasting 0 1 6 681 16 42 67 2,402
Total Chapters 0 4 23 1,408 79 176 277 4,903

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