Access Statistics for Francis Diebold

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Last month 3 months 12 months Total Last month 3 months 12 months Total
"Big Data" and its Origins 1 2 2 161 1 2 5 119
(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation 0 0 2 973 1 1 7 1,818
A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting 0 0 1 11 0 0 3 28
A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting 0 0 1 22 0 0 1 34
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 187 1 1 5 486
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 207 0 1 3 577
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 65 1 1 2 200
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 32 0 0 1 140
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 1 0 0 0 24
A New Test for Market Efficiency and Uncovered Interest Parity 0 0 0 10 0 0 2 19
A New Test for Market Efficiency and Uncovered Interest Parity 0 0 0 24 0 1 30 51
A New Test forMarket Efficiency and Uncovered Interest Parity 0 0 0 8 0 0 3 28
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 136 0 0 1 370
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 155 0 0 1 361
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 26 0 0 1 170
A Personal Perspective on the Origin(s) and Development of “Big Data": The Phenomenon, the Term, and the Discipline, Second Version 0 1 7 168 2 7 29 497
A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration 0 0 1 620 1 2 8 1,877
A framework for exploring the macroeconomic determinants of systematic risk 0 1 1 184 0 1 3 530
A no-arbitrage approach to range-based estimation of return covariances and correlations 0 1 1 139 0 1 1 347
A nonparametric investigation of duration dependence in the American business cycle 0 0 0 1 0 0 2 363
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 0 0 0 104 0 0 1 331
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 0 0 0 188 0 1 5 530
An application of operational-subjective statistical methods to rational expectations: comment 0 0 0 0 0 0 0 416
An arbitrage-free generalized Nelson-Siegel term structure model 0 0 2 337 1 1 6 804
Assessing Point Forecast Accuracy by Stochastic Error Distance 0 0 0 53 0 0 2 43
Assessing Point Forecast Accuracy by Stochastic Error Distance 0 0 0 77 0 0 0 46
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 0 3 15
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 0 1 8
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 0 2 8
Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics 0 0 0 7 1 3 8 504
Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts 0 1 2 72 1 2 5 67
Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers 5 21 84 1,770 21 64 209 4,197
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 211 0 2 13 815
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 1 273 0 0 3 1,509
Bounded rationality and strategic complementarity in a macroeconomic model: policy effects, persistence, and multipliers 0 0 0 2 0 1 5 462
Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions 0 0 1 4 0 0 1 6
Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions 0 0 0 4 0 0 0 6
Clustered Network Connectedness: A New Measurement Framework with Application to Global Equity Markets 1 11 16 16 3 14 16 16
Clustered Network Connectedness:A New Measurement Frameworkwith Application to Global Equity Markets 0 11 18 18 8 28 47 47
Cointegration and Long-Horizon Forecasting 0 0 0 196 1 1 2 485
Cointegration and Long-Horizon Forecasting 0 0 0 549 0 0 3 1,747
Cointegration and long-horizon forecasting 0 1 1 618 0 1 4 1,576
Commodity Connectedness 0 1 8 125 1 3 23 360
Commodity Connectedness 0 0 0 15 0 0 0 44
Commodity connectedness 0 1 2 24 0 1 8 92
Comparing Predictive Accuracy 2 6 20 1,910 2 15 60 4,580
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 0 0 1 51 0 0 3 188
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 0 0 0 356 0 1 4 375
Comparing predictive accuracy I: an asymptotic test 0 1 8 216 2 9 24 1,249
Conditional heteroskedasticity in the market 0 0 0 0 0 0 1 395
Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think 0 1 7 425 3 5 22 1,511
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again 0 0 0 304 0 1 5 1,684
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again 0 1 1 474 2 3 3 3,474
Deviations from random-walk behavior: tests based on the variance-time function 0 0 0 0 0 3 4 467
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 422 0 0 2 969
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 11 0 0 3 86
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 11 0 1 3 95
Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore 0 2 2 103 0 3 5 297
Does the business cycle have duration memory? 0 0 0 1 1 1 2 282
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data 0 0 0 211 0 0 2 1,590
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 92 1 1 1 631
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 154 0 0 1 1,151
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 140 0 0 0 614
Estimating Global Bank Network Connectedness 0 0 0 9 0 0 3 91
Estimating Global Bank Network Connectedness 0 0 1 62 0 1 12 196
Estimating Global Bank Network Connectedness 0 0 0 553 0 1 6 1,234
Evaluating Density Forecasts 0 0 0 383 1 1 4 1,289
Evaluating Density Forecasts 0 0 0 189 0 1 3 543
Evaluating Density Forecasts 0 0 0 69 0 1 3 369
Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters 0 0 0 0 0 0 1 651
Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters 0 0 1 271 0 1 9 1,260
Evaluating density forecasts 0 0 0 257 0 0 3 855
Ex ante turning point forecasting with the composite leading index 0 0 0 0 0 0 1 571
Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models 0 0 0 292 0 0 0 1,721
Exact maximum likelihood estimation of ARCH models 0 0 0 0 0 1 3 774
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 0 0 0 303 0 0 1 1,114
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 2 495 0 0 4 1,604
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 304 0 0 0 840
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 1 1 3 212 2 2 6 593
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 1 230 2 2 5 675
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 0 576 0 0 3 1,943
Financial Risk Management in a Volatile Global Environment 0 0 0 715 0 1 7 2,176
Financial Risk Measurement for Financial Risk Management 0 0 1 207 0 1 4 585
Financial Risk Measurement for Financial Risk Management 0 0 0 247 0 0 8 552
Financial Risk Measurement for Financial Risk Management 0 1 3 181 1 3 12 542
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 1 1 215 0 1 1 417
Forecast Evaluation and Combination 0 0 0 1,081 0 2 11 3,171
Forecast combination and encompassing: reconciling two divergent literatures 0 0 0 0 0 0 0 510
Forecast evaluation and combination 0 1 2 521 0 1 3 1,542
Forecasting output with the composite leading index: an ex ante analysis 0 0 0 0 0 2 3 1,037
Forecasting the Term Structure of Government Bond Yields 0 1 7 841 1 3 17 2,280
Forecasting the Term Structure of Government Bond Yields 0 0 0 898 1 1 3 2,138
Forecasting the term structure of government bond yields 0 2 5 832 1 4 13 1,999
Further Results on Forecasting and Model Selection Under Asymmetric Loss 0 0 0 184 0 0 0 485
Further evidence on business cycle duration dependence 0 0 0 0 0 0 1 410
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach 0 0 1 361 1 1 4 893
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach 0 0 0 178 0 0 1 657
Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach 0 1 1 13 0 1 3 69
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 1 196 0 1 3 521
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 1 114 0 0 4 283
Have postwar economic fluctuations been stabilized? 0 0 0 0 1 1 2 369
Have postwar economic fluctuations been stabilized? 0 0 0 62 0 0 4 481
High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models 0 0 0 221 1 1 2 884
Horizon Problems and Extreme Events in Financial Risk Management 0 0 1 513 0 1 4 1,742
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 790 0 0 1 2,795
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 0 0 1 1,581
How Relevant is Volatility Forecasting for Financial Risk Management? 0 1 1 333 0 1 1 914
Improving GDP Measurement: A Forecast Combination Perspective 0 0 0 80 1 2 12 280
Improving GDP Measurement: A Forecast Combination Perspective 0 0 1 57 0 0 2 189
Improving GDP Measurement: A Measurement-Error Perspective 0 0 1 70 0 0 5 157
Improving GDP Measurement: A Measurement-Error Perspective 0 0 0 53 0 0 2 168
Improving GDP measurement: a forecast combination perspective 0 0 0 71 0 0 1 130
Improving GDP measurement: a measurement-error perspective 0 0 0 45 0 0 1 207
International evidence on business cycle duration dependence 0 0 0 56 0 1 1 376
Is consumption too smooth? Long memory and the Deaton paradox 0 0 0 0 0 0 0 1,012
Job Stability in the United States 0 0 0 158 0 0 3 1,303
Long Memory and Regime Switching 0 0 2 588 0 0 3 1,467
Long memory and persistence in aggregate output 0 0 0 1 0 0 1 864
Machine Learning and the Yield Curve: Tree-Based Macroeconomic Regime Switching 0 1 28 28 0 1 51 51
Machine Learning and the Yield Curve:Tree-Based Macroeconomic Regime Switching 1 2 15 15 2 9 37 37
Machine Learning for Regularized Survey Forecast Combination: Partially Egalitarian Lasso and its Derivatives 0 0 0 39 0 1 40 132
Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives 0 0 0 72 0 1 1 113
Macroeconomic Volatility and Stock Market Volatility, World-Wide 0 0 0 158 0 0 3 381
Macroeconomic Volatility and Stock Market Volatility, Worldwide 0 0 1 215 1 1 6 673
Macroeconomic Volatility and Stock Market Volatility,World-Wide 0 2 3 963 2 6 12 2,481
Measuring Business Cycle: A Modern Perspective 0 0 3 460 1 1 7 1,032
Measuring Business Cycles: A Modern Perspective 0 0 2 537 2 4 14 1,487
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 0 2 153 0 0 8 542
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 1 4 4 228 2 6 19 653
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 0 2 173 0 2 10 596
Measuring Predictability: Theory And Macroeconomic Applications 0 1 1 127 0 1 3 568
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 1 0 0 4 632
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 197 0 0 1 1,175
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 51 0 0 1 377
Measuring Volatility Dynamics 0 0 0 504 1 2 2 1,960
Measuring financial asset return and volatility spillovers, with application to global equity markets 0 0 0 113 2 3 13 475
Measuring financial asset return and volatility spillovers, with application to global equity markets 0 1 1 25 0 1 4 222
Measuring financial asset return and volatilty spillovers, with application to global equity markets 0 1 1 38 1 3 7 230
Measuring predictability: theory and macroeconomic applications 0 0 0 166 0 1 8 745
Measuring the Dynamics of Global Business Cycle Connectedness 0 1 3 148 1 2 10 455
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 1 2 289 0 1 4 1,036
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 0 478 0 0 5 2,262
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 0 52 0 0 1 510
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 1 2 356 1 2 6 1,266
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 206 0 0 1 493
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 371 0 1 3 957
Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management 1 1 3 529 1 3 9 1,338
Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management 1 2 4 1,411 2 3 10 3,611
Modeling Volatility Dynamics 0 0 0 372 0 0 2 711
Modeling and Forecasting Realized Volatility 1 1 3 994 2 6 12 2,177
Modeling and Forecasting Realized Volatility 0 0 3 1,261 3 5 24 2,995
Modeling and Forecasting Realized Volatility 1 1 2 792 1 1 4 1,895
Modeling bond yields in finance and macroeconomics 0 0 5 258 1 2 7 630
Modeling bond yields in finance and macroeconomics 0 1 1 271 1 2 4 717
Modeling volatility dynamics 0 0 0 409 0 0 0 999
Near-rationality and strategic complementarity in a macroeconomic model: policy effects, persistence and multipliers 0 0 0 0 0 0 2 157
Nonparametric exchange rate prediction? 0 0 0 3 0 1 2 1,468
On Robust Inference in Time Series Regression 0 0 2 124 0 1 9 43
On Robust Inference in Time Series Regression 0 0 3 4 0 1 34 38
On Robust Inference in Time Series Regression 0 0 0 20 0 0 5 45
On cointegration and exchange rate dynamics 0 0 0 3 0 0 2 532
On comparing information in forecasts from econometric models: a comment on Fair and Shiller 0 0 0 0 0 0 1 154
On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean 0 0 0 85 0 0 1 680
On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean 0 0 0 1 0 0 3 260
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone In?ation and Real Interest Rates 0 0 0 7 0 0 1 22
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 0 0 0 0 1 36
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 0 12 0 0 2 27
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 0 11 0 0 3 15
On the Comparison of Interval Forecasts 0 1 1 46 1 6 8 92
On the Correlation Structure of Microstructure Noise in Theory and Practice 0 0 0 90 0 0 1 280
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 37 0 0 0 150
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 163 0 0 1 448
On the Evolution of U.S. Temperature Dynamics 0 0 1 12 0 0 1 28
On the Evolution of U.S. Temperature Dynamics 0 0 0 69 0 0 1 80
On the Financing of Climate Change Adaptation in Developing Countries 1 1 2 43 4 4 6 19
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 0 2 111 0 1 9 349
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 1 2 4 175 1 3 12 763
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 0 1 260 1 2 5 531
On the Origin(s) and Development of the Term “Big Data" 0 1 2 274 0 3 9 439
On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness 0 0 1 9 0 0 5 31
On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness 0 0 0 42 3 6 14 122
On the Wisdom of Crowds (of Economists) 0 35 35 35 0 5 5 5
On the Wisdom of Crowds (of Economists) 0 0 0 0 0 0 0 0
On the correlation structure of microstructure noise in theory and practice 0 1 1 11 0 2 2 69
On the network topology of variance decompositions: Measuring the connectedness of financial firms 0 0 0 121 0 2 17 403
On the power of Dickey-Fuller tests against fractional alternatives 0 0 0 2 1 1 1 682
On the solution of dynamic linear rational expectations models 0 0 0 0 0 0 0 534
Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach 0 0 0 18 0 0 2 33
Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach 0 0 0 5 0 0 1 25
Optimal Prediction Under Asymmetric Loss 0 0 0 259 0 0 0 1,082
Optimal Prediction Under Asymmetric Loss 0 0 0 77 4 4 7 361
Optimal Prediction Under Asymmetric Loss 0 0 0 127 0 2 5 441
Optimal prediction under asymmetric loss 0 0 1 293 1 1 5 1,021
Parametric and Nonparametric Volatility Measurement 0 0 4 830 0 0 6 2,110
Parametric and Nonparametric Volatility Measurement 0 0 0 692 0 0 5 1,605
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 1 2 637 0 1 6 1,236
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 0 0 1 0 1 5 858
Post-deregulation deposit rate pricing: the multivariate dynamics 0 0 0 1 0 0 3 506
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 2 421 0 0 6 898
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 0 0 3 1,190
Practical volatility and correlation modeling for financial market risk management 0 2 2 397 0 3 5 854
Priors from Frequency-Domain Dummy Observations 0 0 0 36 0 0 3 95
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 8 0 1 3 36
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 15 0 0 1 24
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 2 0 1 1 27
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 1 11 0 0 1 24
Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function 0 0 0 0 0 0 3 436
Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think 0 1 1 815 0 4 5 2,197
Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing 0 1 2 1,607 0 1 4 3,605
Real exchange rates under the gold standard 0 0 1 252 1 1 4 1,600
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility 0 0 0 105 0 0 1 145
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility 0 0 0 2 0 0 3 32
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 0 123 0 1 6 325
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 0 102 1 1 3 351
Real-Time Measurement of Business Conditions 0 1 2 109 1 4 8 302
Real-Time Measurement of Business Conditions 0 0 0 91 0 2 3 285
Real-Time Measurement of Business Conditions 0 0 0 0 0 0 1 629
Real-Time Measurement of Business Conditions, Second Version 0 0 0 120 0 0 1 255
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 198 0 0 0 1,120
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 122 0 1 1 380
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 236 0 0 1 742
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 0 0 149 0 0 3 508
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 218 0 2 5 675
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 181 0 0 1 801
Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 0 0 0 7 0 0 1 41
Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession 0 0 0 21 0 0 4 74
Real-Time Real Economic Activity:Entering and Exiting the Pandemic Recession of 2020 0 0 1 11 1 1 4 32
Real-Time Real Economic Activity:Exiting the Great Recession and Entering the Pandemic Recession 0 0 0 40 0 0 3 59
Real-time forecast evaluation of DSGE models with stochastic volatility 0 1 1 74 0 1 3 85
Real-time macroeconomic monitoring: real activity, inflation, and interactions 0 0 0 40 0 2 9 214
Real-time measurement of business conditions 0 0 0 174 0 0 1 633
Real-time measurement of business conditions 0 1 3 148 1 3 11 347
Real-time price discovery in global stock, bond and foreign exchange markets 0 0 2 278 1 1 6 1,003
Real-time price discovery in stock, bond and foreign exchange markets 0 1 1 144 1 2 3 559
Realized Beta: Persistence and Predictability 0 0 1 516 0 3 7 919
Realized beta: Persistence and predictability 1 2 3 221 1 3 8 639
Regime switching with time-varying transition probabilities 0 0 0 10 1 3 17 2,406
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 2 2 4 169 2 2 16 560
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 1 2 2 356 2 3 9 989
Scoring the leading indicators 0 0 0 1 0 0 2 1,041
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 0 0 1 163 0 1 4 531
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 0 3 1,022
Stamp 5.0: A Review 0 0 0 143 0 0 1 584
State space modeling of time series: a review essay 0 0 0 0 0 1 2 1,176
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 1 1 182 0 2 9 410
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 0 106 0 0 3 353
Stock returns and expected business conditions: Half a century of direct evidence 0 1 1 113 0 1 1 378
Structural change and the combination of forecasts 0 0 0 2 0 1 2 592
Temporal aggregation of ARCH processes and the distribution of asset returns 0 0 0 0 0 1 3 319
Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures 0 0 0 1 0 0 1 580
The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models 0 0 0 229 0 2 11 650
The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models 0 0 0 152 0 0 1 423
The Distribution of Exchange Rate Volatility 0 1 2 531 0 1 3 1,315
The Distribution of Exchange Rate Volatility 0 0 1 323 0 4 6 864
The Distribution of Exchange Rate Volatility 0 1 1 552 0 1 6 1,445
The Distribution of Stock Return Volatility 0 0 0 839 1 2 4 2,238
The Distribution of Stock Return Volatility 0 0 0 906 1 1 6 2,401
The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach 0 0 4 495 0 0 11 1,338
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 332 0 0 2 934
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 1 151 0 0 3 485
The Nobel Memorial Prize for Robert F. Engle 0 0 0 145 0 0 10 535
The Nobel Memorial Prize for Robert F. Engle 0 0 0 148 0 0 4 607
The Nobel Memorial Prize for Robert F. Engle 0 0 0 61 0 0 2 296
The Past, Present, and Future of Macroeconomic Forecasting 0 0 0 288 0 1 2 942
The affine arbitrage-free class of Nelson-Siegel term structure models 0 0 1 198 0 0 4 578
The dynamics of exchange rate volatility: a multivariate latent factor ARCH model 0 0 0 1 2 2 7 826
The macroeconomy and the yield curve: a nonstructural analysis 0 0 0 26 0 0 2 69
The past, present, and future of macroeconomic forecasting 0 0 0 379 0 0 2 1,147
The use of prior information in forecast combination 0 0 0 1 0 1 2 500
Time Series Analysis 0 2 2 144 0 4 8 388
Time Series Analysis 0 1 2 1,105 0 1 9 1,787
Unit Root Tests Are Useful for Selecting Forecasting Models 0 0 0 409 0 0 1 1,450
Unit Root Tests are Useful for Selecting Forecasting Models 0 0 0 313 0 0 1 693
Unit roots in economic time series: a selective survey 0 0 0 3 0 1 8 1,199
Volatility Forecasting 0 0 3 561 0 0 8 1,000
Volatility Forecasting 0 0 2 950 0 1 8 1,274
Volatility forecasting 0 1 3 338 0 1 7 735
Weather Forecasting for Weather Derivatives 0 0 1 665 0 0 2 1,733
Weather Forecasting for Weather Derivatives 0 0 0 300 0 2 5 1,040
Weather forecasting for weather derivatives 0 1 1 328 0 1 3 840
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 11 0 1 5 56
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 1 0 1 3 13
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 48 0 0 0 26
Why Are Estimates of Agricultural Supply Response So Variable? 0 0 0 140 0 0 1 432
Why Are Estimates of Agricultural Supply Response so Variable? 0 0 0 11 0 0 1 21
Why are estimates of agricultural supply response so variable? 0 0 0 194 0 0 0 684
Total Working Papers 22 158 437 65,060 128 422 1,759 211,760


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 0 1 488
A Markov-switching multifractal inter-trade duration model, with application to US equities 0 1 1 50 0 1 3 208
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 77 0 0 2 443
A Nonparametric Investigation of Duration Dependence in the American Business Cycle 0 0 1 182 0 0 3 575
A benchmark model for fixed-target Arctic sea ice forecasting 0 0 0 0 0 0 2 10
A new test for market efficiency and uncovered interest parity 0 0 0 1 0 1 3 8
An Application of Operational-Subjective Statistical Methods to Rational Expectations: Comment 0 0 0 0 0 0 2 118
An arbitrage-free generalized Nelson--Siegel term structure model 0 0 0 138 0 0 6 549
Are long expansions followed by short contractions? 0 0 0 2 0 0 2 239
Assessing and comparing fixed-target forecasts of Arctic sea ice: Glide charts for feature-engineered linear regression and machine learning models 0 0 0 0 0 1 2 2
Assessing point forecast accuracy by stochastic error distance 0 0 0 2 0 0 0 15
Assessing point forecast accuracy by stochastic loss distance 0 0 0 10 0 0 2 46
Better to give than to receive: Predictive directional measurement of volatility spillovers 8 29 72 647 28 92 225 1,898
Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 1 2 146 0 1 5 1,151
Bootstrapping Multivariate Spectra 0 0 0 49 0 0 3 201
Climate models underestimate the sensitivity of Arctic sea ice to carbon emissions 0 0 0 2 2 2 10 12
Cointegration and Long-Horizon Forecasting 0 0 0 0 0 1 3 456
Comment 0 0 0 11 0 0 1 47
Comparing Predictive Accuracy 0 0 0 0 37 116 344 7,155
Comparing Predictive Accuracy 0 0 0 0 9 23 70 3,265
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 1 3 7 61 1 8 30 215
Discussion: The effect of seasonal adjustment filters on tests for a unit root 0 0 0 10 0 0 2 60
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data 0 0 0 86 0 0 3 348
Econometrics: Retrospect and prospect 0 0 0 24 0 0 1 112
Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate 0 0 0 15 1 1 3 83
Equity Market Spillovers in the Americas 0 1 1 126 0 1 4 412
Estimating global bank network connectedness 0 1 3 58 1 6 20 226
Evaluating Density Forecasts with Applications to Financial Risk Management 0 0 0 2 2 4 20 2,042
Exact maximum-likelihood estimation of autoregressive models via the Kalman filter 0 0 0 207 0 0 0 403
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 1 4 18 2 5 18 138
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 1 52 0 1 6 286
Five questions about business cycles 0 0 1 384 1 1 6 1,772
Forecast combination and encompassing: Reconciling two divergent literatures 0 1 1 86 0 1 1 205
Forecasting and empirical methods in finance and macroeconomics 0 0 3 71 0 0 7 186
Forecasting the term structure of government bond yields 5 9 30 508 16 35 122 2,009
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 0 2 239
Fractional integration and interval prediction 0 0 0 31 0 0 2 123
From the horse’s mouth: gauging conditional expected stock returns from investor surveys 0 0 0 12 0 0 3 84
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 0 0 194 0 0 0 657
Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach 1 3 6 266 2 7 21 1,060
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 1 35 0 3 7 168
Has the EMS Reduced Member-Country Exchange Rate Volatility? 0 0 0 0 0 0 2 158
Have Postwar Economic Fluctuations Been Stabilized? 0 0 0 54 1 1 3 381
Horizon problems and extreme events in financial risk management 0 0 0 190 0 0 1 757
How Relevant is Volatility Forecasting for Financial Risk Management? 1 1 3 347 2 3 8 1,114
Improving GDP measurement: A measurement-error perspective 0 1 4 81 1 2 12 366
Is Consumption Too Smooth? Long Memory and the Deaton Paradox 0 0 1 157 0 0 3 527
Job Stability in the United States 0 0 2 201 0 0 4 1,604
Long memory and persistence in aggregate output 0 0 1 160 0 0 3 363
Long memory and regime switching 0 0 0 279 0 3 6 780
Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives 1 1 9 33 2 9 26 121
Measuring Business Cycles: A Modern Perspective 0 2 11 501 1 6 37 1,665
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 0 0 0 654 7 14 77 2,309
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 3 8 23 62 8 23 61 164
Measuring predictability: theory and macroeconomic applications 0 0 1 222 0 2 3 836
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 1 4 8 588 4 18 49 1,940
Modeling Bond Yields in Finance and Macroeconomics 0 1 2 249 1 2 7 788
Modeling and Forecasting Realized Volatility 0 0 0 1,158 2 8 33 3,650
Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange 1 1 1 256 1 1 3 681
Nonparametric exchange rate prediction? 0 2 7 495 1 4 12 1,345
On Cointegration and Exchange Rate Dynamics 0 0 1 233 0 0 5 692
On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean 0 0 1 69 0 1 5 222
On the Comparison of Interval Forecasts 0 0 0 3 0 0 1 30
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 42 0 2 2 225
On the aggregation of probability assessments: Regularized mixtures of predictive densities for Eurozone inflation and real interest rates 1 1 3 3 1 2 9 11
On the network topology of variance decompositions: Measuring the connectedness of financial firms 4 13 40 839 11 35 136 2,375
On the power of Dickey-Fuller tests against fractional alternatives 1 1 3 154 1 1 4 385
Optimal Prediction Under Asymmetric Loss 0 0 1 72 0 0 2 247
Optimal combination of Arctic sea ice extent measures: A dynamic factor modeling approach 0 0 0 2 1 1 2 11
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 0 1 1 0 0 3 4
Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics 0 0 0 0 1 1 3 777
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 0 0 1 1 3
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 1 8 0 0 2 22
Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections 0 0 0 1 0 1 5 13
Range‐Based Estimation of Stochastic Volatility Models 0 0 2 136 0 2 10 470
Ratings migration and the business cycle, with application to credit portfolio stress testing 0 0 1 465 1 3 10 1,120
Real Exchange Rates under the Gold Standard 0 1 2 286 0 2 3 1,622
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 0 130 0 1 5 522
Real-Time Measurement of Business Conditions 0 0 5 330 0 4 29 962
Real-time forecast evaluation of DSGE models with stochastic volatility 0 0 0 14 0 0 2 80
Real-time price discovery in global stock, bond and foreign exchange markets 0 1 2 357 3 11 27 1,220
Rejoinder 0 0 0 3 0 0 4 37
Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms 0 0 0 7 0 1 8 31
Reprint of: When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume 0 0 0 0 0 0 1 2
Robust estimation - discussion 0 0 0 0 0 0 1 50
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 1 4 17 686 4 10 48 1,876
Scoring the Leading Indicators 0 1 3 766 0 2 6 1,731
Serial Correlation and the Combination of Forecasts 0 0 0 0 0 1 1 392
Shorter recessions and longer expansions 0 0 0 36 0 0 1 505
Software review 0 0 0 8 0 0 2 116
State space modeling of time series: A review essay 0 0 0 163 0 0 0 339
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 1 129 0 1 4 428
Stock returns and expected business conditions: half a century of direct evidence 0 0 0 23 0 1 2 143
Structural Time Series Analysis and Modelling Package: A Review 0 0 0 101 0 0 1 403
Structural change and the combination of forecasts 0 0 0 0 2 2 3 6
Symposium on Forecasting Performance: An Introduction 0 0 0 49 0 0 2 164
Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors' Introduction 0 0 0 1 2 4 5 286
THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003 0 0 0 21 0 0 1 75
Testing for bubbles, reflecting barriers and other anomalies 0 0 0 8 0 0 0 45
Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures 0 0 1 205 1 1 6 472
The Distribution of Realized Exchange Rate Volatility 0 1 4 211 0 1 14 668
The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model 0 0 2 748 1 1 6 1,599
The Nobel Memorial Prize for Robert F. Engle 0 0 0 35 1 3 6 410
The Past, Present, and Future of Macroeconomic Forecasting 0 0 0 180 0 0 2 790
The Uncertain Unit Root in Real GNP: Comment 1 1 1 100 1 2 2 399
The affine arbitrage-free class of Nelson-Siegel term structure models 4 12 26 439 7 22 66 1,328
The distribution of realized stock return volatility 0 3 6 862 0 4 28 2,219
The econometrics of macroeconomics, finance, and the interface 0 0 1 437 0 2 4 826
The exact initial covariance matrix of the state vector of a general MA(q) process 0 0 0 25 0 0 1 148
The macroeconomy and the yield curve: a dynamic latent factor approach 0 2 10 612 3 16 61 1,892
The use of prior information in forecast combination 1 1 2 126 1 1 3 281
Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 0 0 4 77 0 0 10 224
Unit-Root Tests Are Useful for Selecting Forecasting Models 0 0 0 0 1 1 3 669
Weather Forecasting for Weather Derivatives 0 0 3 97 0 0 4 344
When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume 0 0 0 2 0 0 1 10
Why are estimates of agricultural supply response so variable? 0 0 0 47 1 1 2 210
Total Journal Articles 35 113 351 18,793 177 552 1,892 77,394


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 0 0 7 153
Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring 0 0 0 0 7 28 109 624
The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice 0 0 0 0 0 1 7 195
Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach 0 0 0 0 1 6 23 534
Total Books 0 0 0 0 8 35 146 1,506


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 24 0 0 5 102
Commodity Connectedness 0 0 0 47 0 1 4 184
Equity Market Spillovers in the Americas 0 1 2 65 0 2 5 209
Facts, Factors, and Questions 0 0 0 104 2 2 4 268
Financial Risk Measurement for Financial Risk Management 0 0 3 60 0 3 23 336
Further Evidence on Business-Cycle Duration Dependence 0 0 0 96 0 0 0 239
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 60 0 1 5 162
Introduction 0 0 0 3 0 1 3 17
On Asymmetry in Economic Time Series 0 0 0 0 0 0 1 1
On the Evolution of US Temperature Dynamics 0 0 2 3 0 1 10 16
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 250 0 0 4 764
Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 0 0 0 0 0 1 3 9
Realized Beta: Persistence and Predictability 4 6 7 10 6 13 19 28
Volatility and Correlation Forecasting 1 2 12 678 4 9 39 2,348
Total Chapters 5 9 29 1,400 12 34 125 4,683


Statistics updated 2025-07-04