Access Statistics for Francis Diebold

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"Big Data" and its Origins 0 0 1 163 0 2 18 139
(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation 0 0 0 973 0 0 13 1,833
A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting 0 0 0 11 0 0 8 37
A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting 0 0 0 22 0 1 7 43
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 207 0 1 10 589
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 187 0 0 15 501
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 32 0 3 16 157
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 65 0 3 21 221
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 1 0 1 11 35
A New Test for Market Efficiency and Uncovered Interest Parity 0 0 0 10 0 2 10 29
A New Test for Market Efficiency and Uncovered Interest Parity 0 0 1 25 0 1 10 63
A New Test forMarket Efficiency and Uncovered Interest Parity 0 0 1 9 0 0 12 43
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 155 1 1 12 374
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 26 0 1 12 182
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 136 0 0 9 380
A Personal Perspective on the Origin(s) and Development of “Big Data": The Phenomenon, the Term, and the Discipline, Second Version 0 0 1 169 1 4 20 520
A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration 0 0 1 621 1 1 20 1,902
A framework for exploring the macroeconomic determinants of systematic risk 0 0 0 184 0 2 11 541
A no-arbitrage approach to range-based estimation of return covariances and correlations 0 0 0 139 1 1 11 359
A nonparametric investigation of duration dependence in the American business cycle 0 0 0 1 0 2 13 376
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 0 0 0 188 1 1 14 546
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 0 0 1 105 0 0 27 359
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 0 0 0 337 1 1 23 829
An application of operational-subjective statistical methods to rational expectations: comment 0 0 0 0 0 0 4 420
Assessing Point Forecast Accuracy by Stochastic Error Distance 0 0 0 77 1 2 22 68
Assessing Point Forecast Accuracy by Stochastic Error Distance 0 0 0 53 0 1 15 59
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 1 11 28
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 1 9 17
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 4 12 20
Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics 0 0 0 7 0 1 6 510
Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts 0 0 0 72 0 1 13 80
Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers 1 8 55 1,839 10 33 258 4,494
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 211 1 3 13 828
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 273 0 1 8 1,518
Bounded rationality and strategic complementarity in a macroeconomic model: policy effects, persistence, and multipliers 0 0 0 2 0 0 2 465
Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions 0 0 0 4 1 2 8 16
Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions 0 0 0 4 0 1 11 17
Clustered Network Connectedness: A New Measurement Framework with Application to Global Equity Markets 1 1 5 23 2 5 34 55
Clustered Network Connectedness: A New Measurement Framework, with Application to Global Equity Markets 0 1 10 10 2 8 18 18
Clustered Network Connectedness:A New Measurement Frameworkwith Application to Global Equity Markets 0 0 7 28 0 1 32 91
Cointegration and Long-Horizon Forecasting 0 0 0 196 0 0 34 522
Cointegration and Long-Horizon Forecasting 0 0 0 549 0 2 12 1,761
Cointegration and long-horizon forecasting 0 0 0 618 0 1 9 1,586
Commodity Connectedness 0 0 0 15 0 5 23 68
Commodity Connectedness 1 2 7 133 5 10 52 414
Commodity connectedness 0 0 0 24 0 0 13 105
Comparing Predictive Accuracy 4 7 26 1,941 4 12 108 4,705
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 0 1 3 54 1 6 26 214
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 0 2 3 359 4 9 33 408
Comparing predictive accuracy I: an asymptotic test 1 1 8 224 6 7 64 1,321
Conditional heteroskedasticity in the market 0 0 0 0 0 1 9 404
Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think 1 1 1 428 1 3 24 1,539
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again 0 0 0 304 0 1 14 1,699
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again 0 0 0 474 0 0 12 3,486
Deviations from random-walk behavior: tests based on the variance-time function 0 0 0 0 0 0 4 474
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 2 13 0 0 14 109
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 423 3 6 20 990
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 12 0 0 11 98
Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore 0 0 0 103 0 0 7 305
Does the business cycle have duration memory? 0 0 0 1 0 1 6 288
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data 0 0 0 211 0 1 14 1,605
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 92 0 0 24 655
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 140 0 1 4 621
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 154 0 1 8 1,159
Estimating Global Bank Network Connectedness 0 0 1 64 1 4 32 232
Estimating Global Bank Network Connectedness 0 0 0 553 5 7 33 1,272
Estimating Global Bank Network Connectedness 0 0 0 9 1 4 20 114
Evaluating Density Forecasts 0 0 0 189 0 1 12 555
Evaluating Density Forecasts 0 0 0 69 0 0 13 382
Evaluating Density Forecasts 0 0 0 383 0 4 38 1,328
Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters 0 0 0 0 0 1 10 662
Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters 0 0 1 272 0 1 15 1,277
Evaluating density forecasts 0 1 2 259 0 1 34 890
Ex ante turning point forecasting with the composite leading index 0 0 0 0 0 0 4 575
Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models 0 0 0 292 0 0 12 1,734
Exact maximum likelihood estimation of ARCH models 0 0 0 0 1 1 5 780
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 0 0 1 304 1 3 23 1,137
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 495 2 6 30 1,637
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 304 1 2 23 863
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 230 0 2 23 699
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 1 213 0 4 21 615
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 0 576 0 1 11 1,954
Financial Risk Management in a Volatile Global Environment 0 0 0 715 0 0 15 2,198
Financial Risk Measurement for Financial Risk Management 0 0 1 183 1 1 40 587
Financial Risk Measurement for Financial Risk Management 0 0 0 207 2 3 39 626
Financial Risk Measurement for Financial Risk Management 0 0 0 247 0 1 18 572
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 1 1 216 0 4 18 435
Forecast Evaluation and Combination 0 0 1 1,082 2 6 24 3,199
Forecast combination and encompassing: reconciling two divergent literatures 0 0 0 0 0 1 7 517
Forecast evaluation and combination 0 0 0 521 0 0 26 1,568
Forecasting output with the composite leading index: an ex ante analysis 0 0 0 0 0 1 13 1,050
Forecasting the Term Structure of Government Bond Yields 0 0 0 898 2 2 30 2,174
Forecasting the Term Structure of Government Bond Yields 1 3 6 847 3 12 53 2,335
Forecasting the term structure of government bond yields 0 1 4 836 2 4 39 2,042
Further Results on Forecasting and Model Selection Under Asymmetric Loss 0 0 1 185 0 0 20 505
Further evidence on business cycle duration dependence 0 0 0 0 0 1 12 424
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach 0 0 0 178 0 0 15 672
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach 0 0 1 363 0 2 35 930
Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach 0 1 1 14 0 2 13 83
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 196 0 0 10 531
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 114 0 1 9 294
Have postwar economic fluctuations been stabilized? 0 0 0 0 0 1 17 388
Have postwar economic fluctuations been stabilized? 0 0 0 63 0 1 11 495
High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models 0 0 0 221 1 4 21 906
Horizon Problems and Extreme Events in Financial Risk Management 0 0 1 514 0 0 16 1,759
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 333 0 1 11 925
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 0 0 20 1,602
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 790 2 2 17 2,815
Improving GDP Measurement: A Forecast Combination Perspective 0 0 0 57 2 3 16 205
Improving GDP Measurement: A Forecast Combination Perspective 0 0 0 80 0 0 10 291
Improving GDP Measurement: A Measurement-Error Perspective 0 0 0 70 1 2 12 171
Improving GDP Measurement: A Measurement-Error Perspective 0 0 0 53 0 0 14 183
Improving GDP measurement: a forecast combination perspective 0 0 0 71 1 1 18 148
Improving GDP measurement: a measurement-error perspective 0 0 0 45 1 2 16 223
International evidence on business cycle duration dependence 0 0 0 56 0 0 13 389
Is consumption too smooth? Long memory and the Deaton paradox 0 0 0 0 1 1 8 1,021
Job Stability in the United States 0 0 0 158 0 2 18 1,321
Long Memory and Regime Switching 0 1 2 590 0 4 31 1,498
Long memory and persistence in aggregate output 0 0 0 1 0 0 7 871
Machine Learning and the Yield Curve: Tree-Based Macroeconomic Regime Switching 0 0 2 31 0 1 18 71
Machine Learning and the Yield Curve:Tree-Based Macroeconomic Regime Switching 0 0 2 17 3 6 40 87
Machine Learning for Regularized Survey Forecast Combination: Partially Egalitarian Lasso and its Derivatives 0 0 0 39 0 3 23 155
Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives 0 0 1 73 0 4 16 131
Macroeconomic Volatility and Stock Market Volatility, World-Wide 0 0 1 159 0 0 11 392
Macroeconomic Volatility and Stock Market Volatility, Worldwide 0 0 0 215 1 2 20 695
Macroeconomic Volatility and Stock Market Volatility,World-Wide 0 0 0 964 1 2 31 2,522
Measuring Business Cycle: A Modern Perspective 0 0 1 461 0 0 20 1,053
Measuring Business Cycles: A Modern Perspective 0 0 2 539 1 1 26 1,515
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 0 4 158 1 3 24 571
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 0 9 239 1 2 69 737
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 0 2 176 1 8 48 648
Measuring Predictability: Theory And Macroeconomic Applications 0 0 0 127 0 0 15 584
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 1 0 1 16 649
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 51 1 1 14 391
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 197 0 0 15 1,191
Measuring Volatility Dynamics 0 0 1 505 0 1 14 1,974
Measuring financial asset return and volatility spillovers, with application to global equity markets 0 0 1 114 1 3 57 541
Measuring financial asset return and volatility spillovers, with application to global equity markets 0 0 0 25 0 1 26 249
Measuring financial asset return and volatilty spillovers, with application to global equity markets 0 0 2 41 0 2 152 384
Measuring predictability: theory and macroeconomic applications 0 0 0 166 1 4 22 767
Measuring the Dynamics of Global Business Cycle Connectedness 0 0 0 148 1 3 13 469
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 0 52 2 3 23 534
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 2 480 0 2 39 2,302
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 1 291 1 5 23 1,061
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 0 1 357 3 7 34 1,300
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 371 0 1 17 975
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 258 0 0 21 651
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 206 0 2 21 516
Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management 0 1 2 531 3 4 34 1,372
Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management 0 0 4 1,416 2 8 73 3,686
Modeling Volatility Dynamics 0 0 0 372 0 3 13 726
Modeling and Forecasting Realized Volatility 0 1 5 799 1 2 46 1,949
Modeling and Forecasting Realized Volatility 0 0 4 999 2 3 49 2,229
Modeling and Forecasting Realized Volatility 0 0 3 1,264 3 6 73 3,072
Modeling bond yields in finance and macroeconomics 0 0 0 271 1 3 21 738
Modeling volatility dynamics 0 0 1 412 0 0 27 1,029
Near-rationality and strategic complementarity in a macroeconomic model: policy effects, persistence and multipliers 1 1 1 1 1 1 5 162
Nonparametric exchange rate prediction? 0 0 0 3 0 1 15 1,483
On Robust Inference in Time Series Regression 0 0 0 20 1 3 17 65
On Robust Inference in Time Series Regression 0 0 1 5 0 2 15 55
On Robust Inference in Time Series Regression 0 1 2 126 0 3 21 64
On cointegration and exchange rate dynamics 0 0 0 3 0 0 14 548
On comparing information in forecasts from econometric models: a comment on Fair and Shiller 0 0 0 0 0 0 3 157
On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean 0 0 0 1 0 0 8 268
On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean 0 0 0 85 0 3 16 700
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone In?ation and Real Interest Rates 0 0 0 7 0 1 11 34
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 1 12 0 3 10 26
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 0 12 2 5 14 41
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 0 0 0 1 8 44
On the Comparison of Interval Forecasts 0 0 0 46 1 1 18 110
On the Correlation Structure of Microstructure Noise in Theory and Practice 0 0 0 90 0 2 12 292
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 1 1 1 164 1 3 17 469
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 37 1 1 10 161
On the Evolution of U.S. Temperature Dynamics 0 0 0 69 0 0 10 91
On the Evolution of U.S. Temperature Dynamics 0 0 0 12 1 2 11 40
On the Financing of Climate Change Adaptation in Developing Countries 0 0 0 43 0 2 10 32
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 0 4 115 1 6 37 391
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 0 2 263 1 5 33 568
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 0 1 178 0 3 30 796
On the Origin(s) and Development of the Term “Big Data" 0 0 3 277 1 7 29 471
On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness 0 0 1 11 3 5 19 54
On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness 1 2 6 48 2 6 62 190
On the Wisdom of Crowds (of Economists) 0 0 1 37 1 1 15 24
On the Wisdom of Crowds (of Economists) 0 0 6 6 0 2 11 11
On the Wisdom of Crowds (of Economists) 0 0 2 2 1 2 20 21
On the correlation structure of microstructure noise in theory and practice 0 0 0 11 3 3 13 82
On the network topology of variance decompositions: Measuring the connectedness of financial firms 0 0 3 127 2 6 53 461
On the power of Dickey-Fuller tests against fractional alternatives 0 0 0 2 2 2 13 695
On the solution of dynamic linear rational expectations models 0 0 0 0 0 0 5 539
Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach 0 0 0 18 0 3 16 57
Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach 0 0 0 5 0 0 5 31
Optimal Prediction Under Asymmetric Loss 0 0 0 127 1 1 13 454
Optimal Prediction Under Asymmetric Loss 0 0 0 77 0 1 21 382
Optimal Prediction Under Asymmetric Loss 0 0 0 259 1 5 17 1,099
Optimal prediction under asymmetric loss 0 0 4 297 2 6 34 1,055
Parametric and Nonparametric Volatility Measurement 0 0 0 830 0 0 23 2,134
Parametric and Nonparametric Volatility Measurement 0 0 0 692 0 1 20 1,626
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 0 1 638 0 0 17 1,253
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 0 0 1 0 0 4 865
Post-deregulation deposit rate pricing: the multivariate dynamics 0 0 0 1 0 1 11 517
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 421 0 0 27 926
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 1 1 31 1,222
Practical volatility and correlation modeling for financial market risk management 0 0 0 397 0 0 17 872
Priors from Frequency-Domain Dummy Observations 0 0 1 38 0 0 13 109
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 2 2 2 10 2 2 16 52
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 11 0 0 9 34
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 2 0 0 22 49
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 15 0 4 12 37
Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function 0 0 0 0 0 1 6 442
Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think 0 0 0 815 2 2 22 2,220
Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing 0 0 0 1,608 0 1 54 3,660
Real exchange rates under the gold standard 0 0 0 252 0 4 19 1,622
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility 0 0 0 105 1 4 28 174
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility 0 0 0 2 0 0 8 42
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 0 102 2 3 16 368
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 1 124 0 2 21 347
Real-Time Measurement of Business Conditions 1 1 3 112 1 1 27 332
Real-Time Measurement of Business Conditions 0 0 0 0 1 2 15 645
Real-Time Measurement of Business Conditions 0 0 0 91 0 1 11 299
Real-Time Measurement of Business Conditions, Second Version 0 0 0 120 0 1 14 271
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 198 0 2 12 1,132
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 236 0 1 9 752
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 122 0 2 11 392
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 0 1 150 2 5 21 529
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 181 0 2 19 822
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 218 1 2 15 693
Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 0 0 0 7 0 1 8 49
Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession 0 0 0 21 0 1 19 93
Real-Time Real Economic Activity:Entering and Exiting the Pandemic Recession of 2020 0 0 2 13 1 3 17 51
Real-Time Real Economic Activity:Exiting the Great Recession and Entering the Pandemic Recession 0 0 0 40 0 1 6 71
Real-time forecast evaluation of DSGE models with stochastic volatility 0 0 0 74 0 2 22 107
Real-time macroeconomic monitoring: real activity, inflation, and interactions 0 0 0 40 0 1 21 237
Real-time measurement of business conditions 0 0 1 149 0 2 14 366
Real-time measurement of business conditions 0 0 0 174 1 1 14 651
Real-time price discovery in global stock, bond and foreign exchange markets 0 0 1 279 0 1 17 1,021
Real-time price discovery in stock, bond and foreign exchange markets 0 0 0 144 0 0 12 571
Realized Beta: Persistence and Predictability 0 0 0 516 2 4 26 945
Realized beta: Persistence and predictability 0 0 1 222 1 2 24 664
Regime switching with time-varying transition probabilities 0 0 0 10 5 15 69 2,479
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 1 2 172 0 5 34 597
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 0 356 5 23 67 1,058
Scoring the leading indicators 0 0 0 1 0 1 14 1,057
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 1 15 1,039
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 0 3 22 556
Stamp 5.0: A Review 0 0 0 143 0 0 3 587
State space modeling of time series: a review essay 0 0 0 0 0 0 13 1,191
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 0 182 0 0 23 436
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 0 106 0 0 7 361
Stock returns and expected business conditions: Half a century of direct evidence 0 0 0 113 0 1 8 386
Structural change and the combination of forecasts 0 0 0 2 0 1 14 606
Temporal aggregation of ARCH processes and the distribution of asset returns 0 0 0 0 1 1 8 329
Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures 0 0 0 1 0 0 13 597
The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models 0 0 2 231 0 2 26 678
The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models 1 1 3 203 2 3 28 611
The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models 1 1 2 154 1 1 17 440
The Distribution of Exchange Rate Volatility 0 0 0 323 2 3 16 883
The Distribution of Exchange Rate Volatility 1 1 1 553 2 4 22 1,467
The Distribution of Exchange Rate Volatility 0 0 0 531 0 1 12 1,328
The Distribution of Stock Return Volatility 0 0 0 906 1 5 25 2,426
The Distribution of Stock Return Volatility 0 0 0 839 0 0 15 2,254
The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach 0 0 1 497 0 1 38 1,383
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 332 0 0 25 959
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 151 1 4 18 503
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 26 0 0 14 84
The Nobel Memorial Prize for Robert F. Engle 0 0 0 145 0 0 8 544
The Nobel Memorial Prize for Robert F. Engle 0 0 0 61 2 3 19 317
The Nobel Memorial Prize for Robert F. Engle 0 0 1 149 2 2 15 622
The Past, Present, and Future of Macroeconomic Forecasting 0 0 1 289 0 0 16 959
The dynamics of exchange rate volatility: a multivariate latent factor ARCH model 0 0 0 1 2 3 25 852
The past, present, and future of macroeconomic forecasting 0 0 0 379 0 0 10 1,160
The use of prior information in forecast combination 0 0 0 1 2 2 10 510
Time Series Analysis 0 0 1 145 2 4 15 404
Time Series Analysis 0 1 3 1,110 1 3 13 1,803
Unit Root Tests Are Useful for Selecting Forecasting Models 0 0 0 409 1 5 22 1,473
Unit Root Tests are Useful for Selecting Forecasting Models 0 0 0 313 0 1 14 708
Unit roots in economic time series: a selective survey 0 1 1 4 1 2 21 1,223
Volatility Forecasting 1 1 2 952 1 2 33 1,310
Volatility Forecasting 0 0 1 562 1 3 34 1,036
Volatility forecasting 0 0 1 339 1 2 28 763
Weather Forecasting for Weather Derivatives 0 0 0 300 0 0 15 1,055
Weather Forecasting for Weather Derivatives 0 0 0 665 0 0 12 1,747
Weather forecasting for weather derivatives 0 0 0 328 0 0 18 858
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 48 0 1 12 39
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 11 0 1 11 68
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 1 0 0 9 24
Why Are Estimates of Agricultural Supply Response So Variable? 0 0 0 140 0 0 5 437
Why Are Estimates of Agricultural Supply Response so Variable? 0 0 0 11 1 1 6 27
Why are estimates of agricultural supply response so variable? 0 1 3 197 0 2 14 699
Total Working Papers 20 50 289 65,411 196 638 6,011 218,293

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 2 18 510
A Markov-switching multifractal inter-trade duration model, with application to US equities 0 0 0 50 1 3 20 232
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 2 79 0 1 14 457
A Nonparametric Investigation of Duration Dependence in the American Business Cycle 0 1 1 183 0 3 11 588
A benchmark model for fixed-target Arctic sea ice forecasting 0 0 0 0 0 0 11 23
A new test for market efficiency and uncovered interest parity 0 0 2 4 0 1 14 23
An Application of Operational-Subjective Statistical Methods to Rational Expectations: Comment 0 0 0 0 0 0 1 119
An arbitrage-free generalized Nelson--Siegel term structure model 0 0 0 138 0 2 27 577
Are long expansions followed by short contractions? 0 0 0 2 0 1 8 247
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 0 0 14 17
Assessing point forecast accuracy by stochastic error distance 0 0 1 3 1 4 10 28
Assessing point forecast accuracy by stochastic loss distance 0 0 0 10 0 1 10 56
Better to give than to receive: Predictive directional measurement of volatility spillovers 10 26 168 848 39 116 703 2,737
Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 146 0 1 14 1,167
Bootstrapping Multivariate Spectra 0 0 0 49 1 2 8 209
Climate models underestimate the sensitivity of Arctic sea ice to carbon emissions 0 0 0 2 0 0 7 19
Cointegration and Long-Horizon Forecasting 0 0 0 0 0 0 14 471
Comment 0 0 0 11 0 0 8 55
Comparing Predictive Accuracy 0 0 0 0 31 118 492 7,752
Comparing Predictive Accuracy 0 0 0 0 5 23 87 3,381
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 3 9 25 87 15 34 113 333
Discussion: The effect of seasonal adjustment filters on tests for a unit root 0 0 0 10 0 0 6 69
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data 0 0 0 86 0 0 12 365
Econometrics: Retrospect and prospect 0 0 0 24 0 0 6 119
Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate 0 0 0 15 1 2 10 95
Equity Market Spillovers in the Americas 0 0 1 127 0 0 20 434
Estimating global bank network connectedness 2 2 6 65 6 12 60 291
Evaluating Density Forecasts with Applications to Financial Risk Management 0 0 0 2 3 10 51 2,098
Exact maximum-likelihood estimation of autoregressive models via the Kalman filter 0 0 1 208 1 1 6 410
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 18 0 0 29 168
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 2 2 54 5 13 32 320
Five questions about business cycles 0 0 0 385 0 0 10 1,783
Forecast combination and encompassing: Reconciling two divergent literatures 0 0 1 87 0 0 12 218
Forecasting and empirical methods in finance and macroeconomics 0 0 1 73 0 1 11 199
Forecasting the term structure of government bond yields 8 20 68 590 19 59 289 2,349
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 15 257
Fractional integration and interval prediction 0 0 0 31 0 0 8 133
From the horse’s mouth: gauging conditional expected stock returns from investor surveys 0 0 0 12 0 1 7 91
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 0 0 194 0 4 12 669
Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach 1 2 18 285 3 11 74 1,138
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 2 37 0 3 23 192
Has the EMS Reduced Member-Country Exchange Rate Volatility? 0 0 0 0 0 2 7 166
Have Postwar Economic Fluctuations Been Stabilized? 0 0 0 55 0 1 16 399
Horizon problems and extreme events in financial risk management 0 0 1 191 0 0 23 781
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 1 349 1 5 22 1,138
Improving GDP measurement: A measurement-error perspective 0 1 1 82 0 2 16 392
Is Consumption Too Smooth? Long Memory and the Deaton Paradox 0 0 0 157 0 2 22 550
Job Stability in the United States 0 0 0 201 2 2 20 1,625
Long memory and persistence in aggregate output 0 0 0 160 1 1 9 373
Long memory and regime switching 0 1 1 280 3 12 39 819
Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives 0 3 17 52 1 9 58 182
Measuring Business Cycles: A Modern Perspective 0 1 5 508 0 1 55 1,728
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 3 9 24 90 12 32 131 315
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 0 0 0 654 3 10 75 2,395
Measuring predictability: theory and macroeconomic applications 0 0 0 222 0 1 13 849
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 2 6 28 620 14 29 155 2,114
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 249 0 1 30 819
Modeling and Forecasting Realized Volatility 0 0 0 1,158 5 28 212 3,876
Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange 0 1 1 258 1 2 17 702
Nonparametric exchange rate prediction? 0 0 0 495 1 3 12 1,358
On Cointegration and Exchange Rate Dynamics 0 0 0 233 1 1 16 708
On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean 0 0 1 70 1 3 13 235
On robust inference in time-series regression 0 0 1 2 1 1 20 21
On the Comparison of Interval Forecasts 0 0 0 3 0 1 19 49
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 42 0 1 16 243
On the aggregation of probability assessments: Regularized mixtures of predictive densities for Eurozone inflation and real interest rates 0 0 4 7 0 1 17 28
On the network topology of variance decompositions: Measuring the connectedness of financial firms 6 18 52 900 34 90 376 2,792
On the power of Dickey-Fuller tests against fractional alternatives 0 0 0 154 2 7 25 413
Optimal Prediction Under Asymmetric Loss 0 3 3 75 2 10 30 278
Optimal combination of Arctic sea ice extent measures: A dynamic factor modeling approach 0 0 0 2 0 0 7 18
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 0 1 2 2 2 18 22
Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics 0 0 0 0 0 1 10 787
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 0 0 0 7 11
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 8 0 1 6 28
Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections 0 1 1 2 1 2 11 25
Range‐Based Estimation of Stochastic Volatility Models 0 0 4 141 4 8 51 524
Ratings migration and the business cycle, with application to credit portfolio stress testing 2 3 9 475 5 11 72 1,198
Real Exchange Rates under the Gold Standard 0 0 1 287 0 0 10 1,634
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 0 130 0 2 13 535
Real-Time Measurement of Business Conditions 1 1 6 337 2 4 63 1,027
Real-time forecast evaluation of DSGE models with stochastic volatility 0 0 0 14 1 1 14 96
Real-time price discovery in global stock, bond and foreign exchange markets 2 3 6 365 5 14 63 1,293
Rejoinder 0 0 0 3 0 3 10 48
Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms 0 0 2 9 1 2 26 57
Reprint of: When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume 0 0 0 0 1 2 8 10
Robust estimation - discussion 0 0 0 0 0 0 10 60
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 0 5 23 711 2 19 120 2,005
Scoring the Leading Indicators 1 2 6 772 4 6 25 1,759
Serial Correlation and the Combination of Forecasts 0 0 0 0 0 0 9 401
Shorter recessions and longer expansions 0 0 1 37 0 0 5 510
Software review 0 0 0 8 0 0 10 126
State space modeling of time series: A review essay 0 0 0 163 0 1 9 350
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 0 129 0 1 19 449
Stock returns and expected business conditions: half a century of direct evidence 0 0 1 24 0 0 12 155
Structural Time Series Analysis and Modelling Package: A Review 0 0 0 101 0 0 8 411
Structural change and the combination of forecasts 0 0 5 5 0 1 14 20
Symposium on Forecasting Performance: An Introduction 0 0 0 49 0 1 4 169
Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors' Introduction 0 0 0 1 0 0 4 290
THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003 0 0 0 21 0 0 11 86
Testing for bubbles, reflecting barriers and other anomalies 0 0 1 9 0 0 8 54
Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures 0 0 0 205 1 3 19 492
The Distribution of Realized Exchange Rate Volatility 0 1 3 215 0 6 50 722
The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model 0 0 4 752 0 2 20 1,620
The Nobel Memorial Prize for Robert F. Engle 0 0 0 35 0 0 10 422
The Past, Present, and Future of Macroeconomic Forecasting 0 0 1 181 0 2 17 811
The Uncertain Unit Root in Real GNP: Comment 0 0 0 100 0 3 17 417
The affine arbitrage-free class of Nelson-Siegel term structure models 2 2 11 457 5 7 85 1,434
The distribution of realized stock return volatility 0 0 8 872 1 5 58 2,283
The econometrics of macroeconomics, finance, and the interface 0 0 0 437 0 0 11 837
The exact initial covariance matrix of the state vector of a general MA(q) process 0 0 1 26 0 1 8 158
The macroeconomy and the yield curve: a dynamic latent factor approach 0 5 25 639 0 12 100 2,011
The use of prior information in forecast combination 0 0 0 126 2 3 23 305
Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 1 2 7 84 1 4 28 254
Unit-Root Tests Are Useful for Selecting Forecasting Models 0 0 0 0 0 2 32 703
Weather Forecasting for Weather Derivatives 0 0 0 98 0 2 15 361
When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume 0 0 0 2 0 1 15 25
Why are estimates of agricultural supply response so variable? 0 0 0 47 0 2 9 222
Total Journal Articles 44 130 567 19,458 254 825 4,935 82,982

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 1 18 172
Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring 0 0 0 0 7 20 138 788
The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice 0 0 0 0 1 1 17 213
Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach 0 0 0 0 0 8 52 603
Total Books 0 0 0 0 8 30 225 1,776

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 27 3 5 31 138
Commodity Connectedness 0 0 1 48 0 0 14 200
Equity Market Spillovers in the Americas 0 0 4 70 0 3 27 240
Facts, Factors, and Questions 0 0 0 104 0 0 12 280
Financial Risk Measurement for Financial Risk Management 0 0 2 62 1 4 59 400
Further Evidence on Business-Cycle Duration Dependence 0 0 0 96 1 2 16 255
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 60 0 0 13 175
Introduction 0 0 0 3 0 0 8 27
On Asymmetry in Economic Time Series 0 0 0 0 0 0 5 6
On the Evolution of US Temperature Dynamics 0 0 1 4 0 0 10 27
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 1 2 252 1 4 29 794
Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 0 0 0 0 0 0 4 13
Realized Beta: Persistence and Predictability 0 1 5 15 1 8 26 63
Volatility and Correlation Forecasting 0 2 12 692 4 11 94 2,451
Total Chapters 0 4 29 1,433 11 37 348 5,069

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