Access Statistics for Francis Diebold

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"Big Data" and its Origins 0 0 2 163 0 2 18 137
(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation 0 0 0 973 0 2 14 1,833
A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting 0 0 0 22 0 1 7 42
A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting 0 0 0 11 0 0 9 37
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 187 0 1 15 501
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 207 1 1 11 589
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 1 0 2 10 34
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 32 1 2 15 155
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 65 1 2 19 219
A New Test for Market Efficiency and Uncovered Interest Parity 0 0 0 10 0 0 8 27
A New Test for Market Efficiency and Uncovered Interest Parity 0 1 1 25 0 1 10 62
A New Test forMarket Efficiency and Uncovered Interest Parity 0 0 1 9 0 0 15 43
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 136 0 2 9 380
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 155 0 2 12 373
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 26 0 0 11 181
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 2 4 21 518
A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration 0 0 1 621 0 2 23 1,901
A framework for exploring the macroeconomic determinants of systematic risk 0 0 0 184 0 0 9 539
A no-arbitrage approach to range-based estimation of return covariances and correlations 0 0 0 139 0 2 11 358
A nonparametric investigation of duration dependence in the American business cycle 0 0 0 1 0 0 11 374
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 0 1 1 105 0 3 28 359
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 0 0 0 337 0 4 23 828
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 0 0 0 188 0 2 15 545
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 3 21 67
Assessing Point Forecast Accuracy by Stochastic Error Distance 0 0 0 53 0 1 15 58
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 8 16
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 11 27
Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice:Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models 0 0 0 46 0 1 8 16
Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics 0 0 0 7 0 1 5 509
Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts 0 0 0 72 0 3 12 79
Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers 5 17 60 1,836 13 46 263 4,474
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 273 0 0 8 1,517
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 211 0 0 10 825
Bounded rationality and strategic complementarity in a macroeconomic model: policy effects, persistence, and multipliers 0 0 0 2 0 0 3 465
Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions 0 0 0 4 0 0 10 16
Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions 0 0 0 4 0 1 8 14
Clustered Network Connectedness: A New Measurement Framework with Application to Global Equity Markets 0 1 6 22 0 3 33 50
Clustered Network Connectedness: A New Measurement Framework, with Application to Global Equity Markets 1 1 10 10 4 4 14 14
Clustered Network Connectedness:A New Measurement Frameworkwith Application to Global Equity Markets 0 0 8 28 0 2 37 90
Cointegration and Long-Horizon Forecasting 0 0 0 549 1 2 11 1,760
Cointegration and Long-Horizon Forecasting 0 0 0 196 0 3 37 522
Cointegration and long-horizon forecasting 0 0 0 618 0 3 9 1,585
Commodity Connectedness 0 0 0 15 1 3 20 64
Commodity Connectedness 1 1 6 132 1 6 44 405
Commodity connectedness 0 0 0 24 0 2 13 105
Comparing Predictive Accuracy 1 5 24 1,935 3 16 112 4,696
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 1 1 3 54 2 3 22 210
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 1 1 2 358 4 6 28 403
Comparing predictive accuracy I: an asymptotic test 0 0 7 223 1 10 61 1,315
Conditional heteroskedasticity in the market 0 0 0 0 0 0 8 403
Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think 0 0 2 427 2 7 26 1,538
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again 0 0 0 474 0 2 12 3,486
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again 0 0 0 304 0 0 14 1,698
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 1 12 0 1 12 98
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 1 2 13 0 1 14 109
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 423 0 1 15 984
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 1 1 6 288
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data 0 0 0 211 0 2 13 1,604
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 140 1 1 6 621
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 92 0 1 24 655
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 154 0 2 7 1,158
Estimating Global Bank Network Connectedness 0 1 1 64 2 8 33 230
Estimating Global Bank Network Connectedness 0 0 0 9 0 2 18 110
Estimating Global Bank Network Connectedness 0 0 0 553 0 2 29 1,265
Evaluating Density Forecasts 0 0 0 69 0 1 13 382
Evaluating Density Forecasts 0 0 0 189 1 1 12 555
Evaluating Density Forecasts 0 0 0 383 2 2 37 1,326
Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters 0 0 0 0 1 2 11 662
Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters 0 0 1 272 0 0 16 1,276
Evaluating density forecasts 0 0 1 258 0 0 34 889
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 13 1,734
Exact maximum likelihood estimation of ARCH models 0 0 0 0 0 0 4 779
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 0 1 1 304 0 4 20 1,134
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 304 1 3 22 862
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 495 2 5 28 1,633
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 230 1 9 23 698
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 1 213 2 5 20 613
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 0 576 1 4 11 1,954
Financial Risk Management in a Volatile Global Environment 0 0 0 715 0 2 22 2,198
Financial Risk Measurement for Financial Risk Management 0 0 2 183 0 2 43 586
Financial Risk Measurement for Financial Risk Management 0 0 0 247 0 0 19 571
Financial Risk Measurement for Financial Risk Management 0 0 0 207 0 1 38 623
Financial asset returns, direction-of-change forecasting, and volatility dynamics 1 1 1 216 2 3 16 433
Forecast Evaluation and Combination 0 1 1 1,082 1 3 21 3,194
Forecast combination and encompassing: reconciling two divergent literatures 0 0 0 0 0 0 6 516
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 1 2 13 1,050
Forecasting the Term Structure of Government Bond Yields 1 1 4 845 3 8 44 2,326
Forecasting the Term Structure of Government Bond Yields 0 0 0 898 0 1 32 2,172
Forecasting the term structure of government bond yields 0 1 3 835 0 3 39 2,038
Further Results on Forecasting and Model Selection Under Asymmetric Loss 0 1 1 185 0 3 20 505
Further evidence on business cycle duration dependence 0 0 0 0 0 0 12 423
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach 0 0 0 178 0 1 15 672
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach 0 0 1 363 0 1 34 928
Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach 1 1 1 14 1 1 12 82
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 114 0 0 10 293
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 196 0 1 10 531
Have postwar economic fluctuations been stabilized? 0 0 0 0 0 1 17 387
Have postwar economic fluctuations been stabilized? 0 0 0 63 0 2 11 494
High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models 0 0 0 221 1 3 19 903
Horizon Problems and Extreme Events in Financial Risk Management 0 0 1 514 0 1 17 1,759
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 0 0 21 1,602
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 790 0 4 17 2,813
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 333 0 2 10 924
Improving GDP Measurement: A Forecast Combination Perspective 0 0 0 80 0 1 11 291
Improving GDP Measurement: A Forecast Combination Perspective 0 0 0 57 0 0 13 202
Improving GDP Measurement: A Measurement-Error Perspective 0 0 0 53 0 1 15 183
Improving GDP Measurement: A Measurement-Error Perspective 0 0 0 70 1 1 12 170
Improving GDP measurement: a forecast combination perspective 0 0 0 71 0 1 17 147
Improving GDP measurement: a measurement-error perspective 0 0 0 45 1 2 15 222
International evidence on business cycle duration dependence 0 0 0 56 0 1 13 389
Is consumption too smooth? Long memory and the Deaton paradox 0 0 0 0 0 0 8 1,020
Job Stability in the United States 0 0 0 158 0 0 16 1,319
Long Memory and Regime Switching 0 1 1 589 0 4 27 1,494
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 0 17 70
Machine Learning and the Yield Curve:Tree-Based Macroeconomic Regime Switching 0 0 2 17 2 9 44 83
Machine Learning for Regularized Survey Forecast Combination: Partially Egalitarian Lasso and its Derivatives 0 0 0 39 0 2 20 152
Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives 0 0 1 73 0 1 13 127
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 0 1 19 693
Macroeconomic Volatility and Stock Market Volatility,World-Wide 0 0 1 964 0 1 39 2,520
Measuring Business Cycle: A Modern Perspective 0 0 1 461 0 3 21 1,053
Measuring Business Cycles: A Modern Perspective 0 0 2 539 0 4 26 1,514
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 0 2 176 3 4 46 643
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 0 5 158 2 7 26 570
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 0 10 239 0 6 76 735
Measuring Predictability: Theory And Macroeconomic Applications 0 0 0 127 0 1 16 584
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 51 0 2 13 390
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 197 0 2 16 1,191
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 1 0 1 16 648
Measuring Volatility Dynamics 0 0 1 505 0 3 13 1,973
Measuring financial asset return and volatility spillovers, with application to global equity markets 0 0 0 25 0 4 26 248
Measuring financial asset return and volatility spillovers, with application to global equity markets 0 0 1 114 1 3 61 539
Measuring financial asset return and volatilty spillovers, with application to global equity markets 0 1 3 41 1 6 152 383
Measuring predictability: theory and macroeconomic applications 0 0 0 166 0 0 18 763
Measuring the Dynamics of Global Business Cycle Connectedness 0 0 0 148 1 3 11 467
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 1 2 480 0 4 38 2,300
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 0 52 0 0 21 531
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 2 291 4 5 24 1,060
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 1 1 357 0 5 27 1,293
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 371 0 2 17 974
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 206 0 1 20 514
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 258 0 3 21 651
Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management 1 1 2 531 1 7 31 1,369
Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management 0 2 5 1,416 3 13 70 3,681
Modeling Volatility Dynamics 0 0 0 372 2 4 13 725
Modeling and Forecasting Realized Volatility 0 1 5 798 0 10 49 1,947
Modeling and Forecasting Realized Volatility 0 0 4 999 0 3 47 2,226
Modeling and Forecasting Realized Volatility 0 2 3 1,264 2 9 72 3,068
Modeling bond yields in finance and macroeconomics 0 0 0 271 0 2 18 735
Modeling volatility dynamics 0 0 2 412 0 1 29 1,029
Near-rationality and strategic complementarity in a macroeconomic model: policy effects, persistence and multipliers 0 0 0 0 0 0 4 161
Nonparametric exchange rate prediction? 0 0 0 3 0 1 14 1,482
On Robust Inference in Time Series Regression 0 1 1 5 0 5 15 53
On Robust Inference in Time Series Regression 0 0 0 20 1 3 17 63
On Robust Inference in Time Series Regression 1 1 2 126 3 4 21 64
On cointegration and exchange rate dynamics 0 0 0 3 0 0 15 548
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 2 2 19 699
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 33
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 1 12 1 1 9 24
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 0 12 0 0 9 36
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 0 0 1 1 8 44
On the Comparison of Interval Forecasts 0 0 0 46 0 2 17 109
On the Correlation Structure of Microstructure Noise in Theory and Practice 0 0 0 90 0 0 10 290
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 37 0 1 10 160
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 163 0 2 17 466
On the Evolution of U.S. Temperature Dynamics 0 0 0 12 0 0 10 38
On the Evolution of U.S. Temperature Dynamics 0 0 0 69 0 0 11 91
On the Financing of Climate Change Adaptation in Developing Countries 0 0 0 43 0 1 10 30
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 0 1 178 1 2 29 794
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 0 3 263 1 5 33 564
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 0 4 115 1 4 36 386
On the Origin(s) and Development of the Term “Big Data" 0 1 3 277 4 5 29 468
On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness 0 0 2 11 1 4 19 50
On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness 0 2 4 46 1 12 61 185
On the Wisdom of Crowds (of Economists) 0 0 2 2 0 2 19 19
On the Wisdom of Crowds (of Economists) 0 0 6 6 0 3 9 9
On the Wisdom of Crowds (of Economists) 0 0 2 37 0 1 17 23
On the correlation structure of microstructure noise in theory and practice 0 0 0 11 0 0 10 79
On the network topology of variance decompositions: Measuring the connectedness of financial firms 0 1 5 127 1 8 52 456
On the power of Dickey-Fuller tests against fractional alternatives 0 0 0 2 0 0 11 693
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 5 0 0 6 31
Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach 0 0 0 18 0 0 21 54
Optimal Prediction Under Asymmetric Loss 0 0 0 259 0 2 12 1,094
Optimal Prediction Under Asymmetric Loss 0 0 0 77 0 2 20 381
Optimal Prediction Under Asymmetric Loss 0 0 0 127 0 2 12 453
Optimal prediction under asymmetric loss 0 0 4 297 2 4 30 1,051
Parametric and Nonparametric Volatility Measurement 0 0 0 830 0 3 23 2,134
Parametric and Nonparametric Volatility Measurement 0 0 0 692 0 5 20 1,625
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 0 1 638 0 1 17 1,253
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 0 0 1 0 0 6 865
Post-deregulation deposit rate pricing: the multivariate dynamics 0 0 0 1 0 0 10 516
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 0 3 31 1,221
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 421 0 2 28 926
Practical volatility and correlation modeling for financial market risk management 0 0 0 397 0 2 18 872
Priors from Frequency-Domain Dummy Observations 0 0 2 38 0 0 14 109
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 8 0 2 14 50
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 15 0 1 9 33
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 2 0 1 22 49
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 11 0 1 10 34
Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function 0 0 0 0 0 0 5 441
Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think 0 0 0 815 0 1 21 2,218
Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing 0 0 1 1,608 0 2 54 3,659
Real exchange rates under the gold standard 0 0 0 252 2 2 19 1,620
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility 0 0 0 105 0 0 25 170
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility 0 0 0 2 0 3 9 42
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 1 124 0 2 19 345
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 0 102 1 3 14 366
Real-Time Measurement of Business Conditions 0 0 2 111 0 4 28 331
Real-Time Measurement of Business Conditions 0 0 0 0 0 4 14 643
Real-Time Measurement of Business Conditions 0 0 0 91 0 1 11 298
Real-Time Measurement of Business Conditions, Second Version 0 0 0 120 0 2 14 270
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 236 0 1 9 751
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 122 1 2 10 391
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 198 0 0 10 1,130
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 1 1 150 2 5 18 526
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 181 0 2 19 820
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 218 1 3 15 692
Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 0 0 0 7 0 1 7 48
Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession 0 0 0 21 0 0 18 92
Real-Time Real Economic Activity:Entering and Exiting the Pandemic Recession of 2020 0 0 2 13 0 0 16 48
Real-Time Real Economic Activity:Exiting the Great Recession and Entering the Pandemic Recession 0 0 0 40 0 0 9 70
Real-time forecast evaluation of DSGE models with stochastic volatility 0 0 0 74 1 4 21 106
Real-time macroeconomic monitoring: real activity, inflation, and interactions 0 0 0 40 1 1 23 237
Real-time measurement of business conditions 0 0 0 174 0 2 16 650
Real-time measurement of business conditions 0 1 1 149 0 4 16 364
Real-time price discovery in global stock, bond and foreign exchange markets 0 0 1 279 0 3 17 1,020
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 3 24 943
Realized beta: Persistence and predictability 0 0 1 222 0 2 23 662
Regime switching with time-varying transition probabilities 0 0 0 10 3 20 61 2,467
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 1 1 3 172 3 7 34 595
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 0 356 8 34 52 1,043
Scoring the leading indicators 0 0 0 1 0 1 14 1,056
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 1,038
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 1 21 553
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 1 15 1,191
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 0 182 0 1 25 436
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 0 7 385
Structural change and the combination of forecasts 0 0 0 2 1 1 14 606
Temporal aggregation of ARCH processes and the distribution of asset returns 0 0 0 0 0 0 9 328
Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures 0 0 0 1 0 0 17 597
The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models 0 2 4 202 0 5 30 608
The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models 0 0 2 231 1 3 27 677
The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models 0 1 1 153 0 2 16 439
The Distribution of Exchange Rate Volatility 0 0 0 531 1 4 12 1,328
The Distribution of Exchange Rate Volatility 0 0 0 323 1 1 16 881
The Distribution of Exchange Rate Volatility 0 0 0 552 0 2 18 1,463
The Distribution of Stock Return Volatility 0 0 0 906 2 6 22 2,423
The Distribution of Stock Return Volatility 0 0 0 839 0 2 16 2,254
The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach 0 1 1 497 0 5 39 1,382
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 332 0 1 25 959
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 151 0 1 14 499
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 26 0 1 14 84
The Nobel Memorial Prize for Robert F. Engle 0 1 1 149 0 1 13 620
The Nobel Memorial Prize for Robert F. Engle 0 0 0 145 0 0 9 544
The Nobel Memorial Prize for Robert F. Engle 0 0 0 61 0 3 17 314
The Past, Present, and Future of Macroeconomic Forecasting 0 1 1 289 0 1 17 959
The dynamics of exchange rate volatility: a multivariate latent factor ARCH model 0 0 0 1 1 4 24 850
The past, present, and future of macroeconomic forecasting 0 0 0 379 0 1 12 1,160
The use of prior information in forecast combination 0 0 0 1 0 2 8 508
Time Series Analysis 0 0 1 145 2 3 14 402
Time Series Analysis 1 2 5 1,110 2 3 14 1,802
Unit Root Tests Are Useful for Selecting Forecasting Models 0 0 0 409 1 1 19 1,469
Unit Root Tests are Useful for Selecting Forecasting Models 0 0 0 313 1 2 15 708
Unit roots in economic time series: a selective survey 0 0 0 3 0 1 21 1,221
Volatility Forecasting 0 0 1 951 0 2 34 1,308
Volatility Forecasting 0 0 1 562 1 1 33 1,034
Volatility forecasting 0 0 1 339 1 4 27 762
Weather Forecasting for Weather Derivatives 0 0 0 300 0 1 15 1,055
Weather Forecasting for Weather Derivatives 0 0 0 665 0 1 14 1,747
Weather forecasting for weather derivatives 0 0 0 328 0 2 18 858
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 1 0 1 10 24
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 11 0 0 10 67
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 48 1 3 12 39
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 0 0 5 26
Why are estimates of agricultural supply response so variable? 1 1 3 197 1 2 13 698
Total Working Papers 18 66 296 65,379 148 706 5,891 217,803

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 1 5 21 509
A Markov-switching multifractal inter-trade duration model, with application to US equities 0 0 0 50 1 2 19 230
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 2 79 1 2 14 457
A Nonparametric Investigation of Duration Dependence in the American Business Cycle 1 1 1 183 3 4 12 588
A benchmark model for fixed-target Arctic sea ice forecasting 0 0 0 0 0 1 11 23
A new test for market efficiency and uncovered interest parity 0 1 3 4 1 3 15 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 1 3 26 576
Are long expansions followed by short contractions? 0 0 0 2 1 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 1 1 3 1 3 9 25
Assessing point forecast accuracy by stochastic loss distance 0 0 0 10 1 3 10 56
Better to give than to receive: Predictive directional measurement of volatility spillovers 9 40 176 831 47 195 724 2,668
Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 146 0 2 14 1,166
Bootstrapping Multivariate Spectra 0 0 0 49 1 2 7 208
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 15 471
Comment 0 0 0 11 0 0 8 55
Comparing Predictive Accuracy 0 0 0 0 42 110 496 7,676
Comparing Predictive Accuracy 0 0 0 0 7 17 94 3,365
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 3 8 19 81 5 17 88 304
Discussion: The effect of seasonal adjustment filters on tests for a unit root 0 0 0 10 0 0 7 69
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data 0 0 0 86 0 0 14 365
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 1 10 94
Equity Market Spillovers in the Americas 0 1 1 127 0 3 22 434
Estimating global bank network connectedness 0 3 5 63 3 13 56 282
Evaluating Density Forecasts with Applications to Financial Risk Management 0 0 0 2 5 10 48 2,093
Exact maximum-likelihood estimation of autoregressive models via the Kalman filter 0 0 1 208 0 0 5 409
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 18 0 3 30 168
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 52 3 7 23 310
Five questions about business cycles 0 0 1 385 0 0 11 1,783
Forecast combination and encompassing: Reconciling two divergent literatures 0 1 1 87 0 4 13 218
Forecasting and empirical methods in finance and macroeconomics 0 0 1 73 0 1 10 198
Forecasting the term structure of government bond yields 6 18 64 576 19 60 285 2,309
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 16 256
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 1 1 7 91
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 0 0 194 2 4 10 667
Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach 0 1 17 283 1 7 67 1,128
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 2 2 37 1 6 21 190
Has the EMS Reduced Member-Country Exchange Rate Volatility? 0 0 0 0 0 1 5 164
Have Postwar Economic Fluctuations Been Stabilized? 0 0 0 55 0 0 15 398
Horizon problems and extreme events in financial risk management 0 0 1 191 0 2 24 781
How Relevant is Volatility Forecasting for Financial Risk Management? 0 1 2 349 2 5 20 1,135
Improving GDP measurement: A measurement-error perspective 0 0 0 81 1 1 25 391
Is Consumption Too Smooth? Long Memory and the Deaton Paradox 0 0 0 157 1 2 22 549
Job Stability in the United States 0 0 0 201 0 2 19 1,623
Long memory and persistence in aggregate output 0 0 0 160 0 1 8 372
Long memory and regime switching 1 1 1 280 8 12 35 815
Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives 3 3 17 52 5 7 55 178
Measuring Business Cycles: A Modern Perspective 1 1 5 508 1 5 59 1,728
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 0 0 0 654 2 15 75 2,387
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 2 10 19 83 10 39 120 293
Measuring predictability: theory and macroeconomic applications 0 0 0 222 0 0 12 848
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 4 25 614 6 20 148 2,091
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 249 0 2 30 818
Modeling and Forecasting Realized Volatility 0 0 0 1,158 12 59 206 3,860
Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange 0 0 1 257 0 2 19 700
Nonparametric exchange rate prediction? 0 0 0 495 2 5 12 1,357
On Cointegration and Exchange Rate Dynamics 0 0 0 233 0 0 15 707
On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean 0 0 1 70 2 3 12 234
On robust inference in time-series regression 0 0 2 2 0 1 20 20
On the Comparison of Interval Forecasts 0 0 0 3 0 0 18 48
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 42 1 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 0 16 27
On the network topology of variance decompositions: Measuring the connectedness of financial firms 6 15 48 888 29 113 352 2,731
On the power of Dickey-Fuller tests against fractional alternatives 0 0 0 154 3 3 23 409
Optimal Prediction Under Asymmetric Loss 2 2 2 74 4 10 24 272
Optimal combination of Arctic sea ice extent measures: A dynamic factor modeling approach 0 0 0 2 0 1 7 18
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 0 1 2 0 2 16 20
Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics 0 0 0 0 1 1 10 787
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 8 0 0 5 27
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
Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections 0 0 0 1 0 1 9 23
Range‐Based Estimation of Stochastic Volatility Models 0 3 5 141 2 8 47 518
Ratings migration and the business cycle, with application to credit portfolio stress testing 0 2 6 472 2 14 66 1,189
Real Exchange Rates under the Gold Standard 0 1 1 287 0 1 10 1,634
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 0 130 1 2 12 534
Real-Time Measurement of Business Conditions 0 2 6 336 0 3 60 1,023
Real-time forecast evaluation of DSGE models with stochastic volatility 0 0 0 14 0 1 13 95
Real-time price discovery in global stock, bond and foreign exchange markets 0 1 4 362 2 17 57 1,281
Rejoinder 0 0 0 3 3 3 10 48
Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms 0 1 2 9 1 4 25 56
Reprint of: When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume 0 0 0 0 0 1 6 8
Robust estimation - discussion 0 0 0 0 0 2 10 60
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 3 8 22 709 11 35 117 1,997
Scoring the Leading Indicators 1 1 5 771 1 1 23 1,754
Serial Correlation and the Combination of Forecasts 0 0 0 0 0 1 9 401
Shorter recessions and longer expansions 0 0 1 37 0 1 5 510
Software review 0 0 0 8 0 1 10 126
State space modeling of time series: A review essay 0 0 0 163 0 1 9 349
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 0 129 0 1 18 448
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 1 5 5 1 2 14 20
Symposium on Forecasting Performance: An Introduction 0 0 0 49 1 1 5 169
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 1 8 54
Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures 0 0 0 205 0 0 16 489
The Distribution of Realized Exchange Rate Volatility 1 1 4 215 5 8 51 721
The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model 0 1 4 752 1 5 20 1,619
The Nobel Memorial Prize for Robert F. Engle 0 0 0 35 0 0 12 422
The Past, Present, and Future of Macroeconomic Forecasting 0 0 1 181 1 1 18 810
The Uncertain Unit Root in Real GNP: Comment 0 0 0 100 1 1 15 415
The affine arbitrage-free class of Nelson-Siegel term structure models 0 2 14 455 1 20 95 1,428
The distribution of realized stock return volatility 0 4 9 872 0 17 58 2,278
The econometrics of macroeconomics, finance, and the interface 0 0 0 437 0 1 11 837
The exact initial covariance matrix of the state vector of a general MA(q) process 0 0 1 26 1 1 9 158
The macroeconomy and the yield curve: a dynamic latent factor approach 3 6 25 637 6 14 110 2,005
The use of prior information in forecast combination 0 0 0 126 1 3 21 303
Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 0 3 5 82 1 8 26 251
Unit-Root Tests Are Useful for Selecting Forecasting Models 0 0 0 0 1 1 32 702
Weather Forecasting for Weather Derivatives 0 0 1 98 1 1 16 360
When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume 0 0 0 2 1 1 15 25
Why are estimates of agricultural supply response so variable? 0 0 0 47 2 3 10 222
Total Journal Articles 42 151 548 19,370 287 993 4,845 82,444

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Business Cycles: Durations, Dynamics, and Forecasting 0 0 0 0 1 2 19 172
Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring 0 0 0 0 2 18 140 770
The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice 0 0 0 0 0 2 17 212
Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach 0 0 0 0 6 17 59 601
Total Books 0 0 0 0 9 39 235 1,755

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources and Generalized Duration 0 1 3 27 0 1 29 133
Commodity Connectedness 0 0 1 48 0 2 15 200
Equity Market Spillovers in the Americas 0 0 5 70 1 2 27 238
Facts, Factors, and Questions 0 0 0 104 0 0 12 280
Financial Risk Measurement for Financial Risk Management 0 0 2 62 0 2 58 396
Further Evidence on Business-Cycle Duration Dependence 0 0 0 96 0 1 14 253
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 60 0 0 13 175
Introduction 0 0 0 3 0 1 9 27
On Asymmetry in Economic Time Series 0 0 0 0 0 1 5 6
On the Evolution of US Temperature Dynamics 0 0 1 4 0 0 11 27
Practical Volatility and Correlation Modeling for Financial Market Risk Management 1 1 2 252 1 3 26 791
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 2 4 14 3 8 27 58
Volatility and Correlation Forecasting 1 5 12 691 3 16 91 2,443
Total Chapters 2 9 30 1,431 8 37 341 5,040

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