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 1 4 163 3 5 10 126
(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation 0 0 1 973 2 3 9 1,823
A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting 0 0 0 22 0 3 5 39
A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting 0 0 0 11 3 4 7 33
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 207 1 4 9 583
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 187 2 8 13 494
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 32 3 4 6 145
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 65 0 3 4 203
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 1 1 1 1 25
A New Test for Market Efficiency and Uncovered Interest Parity 0 0 0 10 3 4 5 23
A New Test for Market Efficiency and Uncovered Interest Parity 0 0 0 24 1 4 35 57
A New Test forMarket Efficiency and Uncovered Interest Parity 0 1 1 9 3 7 12 38
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 26 5 6 7 176
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 136 0 3 5 374
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 155 2 6 8 368
A Personal Perspective on the Origin(s) and Development of “Big Data": The Phenomenon, the Term, and the Discipline, Second Version 0 0 3 168 5 7 25 507
A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration 0 1 2 621 1 5 16 1,887
A framework for exploring the macroeconomic determinants of systematic risk 0 0 1 184 1 5 7 535
A no-arbitrage approach to range-based estimation of return covariances and correlations 0 0 1 139 2 6 8 354
A nonparametric investigation of duration dependence in the American business cycle 0 0 0 1 0 3 5 366
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 0 0 0 188 4 4 8 536
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 0 0 0 104 2 6 7 338
An application of operational-subjective statistical methods to rational expectations: comment 0 0 0 0 1 1 1 417
An arbitrage-free generalized Nelson-Siegel term structure model 0 0 1 337 0 2 7 808
Assessing Point Forecast Accuracy by Stochastic Error Distance 0 0 0 53 1 3 6 47
Assessing Point Forecast Accuracy by Stochastic Error Distance 0 0 0 77 5 6 6 52
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 2 9
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 3 3 7 20
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 2 9
Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics 0 0 0 7 0 2 8 506
Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts 0 0 1 72 1 3 6 70
Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers 7 16 71 1,800 22 54 201 4,290
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 211 1 2 4 817
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 273 1 3 6 1,513
Bounded rationality and strategic complementarity in a macroeconomic model: policy effects, persistence, and multipliers 0 0 0 2 1 1 4 464
Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions 0 0 1 4 1 3 6 11
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 0 1 19 19 3 5 26 26
Clustered Network Connectedness:A New Measurement Frameworkwith Application to Global Equity Markets 2 6 27 27 5 13 72 72
Cointegration and Long-Horizon Forecasting 0 0 0 196 12 16 20 504
Cointegration and Long-Horizon Forecasting 0 0 0 549 2 4 8 1,753
Cointegration and long-horizon forecasting 0 0 1 618 0 1 5 1,578
Commodity Connectedness 0 0 0 15 3 6 7 51
Commodity Connectedness 0 4 7 130 7 17 27 379
Commodity connectedness 0 0 1 24 0 2 5 94
Comparing Predictive Accuracy 3 6 21 1,921 9 32 76 4,629
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 1 1 1 52 4 11 11 199
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 0 0 0 356 7 10 12 385
Comparing predictive accuracy I: an asymptotic test 2 4 6 220 8 21 45 1,278
Conditional heteroskedasticity in the market 0 0 0 0 0 0 0 395
Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think 0 0 6 427 5 9 27 1,524
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again 0 0 1 474 2 2 5 3,476
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again 0 0 0 304 1 5 9 1,690
Deviations from random-walk behavior: tests based on the variance-time function 0 0 0 0 0 0 6 470
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 11 1 2 5 89
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 11 2 3 6 98
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 422 3 4 6 974
Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore 0 0 2 103 0 0 5 298
Does the business cycle have duration memory? 0 0 0 1 2 2 3 284
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data 0 0 0 211 1 4 7 1,595
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 92 0 4 5 635
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 140 0 1 4 618
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 154 1 2 3 1,153
Estimating Global Bank Network Connectedness 0 0 1 63 4 9 15 209
Estimating Global Bank Network Connectedness 0 0 0 9 1 9 14 103
Estimating Global Bank Network Connectedness 0 0 0 553 9 13 21 1,252
Evaluating Density Forecasts 0 0 0 383 20 23 26 1,313
Evaluating Density Forecasts 0 0 0 69 3 4 6 373
Evaluating Density Forecasts 0 0 0 189 2 5 8 548
Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters 1 1 1 272 4 7 13 1,269
Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters 0 0 0 0 2 4 5 656
Evaluating density forecasts 1 1 1 258 16 21 24 877
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 3 4 5 1,726
Exact maximum likelihood estimation of ARCH models 0 0 0 0 1 1 5 776
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 0 0 0 303 2 4 5 1,118
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 304 3 4 4 844
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 495 4 11 14 1,618
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 230 3 7 11 683
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 1 3 213 3 5 11 599
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 0 576 0 0 1 1,943
Financial Risk Management in a Volatile Global Environment 0 0 0 715 2 7 18 2,190
Financial Risk Measurement for Financial Risk Management 0 0 0 247 7 14 18 568
Financial Risk Measurement for Financial Risk Management 0 0 3 182 8 16 29 563
Financial Risk Measurement for Financial Risk Management 0 0 1 207 14 19 24 606
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 0 1 215 2 7 8 424
Forecast Evaluation and Combination 0 0 0 1,081 5 6 16 3,181
Forecast combination and encompassing: reconciling two divergent literatures 0 0 0 0 1 2 2 512
Forecast evaluation and combination 0 0 1 521 4 5 6 1,547
Forecasting output with the composite leading index: an ex ante analysis 0 0 0 0 0 3 6 1,040
Forecasting the Term Structure of Government Bond Yields 0 0 0 898 1 8 16 2,152
Forecasting the Term Structure of Government Bond Yields 0 0 3 841 4 12 23 2,294
Forecasting the term structure of government bond yields 1 1 5 833 5 11 25 2,014
Further Results on Forecasting and Model Selection Under Asymmetric Loss 0 0 0 184 3 5 5 490
Further evidence on business cycle duration dependence 0 0 0 0 1 4 7 416
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach 1 1 2 363 3 14 19 909
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach 0 0 0 178 5 6 7 663
Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach 0 0 1 13 1 4 8 74
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 114 0 1 6 286
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 196 2 4 5 525
Have postwar economic fluctuations been stabilized? 0 0 1 63 2 2 7 486
Have postwar economic fluctuations been stabilized? 0 0 0 0 1 3 7 374
High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models 0 0 0 221 1 6 8 891
Horizon Problems and Extreme Events in Financial Risk Management 0 1 1 514 3 7 10 1,750
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 1 4 6 1,586
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 1 333 1 1 2 915
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 790 2 3 7 2,801
Improving GDP Measurement: A Forecast Combination Perspective 0 0 0 57 3 4 4 193
Improving GDP Measurement: A Forecast Combination Perspective 0 0 0 80 0 1 8 282
Improving GDP Measurement: A Measurement-Error Perspective 0 0 0 53 3 4 6 173
Improving GDP Measurement: A Measurement-Error Perspective 0 0 0 70 3 4 9 163
Improving GDP measurement: a forecast combination perspective 0 0 0 71 0 5 5 135
Improving GDP measurement: a measurement-error perspective 0 0 0 45 2 3 4 210
International evidence on business cycle duration dependence 0 0 0 56 1 3 4 379
Is consumption too smooth? Long memory and the Deaton paradox 0 0 0 0 1 2 3 1,015
Job Stability in the United States 0 0 0 158 2 3 5 1,306
Long Memory and Regime Switching 0 0 2 588 1 3 6 1,470
Long memory and persistence in aggregate output 0 0 0 1 0 1 2 865
Machine Learning and the Yield Curve: Tree-Based Macroeconomic Regime Switching 0 2 6 31 0 5 12 58
Machine Learning and the Yield Curve:Tree-Based Macroeconomic Regime Switching 0 0 3 15 5 9 34 56
Machine Learning for Regularized Survey Forecast Combination: Partially Egalitarian Lasso and its Derivatives 0 0 0 39 6 8 47 140
Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives 0 0 0 72 1 3 6 118
Macroeconomic Volatility and Stock Market Volatility, World-Wide 0 1 1 159 1 4 6 385
Macroeconomic Volatility and Stock Market Volatility, Worldwide 0 0 1 215 4 6 11 681
Macroeconomic Volatility and Stock Market Volatility,World-Wide 0 0 4 964 6 13 32 2,504
Measuring Business Cycle: A Modern Perspective 1 1 2 461 3 3 9 1,036
Measuring Business Cycles: A Modern Perspective 1 1 1 538 5 8 18 1,497
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 2 4 156 2 4 11 551
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 2 4 10 234 18 27 50 695
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 1 1 3 175 7 19 29 619
Measuring Predictability: Theory And Macroeconomic Applications 0 0 1 127 4 6 8 575
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 197 0 4 6 1,180
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 51 3 7 7 384
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 1 3 6 8 639
Measuring Volatility Dynamics 0 0 0 504 1 1 3 1,961
Measuring financial asset return and volatility spillovers, with application to global equity markets 0 0 1 25 5 7 10 230
Measuring financial asset return and volatility spillovers, with application to global equity markets 0 1 1 114 10 18 35 502
Measuring financial asset return and volatilty spillovers, with application to global equity markets 0 0 2 39 10 23 31 255
Measuring predictability: theory and macroeconomic applications 0 0 0 166 0 2 10 747
Measuring the Dynamics of Global Business Cycle Connectedness 0 0 1 148 2 3 7 459
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 0 52 5 6 8 517
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 1 1 479 3 9 14 2,272
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 1 4 291 0 3 8 1,041
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 0 2 356 4 5 10 1,271
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 371 0 4 8 962
Modeling Bond Yields in Finance and Macroeconomics 0 0 2 258 5 7 11 637
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 206 6 7 10 502
Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management 0 0 2 529 1 5 11 1,343
Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management 0 0 3 1,412 10 26 32 3,639
Modeling Volatility Dynamics 0 0 0 372 1 1 4 714
Modeling and Forecasting Realized Volatility 0 2 5 796 5 11 22 1,914
Modeling and Forecasting Realized Volatility 0 2 5 997 3 12 23 2,192
Modeling and Forecasting Realized Volatility 0 1 2 1,262 3 16 30 3,015
Modeling bond yields in finance and macroeconomics 0 0 1 271 5 6 10 723
Modeling volatility dynamics 0 0 2 411 1 3 6 1,005
Near-rationality and strategic complementarity in a macroeconomic model: policy effects, persistence and multipliers 0 0 0 0 0 1 3 158
Nonparametric exchange rate prediction? 0 0 0 3 1 6 8 1,474
On Robust Inference in Time Series Regression 1 1 2 125 9 10 14 53
On Robust Inference in Time Series Regression 0 0 1 4 1 5 36 45
On Robust Inference in Time Series Regression 0 0 0 20 1 2 8 50
On cointegration and exchange rate dynamics 0 0 0 3 2 3 6 537
On comparing information in forecasts from econometric models: a comment on Fair and Shiller 0 0 0 0 1 1 2 155
On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean 0 0 0 1 1 2 4 262
On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean 0 0 0 85 2 7 12 691
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone In?ation and Real Interest Rates 0 0 0 7 2 4 5 27
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 0 12 1 1 3 28
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 0 11 0 0 2 16
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 0 0 1 1 2 37
On the Comparison of Interval Forecasts 0 0 1 46 5 8 14 100
On the Correlation Structure of Microstructure Noise in Theory and Practice 0 0 0 90 2 3 4 283
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 37 3 4 5 155
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 163 1 4 9 456
On the Evolution of U.S. Temperature Dynamics 0 0 0 69 4 4 5 85
On the Evolution of U.S. Temperature Dynamics 0 0 0 12 1 4 5 33
On the Financing of Climate Change Adaptation in Developing Countries 0 0 2 43 0 1 10 23
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 1 1 5 178 7 19 27 785
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 1 3 4 114 6 17 25 371
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 1 2 262 1 15 22 550
On the Origin(s) and Development of the Term “Big Data" 0 1 2 275 1 4 12 446
On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness 0 0 2 10 0 2 7 37
On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness 1 1 1 43 5 10 23 138
On the Wisdom of Crowds (of Economists) 0 0 36 36 2 5 14 14
On the Wisdom of Crowds (of Economists) 0 2 2 2 2 4 5 5
On the correlation structure of microstructure noise in theory and practice 0 0 1 11 1 4 6 73
On the network topology of variance decompositions: Measuring the connectedness of financial firms 0 0 3 124 9 17 26 425
On the power of Dickey-Fuller tests against fractional alternatives 0 0 0 2 1 4 5 686
On the solution of dynamic linear rational expectations models 0 0 0 0 1 2 2 536
Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach 0 0 0 5 0 2 3 28
Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach 0 0 0 18 3 9 19 50
Optimal Prediction Under Asymmetric Loss 0 0 0 259 3 4 4 1,086
Optimal Prediction Under Asymmetric Loss 0 0 0 77 4 8 15 369
Optimal Prediction Under Asymmetric Loss 0 0 0 127 5 8 12 449
Optimal prediction under asymmetric loss 1 2 2 295 4 14 16 1,035
Parametric and Nonparametric Volatility Measurement 0 0 0 692 1 5 7 1,611
Parametric and Nonparametric Volatility Measurement 0 0 0 830 5 6 7 2,117
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 0 0 1 1 2 9 863
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 1 1 3 638 1 3 6 1,239
Post-deregulation deposit rate pricing: the multivariate dynamics 0 0 0 1 1 2 4 508
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 2 421 5 9 13 908
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 2 7 8 1,198
Practical volatility and correlation modeling for financial market risk management 0 0 2 397 2 10 15 865
Priors from Frequency-Domain Dummy Observations 1 1 2 38 3 4 8 100
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 15 0 1 2 26
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 2 1 1 2 28
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 11 3 6 7 31
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 8 2 3 5 39
Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function 0 0 0 0 0 0 2 436
Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think 0 0 1 815 2 5 11 2,203
Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing 0 0 3 1,608 3 6 11 3,612
Real exchange rates under the gold standard 0 0 0 252 2 8 13 1,611
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility 0 0 0 2 1 3 8 37
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility 0 0 0 105 3 8 10 154
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 1 1 1 124 2 5 7 331
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 0 102 1 5 9 357
Real-Time Measurement of Business Conditions 0 0 1 109 2 8 16 313
Real-Time Measurement of Business Conditions 0 0 0 0 1 5 6 635
Real-Time Measurement of Business Conditions 0 0 0 91 2 3 9 291
Real-Time Measurement of Business Conditions, Second Version 0 0 0 120 2 4 6 261
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 0 236 1 2 4 745
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 122 1 1 3 382
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 0 0 149 1 6 7 514
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 181 1 2 4 805
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 218 4 6 13 684
Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 0 0 0 7 0 2 3 43
Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession 0 0 0 21 2 7 10 81
Real-Time Real Economic Activity:Entering and Exiting the Pandemic Recession of 2020 1 1 1 12 3 5 9 39
Real-Time Real Economic Activity:Exiting the Great Recession and Entering the Pandemic Recession 0 0 0 40 0 1 7 66
Real-time forecast evaluation of DSGE models with stochastic volatility 0 0 1 74 2 8 11 93
Real-time macroeconomic monitoring: real activity, inflation, and interactions 0 0 0 40 2 10 17 226
Real-time measurement of business conditions 0 0 0 174 1 1 6 638
Real-time measurement of business conditions 0 0 2 148 2 3 15 355
Real-time price discovery in global stock, bond and foreign exchange markets 0 1 2 279 2 4 9 1,008
Real-time price discovery in stock, bond and foreign exchange markets 0 0 1 144 2 3 6 562
Realized Beta: Persistence and Predictability 0 0 0 516 2 6 12 925
Realized beta: Persistence and predictability 0 0 2 221 2 6 11 646
Regime switching with time-varying transition probabilities 0 0 0 10 3 6 18 2,416
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 1 4 171 5 11 22 574
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 2 356 1 3 9 994
Scoring the leading indicators 0 0 0 1 2 4 8 1,047
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 2 7 10 1,031
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 3 7 13 541
Stamp 5.0: A Review 0 0 0 143 2 2 3 586
State space modeling of time series: a review essay 0 0 0 0 0 2 6 1,180
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 0 106 3 4 7 358
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 1 182 3 8 18 421
Stock returns and expected business conditions: Half a century of direct evidence 0 0 1 113 5 5 6 383
Structural change and the combination of forecasts 0 0 0 2 4 4 5 596
Temporal aggregation of ARCH processes and the distribution of asset returns 0 0 0 0 2 4 8 325
Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures 0 0 0 1 2 6 10 590
The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models 0 0 0 229 2 6 17 658
The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models 0 0 0 152 1 4 4 427
The Distribution of Exchange Rate Volatility 0 0 1 552 5 9 12 1,454
The Distribution of Exchange Rate Volatility 0 0 1 531 3 5 8 1,321
The Distribution of Exchange Rate Volatility 0 0 1 323 2 5 14 872
The Distribution of Stock Return Volatility 0 0 0 839 2 6 10 2,245
The Distribution of Stock Return Volatility 0 0 0 906 3 7 9 2,408
The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach 0 0 3 496 2 12 22 1,357
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 1 151 1 4 6 489
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 332 1 2 4 936
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 26 0 2 4 72
The Nobel Memorial Prize for Robert F. Engle 0 0 0 145 0 2 3 538
The Nobel Memorial Prize for Robert F. Engle 0 0 0 148 2 3 5 610
The Nobel Memorial Prize for Robert F. Engle 0 0 0 61 2 6 8 304
The Past, Present, and Future of Macroeconomic Forecasting 0 0 0 288 3 4 7 947
The affine arbitrage-free class of Nelson-Siegel term structure models 0 0 2 200 5 7 13 590
The dynamics of exchange rate volatility: a multivariate latent factor ARCH model 0 0 0 1 2 6 11 833
The past, present, and future of macroeconomic forecasting 0 0 0 379 1 4 8 1,154
The use of prior information in forecast combination 0 0 0 1 0 0 1 500
Time Series Analysis 0 1 5 1,108 2 6 13 1,796
Time Series Analysis 1 1 3 145 3 5 10 394
Unit Root Tests Are Useful for Selecting Forecasting Models 0 0 0 409 2 4 6 1,455
Unit Root Tests are Useful for Selecting Forecasting Models 0 0 0 313 1 6 8 700
Unit roots in economic time series: a selective survey 0 0 0 3 1 3 8 1,205
Volatility Forecasting 0 0 0 950 2 11 17 1,288
Volatility Forecasting 0 1 1 562 5 10 13 1,012
Volatility forecasting 0 0 1 338 8 8 11 743
Weather Forecasting for Weather Derivatives 0 0 0 300 5 7 12 1,047
Weather Forecasting for Weather Derivatives 0 0 1 665 4 6 10 1,741
Weather forecasting for weather derivatives 0 0 1 328 0 2 5 842
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 1 1 5 9 20
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 11 2 5 10 62
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 48 0 0 1 27
Why Are Estimates of Agricultural Supply Response So Variable? 0 0 0 140 1 2 3 434
Why Are Estimates of Agricultural Supply Response so Variable? 0 0 0 11 0 1 2 22
Why are estimates of agricultural supply response so variable? 1 1 1 195 3 6 7 691
Total Working Papers 36 89 399 65,211 765 1,672 3,222 213,954

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 6 6 11 498
A Markov-switching multifractal inter-trade duration model, with application to US equities 0 0 1 50 1 5 10 217
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 1 1 78 1 5 6 448
A Nonparametric Investigation of Duration Dependence in the American Business Cycle 0 0 1 182 0 1 5 578
A benchmark model for fixed-target Arctic sea ice forecasting 0 0 0 0 2 2 6 14
A new test for market efficiency and uncovered interest parity 0 0 1 2 0 5 7 14
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 3 5 8 555
Are long expansions followed by short contractions? 0 0 0 2 1 1 2 240
Assessing and comparing fixed-target forecasts of Arctic sea ice: Glide charts for feature-engineered linear regression and machine learning models 0 1 1 1 1 5 8 8
Assessing point forecast accuracy by stochastic error distance 0 0 0 2 1 2 5 20
Assessing point forecast accuracy by stochastic loss distance 0 0 0 10 1 2 3 48
Better to give than to receive: Predictive directional measurement of volatility spillovers 21 48 124 728 73 194 468 2,228
Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 2 146 1 4 9 1,157
Bootstrapping Multivariate Spectra 0 0 0 49 0 2 4 203
Climate models underestimate the sensitivity of Arctic sea ice to carbon emissions 0 0 0 2 1 1 4 13
Cointegration and Long-Horizon Forecasting 0 0 0 0 2 4 7 461
Comment 0 0 0 11 0 2 3 49
Comparing Predictive Accuracy 0 0 0 0 8 19 86 3,313
Comparing Predictive Accuracy 0 0 0 0 43 155 430 7,415
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 1 2 7 64 14 27 45 247
Discussion: The effect of seasonal adjustment filters on tests for a unit root 0 0 0 10 0 1 4 64
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data 0 0 0 86 1 3 10 356
Econometrics: Retrospect and prospect 0 0 0 24 1 2 4 115
Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate 0 0 0 15 2 5 10 90
Equity Market Spillovers in the Americas 0 0 1 126 3 5 10 419
Estimating global bank network connectedness 0 0 3 59 10 17 33 248
Evaluating Density Forecasts with Applications to Financial Risk Management 0 0 0 2 1 9 24 2,056
Exact maximum-likelihood estimation of autoregressive models via the Kalman filter 0 0 0 207 0 1 2 405
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 1 18 5 10 21 149
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 52 2 4 10 292
Five questions about business cycles 0 0 1 385 0 4 9 1,777
Forecast combination and encompassing: Reconciling two divergent literatures 0 0 1 86 1 2 4 208
Forecasting and empirical methods in finance and macroeconomics 1 1 2 73 3 4 8 192
Forecasting the term structure of government bond yields 2 19 48 541 19 83 203 2,143
Forecasting, Structural Time Series Models and the Kalman Filter, Andrew C. Harvey Cambridge University Press, 1939 - Fore Casting, Structural Time Series Models and The Kalman FilterAdrew C. Harvey Cambridge University Press, 1989 0 0 0 88 1 5 9 247
Fractional integration and interval prediction 0 0 0 31 0 2 6 127
From the horse’s mouth: gauging conditional expected stock returns from investor surveys 0 0 0 12 0 1 1 85
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 0 0 194 3 4 4 661
Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach 1 10 15 277 5 25 41 1,089
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 1 35 1 4 10 173
Has the EMS Reduced Member-Country Exchange Rate Volatility? 0 0 0 0 0 0 3 159
Have Postwar Economic Fluctuations Been Stabilized? 0 0 1 55 3 6 10 389
Horizon problems and extreme events in financial risk management 0 1 1 191 1 6 8 764
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 2 348 1 2 8 1,118
Improving GDP measurement: A measurement-error perspective 0 0 1 81 6 7 21 383
Is Consumption Too Smooth? Long Memory and the Deaton Paradox 0 0 0 157 1 5 7 533
Job Stability in the United States 0 0 0 201 1 8 11 1,613
Long memory and persistence in aggregate output 0 0 0 160 1 2 3 366
Long memory and regime switching 0 0 0 279 3 4 10 784
Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives 1 4 8 39 6 14 33 138
Measuring Business Cycles: A Modern Perspective 1 2 13 505 3 11 38 1,684
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 0 0 0 654 6 17 64 2,337
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 1 3 19 69 16 32 89 216
Measuring predictability: theory and macroeconomic applications 0 0 0 222 2 4 6 840
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 8 18 600 17 57 109 2,016
Modeling Bond Yields in Finance and Macroeconomics 0 0 2 249 0 2 9 791
Modeling and Forecasting Realized Volatility 0 0 0 1,158 31 72 102 3,736
Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange 0 0 2 257 0 2 8 687
Nonparametric exchange rate prediction? 0 0 4 495 1 1 8 1,347
On Cointegration and Exchange Rate Dynamics 0 0 0 233 2 6 8 698
On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean 0 0 0 69 1 1 3 223
On robust inference in time-series regression 1 1 2 2 4 6 7 7
On the Comparison of Interval Forecasts 0 0 0 3 3 7 7 37
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 42 2 5 9 232
On the aggregation of probability assessments: Regularized mixtures of predictive densities for Eurozone inflation and real interest rates 0 0 3 3 1 3 9 14
On the network topology of variance decompositions: Measuring the connectedness of financial firms 2 12 39 860 27 83 187 2,499
On the power of Dickey-Fuller tests against fractional alternatives 0 0 2 154 2 6 12 394
Optimal Prediction Under Asymmetric Loss 0 0 0 72 2 4 5 252
Optimal combination of Arctic sea ice extent measures: A dynamic factor modeling approach 0 0 0 2 2 2 4 13
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 1 1 2 2 1 8 10 12
Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics 0 0 0 0 3 5 7 782
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 0 1 2 4 6
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 8 0 2 3 24
Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections 0 0 0 1 2 3 6 17
Range‐Based Estimation of Stochastic Volatility Models 0 0 1 137 8 22 29 495
Ratings migration and the business cycle, with application to credit portfolio stress testing 1 2 3 468 4 15 25 1,141
Real Exchange Rates under the Gold Standard 0 0 1 286 1 3 7 1,627
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 0 130 1 2 4 524
Real-Time Measurement of Business Conditions 0 2 4 333 23 38 48 1,002
Real-time forecast evaluation of DSGE models with stochastic volatility 0 0 0 14 2 6 9 88
Real-time price discovery in global stock, bond and foreign exchange markets 1 1 5 360 7 16 43 1,246
Rejoinder 0 0 0 3 1 1 4 39
Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms 1 1 1 8 6 9 14 40
Reprint of: When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume 0 0 0 0 0 0 0 2
Robust estimation - discussion 0 0 0 0 0 4 5 54
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 2 5 15 693 9 29 58 1,914
Scoring the Leading Indicators 0 0 1 766 1 6 12 1,740
Serial Correlation and the Combination of Forecasts 0 0 0 0 0 3 4 395
Shorter recessions and longer expansions 0 0 0 36 0 1 1 506
Software review 0 0 0 8 0 0 1 116
State space modeling of time series: A review essay 0 0 0 163 1 3 5 344
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 1 129 2 3 9 433
Stock returns and expected business conditions: half a century of direct evidence 0 1 1 24 1 2 3 145
Structural Time Series Analysis and Modelling Package: A Review 0 0 0 101 0 1 2 404
Structural change and the combination of forecasts 0 2 2 2 4 6 8 12
Symposium on Forecasting Performance: An Introduction 0 0 0 49 0 1 4 166
Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors' Introduction 0 0 0 1 2 2 7 288
THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003 0 0 0 21 3 4 5 79
Testing for bubbles, reflecting barriers and other anomalies 0 1 1 9 1 4 5 50
Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures 0 0 1 205 3 8 13 481
The Distribution of Realized Exchange Rate Volatility 1 2 6 214 9 22 33 694
The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model 2 3 3 751 2 4 7 1,604
The Nobel Memorial Prize for Robert F. Engle 0 0 0 35 1 1 8 413
The Past, Present, and Future of Macroeconomic Forecasting 0 0 0 180 1 4 10 798
The Uncertain Unit Root in Real GNP: Comment 0 0 1 100 1 3 6 403
The affine arbitrage-free class of Nelson-Siegel term structure models 0 3 29 449 3 22 77 1,371
The distribution of realized stock return volatility 1 3 9 867 5 20 41 2,245
The econometrics of macroeconomics, finance, and the interface 0 0 1 437 2 3 6 829
The exact initial covariance matrix of the state vector of a general MA(q) process 0 0 0 25 0 0 3 150
The macroeconomy and the yield curve: a dynamic latent factor approach 3 9 16 623 11 31 77 1,942
The use of prior information in forecast combination 0 0 1 126 0 3 5 285
Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 0 0 1 77 2 4 8 230
Unit-Root Tests Are Useful for Selecting Forecasting Models 0 0 0 0 2 6 11 677
Weather Forecasting for Weather Derivatives 0 0 3 98 2 8 12 354
When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume 0 0 0 2 2 6 6 16
Why are estimates of agricultural supply response so variable? 0 0 0 47 2 3 8 216
Total Journal Articles 45 149 437 19,040 494 1,362 3,023 79,409

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 5 7 10 161
Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring 0 0 0 0 14 32 105 682
The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice 0 0 0 0 3 10 14 206
Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach 0 0 0 0 7 13 40 564
Total Books 0 0 0 0 29 62 169 1,613

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources and Generalized Duration 0 0 2 25 5 5 12 112
Commodity Connectedness 0 1 1 48 1 5 8 191
Equity Market Spillovers in the Americas 0 0 3 66 5 9 18 222
Facts, Factors, and Questions 0 0 0 104 3 4 8 272
Financial Risk Measurement for Financial Risk Management 1 1 2 61 18 23 35 364
Further Evidence on Business-Cycle Duration Dependence 0 0 0 96 2 3 3 242
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 60 3 3 8 165
Introduction 0 0 0 3 1 5 8 24
On Asymmetry in Economic Time Series 0 0 0 0 0 1 2 2
On the Evolution of US Temperature Dynamics 0 0 2 3 2 5 13 22
Practical Volatility and Correlation Modeling for Financial Market Risk Management 1 1 1 251 3 5 6 770
Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 0 0 0 0 0 1 2 10
Realized Beta: Persistence and Predictability 0 0 7 10 4 5 30 42
Volatility and Correlation Forecasting 0 1 6 681 19 29 54 2,386
Total Chapters 2 4 24 1,408 66 103 207 4,824

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