Access Statistics for Francis Diebold

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
"Big Data" and its Origins 1 2 5 158 1 2 14 109
(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation 2 2 6 970 10 28 49 1,793
A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting 0 0 1 21 0 0 6 31
A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting 0 0 1 10 0 1 5 25
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 1 207 2 6 19 564
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 187 3 9 28 472
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 1 32 0 0 3 137
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 1 1 65 0 1 1 196
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 1 0 0 0 23
A New Test for Market Efficiency and Uncovered Interest Parity 0 1 20 20 0 1 14 14
A New Test for Market Efficiency and Uncovered Interest Parity 0 0 10 10 0 0 14 14
A New Test forMarket Efficiency and Uncovered Interest Parity 2 2 7 7 3 9 22 22
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 136 0 0 0 368
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 155 0 0 1 359
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 26 1 1 4 163
A Personal Perspective on the Origin(s) and Development of “Big Data": The Phenomenon, the Term, and the Discipline, Second Version 0 0 8 149 2 6 30 434
A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration 0 0 0 617 0 0 4 1,855
A framework for exploring the macroeconomic determinants of systematic risk 0 0 1 183 2 4 9 527
A no-arbitrage approach to range-based estimation of return covariances and correlations 0 0 1 138 0 0 3 345
A nonparametric investigation of duration dependence in the American business cycle 0 0 0 1 0 0 1 361
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 0 1 1 187 0 1 4 521
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 0 1 1 104 0 1 2 327
An application of operational-subjective statistical methods to rational expectations: comment 0 0 0 0 0 0 0 416
An arbitrage-free generalized Nelson-Siegel term structure model 0 0 0 333 0 0 1 792
Assessing Point Forecast Accuracy by Stochastic Error Distance 0 0 0 53 0 0 1 40
Assessing Point Forecast Accuracy by Stochastic Error Distance 0 0 0 77 0 0 0 46
Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice: Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models 0 0 2 2 0 0 2 2
Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice:Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models 0 0 45 45 0 0 2 2
Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics 0 0 0 7 0 0 0 495
Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts 1 1 2 69 2 3 5 60
Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers 18 33 106 1,582 41 102 323 3,675
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 272 0 1 1 1,505
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 211 0 0 3 796
Bounded rationality and strategic complementarity in a macroeconomic model: policy effects, persistence, and multipliers 0 0 0 2 0 0 2 455
Cointegration and Long-Horizon Forecasting 0 0 0 196 0 0 0 481
Cointegration and Long-Horizon Forecasting 0 1 1 549 0 1 2 1,743
Cointegration and long-horizon forecasting 0 0 0 616 0 0 2 1,564
Commodity Connectedness 1 1 1 14 2 3 7 42
Commodity Connectedness 0 0 7 108 1 4 22 308
Commodity connectedness 0 1 1 20 1 3 7 80
Comparing Predictive Accuracy 4 7 33 1,853 11 24 85 4,434
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 0 0 0 354 0 0 2 364
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 0 1 1 49 0 1 10 180
Comparing predictive accuracy I: an asymptotic test 3 4 24 199 6 11 56 1,189
Conditional heteroskedasticity in the market 0 0 0 0 0 0 2 393
Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think 1 1 3 409 1 1 10 1,467
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again 0 0 0 303 0 0 1 1,676
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again 0 0 2 472 0 1 6 3,469
Deviations from random-walk behavior: tests based on the variance-time function 0 0 0 0 0 0 0 462
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 9 0 1 1 81
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 421 0 2 4 964
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 11 0 0 1 91
Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore 0 0 0 101 0 0 1 292
Does the business cycle have duration memory? 0 0 0 1 0 0 0 280
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data 0 0 0 211 0 0 3 1,586
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 91 0 0 1 625
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 154 0 1 2 1,144
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 139 0 0 1 610
Estimating Global Bank Network Connectedness 0 0 3 59 1 1 12 173
Estimating Global Bank Network Connectedness 1 1 3 9 2 6 18 70
Estimating Global Bank Network Connectedness 0 2 3 552 2 7 20 1,215
Evaluating Density Forecasts 0 0 0 189 0 0 3 540
Evaluating Density Forecasts 0 0 1 69 0 0 6 366
Evaluating Density Forecasts 0 2 4 382 0 3 11 1,282
Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters 0 0 0 0 0 0 2 647
Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters 0 0 1 267 0 0 1 1,242
Evaluating density forecasts 0 0 0 257 0 1 5 850
Ex ante turning point forecasting with the composite leading index 0 0 0 0 0 1 1 570
Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models 0 0 0 292 0 0 0 1,721
Exact maximum likelihood estimation of ARCH models 0 0 0 0 1 1 1 769
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 0 0 0 303 1 4 27 1,099
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 2 492 0 0 3 1,597
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 304 3 7 11 828
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 1 228 0 0 1 667
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 1 1 1 207 1 2 2 581
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 1 2 576 0 1 2 1,940
Financial Risk Management in a Volatile Global Environment 0 0 1 715 0 0 5 2,160
Financial Risk Measurement for Financial Risk Management 2 2 4 241 4 5 17 525
Financial Risk Measurement for Financial Risk Management 1 1 2 178 1 2 14 515
Financial Risk Measurement for Financial Risk Management 0 3 5 203 4 8 16 573
Financial asset returns, direction-of-change forecasting, and volatility dynamics 1 1 2 214 1 1 6 416
Forecast Evaluation and Combination 0 0 1 1,074 0 0 4 3,142
Forecast combination and encompassing: reconciling two divergent literatures 0 0 0 0 1 2 2 508
Forecast evaluation and combination 0 0 1 516 0 2 14 1,524
Forecasting output with the composite leading index: an ex ante analysis 0 0 0 0 0 1 1 1,025
Forecasting the Term Structure of Government Bond Yields 0 0 1 832 0 0 7 2,253
Forecasting the Term Structure of Government Bond Yields 0 0 0 895 0 0 4 2,123
Forecasting the term structure of government bond yields 0 1 8 822 0 2 24 1,961
Further Results on Forecasting and Model Selection Under Asymmetric Loss 0 0 0 184 0 0 0 483
Further evidence on business cycle duration dependence 0 0 0 0 0 2 2 402
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach 0 0 1 357 0 0 2 883
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach 0 0 3 178 0 0 8 652
Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach 0 0 0 12 0 0 2 63
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 195 0 1 4 518
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 112 0 0 0 276
Have postwar economic fluctuations been stabilized? 0 0 0 62 0 0 0 475
Have postwar economic fluctuations been stabilized? 0 0 0 0 0 0 2 365
High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models 0 0 0 221 0 0 2 880
Horizon Problems and Extreme Events in Financial Risk Management 0 1 1 512 0 1 2 1,735
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 1 332 0 1 5 911
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 1 790 0 0 5 2,791
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 1 1 2 1,576
Improving GDP Measurement: A Forecast Combination Perspective 0 0 1 79 0 0 3 265
Improving GDP Measurement: A Forecast Combination Perspective 0 0 1 56 0 1 6 186
Improving GDP Measurement: A Measurement-Error Perspective 0 0 0 52 1 1 6 163
Improving GDP Measurement: A Measurement-Error Perspective 0 0 0 69 1 2 7 147
Improving GDP measurement: a forecast combination perspective 0 0 0 71 0 0 0 128
Improving GDP measurement: a measurement-error perspective 1 1 2 45 1 2 7 203
International evidence on business cycle duration dependence 0 0 1 55 0 2 3 372
Is consumption too smooth? Long memory and the Deaton paradox 0 0 0 0 0 0 0 1,007
Job Stability in the United States 0 0 0 158 0 0 2 1,300
Long Memory and Regime Switching 0 0 0 585 0 0 3 1,463
Long memory and persistence in aggregate output 0 0 0 1 0 0 1 862
Machine Learning for Regularized Survey Forecast Combination: Partially Egalitarian Lasso and its Derivatives 0 0 1 38 2 3 4 81
Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives 0 0 0 71 0 2 4 105
Macroeconomic Volatility and Stock Market Volatility, World-Wide 0 0 1 157 0 0 1 373
Macroeconomic Volatility and Stock Market Volatility, Worldwide 0 0 1 213 0 2 19 663
Macroeconomic Volatility and Stock Market Volatility,World-Wide 0 1 1 960 1 4 10 2,466
Measuring Business Cycle: A Modern Perspective 0 0 0 457 0 0 1 1,024
Measuring Business Cycles: A Modern Perspective 0 1 2 533 2 5 10 1,467
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 1 1 4 219 5 11 20 619
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 0 2 150 0 2 11 527
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 0 1 170 1 6 23 575
Measuring Predictability: Theory And Macroeconomic Applications 0 0 0 126 0 0 4 563
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 1 0 0 3 625
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 51 0 0 3 376
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 197 0 0 2 1,174
Measuring Volatility Dynamics 0 0 0 504 0 1 1 1,956
Measuring financial asset return and volatility spillovers, with application to global equity markets 0 0 1 24 1 4 17 213
Measuring financial asset return and volatility spillovers, with application to global equity markets 0 1 3 105 5 11 28 428
Measuring financial asset return and volatilty spillovers, with application to global equity markets 1 6 10 37 5 29 47 213
Measuring predictability: theory and macroeconomic applications 0 1 1 166 0 1 8 733
Measuring the Dynamics of Global Business Cycle Connectedness 0 0 2 136 0 0 5 423
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 1 51 4 10 42 491
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 1 1 2 477 3 14 46 2,232
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 1 287 2 16 46 1,017
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 0 0 354 0 0 6 1,254
Modeling Bond Yields in Finance and Macroeconomics 0 1 1 370 3 9 29 942
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 205 0 0 3 488
Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management 0 0 1 524 0 0 10 1,320
Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management 1 1 6 1,402 4 9 27 3,580
Modeling Volatility Dynamics 0 0 1 372 0 0 3 709
Modeling and Forecasting Realized Volatility 0 0 2 990 1 6 9 2,156
Modeling and Forecasting Realized Volatility 0 0 1 788 2 9 27 1,874
Modeling and Forecasting Realized Volatility 1 1 3 1,254 2 4 15 2,958
Modeling bond yields in finance and macroeconomics 1 1 3 269 2 6 21 707
Modeling bond yields in finance and macroeconomics 0 0 1 253 2 2 4 623
Modeling volatility dynamics 0 0 4 408 0 0 4 998
Near-rationality and strategic complementarity in a macroeconomic model: policy effects, persistence and multipliers 0 0 0 0 0 0 1 155
Nonparametric exchange rate prediction? 0 0 0 3 0 0 1 1,462
On Robust Inference in Time Series Regression 2 2 13 13 2 3 24 24
On Robust Inference in Time Series Regression 1 1 121 121 2 2 28 28
On cointegration and exchange rate dynamics 0 0 0 3 0 0 3 527
On comparing information in forecasts from econometric models: a comment on Fair and Shiller 0 0 0 0 0 0 0 153
On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean 0 0 0 1 0 0 2 256
On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean 0 0 1 85 0 0 2 676
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone In?ation and Real Interest Rates 0 0 0 7 0 0 1 21
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 1 1 12 0 1 2 25
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 1 1 10 0 2 5 11
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 0 0 0 2 4 29
On the Comparison of Interval Forecasts 1 1 2 45 1 1 8 79
On the Correlation Structure of Microstructure Noise in Theory and Practice 0 0 0 90 0 0 0 278
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 37 0 0 0 148
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 163 0 0 1 446
On the Evolution of U.S. Temperature Dynamics 0 0 2 10 0 0 3 26
On the Evolution of U.S. Temperature Dynamics 0 0 0 69 0 1 2 75
On the Financing of Climate Change Adaptation in Developing Countries 1 1 39 39 1 2 6 6
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 1 2 5 108 1 3 14 333
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 0 5 168 0 4 17 733
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 1 1 3 259 2 6 25 515
On the Origin(s) and Development of the Term “Big Data" 0 1 2 265 1 4 17 413
On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness 1 3 4 4 5 8 11 11
On the correlation structure of microstructure noise in theory and practice 0 0 0 10 1 1 1 65
On the network topology of variance decompositions: Measuring the connectedness of financial firms 1 1 9 116 3 13 49 354
On the power of Dickey-Fuller tests against fractional alternatives 0 0 0 2 0 1 2 679
On the solution of dynamic linear rational expectations models 0 0 0 0 0 0 0 534
Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach 0 0 0 5 0 0 0 24
Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach 0 0 0 18 0 0 2 29
Optimal Prediction Under Asymmetric Loss 0 0 0 259 0 1 1 1,081
Optimal Prediction Under Asymmetric Loss 0 0 0 127 0 0 0 436
Optimal Prediction Under Asymmetric Loss 0 0 0 77 0 1 1 353
Optimal prediction under asymmetric loss 0 0 0 291 0 0 2 1,013
Parametric and Nonparametric Volatility Measurement 1 2 3 818 2 5 24 2,086
Parametric and Nonparametric Volatility Measurement 0 0 1 692 0 2 9 1,595
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 0 0 1 1 3 5 851
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 1 1 1 634 1 1 1 1,228
Post-deregulation deposit rate pricing: the multivariate dynamics 0 0 0 1 0 0 0 501
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 418 1 5 10 880
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 2 569 0 0 5 1,181
Practical volatility and correlation modeling for financial market risk management 0 0 1 395 3 12 29 843
Priors from Frequency-Domain Dummy Observations 0 1 4 35 0 3 7 91
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 9 0 0 0 21
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 8 0 0 0 33
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 2 0 0 0 24
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 1 15 0 0 1 22
Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function 0 0 0 0 0 1 2 433
Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think 0 0 2 813 0 1 8 2,188
Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing 0 0 3 1,604 0 2 11 3,592
Real exchange rates under the gold standard 0 0 1 250 0 0 4 1,590
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility 0 0 0 104 0 0 1 141
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility 0 0 0 1 0 0 0 24
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 0 102 0 0 2 345
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 0 123 0 1 5 318
Real-Time Measurement of Business Conditions 0 0 2 105 1 4 9 288
Real-Time Measurement of Business Conditions 0 0 0 0 0 0 3 627
Real-Time Measurement of Business Conditions 0 0 0 91 0 0 2 282
Real-Time Measurement of Business Conditions, Second Version 0 0 0 120 0 0 1 254
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 2 198 0 0 4 1,120
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 1 236 0 0 1 741
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 122 0 0 0 379
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 0 0 147 1 6 19 489
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 217 0 0 1 667
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 1 180 0 0 3 798
Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 0 0 4 6 0 0 6 38
Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession 0 1 1 19 0 1 7 63
Real-Time Real Economic Activity:Entering and Exiting the Pandemic Recession of 2020 0 1 4 10 0 2 9 23
Real-Time Real Economic Activity:Exiting the Great Recession and Entering the Pandemic Recession 0 0 1 37 0 0 2 39
Real-time forecast evaluation of DSGE models with stochastic volatility 0 0 1 72 0 0 1 75
Real-time macroeconomic monitoring: real activity, inflation, and interactions 0 0 1 40 0 1 4 200
Real-time measurement of business conditions 1 1 2 174 7 10 28 621
Real-time measurement of business conditions 0 1 3 143 2 9 24 325
Real-time price discovery in global stock, bond and foreign exchange markets 0 0 1 274 3 15 30 986
Real-time price discovery in stock, bond and foreign exchange markets 0 0 0 143 0 0 1 556
Realized Beta: Persistence and Predictability 0 0 2 509 0 1 5 904
Realized beta: Persistence and predictability 0 1 3 218 0 3 22 612
Regime switching with time-varying transition probabilities 0 0 0 10 1 6 25 2,363
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 1 161 0 1 6 529
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 0 353 2 12 41 968
Scoring the leading indicators 0 0 0 1 0 2 4 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 1 162 1 1 6 520
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 1 4 8 1,011
Stamp 5.0: A Review 0 0 0 143 0 0 0 583
State space modeling of time series: a review essay 0 0 0 0 1 1 1 1,172
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 1 181 0 0 1 400
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 0 106 0 0 1 350
Stock returns and expected business conditions: Half a century of direct evidence 0 0 0 112 1 1 2 376
Structural change and the combination of forecasts 0 0 0 2 0 0 2 589
Temporal aggregation of ARCH processes and the distribution of asset returns 0 0 0 0 0 0 4 316
Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures 0 0 0 1 0 0 4 574
The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models 0 2 2 229 0 3 5 634
The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models 0 0 2 152 0 0 4 420
The Distribution of Exchange Rate Volatility 0 0 4 527 4 14 44 1,299
The Distribution of Exchange Rate Volatility 0 0 1 322 0 0 3 857
The Distribution of Exchange Rate Volatility 0 0 3 549 4 10 23 1,420
The Distribution of Stock Return Volatility 0 0 2 839 0 0 3 2,234
The Distribution of Stock Return Volatility 0 1 2 906 0 6 25 2,377
The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach 0 0 3 485 2 3 8 1,308
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 331 0 0 7 921
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 149 0 0 1 476
The Nobel Memorial Prize for Robert F. Engle 0 0 0 61 0 0 1 294
The Nobel Memorial Prize for Robert F. Engle 0 0 0 145 1 1 3 514
The Nobel Memorial Prize for Robert F. Engle 0 0 0 148 0 0 0 600
The Past, Present, and Future of Macroeconomic Forecasting 0 0 0 287 0 0 2 934
The affine arbitrage-free class of Nelson-Siegel term structure models 0 1 3 195 0 4 7 561
The dynamics of exchange rate volatility: a multivariate latent factor ARCH model 0 0 0 1 0 0 0 815
The macroeconomy and the yield curve: a nonstructural analysis 0 0 0 26 0 1 2 65
The past, present, and future of macroeconomic forecasting 0 0 0 378 0 0 3 1,136
The use of prior information in forecast combination 0 0 0 1 1 1 4 498
Time Series Analysis 0 0 2 141 4 5 13 375
Time Series Analysis 0 0 0 1,098 2 7 23 1,759
Unit Root Tests Are Useful for Selecting Forecasting Models 0 0 0 407 1 2 6 1,443
Unit Root Tests are Useful for Selecting Forecasting Models 0 0 0 313 0 1 3 688
Unit roots in economic time series: a selective survey 0 0 0 3 4 9 26 1,173
Volatility Forecasting 0 0 2 947 1 1 7 1,260
Volatility Forecasting 0 1 11 554 4 7 32 968
Volatility forecasting 0 0 3 332 5 9 18 709
Weather Forecasting for Weather Derivatives 0 0 0 299 0 1 3 1,029
Weather Forecasting for Weather Derivatives 0 0 0 664 0 0 1 1,729
Weather forecasting for weather derivatives 0 1 3 325 1 3 7 831
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 1 1 0 2 7 7
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 4 47 47 0 6 15 15
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 3 9 11 0 39 46 50
Why Are Estimates of Agricultural Supply Response So Variable? 0 0 0 140 0 0 0 429
Why Are Estimates of Agricultural Supply Response so Variable? 0 0 0 11 0 0 0 19
Why are estimates of agricultural supply response so variable? 0 0 0 194 0 0 0 684
Total Working Papers 58 130 768 64,111 244 773 2,624 207,802


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 1 106 1 5 14 479
A Markov-switching multifractal inter-trade duration model, with application to US equities 0 0 0 48 0 1 2 201
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 5 76 0 0 9 434
A Nonparametric Investigation of Duration Dependence in the American Business Cycle 0 0 1 181 0 2 6 569
A benchmark model for fixed-target Arctic sea ice forecasting 0 0 0 0 1 2 7 7
An Application of Operational-Subjective Statistical Methods to Rational Expectations: Comment 0 0 0 0 0 0 0 116
An arbitrage-free generalized Nelson--Siegel term structure model 0 0 0 138 1 4 6 541
Are long expansions followed by short contractions? 0 0 0 2 0 0 0 237
Assessing point forecast accuracy by stochastic error distance 0 0 0 2 0 0 0 15
Assessing point forecast accuracy by stochastic loss distance 0 0 0 10 0 0 0 44
Better to give than to receive: Predictive directional measurement of volatility spillovers 5 13 60 533 12 48 208 1,523
Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 144 0 0 0 1,142
Bootstrapping Multivariate Spectra 0 0 0 49 0 1 1 198
Cointegration and Long-Horizon Forecasting 0 0 0 0 0 0 2 446
Comment 0 0 0 11 0 0 1 46
Comparing Predictive Accuracy 0 0 0 0 11 32 124 3,066
Comparing Predictive Accuracy 0 0 0 0 64 158 664 6,108
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 0 0 7 39 1 3 27 145
Discussion: The effect of seasonal adjustment filters on tests for a unit root 0 0 0 10 0 0 0 58
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data 0 0 0 86 0 1 2 340
Econometrics: Retrospect and prospect 0 0 0 24 0 0 0 111
Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate 0 0 0 15 0 0 3 77
Equity Market Spillovers in the Americas 0 0 2 125 0 1 27 400
Estimating global bank network connectedness 0 1 5 48 3 9 30 186
Evaluating Density Forecasts with Applications to Financial Risk Management 0 0 0 2 0 4 18 1,999
Exact maximum-likelihood estimation of autoregressive models via the Kalman filter 0 0 0 207 0 0 1 402
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 14 0 1 4 111
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 3 3 6 50 6 8 20 277
Five questions about business cycles 0 0 2 381 0 5 26 1,737
Forecast combination and encompassing: Reconciling two divergent literatures 2 2 2 83 2 2 2 198
Forecasting and empirical methods in finance and macroeconomics 0 0 0 68 0 0 0 179
Forecasting the term structure of government bond yields 1 2 13 451 2 7 58 1,778
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 1 1 2 84 1 1 6 231
Fractional integration and interval prediction 0 0 0 31 0 0 0 121
From the horse’s mouth: gauging conditional expected stock returns from investor surveys 0 0 1 11 1 1 2 80
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 1 1 194 0 1 1 657
Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach 1 1 5 254 2 5 41 1,015
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 32 0 1 3 158
Has the EMS Reduced Member-Country Exchange Rate Volatility? 0 0 0 0 0 0 1 154
Have Postwar Economic Fluctuations Been Stabilized? 0 0 2 54 0 1 3 376
Horizon problems and extreme events in financial risk management 0 0 0 190 0 1 1 755
How Relevant is Volatility Forecasting for Financial Risk Management? 0 1 3 343 1 3 9 1,098
Improving GDP measurement: A measurement-error perspective 5 10 16 74 11 19 60 314
Is Consumption Too Smooth? Long Memory and the Deaton Paradox 0 0 0 156 0 1 3 523
Job Stability in the United States 0 0 1 199 1 1 5 1,600
Long memory and persistence in aggregate output 0 0 1 157 0 1 5 356
Long memory and regime switching 0 1 5 276 0 3 18 764
Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives 1 2 3 14 1 6 13 71
Measuring Business Cycles: A Modern Perspective 0 1 8 480 3 10 34 1,592
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 1 5 9 21 2 8 24 59
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 0 0 0 654 9 28 84 2,155
Measuring predictability: theory and macroeconomic applications 0 0 0 218 0 0 2 825
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 1 4 570 2 7 17 1,855
Modeling Bond Yields in Finance and Macroeconomics 0 0 3 245 2 3 15 768
Modeling and Forecasting Realized Volatility 0 0 0 1,158 12 23 63 3,574
Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange 0 1 4 250 0 4 8 671
Nonparametric exchange rate prediction? 0 0 4 485 0 0 6 1,325
On Cointegration and Exchange Rate Dynamics 0 1 1 230 0 2 6 681
On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean 0 0 5 68 0 0 5 214
On the Comparison of Interval Forecasts 0 0 0 3 1 2 3 26
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 2 41 0 1 5 218
On the network topology of variance decompositions: Measuring the connectedness of financial firms 12 45 172 710 33 124 440 1,935
On the power of Dickey-Fuller tests against fractional alternatives 0 0 1 151 0 1 3 380
Optimal Prediction Under Asymmetric Loss 0 0 1 69 0 0 4 240
Optimal combination of Arctic sea ice extent measures: A dynamic factor modeling approach 0 0 1 2 0 0 1 7
Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics 0 0 0 0 1 1 3 768
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 7 0 0 1 19
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 0 0 1 1 2
Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections 0 0 1 1 0 1 4 4
Range‐Based Estimation of Stochastic Volatility Models 0 0 2 131 1 2 10 444
Ratings migration and the business cycle, with application to credit portfolio stress testing 0 2 17 458 2 6 34 1,090
Real Exchange Rates under the Gold Standard 0 0 3 281 1 2 7 1,614
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 0 128 0 4 7 512
Real-Time Measurement of Business Conditions 0 2 7 321 3 6 21 911
Real-time forecast evaluation of DSGE models with stochastic volatility 0 0 0 13 1 1 3 74
Real-time price discovery in global stock, bond and foreign exchange markets 0 0 8 353 1 11 43 1,167
Rejoinder 0 0 0 3 0 0 1 29
Robust estimation - discussion 0 0 0 0 0 0 0 49
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 1 4 16 639 4 15 74 1,749
Scoring the Leading Indicators 0 5 8 757 3 12 25 1,712
Serial Correlation and the Combination of Forecasts 0 0 0 0 0 0 1 389
Shorter recessions and longer expansions 0 0 0 36 0 1 2 504
Software review 0 0 0 8 0 0 1 114
State space modeling of time series: A review essay 0 0 2 162 0 0 3 337
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 0 128 0 0 3 420
Stock returns and expected business conditions: half a century of direct evidence 0 0 0 23 0 0 0 140
Structural Time Series Analysis and Modelling Package: A Review 0 0 0 101 0 0 1 402
Symposium on Forecasting Performance: An Introduction 0 0 0 49 0 0 0 161
Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors' Introduction 0 0 0 1 0 0 0 278
THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003 0 1 1 20 0 1 1 72
Testing for bubbles, reflecting barriers and other anomalies 0 0 0 8 0 0 0 45
Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures 0 0 0 202 0 0 3 458
The Distribution of Realized Exchange Rate Volatility 0 0 2 200 1 1 12 643
The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model 0 0 3 740 0 0 5 1,583
The Nobel Memorial Prize for Robert F. Engle 0 0 1 35 0 1 2 400
The Past, Present, and Future of Macroeconomic Forecasting 1 1 1 179 1 1 4 780
The Uncertain Unit Root in Real GNP: Comment 0 0 1 98 0 0 3 395
The affine arbitrage-free class of Nelson-Siegel term structure models 1 4 26 393 5 17 67 1,202
The distribution of realized stock return volatility 1 1 13 841 6 25 95 2,135
The econometrics of macroeconomics, finance, and the interface 1 1 1 435 1 1 2 819
The exact initial covariance matrix of the state vector of a general MA(q) process 0 0 0 25 0 0 0 147
The macroeconomy and the yield curve: a dynamic latent factor approach 0 0 8 583 7 25 70 1,742
The use of prior information in forecast combination 0 1 3 121 1 3 9 273
Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 1 2 14 66 3 8 37 190
Unit-Root Tests Are Useful for Selecting Forecasting Models 0 0 0 0 0 0 3 656
Weather Forecasting for Weather Derivatives 0 2 2 93 0 4 4 331
Why are estimates of agricultural supply response so variable? 0 0 0 47 0 0 1 208
Total Journal Articles 38 118 499 18,013 228 702 2,716 72,936


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 7 139
Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring 0 0 0 0 7 20 74 436
The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice 0 0 0 0 0 2 24 182
Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach 0 0 0 0 1 4 14 481
Total Books 0 0 0 0 8 27 119 1,238


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 22 0 0 3 89
Commodity Connectedness 0 0 1 46 0 3 15 176
Equity Market Spillovers in the Americas 0 0 0 59 0 0 5 199
Facts, Factors, and Questions 0 0 0 104 1 1 2 258
Financial Risk Measurement for Financial Risk Management 1 1 3 50 14 23 48 270
Further Evidence on Business-Cycle Duration Dependence 0 0 0 96 0 0 0 238
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 1 1 59 0 1 1 153
Introduction 0 0 0 3 0 0 0 13
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 246 1 4 9 750
Volatility and Correlation Forecasting 4 7 26 649 9 21 78 2,244
Total Chapters 5 9 34 1,334 25 53 161 4,390


Statistics updated 2023-05-07