Access Statistics for Francis Diebold

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"Big Data" and its Origins 0 0 2 163 1 5 18 137
(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation 0 0 0 973 1 2 15 1,833
A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting 0 0 0 11 0 0 9 37
A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting 0 0 0 22 0 1 8 42
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 207 0 1 11 588
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 187 1 2 15 501
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 1 1 4 10 34
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 32 1 4 14 154
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 65 1 5 18 218
A New Test for Market Efficiency and Uncovered Interest Parity 0 0 0 10 0 1 8 27
A New Test for Market Efficiency and Uncovered Interest Parity 1 1 1 25 1 2 11 62
A New Test forMarket Efficiency and Uncovered Interest Parity 0 0 1 9 0 1 15 43
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 136 2 3 10 380
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 26 0 2 11 181
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 155 2 2 12 373
A Personal Perspective on the Origin(s) and Development of “Big Data": The Phenomenon, the Term, and the Discipline, Second Version 0 0 1 169 1 6 19 516
A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration 0 0 1 621 1 7 24 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 1 3 11 358
A nonparametric investigation of duration dependence in the American business cycle 0 0 0 1 0 2 11 374
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 0 1 1 105 1 4 28 359
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 0 0 0 188 1 4 15 545
An application of operational-subjective statistical methods to rational expectations: comment 0 0 0 0 0 0 4 420
An arbitrage-free generalized Nelson-Siegel term structure model 0 0 0 337 3 6 24 828
Assessing Point Forecast Accuracy by Stochastic Error Distance 0 0 0 77 1 3 20 66
Assessing Point Forecast Accuracy by Stochastic Error Distance 0 0 0 53 0 2 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 42 0 0 12 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 3 0 2 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 46 0 4 8 16
Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics 0 0 0 7 0 2 5 509
Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts 0 0 0 72 1 3 12 79
Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers 4 16 61 1,831 11 50 264 4,461
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 273 0 1 8 1,517
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 211 0 3 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 1 1 8 14
Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions 0 0 0 4 0 5 10 16
Clustered Network Connectedness: A New Measurement Framework with Application to Global Equity Markets 1 2 6 22 1 9 34 50
Clustered Network Connectedness: A New Measurement Framework, with Application to Global Equity Markets 0 1 9 9 0 2 10 10
Clustered Network Connectedness:A New Measurement Frameworkwith Application to Global Equity Markets 0 0 10 28 1 6 43 90
Cointegration and Long-Horizon Forecasting 0 0 0 196 1 5 37 522
Cointegration and Long-Horizon Forecasting 0 0 0 549 1 4 12 1,759
Cointegration and long-horizon forecasting 0 0 0 618 1 5 9 1,585
Commodity Connectedness 0 0 6 131 3 12 44 404
Commodity Connectedness 0 0 0 15 1 6 19 63
Commodity connectedness 0 0 0 24 0 4 13 105
Comparing Predictive Accuracy 0 10 24 1,934 6 33 113 4,693
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 0 0 2 53 1 2 20 208
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 0 0 1 357 1 6 24 399
Comparing predictive accuracy I: an asymptotic test 0 0 7 223 6 13 65 1,314
Conditional heteroskedasticity in the market 0 0 0 0 0 2 8 403
Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think 0 0 2 427 4 7 25 1,536
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again 0 0 0 304 0 0 14 1,698
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again 0 0 0 474 2 5 12 3,486
Deviations from random-walk behavior: tests based on the variance-time function 0 0 0 0 0 0 7 474
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 1 2 13 0 3 14 109
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 423 1 2 15 984
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 for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore 0 0 0 103 0 1 8 305
Does the business cycle have duration memory? 0 0 0 1 0 1 5 287
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data 0 0 0 211 1 2 14 1,604
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 140 0 0 6 620
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 154 1 2 7 1,158
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 92 0 2 24 655
Estimating Global Bank Network Connectedness 1 1 2 64 5 7 32 228
Estimating Global Bank Network Connectedness 0 0 0 9 0 5 19 110
Estimating Global Bank Network Connectedness 0 0 0 553 1 4 31 1,265
Evaluating Density Forecasts 0 0 0 69 0 1 13 382
Evaluating Density Forecasts 0 0 0 383 0 3 35 1,324
Evaluating Density Forecasts 0 0 0 189 0 2 11 554
Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters 0 0 1 272 0 4 16 1,276
Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters 0 0 0 0 0 2 10 661
Evaluating density forecasts 0 0 1 258 0 2 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 1 13 1,734
Exact maximum likelihood estimation of ARCH models 0 0 0 0 0 0 5 779
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 1 1 1 304 4 10 20 1,134
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 304 2 9 21 861
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 495 3 8 27 1,631
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 230 5 9 22 697
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 1 213 1 5 18 611
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 0 576 2 4 10 1,953
Financial Risk Management in a Volatile Global Environment 0 0 0 715 0 4 22 2,198
Financial Risk Measurement for Financial Risk Management 0 0 2 183 0 11 44 586
Financial Risk Measurement for Financial Risk Management 0 0 0 207 0 7 38 623
Financial Risk Measurement for Financial Risk Management 0 0 0 247 0 1 19 571
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 0 0 215 0 4 14 431
Forecast Evaluation and Combination 1 1 1 1,082 1 5 22 3,193
Forecast combination and encompassing: reconciling two divergent literatures 0 0 0 0 0 1 6 516
Forecast evaluation and combination 0 0 0 521 0 5 26 1,568
Forecasting output with the composite leading index: an ex ante analysis 0 0 0 0 1 3 12 1,049
Forecasting the Term Structure of Government Bond Yields 0 0 0 898 0 11 34 2,172
Forecasting the Term Structure of Government Bond Yields 0 0 3 844 3 15 43 2,323
Forecasting the term structure of government bond yields 0 1 3 835 1 16 39 2,038
Further Results on Forecasting and Model Selection Under Asymmetric Loss 0 1 1 185 1 8 20 505
Further evidence on business cycle duration dependence 0 0 0 0 0 2 13 423
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach 0 0 0 178 1 3 15 672
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach 0 0 2 363 0 3 35 928
Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach 0 0 0 13 0 0 12 81
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 114 0 2 10 293
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 196 0 2 10 531
Have postwar economic fluctuations been stabilized? 0 0 0 0 1 4 18 387
Have postwar economic fluctuations been stabilized? 0 0 1 63 2 2 13 494
High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models 0 0 0 221 2 5 18 902
Horizon Problems and Extreme Events in Financial Risk Management 0 0 1 514 1 3 17 1,759
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 790 1 8 18 2,813
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 0 9 21 1,602
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 333 1 5 10 924
Improving GDP Measurement: A Forecast Combination Perspective 0 0 0 57 0 2 13 202
Improving GDP Measurement: A Forecast Combination Perspective 0 0 0 80 1 5 11 291
Improving GDP Measurement: A Measurement-Error Perspective 0 0 0 70 0 1 12 169
Improving GDP Measurement: A Measurement-Error Perspective 0 0 0 53 0 6 15 183
Improving GDP measurement: a forecast combination perspective 0 0 0 71 1 1 17 147
Improving GDP measurement: a measurement-error perspective 0 0 0 45 0 4 14 221
International evidence on business cycle duration dependence 0 0 0 56 0 4 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 2 16 1,319
Long Memory and Regime Switching 1 1 1 589 3 10 27 1,494
Long memory and persistence in aggregate output 0 0 0 1 0 4 7 871
Machine Learning and the Yield Curve: Tree-Based Macroeconomic Regime Switching 0 0 3 31 0 6 19 70
Machine Learning and the Yield Curve:Tree-Based Macroeconomic Regime Switching 0 0 2 17 4 13 44 81
Machine Learning for Regularized Survey Forecast Combination: Partially Egalitarian Lasso and its Derivatives 0 0 0 39 1 3 20 152
Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives 0 0 1 73 1 2 14 127
Macroeconomic Volatility and Stock Market Volatility, World-Wide 0 0 1 159 0 2 11 392
Macroeconomic Volatility and Stock Market Volatility, Worldwide 0 0 0 215 1 5 20 693
Macroeconomic Volatility and Stock Market Volatility,World-Wide 0 0 1 964 0 6 39 2,520
Measuring Business Cycle: A Modern Perspective 0 0 1 461 3 9 21 1,053
Measuring Business Cycles: A Modern Perspective 0 0 2 539 4 5 27 1,514
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 1 3 176 0 7 44 640
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 0 11 239 5 15 82 735
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 0 5 158 0 8 26 568
Measuring Predictability: Theory And Macroeconomic Applications 0 0 0 127 1 1 16 584
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 51 1 4 13 390
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 1 1 3 16 648
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 197 1 3 16 1,191
Measuring Volatility Dynamics 0 0 1 505 1 5 13 1,973
Measuring financial asset return and volatility spillovers, with application to global equity markets 0 0 0 25 1 5 26 248
Measuring financial asset return and volatility spillovers, with application to global equity markets 0 0 1 114 0 14 63 538
Measuring financial asset return and volatilty spillovers, with application to global equity markets 1 1 3 41 2 17 152 382
Measuring predictability: theory and macroeconomic applications 0 0 0 166 0 3 18 763
Measuring the Dynamics of Global Business Cycle Connectedness 0 0 0 148 1 5 11 466
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 1 1 2 480 2 18 38 2,300
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 2 291 0 8 20 1,056
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 0 52 0 5 21 531
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 1 1 1 357 2 14 27 1,293
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 258 2 4 21 651
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 206 1 4 21 514
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 371 1 4 17 974
Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management 0 0 1 530 3 9 30 1,368
Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management 0 2 5 1,416 4 22 67 3,678
Modeling Volatility Dynamics 0 0 0 372 1 3 12 723
Modeling and Forecasting Realized Volatility 0 0 5 999 1 20 49 2,226
Modeling and Forecasting Realized Volatility 0 2 6 798 4 23 52 1,947
Modeling and Forecasting Realized Volatility 1 2 3 1,264 3 17 71 3,066
Modeling bond yields in finance and macroeconomics 0 0 0 271 1 4 18 735
Modeling volatility dynamics 0 0 3 412 1 4 30 1,029
Near-rationality and strategic complementarity in a macroeconomic model: policy effects, persistence and multipliers 0 0 0 0 0 2 4 161
Nonparametric exchange rate prediction? 0 0 0 3 0 2 14 1,482
On Robust Inference in Time Series Regression 0 0 1 125 1 3 18 61
On Robust Inference in Time Series Regression 0 1 1 5 4 6 15 53
On Robust Inference in Time Series Regression 0 0 0 20 1 6 17 62
On cointegration and exchange rate dynamics 0 0 0 3 0 0 16 548
On comparing information in forecasts from econometric models: a comment on Fair and Shiller 0 0 0 0 0 1 3 157
On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean 0 0 0 85 0 0 17 697
On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean 0 0 0 1 0 2 8 268
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone In?ation and Real Interest Rates 0 0 0 7 1 3 11 33
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 0 12 0 4 9 36
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 0 0 0 2 7 43
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 1 1 12 0 6 8 23
On the Comparison of Interval Forecasts 0 0 0 46 0 3 17 109
On the Correlation Structure of Microstructure Noise in Theory and Practice 0 0 0 90 0 2 10 290
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 163 1 3 18 466
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 37 1 2 10 160
On the Evolution of U.S. Temperature Dynamics 0 0 0 12 0 2 10 38
On the Evolution of U.S. Temperature Dynamics 0 0 0 69 0 1 11 91
On the Financing of Climate Change Adaptation in Developing Countries 0 0 0 43 0 5 11 30
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 0 3 178 1 3 30 793
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 0 3 263 1 5 32 563
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 0 4 115 3 6 36 385
On the Origin(s) and Development of the Term “Big Data" 0 1 3 277 0 7 25 464
On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness 0 1 2 11 0 10 18 49
On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness 2 2 4 46 5 19 62 184
On the Wisdom of Crowds (of Economists) 0 0 2 2 0 5 19 19
On the Wisdom of Crowds (of Economists) 0 1 6 6 1 8 9 9
On the Wisdom of Crowds (of Economists) 0 0 2 37 0 4 18 23
On the correlation structure of microstructure noise in theory and practice 0 0 0 11 0 3 10 79
On the network topology of variance decompositions: Measuring the connectedness of financial firms 1 1 6 127 4 12 52 455
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 1 21 54
Optimal Prediction Under Asymmetric Loss 0 0 0 259 1 2 12 1,094
Optimal Prediction Under Asymmetric Loss 0 0 0 127 1 3 12 453
Optimal Prediction Under Asymmetric Loss 0 0 0 77 2 3 20 381
Optimal prediction under asymmetric loss 0 0 4 297 2 4 28 1,049
Parametric and Nonparametric Volatility Measurement 0 0 0 830 1 9 24 2,134
Parametric and Nonparametric Volatility Measurement 0 0 0 692 2 5 20 1,625
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 0 1 638 0 2 17 1,253
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 0 0 1 0 0 7 865
Post-deregulation deposit rate pricing: the multivariate dynamics 0 0 0 1 0 2 10 516
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 421 0 13 28 926
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 2 14 31 1,221
Practical volatility and correlation modeling for financial market risk management 0 0 0 397 1 3 18 872
Priors from Frequency-Domain Dummy Observations 0 0 2 38 0 1 14 109
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 15 0 4 9 33
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 8 1 5 14 50
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 2 0 6 22 49
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 11 1 2 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 1 8 21 2,218
Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing 0 0 1 1,608 1 6 54 3,659
Real exchange rates under the gold standard 0 0 0 252 0 1 18 1,618
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility 0 0 0 105 0 1 25 170
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility 0 0 0 2 1 3 10 42
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 1 124 0 4 20 345
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 0 102 1 3 14 365
Real-Time Measurement of Business Conditions 0 0 2 111 2 5 29 331
Real-Time Measurement of Business Conditions 0 0 0 0 2 5 14 643
Real-Time Measurement of Business Conditions 0 0 0 91 0 2 13 298
Real-Time Measurement of Business Conditions, Second Version 0 0 0 120 1 4 15 270
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 198 0 3 10 1,130
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 236 0 3 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 3 10 390
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 1 1 1 150 2 4 16 524
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 181 1 5 19 820
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 218 2 5 16 691
Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 0 0 0 7 0 3 7 48
Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession 0 0 0 21 0 3 18 92
Real-Time Real Economic Activity:Entering and Exiting the Pandemic Recession of 2020 0 0 2 13 0 5 16 48
Real-Time Real Economic Activity:Exiting the Great Recession and Entering the Pandemic Recession 0 0 0 40 0 0 11 70
Real-time forecast evaluation of DSGE models with stochastic volatility 0 0 0 74 1 5 20 105
Real-time macroeconomic monitoring: real activity, inflation, and interactions 0 0 0 40 0 6 22 236
Real-time measurement of business conditions 0 1 1 149 2 6 17 364
Real-time measurement of business conditions 0 0 0 174 0 4 17 650
Real-time price discovery in global stock, bond and foreign exchange markets 0 0 1 279 2 7 17 1,020
Real-time price discovery in stock, bond and foreign exchange markets 0 0 0 144 0 2 12 571
Realized Beta: Persistence and Predictability 0 0 0 516 0 5 22 941
Realized beta: Persistence and predictability 0 0 1 222 1 5 23 662
Regime switching with time-varying transition probabilities 0 0 0 10 6 23 58 2,464
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 2 171 3 14 32 592
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 0 356 17 33 46 1,035
Scoring the leading indicators 0 0 0 1 0 3 15 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 4 16 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 3 22 553
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 1 7 15 1,191
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 0 106 0 3 8 361
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 0 182 0 3 26 436
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 0 2 13 605
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 3 17 597
The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models 0 0 2 231 1 7 26 676
The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models 1 1 1 153 2 8 16 439
The Distribution of Exchange Rate Volatility 0 0 0 323 0 3 16 880
The Distribution of Exchange Rate Volatility 0 0 0 531 0 3 12 1,327
The Distribution of Exchange Rate Volatility 0 0 0 552 2 6 18 1,463
The Distribution of Stock Return Volatility 0 0 0 839 1 4 16 2,254
The Distribution of Stock Return Volatility 0 0 0 906 1 8 20 2,421
The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach 1 1 2 497 3 9 44 1,382
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 332 0 4 25 959
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 26 0 4 15 84
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 151 1 4 14 499
The Nobel Memorial Prize for Robert F. Engle 0 1 1 149 0 4 13 620
The Nobel Memorial Prize for Robert F. Engle 0 0 0 145 0 2 9 544
The Nobel Memorial Prize for Robert F. Engle 0 0 0 61 1 5 18 314
The Past, Present, and Future of Macroeconomic Forecasting 0 1 1 289 0 2 17 959
The affine arbitrage-free class of Nelson-Siegel term structure models 1 2 4 202 3 10 30 608
The dynamics of exchange rate volatility: a multivariate latent factor ARCH model 0 0 0 1 3 5 23 849
The past, present, and future of macroeconomic forecasting 0 0 0 379 1 3 13 1,160
The use of prior information in forecast combination 0 0 0 1 1 3 8 508
Time Series Analysis 0 0 1 145 1 3 12 400
Time Series Analysis 0 1 4 1,109 0 1 13 1,800
Unit Root Tests Are Useful for Selecting Forecasting Models 0 0 0 409 0 4 18 1,468
Unit Root Tests are Useful for Selecting Forecasting Models 0 0 0 313 0 3 14 707
Unit roots in economic time series: a selective survey 0 0 0 3 1 1 22 1,221
Volatility Forecasting 0 1 1 951 1 6 34 1,308
Volatility Forecasting 0 0 1 562 0 8 33 1,033
Volatility forecasting 0 0 1 339 1 5 26 761
Weather Forecasting for Weather Derivatives 0 0 0 300 1 3 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 1 4 18 858
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 48 0 4 12 38
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 11 0 2 11 67
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 1 1 2 11 24
Why Are Estimates of Agricultural Supply Response So Variable? 0 0 0 140 0 0 5 437
Why Are Estimates of Agricultural Supply Response so Variable? 0 0 0 11 0 1 5 26
Why are estimates of agricultural supply response so variable? 0 1 2 196 0 2 13 697
Total Working Papers 21 67 301 65,361 276 1,406 5,895 217,655

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 2 5 20 508
A Markov-switching multifractal inter-trade duration model, with application to US equities 0 0 0 50 0 4 21 229
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 2 79 1 3 13 456
A Nonparametric Investigation of Duration Dependence in the American Business Cycle 0 0 0 182 1 2 10 585
A benchmark model for fixed-target Arctic sea ice forecasting 0 0 0 0 0 3 13 23
A new test for market efficiency and uncovered interest parity 0 2 3 4 1 3 14 22
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 2 3 26 575
Are long expansions followed by short contractions? 0 0 0 2 0 3 7 246
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 3 15 17
Assessing point forecast accuracy by stochastic error distance 0 1 1 3 1 2 9 24
Assessing point forecast accuracy by stochastic loss distance 0 0 0 10 0 3 9 55
Better to give than to receive: Predictive directional measurement of volatility spillovers 16 44 175 822 85 208 723 2,621
Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 146 0 3 15 1,166
Bootstrapping Multivariate Spectra 0 0 0 49 0 1 6 207
Climate models underestimate the sensitivity of Arctic sea ice to carbon emissions 0 0 0 2 0 1 7 19
Cointegration and Long-Horizon Forecasting 0 0 0 0 0 3 15 471
Comment 0 0 0 11 0 1 8 55
Comparing Predictive Accuracy 0 0 0 0 37 97 479 7,634
Comparing Predictive Accuracy 0 0 0 0 6 25 93 3,358
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 2 6 17 78 6 17 84 299
Discussion: The effect of seasonal adjustment filters on tests for a unit root 0 0 0 10 0 2 9 69
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data 0 0 0 86 0 3 17 365
Econometrics: Retrospect and prospect 0 0 0 24 0 1 7 119
Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate 0 0 0 15 0 0 10 93
Equity Market Spillovers in the Americas 0 1 1 127 1 5 22 434
Estimating global bank network connectedness 2 3 5 63 6 14 53 279
Evaluating Density Forecasts with Applications to Financial Risk Management 0 0 0 2 1 15 46 2,088
Exact maximum-likelihood estimation of autoregressive models via the Kalman filter 0 0 1 208 0 1 6 409
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 18 2 6 30 168
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 52 3 7 21 307
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 5 13 218
Forecasting and empirical methods in finance and macroeconomics 0 0 2 73 0 2 12 198
Forecasting the term structure of government bond yields 8 19 62 570 27 77 281 2,290
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 8 17 256
Fractional integration and interval prediction 0 0 0 31 0 1 10 133
From the horse’s mouth: gauging conditional expected stock returns from investor surveys 0 0 0 12 0 2 6 90
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 0 0 194 1 2 8 665
Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach 0 2 17 283 5 11 67 1,127
Globalization, the Business Cycle, and Macroeconomic Monitoring 1 2 2 37 1 9 21 189
Has the EMS Reduced Member-Country Exchange Rate Volatility? 0 0 0 0 0 4 6 164
Have Postwar Economic Fluctuations Been Stabilized? 0 0 1 55 0 0 17 398
Horizon problems and extreme events in financial risk management 0 0 1 191 0 5 24 781
How Relevant is Volatility Forecasting for Financial Risk Management? 1 1 2 349 2 9 19 1,133
Improving GDP measurement: A measurement-error perspective 0 0 0 81 0 4 24 390
Is Consumption Too Smooth? Long Memory and the Deaton Paradox 0 0 0 157 0 6 21 548
Job Stability in the United States 0 0 0 201 0 6 19 1,623
Long memory and persistence in aggregate output 0 0 0 160 1 3 9 372
Long memory and regime switching 0 0 0 279 3 14 27 807
Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives 0 0 16 49 0 8 52 173
Measuring Business Cycles: A Modern Perspective 0 1 6 507 3 19 62 1,727
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 3 9 19 81 12 38 119 283
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 0 0 0 654 8 21 76 2,385
Measuring predictability: theory and macroeconomic applications 0 0 0 222 0 2 12 848
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 1 7 26 614 6 35 145 2,085
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 249 2 4 30 818
Modeling and Forecasting Realized Volatility 0 0 0 1,158 26 81 198 3,848
Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange 0 0 1 257 1 6 19 700
Nonparametric exchange rate prediction? 0 0 0 495 1 4 10 1,355
On Cointegration and Exchange Rate Dynamics 0 0 0 233 0 2 15 707
On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean 0 0 1 70 0 2 10 232
On robust inference in time-series regression 0 0 2 2 1 5 20 20
On the Comparison of Interval Forecasts 0 0 0 3 0 2 18 48
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 42 0 1 17 242
On the aggregation of probability assessments: Regularized mixtures of predictive densities for Eurozone inflation and real interest rates 0 2 4 7 0 6 16 27
On the network topology of variance decompositions: Measuring the connectedness of financial firms 4 13 43 882 43 115 327 2,702
On the power of Dickey-Fuller tests against fractional alternatives 0 0 0 154 0 2 21 406
Optimal Prediction Under Asymmetric Loss 0 0 0 72 5 7 21 268
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 4 16 20
Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics 0 0 0 0 0 0 9 786
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 8 0 1 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 8 11
Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections 0 0 0 1 0 2 10 23
Range‐Based Estimation of Stochastic Volatility Models 1 3 5 141 2 8 46 516
Ratings migration and the business cycle, with application to credit portfolio stress testing 2 2 7 472 7 15 67 1,187
Real Exchange Rates under the Gold Standard 0 1 1 287 0 2 12 1,634
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 0 130 0 1 11 533
Real-Time Measurement of Business Conditions 2 2 6 336 3 7 61 1,023
Real-time forecast evaluation of DSGE models with stochastic volatility 0 0 0 14 0 3 15 95
Real-time price discovery in global stock, bond and foreign exchange markets 1 1 5 362 11 17 59 1,279
Rejoinder 0 0 0 3 0 4 8 45
Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms 0 1 2 9 1 6 24 55
Reprint of: When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume 0 0 0 0 0 3 6 8
Robust estimation - discussion 0 0 0 0 1 2 10 60
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 4 8 20 706 13 47 110 1,986
Scoring the Leading Indicators 0 2 4 770 0 4 22 1,753
Serial Correlation and the Combination of Forecasts 0 0 0 0 0 3 9 401
Shorter recessions and longer expansions 0 0 1 37 1 1 5 510
Software review 0 0 0 8 0 2 10 126
State space modeling of time series: A review essay 0 0 0 163 0 2 10 349
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 0 129 0 3 20 448
Stock returns and expected business conditions: half a century of direct evidence 0 0 1 24 0 2 12 155
Structural Time Series Analysis and Modelling Package: A Review 0 0 0 101 0 2 8 411
Structural change and the combination of forecasts 0 1 5 5 0 2 13 19
Symposium on Forecasting Performance: An Introduction 0 0 0 49 0 0 4 168
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 3 11 86
Testing for bubbles, reflecting barriers and other anomalies 0 0 1 9 1 1 9 54
Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures 0 0 0 205 0 2 17 489
The Distribution of Realized Exchange Rate Volatility 0 0 3 214 2 10 48 716
The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model 0 1 4 752 2 4 19 1,618
The Nobel Memorial Prize for Robert F. Engle 0 0 0 35 0 2 12 422
The Past, Present, and Future of Macroeconomic Forecasting 0 0 1 181 0 5 19 809
The Uncertain Unit Root in Real GNP: Comment 0 0 0 100 0 2 15 414
The affine arbitrage-free class of Nelson-Siegel term structure models 1 4 16 455 11 32 99 1,427
The distribution of realized stock return volatility 1 4 10 872 10 25 59 2,278
The econometrics of macroeconomics, finance, and the interface 0 0 0 437 1 5 11 837
The exact initial covariance matrix of the state vector of a general MA(q) process 0 0 1 26 0 3 9 157
The macroeconomy and the yield curve: a dynamic latent factor approach 0 3 22 634 5 20 107 1,999
The use of prior information in forecast combination 0 0 0 126 1 5 21 302
Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 1 4 5 82 2 12 26 250
Unit-Root Tests Are Useful for Selecting Forecasting Models 0 0 0 0 0 3 32 701
Weather Forecasting for Weather Derivatives 0 0 1 98 0 1 15 359
When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume 0 0 0 2 0 1 14 24
Why are estimates of agricultural supply response so variable? 0 0 0 47 1 3 10 220
Total Journal Articles 51 151 535 19,328 378 1,255 4,763 82,157

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 4 18 171
Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring 0 0 0 0 6 39 144 768
The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice 0 0 0 0 0 4 17 212
Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach 0 0 0 0 3 21 61 595
Total Books 0 0 0 0 9 68 240 1,746

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 1 1 3 27 1 6 31 133
Commodity Connectedness 0 0 1 48 2 3 16 200
Equity Market Spillovers in the Americas 0 2 5 70 1 9 28 237
Facts, Factors, and Questions 0 0 0 104 0 2 12 280
Financial Risk Measurement for Financial Risk Management 0 0 2 62 1 16 60 396
Further Evidence on Business-Cycle Duration Dependence 0 0 0 96 1 2 14 253
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 60 0 0 13 175
Introduction 0 0 0 3 0 2 10 27
On Asymmetry in Economic Time Series 0 0 0 0 1 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 0 0 1 251 1 10 26 790
Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 0 0 0 0 0 2 4 13
Realized Beta: Persistence and Predictability 1 2 4 14 3 7 27 55
Volatility and Correlation Forecasting 2 6 12 690 8 21 92 2,440
Total Chapters 4 11 29 1,429 19 81 349 5,032

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