Access Statistics for Francis Diebold

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"Big Data" and its Origins 0 0 3 163 1 5 18 136
(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation 0 0 0 973 1 3 15 1,832
A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting 0 0 0 22 1 2 8 42
A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting 0 0 0 11 0 1 9 37
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 0 1 15 500
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 1 1 5 9 33
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 32 0 4 13 153
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 65 0 6 18 217
A New Test for Market Efficiency and Uncovered Interest Parity 0 0 0 24 0 1 10 61
A New Test for Market Efficiency and Uncovered Interest Parity 0 0 0 10 0 1 8 27
A New Test forMarket Efficiency and Uncovered Interest Parity 0 0 1 9 0 2 15 43
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 26 0 3 11 181
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 136 0 2 8 378
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 155 0 0 10 371
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 20 515
A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration 0 0 1 621 1 8 24 1,900
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 2 10 357
A nonparametric investigation of duration dependence in the American business cycle 0 0 0 1 0 4 11 374
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 0 0 0 188 1 5 14 544
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 1 1 1 105 2 5 27 358
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 1 3 22 825
Assessing Point Forecast Accuracy by Stochastic Error Distance 0 0 0 53 1 3 15 58
Assessing Point Forecast Accuracy by Stochastic Error Distance 0 0 0 77 1 3 19 65
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 3 8 16
Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice: Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models 0 0 0 42 0 2 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 46 1 5 8 16
Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics 0 0 0 7 1 2 6 509
Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts 0 0 0 72 2 2 12 78
Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers 8 14 62 1,827 22 62 274 4,450
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 211 0 4 10 825
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 273 0 3 8 1,517
Bounded rationality and strategic complementarity in a macroeconomic model: policy effects, persistence, and multipliers 0 0 0 2 0 0 3 465
Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions 0 0 0 4 0 0 7 13
Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions 0 0 0 4 0 6 10 16
Clustered Network Connectedness: A New Measurement Framework with Application to Global Equity Markets 0 1 6 21 2 12 36 49
Clustered Network Connectedness: A New Measurement Framework, with Application to Global Equity Markets 0 2 9 9 0 4 10 10
Clustered Network Connectedness:A New Measurement Frameworkwith Application to Global Equity Markets 0 0 10 28 1 8 50 89
Cointegration and Long-Horizon Forecasting 0 0 0 196 2 5 37 521
Cointegration and Long-Horizon Forecasting 0 0 0 549 0 3 11 1,758
Cointegration and long-horizon forecasting 0 0 0 618 2 4 8 1,584
Commodity Connectedness 0 0 0 15 1 7 18 62
Commodity Connectedness 0 1 6 131 2 13 42 401
Commodity connectedness 0 0 0 24 2 6 13 105
Comparing Predictive Accuracy 4 11 26 1,934 7 34 109 4,687
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 0 0 2 53 0 1 19 207
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 0 0 1 357 1 6 23 398
Comparing predictive accuracy I: an asymptotic test 0 2 7 223 3 17 61 1,308
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 1 5 24 1,532
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again 0 0 0 474 0 3 12 3,484
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again 0 0 0 304 0 1 14 1,698
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 0 1 423 0 4 14 983
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 1 2 2 13 1 6 14 109
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 1 1 12 1 2 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 6 287
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data 0 0 0 211 1 1 13 1,603
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 92 1 4 25 655
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 154 1 1 6 1,157
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 140 0 0 6 620
Estimating Global Bank Network Connectedness 0 0 1 63 1 2 27 223
Estimating Global Bank Network Connectedness 0 0 0 553 1 4 30 1,264
Estimating Global Bank Network Connectedness 0 0 0 9 2 5 19 110
Evaluating Density Forecasts 0 0 0 383 0 4 36 1,324
Evaluating Density Forecasts 0 0 0 189 0 2 11 554
Evaluating Density Forecasts 0 0 0 69 1 2 13 382
Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters 0 0 0 0 1 2 10 661
Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters 0 0 1 272 0 4 16 1,276
Evaluating density forecasts 0 0 1 258 0 3 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 0 0 0 303 0 10 16 1,130
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 495 0 7 24 1,628
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 304 0 8 19 859
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 2 213 2 5 19 610
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 230 3 7 19 692
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 0 576 1 3 8 1,951
Financial Risk Management in a Volatile Global Environment 0 0 0 715 2 5 22 2,198
Financial Risk Measurement for Financial Risk Management 0 1 2 183 2 15 45 586
Financial Risk Measurement for Financial Risk Management 0 0 0 207 1 8 38 623
Financial Risk Measurement for Financial Risk Management 0 0 0 247 0 2 19 571
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 0 0 215 1 4 14 431
Forecast Evaluation and Combination 0 0 0 1,081 1 5 21 3,192
Forecast combination and encompassing: reconciling two divergent literatures 0 0 0 0 0 2 6 516
Forecast evaluation and combination 0 0 0 521 0 6 26 1,568
Forecasting output with the composite leading index: an ex ante analysis 0 0 0 0 0 3 11 1,048
Forecasting the Term Structure of Government Bond Yields 0 1 3 844 2 15 41 2,320
Forecasting the Term Structure of Government Bond Yields 0 0 0 898 1 15 35 2,172
Forecasting the term structure of government bond yields 1 2 3 835 2 18 39 2,037
Further Results on Forecasting and Model Selection Under Asymmetric Loss 1 1 1 185 2 9 19 504
Further evidence on business cycle duration dependence 0 0 0 0 0 3 13 423
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach 0 0 2 363 1 6 36 928
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach 0 0 0 178 0 3 14 671
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 1 3 10 531
Have postwar economic fluctuations been stabilized? 0 0 0 0 0 4 18 386
Have postwar economic fluctuations been stabilized? 0 0 1 63 0 1 11 492
High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models 0 0 0 221 0 4 17 900
Horizon Problems and Extreme Events in Financial Risk Management 0 0 1 514 0 2 16 1,758
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 0 10 21 1,602
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 333 1 5 9 923
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 790 3 7 17 2,812
Improving GDP Measurement: A Forecast Combination Perspective 0 0 0 57 0 4 13 202
Improving GDP Measurement: A Forecast Combination Perspective 0 0 0 80 0 4 11 290
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 1 6 15 183
Improving GDP measurement: a forecast combination perspective 0 0 0 71 0 0 16 146
Improving GDP measurement: a measurement-error perspective 0 0 0 45 1 5 14 221
International evidence on business cycle duration dependence 0 0 0 56 1 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 3 16 1,319
Long Memory and Regime Switching 0 0 0 588 1 9 24 1,491
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 9 19 70
Machine Learning and the Yield Curve:Tree-Based Macroeconomic Regime Switching 0 1 3 17 3 12 42 77
Machine Learning for Regularized Survey Forecast Combination: Partially Egalitarian Lasso and its Derivatives 0 0 0 39 1 3 19 151
Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives 0 1 1 73 0 3 13 126
Macroeconomic Volatility and Stock Market Volatility, World-Wide 0 0 1 159 0 3 11 392
Macroeconomic Volatility and Stock Market Volatility, Worldwide 0 0 0 215 0 6 20 692
Macroeconomic Volatility and Stock Market Volatility,World-Wide 0 0 1 964 1 8 41 2,520
Measuring Business Cycle: A Modern Perspective 0 0 1 461 0 7 19 1,050
Measuring Business Cycles: A Modern Perspective 0 1 2 539 0 5 25 1,510
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 1 12 239 1 18 79 730
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 1 3 176 1 10 44 640
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 2 5 158 5 11 26 568
Measuring Predictability: Theory And Macroeconomic Applications 0 0 0 127 0 0 15 583
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 197 1 5 15 1,190
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 51 1 3 12 389
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 1 0 3 15 647
Measuring Volatility Dynamics 0 1 1 505 2 7 13 1,972
Measuring financial asset return and volatility spillovers, with application to global equity markets 0 0 0 25 3 6 25 247
Measuring financial asset return and volatility spillovers, with application to global equity markets 0 0 1 114 2 17 65 538
Measuring financial asset return and volatilty spillovers, with application to global equity markets 0 1 2 40 3 39 151 380
Measuring predictability: theory and macroeconomic applications 0 0 0 166 0 7 18 763
Measuring the Dynamics of Global Business Cycle Connectedness 0 0 0 148 1 4 11 465
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 2 291 1 10 20 1,056
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 1 479 2 16 36 2,298
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 0 52 0 6 21 531
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 0 0 356 3 14 26 1,291
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 258 1 3 20 649
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 206 0 4 20 513
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 371 1 3 16 973
Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management 0 1 2 530 3 9 28 1,365
Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management 2 3 6 1,416 6 23 65 3,674
Modeling Volatility Dynamics 0 0 0 372 1 3 11 722
Modeling and Forecasting Realized Volatility 1 2 7 798 6 23 49 1,943
Modeling and Forecasting Realized Volatility 1 1 2 1,263 4 16 71 3,063
Modeling and Forecasting Realized Volatility 0 0 6 999 2 20 50 2,225
Modeling bond yields in finance and macroeconomics 0 0 0 271 1 5 18 734
Modeling volatility dynamics 0 0 3 412 0 4 29 1,028
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 1 2 14 1,482
On Robust Inference in Time Series Regression 0 0 0 20 1 5 16 61
On Robust Inference in Time Series Regression 1 1 1 5 1 2 11 49
On Robust Inference in Time Series Regression 0 0 1 125 0 2 17 60
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 1 0 2 8 268
On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean 0 0 0 85 0 0 17 697
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone In?ation and Real Interest Rates 0 0 0 7 0 3 10 32
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 0 0 0 3 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 7 8 23
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 Comparison of Interval Forecasts 0 0 0 46 2 3 18 109
On the Correlation Structure of Microstructure Noise in Theory and Practice 0 0 0 90 0 3 10 290
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 37 0 1 9 159
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 163 1 3 17 465
On the Evolution of U.S. Temperature Dynamics 0 0 0 69 0 2 11 91
On the Evolution of U.S. Temperature Dynamics 0 0 0 12 0 3 10 38
On the Financing of Climate Change Adaptation in Developing Countries 0 0 1 43 1 5 15 30
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 0 4 178 0 2 30 792
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 0 3 263 3 6 32 562
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 0 4 115 0 5 33 382
On the Origin(s) and Development of the Term “Big Data" 1 2 3 277 1 10 25 464
On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness 0 0 2 44 6 19 60 179
On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness 0 1 2 11 3 11 18 49
On the Wisdom of Crowds (of Economists) 0 6 6 6 2 8 8 8
On the Wisdom of Crowds (of Economists) 0 0 2 37 1 4 18 23
On the Wisdom of Crowds (of Economists) 0 0 2 2 2 5 19 19
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 0 1 5 126 3 10 48 451
On the power of Dickey-Fuller tests against fractional alternatives 0 0 0 2 0 0 12 693
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 18 0 1 21 54
Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach 0 0 0 5 0 1 6 31
Optimal Prediction Under Asymmetric Loss 0 0 0 259 1 2 11 1,093
Optimal Prediction Under Asymmetric Loss 0 0 0 77 0 4 22 379
Optimal Prediction Under Asymmetric Loss 0 0 0 127 1 2 11 452
Optimal prediction under asymmetric loss 0 0 4 297 0 5 27 1,047
Parametric and Nonparametric Volatility Measurement 0 0 0 692 3 8 18 1,623
Parametric and Nonparametric Volatility Measurement 0 0 0 830 2 10 23 2,133
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 0 1 638 1 5 17 1,253
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 0 0 1 0 1 7 865
Post-deregulation deposit rate pricing: the multivariate dynamics 0 0 0 1 0 3 10 516
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 421 2 15 28 926
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 1 12 29 1,219
Practical volatility and correlation modeling for financial market risk management 0 0 0 397 1 2 17 871
Priors from Frequency-Domain Dummy Observations 0 0 2 38 0 2 14 109
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 8 1 4 13 49
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 15 1 4 9 33
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 11 0 1 9 33
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 2 1 7 22 49
Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function 0 0 0 0 0 0 5 441
Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think 0 0 0 815 0 8 20 2,217
Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing 0 0 1 1,608 1 14 53 3,658
Real exchange rates under the gold standard 0 0 0 252 0 4 19 1,618
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility 0 0 0 105 0 2 25 170
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility 0 0 0 2 2 3 9 41
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 0 102 1 2 14 364
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 1 124 2 6 20 345
Real-Time Measurement of Business Conditions 0 0 2 111 2 4 28 329
Real-Time Measurement of Business Conditions 0 0 0 91 1 2 13 298
Real-Time Measurement of Business Conditions 0 0 0 0 2 4 12 641
Real-Time Measurement of Business Conditions, Second Version 0 0 0 120 1 3 14 269
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 198 0 4 10 1,130
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 122 0 3 9 389
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 236 1 3 9 751
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 0 0 149 1 3 14 522
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 181 1 4 18 819
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 218 0 3 14 689
Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 0 0 0 7 1 3 7 48
Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession 0 0 0 21 0 5 18 92
Real-Time Real Economic Activity:Entering and Exiting the Pandemic Recession of 2020 0 0 2 13 0 7 17 48
Real-Time Real Economic Activity:Exiting the Great Recession and Entering the Pandemic Recession 0 0 0 40 0 1 11 70
Real-time forecast evaluation of DSGE models with stochastic volatility 0 0 0 74 2 5 19 104
Real-time macroeconomic monitoring: real activity, inflation, and interactions 0 0 0 40 0 8 22 236
Real-time measurement of business conditions 1 1 1 149 2 4 16 362
Real-time measurement of business conditions 0 0 0 174 2 5 17 650
Real-time price discovery in global stock, bond and foreign exchange markets 0 0 1 279 1 5 16 1,018
Real-time price discovery in stock, bond and foreign exchange markets 0 0 0 144 0 3 13 571
Realized Beta: Persistence and Predictability 0 0 0 516 1 9 22 941
Realized beta: Persistence and predictability 0 1 2 222 1 6 23 661
Regime switching with time-varying transition probabilities 0 0 0 10 11 32 53 2,458
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 4 171 1 12 31 589
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 1 356 9 16 31 1,018
Scoring the leading indicators 0 0 0 1 1 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 1 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 1 4 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 0 6 14 1,190
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 1 4 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 3 13 605
Temporal aggregation of ARCH processes and the distribution of asset returns 0 0 0 0 0 1 9 328
Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures 0 0 0 1 0 4 17 597
The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models 0 1 2 231 1 8 25 675
The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models 0 0 0 152 0 6 14 437
The Distribution of Exchange Rate Volatility 0 0 0 531 3 3 12 1,327
The Distribution of Exchange Rate Volatility 0 0 0 552 0 4 16 1,461
The Distribution of Exchange Rate Volatility 0 0 0 323 0 4 16 880
The Distribution of Stock Return Volatility 0 0 0 906 3 9 20 2,420
The Distribution of Stock Return Volatility 0 0 0 839 1 5 16 2,253
The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach 0 0 1 496 2 9 41 1,379
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 26 1 4 15 84
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 332 1 5 25 959
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 151 0 6 13 498
The Nobel Memorial Prize for Robert F. Engle 0 0 0 61 2 6 17 313
The Nobel Memorial Prize for Robert F. Engle 0 0 0 145 0 3 9 544
The Nobel Memorial Prize for Robert F. Engle 1 1 1 149 1 5 13 620
The Past, Present, and Future of Macroeconomic Forecasting 1 1 1 289 1 3 17 959
The affine arbitrage-free class of Nelson-Siegel term structure models 1 1 3 201 2 8 27 605
The dynamics of exchange rate volatility: a multivariate latent factor ARCH model 0 0 0 1 0 3 22 846
The past, present, and future of macroeconomic forecasting 0 0 0 379 0 3 12 1,159
The use of prior information in forecast combination 0 0 0 1 1 2 7 507
Time Series Analysis 1 1 4 1,109 1 2 13 1,800
Time Series Analysis 0 0 1 145 0 2 11 399
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 1 5 14 707
Unit roots in economic time series: a selective survey 0 0 0 3 0 0 21 1,220
Volatility Forecasting 0 0 1 562 0 10 33 1,033
Volatility Forecasting 0 1 1 951 1 11 33 1,307
Volatility forecasting 0 0 1 339 2 5 25 760
Weather Forecasting for Weather Derivatives 0 0 0 665 1 3 14 1,747
Weather Forecasting for Weather Derivatives 0 0 0 300 0 2 14 1,054
Weather forecasting for weather derivatives 0 0 0 328 1 6 17 857
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 48 2 4 12 38
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 1 0 1 10 23
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 11 0 4 11 67
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 1 3 13 697
Total Working Papers 27 77 302 65,340 282 1,536 5,747 217,379

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 3 18 506
A Markov-switching multifractal inter-trade duration model, with application to US equities 0 0 0 50 1 6 21 229
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 2 79 0 2 12 455
A Nonparametric Investigation of Duration Dependence in the American Business Cycle 0 0 0 182 0 2 9 584
A benchmark model for fixed-target Arctic sea ice forecasting 0 0 0 0 1 3 13 23
A new test for market efficiency and uncovered interest parity 1 2 3 4 1 2 13 21
An Application of Operational-Subjective Statistical Methods to Rational Expectations: Comment 0 0 0 0 0 0 1 119
An arbitrage-free generalized Nelson--Siegel term structure model 0 0 0 138 0 2 24 573
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 4 15 17
Assessing point forecast accuracy by stochastic error distance 1 1 1 3 1 2 8 23
Assessing point forecast accuracy by stochastic loss distance 0 0 0 10 2 4 9 55
Better to give than to receive: Predictive directional measurement of volatility spillovers 15 43 167 806 63 168 666 2,536
Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 146 2 3 15 1,166
Bootstrapping Multivariate Spectra 0 0 0 49 1 1 6 207
Climate models underestimate the sensitivity of Arctic sea ice to carbon emissions 0 0 0 2 0 2 9 19
Cointegration and Long-Horizon Forecasting 0 0 0 0 0 7 15 471
Comment 0 0 0 11 0 1 8 55
Comparing Predictive Accuracy 0 0 0 0 4 24 96 3,352
Comparing Predictive Accuracy 0 0 0 0 31 105 479 7,597
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 3 4 16 76 6 21 79 293
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 2 11 93
Equity Market Spillovers in the Americas 1 1 1 127 2 4 21 433
Estimating global bank network connectedness 1 2 3 61 4 10 48 273
Evaluating Density Forecasts with Applications to Financial Risk Management 0 0 0 2 4 20 47 2,087
Exact maximum-likelihood estimation of autoregressive models via the Kalman filter 0 1 1 208 0 3 6 409
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 18 1 6 30 166
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 52 1 4 18 304
Five questions about business cycles 0 0 1 385 0 0 12 1,783
Forecast combination and encompassing: Reconciling two divergent literatures 1 1 1 87 4 5 13 218
Forecasting and empirical methods in finance and macroeconomics 0 0 2 73 1 2 12 198
Forecasting the term structure of government bond yields 4 17 59 562 14 68 270 2,263
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 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 7 664
Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach 1 4 18 283 1 9 64 1,122
Globalization, the Business Cycle, and Macroeconomic Monitoring 1 1 1 36 4 10 20 188
Has the EMS Reduced Member-Country Exchange Rate Volatility? 0 0 0 0 1 4 6 164
Have Postwar Economic Fluctuations Been Stabilized? 0 0 1 55 0 0 18 398
Horizon problems and extreme events in financial risk management 0 0 1 191 2 5 24 781
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 2 348 1 7 19 1,131
Improving GDP measurement: A measurement-error perspective 0 0 0 81 0 4 25 390
Is Consumption Too Smooth? Long Memory and the Deaton Paradox 0 0 0 157 1 8 21 548
Job Stability in the United States 0 0 0 201 2 6 19 1,623
Long memory and persistence in aggregate output 0 0 0 160 0 2 8 371
Long memory and regime switching 0 0 0 279 1 13 24 804
Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives 0 7 17 49 2 21 54 173
Measuring Business Cycles: A Modern Perspective 0 1 6 507 1 19 60 1,724
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 0 0 0 654 5 17 75 2,377
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 5 6 19 78 17 31 115 271
Measuring predictability: theory and macroeconomic applications 0 0 0 222 0 3 12 848
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 3 8 26 613 8 37 143 2,079
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 249 0 5 29 816
Modeling and Forecasting Realized Volatility 0 0 0 1,158 21 65 174 3,822
Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange 0 0 2 257 1 7 19 699
Nonparametric exchange rate prediction? 0 0 0 495 2 3 10 1,354
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 1 2 10 232
On robust inference in time-series regression 0 0 2 2 0 5 19 19
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 3 17 242
On the aggregation of probability assessments: Regularized mixtures of predictive densities for Eurozone inflation and real interest rates 0 2 5 7 0 8 17 27
On the network topology of variance decompositions: Measuring the connectedness of financial firms 5 14 43 878 41 105 295 2,659
On the power of Dickey-Fuller tests against fractional alternatives 0 0 1 154 0 3 22 406
Optimal Prediction Under Asymmetric Loss 0 0 0 72 1 5 16 263
Optimal combination of Arctic sea ice extent measures: A dynamic factor modeling approach 0 0 0 2 1 1 8 18
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 0 1 2 2 5 16 20
Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics 0 0 0 0 0 0 10 786
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
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
Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections 0 0 0 1 1 3 10 23
Range‐Based Estimation of Stochastic Volatility Models 2 3 4 140 4 11 44 514
Ratings migration and the business cycle, with application to credit portfolio stress testing 0 1 5 470 5 14 61 1,180
Real Exchange Rates under the Gold Standard 1 1 1 287 1 2 12 1,634
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 0 130 1 2 11 533
Real-Time Measurement of Business Conditions 0 0 4 334 0 6 58 1,020
Real-time forecast evaluation of DSGE models with stochastic volatility 0 0 0 14 1 4 15 95
Real-time price discovery in global stock, bond and foreign exchange markets 0 1 4 361 4 9 51 1,268
Rejoinder 0 0 0 3 0 4 8 45
Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms 1 1 2 9 2 5 23 54
Reprint of: When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume 0 0 0 0 1 3 6 8
Robust estimation - discussion 0 0 0 0 1 2 9 59
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 1 7 17 702 11 44 101 1,973
Scoring the Leading Indicators 0 2 4 770 0 4 22 1,753
Serial Correlation and the Combination of Forecasts 0 0 0 0 1 3 9 401
Shorter recessions and longer expansions 0 0 1 37 0 0 4 509
Software review 0 0 0 8 1 2 10 126
State space modeling of time series: A review essay 0 0 0 163 1 2 10 349
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 0 129 1 4 20 448
Stock returns and expected business conditions: half a century of direct evidence 0 0 1 24 0 3 12 155
Structural Time Series Analysis and Modelling Package: A Review 0 0 0 101 0 3 8 411
Structural change and the combination of forecasts 1 3 5 5 1 5 15 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 6 290
THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003 0 0 0 21 0 5 11 86
Testing for bubbles, reflecting barriers and other anomalies 0 0 1 9 0 1 8 53
Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures 0 0 0 205 0 3 18 489
The Distribution of Realized Exchange Rate Volatility 0 0 3 214 1 14 46 714
The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model 1 1 4 752 2 4 18 1,616
The Nobel Memorial Prize for Robert F. Engle 0 0 0 35 0 3 13 422
The Past, Present, and Future of Macroeconomic Forecasting 0 0 1 181 0 7 19 809
The Uncertain Unit Root in Real GNP: Comment 0 0 1 100 0 3 16 414
The affine arbitrage-free class of Nelson-Siegel term structure models 1 4 19 454 8 26 95 1,416
The distribution of realized stock return volatility 3 4 9 871 7 16 49 2,268
The econometrics of macroeconomics, finance, and the interface 0 0 0 437 0 4 10 836
The exact initial covariance matrix of the state vector of a general MA(q) process 0 1 1 26 0 4 9 157
The macroeconomy and the yield curve: a dynamic latent factor approach 3 7 22 634 3 26 105 1,994
The use of prior information in forecast combination 0 0 1 126 1 4 21 301
Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 2 3 4 81 5 11 24 248
Unit-Root Tests Are Useful for Selecting Forecasting Models 0 0 0 0 0 5 33 701
Weather Forecasting for Weather Derivatives 0 0 1 98 0 2 15 359
When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume 0 0 0 2 0 2 14 24
Why are estimates of agricultural supply response so variable? 0 0 0 47 0 2 10 219
Total Journal Articles 58 154 519 19,277 328 1,203 4,562 81,779

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Business Cycles: Durations, Dynamics, and Forecasting 0 0 0 0 1 5 18 171
Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring 0 0 0 0 10 45 145 762
The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice 0 0 0 0 2 4 17 212
Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach 0 0 0 0 8 23 59 592
Total Books 0 0 0 0 21 77 239 1,737

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 26 0 5 30 132
Commodity Connectedness 0 0 1 48 0 2 14 198
Equity Market Spillovers in the Americas 0 3 5 70 0 9 27 236
Facts, Factors, and Questions 0 0 0 104 0 3 14 280
Financial Risk Measurement for Financial Risk Management 0 0 2 62 1 17 59 395
Further Evidence on Business-Cycle Duration Dependence 0 0 0 96 0 2 13 252
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 60 0 0 13 175
Introduction 0 0 0 3 1 2 10 27
On Asymmetry in Economic Time Series 0 0 0 0 0 0 4 5
On the Evolution of US Temperature Dynamics 0 0 1 4 0 2 11 27
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 251 1 12 25 789
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 7 13 2 8 30 52
Volatility and Correlation Forecasting 2 5 11 688 5 20 88 2,432
Total Chapters 3 10 30 1,425 10 84 342 5,013

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