Access Statistics for Francis Diebold

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"Big Data" and its Origins 0 0 2 163 2 3 19 139
(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation 0 0 0 973 0 1 14 1,833
A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting 0 0 0 11 0 0 8 37
A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting 0 0 0 22 1 1 7 43
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 207 0 1 10 589
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 187 0 1 15 501
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 1 1 2 11 35
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 65 2 4 21 221
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 32 2 4 16 157
A New Test for Market Efficiency and Uncovered Interest Parity 0 0 0 10 2 2 10 29
A New Test for Market Efficiency and Uncovered Interest Parity 0 1 1 25 1 2 10 63
A New Test forMarket Efficiency and Uncovered Interest Parity 0 0 1 9 0 0 13 43
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 26 1 1 12 182
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 136 0 2 9 380
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 155 0 2 12 373
A 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 4 22 519
A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration 0 0 1 621 0 1 19 1,901
A framework for exploring the macroeconomic determinants of systematic risk 0 0 0 184 2 2 11 541
A no-arbitrage approach to range-based estimation of return covariances and correlations 0 0 0 139 0 1 11 358
A nonparametric investigation of duration dependence in the American business cycle 0 0 0 1 2 2 13 376
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 0 0 0 337 0 3 22 828
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 0 0 0 188 0 1 14 545
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 0 0 1 105 0 1 28 359
An application of operational-subjective statistical methods to rational expectations: comment 0 0 0 0 0 0 4 420
Assessing Point Forecast Accuracy by Stochastic Error Distance 0 0 0 77 0 2 21 67
Assessing Point Forecast Accuracy by Stochastic Error Distance 0 0 0 53 1 1 15 59
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 1 1 9 17
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 1 1 11 28
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 3 3 11 19
Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics 0 0 0 7 1 1 6 510
Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts 0 0 0 72 1 2 13 80
Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers 2 11 58 1,838 10 34 261 4,484
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 273 1 1 9 1,518
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 211 2 2 12 827
Bounded rationality and strategic complementarity in a macroeconomic model: policy effects, persistence, and multipliers 0 0 0 2 0 0 2 465
Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions 0 0 0 4 1 1 11 17
Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions 0 0 0 4 1 2 7 15
Clustered Network Connectedness: A New Measurement Framework with Application to Global Equity Markets 0 1 6 22 3 4 36 53
Clustered Network Connectedness: A New Measurement Framework, with Application to Global Equity Markets 0 1 10 10 2 6 16 16
Clustered Network Connectedness:A New Measurement Frameworkwith Application to Global Equity Markets 0 0 8 28 1 2 36 91
Cointegration and Long-Horizon Forecasting 0 0 0 196 0 1 36 522
Cointegration and Long-Horizon Forecasting 0 0 0 549 1 3 12 1,761
Cointegration and long-horizon forecasting 0 0 0 618 1 2 10 1,586
Commodity Connectedness 0 0 0 15 4 6 23 68
Commodity Connectedness 0 1 6 132 4 8 48 409
Commodity connectedness 0 0 0 24 0 0 13 105
Comparing Predictive Accuracy 2 3 24 1,937 5 14 111 4,701
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 1 2 3 359 1 6 29 404
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 0 1 3 54 3 6 25 213
Comparing predictive accuracy I: an asymptotic test 0 0 7 223 0 7 60 1,315
Conditional heteroskedasticity in the market 0 0 0 0 1 1 9 404
Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think 0 0 1 427 0 6 25 1,538
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again 0 0 0 474 0 2 12 3,486
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again 0 0 0 304 1 1 15 1,699
Deviations from random-walk behavior: tests based on the variance-time function 0 0 0 0 0 0 4 474
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 12 0 0 12 98
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 2 13 0 0 14 109
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 423 3 4 17 987
Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore 0 0 0 103 0 0 7 305
Does the business cycle have duration memory? 0 0 0 1 0 1 6 288
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data 0 0 0 211 1 2 14 1,605
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 154 1 2 8 1,159
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 92 0 0 24 655
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 140 0 1 4 621
Estimating Global Bank Network Connectedness 0 1 1 64 1 8 34 231
Estimating Global Bank Network Connectedness 0 0 0 553 2 3 28 1,267
Estimating Global Bank Network Connectedness 0 0 0 9 3 3 19 113
Evaluating Density Forecasts 0 0 0 383 2 4 39 1,328
Evaluating Density Forecasts 0 0 0 69 0 0 13 382
Evaluating Density Forecasts 0 0 0 189 0 1 12 555
Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters 0 0 1 272 1 1 17 1,277
Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters 0 0 0 0 0 1 10 662
Evaluating density forecasts 1 1 2 259 1 1 35 890
Ex ante turning point forecasting with the composite leading index 0 0 0 0 0 0 4 575
Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models 0 0 0 292 0 0 12 1,734
Exact maximum likelihood estimation of ARCH models 0 0 0 0 0 0 4 779
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 0 1 1 304 2 6 22 1,136
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 495 2 7 28 1,635
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 304 0 3 22 862
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 230 1 7 23 699
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 1 213 2 5 21 615
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 0 576 0 3 11 1,954
Financial Risk Management in a Volatile Global Environment 0 0 0 715 0 0 18 2,198
Financial Risk Measurement for Financial Risk Management 0 0 0 247 1 1 19 572
Financial Risk Measurement for Financial Risk Management 0 0 2 183 0 0 42 586
Financial Risk Measurement for Financial Risk Management 0 0 0 207 1 1 39 624
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 1 1 216 2 4 18 435
Forecast Evaluation and Combination 0 1 1 1,082 3 5 23 3,197
Forecast combination and encompassing: reconciling two divergent literatures 0 0 0 0 1 1 7 517
Forecast evaluation and combination 0 0 0 521 0 0 26 1,568
Forecasting output with the composite leading index: an ex ante analysis 0 0 0 0 0 2 13 1,050
Forecasting the Term Structure of Government Bond Yields 1 2 5 846 6 12 50 2,332
Forecasting the Term Structure of Government Bond Yields 0 0 0 898 0 0 28 2,172
Forecasting the term structure of government bond yields 1 1 4 836 2 3 37 2,040
Further Results on Forecasting and Model Selection Under Asymmetric Loss 0 0 1 185 0 1 20 505
Further evidence on business cycle duration dependence 0 0 0 0 1 1 12 424
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach 0 0 0 178 0 1 15 672
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach 0 0 1 363 2 2 36 930
Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach 0 1 1 14 1 2 13 83
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 196 0 0 10 531
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 114 1 1 9 294
Have postwar economic fluctuations been stabilized? 0 0 0 0 1 2 17 388
Have postwar economic fluctuations been stabilized? 0 0 0 63 1 3 11 495
High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models 0 0 0 221 2 5 20 905
Horizon Problems and Extreme Events in Financial Risk Management 0 0 1 514 0 1 16 1,759
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 790 0 1 15 2,813
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 333 1 2 11 925
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 0 0 20 1,602
Improving GDP Measurement: A Forecast Combination Perspective 0 0 0 57 1 1 14 203
Improving GDP Measurement: A Forecast Combination Perspective 0 0 0 80 0 1 11 291
Improving GDP Measurement: A Measurement-Error Perspective 0 0 0 70 0 1 11 170
Improving GDP Measurement: A Measurement-Error Perspective 0 0 0 53 0 0 14 183
Improving GDP measurement: a forecast combination perspective 0 0 0 71 0 1 17 147
Improving GDP measurement: a measurement-error perspective 0 0 0 45 0 1 15 222
International evidence on business cycle duration dependence 0 0 0 56 0 0 13 389
Is consumption too smooth? Long memory and the Deaton paradox 0 0 0 0 0 0 7 1,020
Job Stability in the United States 0 0 0 158 2 2 18 1,321
Long Memory and Regime Switching 1 2 2 590 4 7 31 1,498
Long memory and persistence in aggregate output 0 0 0 1 0 0 7 871
Machine Learning and the Yield Curve: Tree-Based Macroeconomic Regime Switching 0 0 2 31 1 1 18 71
Machine Learning and the Yield Curve:Tree-Based Macroeconomic Regime Switching 0 0 2 17 1 7 43 84
Machine Learning for Regularized Survey Forecast Combination: Partially Egalitarian Lasso and its Derivatives 0 0 0 39 3 4 23 155
Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives 0 0 1 73 4 5 17 131
Macroeconomic Volatility and Stock Market Volatility, World-Wide 0 0 1 159 0 0 11 392
Macroeconomic Volatility and Stock Market Volatility, Worldwide 0 0 0 215 1 2 20 694
Macroeconomic Volatility and Stock Market Volatility,World-Wide 0 0 0 964 1 1 34 2,521
Measuring Business Cycle: A Modern Perspective 0 0 1 461 0 3 20 1,053
Measuring Business Cycles: A Modern Perspective 0 0 2 539 0 4 25 1,514
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 0 10 239 1 6 70 736
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 0 5 158 0 2 25 570
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 0 2 176 4 7 48 647
Measuring Predictability: Theory And Macroeconomic Applications 0 0 0 127 0 1 16 584
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 197 0 1 15 1,191
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 1 1 2 16 649
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 51 0 1 13 390
Measuring Volatility Dynamics 0 0 1 505 1 2 14 1,974
Measuring financial asset return and volatility spillovers, with application to global equity markets 0 0 1 114 1 2 58 540
Measuring financial asset return and volatility spillovers, with application to global equity markets 0 0 0 25 1 2 27 249
Measuring financial asset return and volatilty spillovers, with application to global equity markets 0 1 3 41 1 4 153 384
Measuring predictability: theory and macroeconomic applications 0 0 0 166 3 3 21 766
Measuring the Dynamics of Global Business Cycle Connectedness 0 0 0 148 1 3 12 468
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 1 2 480 2 4 40 2,302
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 2 291 0 4 24 1,060
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 0 52 1 1 21 532
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 1 1 357 4 6 31 1,297
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 206 2 3 22 516
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 371 1 2 17 975
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 258 0 2 21 651
Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management 0 1 2 531 0 4 31 1,369
Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management 0 0 4 1,416 3 10 71 3,684
Modeling Volatility Dynamics 0 0 0 372 1 4 13 726
Modeling and Forecasting Realized Volatility 1 1 5 799 1 5 47 1,948
Modeling and Forecasting Realized Volatility 0 0 4 999 1 2 47 2,227
Modeling and Forecasting Realized Volatility 0 1 3 1,264 1 6 73 3,069
Modeling bond yields in finance and macroeconomics 0 0 0 271 2 3 20 737
Modeling volatility dynamics 0 0 2 412 0 1 29 1,029
Near-rationality and strategic complementarity in a macroeconomic model: policy effects, persistence and multipliers 0 0 0 0 0 0 4 161
Nonparametric exchange rate prediction? 0 0 0 3 1 1 15 1,483
On Robust Inference in Time Series Regression 0 0 0 20 1 3 17 64
On Robust Inference in Time Series Regression 0 0 1 5 2 6 15 55
On Robust Inference in Time Series Regression 0 1 2 126 0 4 21 64
On cointegration and exchange rate dynamics 0 0 0 3 0 0 15 548
On comparing information in forecasts from econometric models: a comment on Fair and Shiller 0 0 0 0 0 0 3 157
On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean 0 0 0 85 1 3 17 700
On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean 0 0 0 1 0 0 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 2 11 34
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 1 12 2 3 10 26
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 0 0 0 1 8 44
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 0 12 3 3 12 39
On the Comparison of Interval Forecasts 0 0 0 46 0 0 17 109
On the Correlation Structure of Microstructure Noise in Theory and Practice 0 0 0 90 2 2 12 292
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 163 2 3 18 468
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 37 0 1 9 160
On the Evolution of U.S. Temperature Dynamics 0 0 0 12 1 1 10 39
On the Evolution of U.S. Temperature Dynamics 0 0 0 69 0 0 10 91
On the Financing of Climate Change Adaptation in Developing Countries 0 0 0 43 2 2 12 32
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 0 2 263 3 5 35 567
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 0 1 178 2 4 30 796
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 0 4 115 4 8 38 390
On the Origin(s) and Development of the Term “Big Data" 0 0 3 277 2 6 30 470
On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness 0 0 1 11 1 2 18 51
On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness 1 3 5 47 3 9 61 188
On the Wisdom of Crowds (of Economists) 0 0 1 37 0 0 14 23
On the Wisdom of Crowds (of Economists) 0 0 2 2 1 1 20 20
On the Wisdom of Crowds (of Economists) 0 0 6 6 2 3 11 11
On the correlation structure of microstructure noise in theory and practice 0 0 0 11 0 0 10 79
On the network topology of variance decompositions: Measuring the connectedness of financial firms 0 1 4 127 3 8 53 459
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 18 3 3 24 57
Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach 0 0 0 5 0 0 6 31
Optimal Prediction Under Asymmetric Loss 0 0 0 77 1 3 21 382
Optimal Prediction Under Asymmetric Loss 0 0 0 127 0 1 12 453
Optimal Prediction Under Asymmetric Loss 0 0 0 259 4 5 16 1,098
Optimal prediction under asymmetric loss 0 0 4 297 2 6 32 1,053
Parametric and Nonparametric Volatility Measurement 0 0 0 692 1 3 21 1,626
Parametric and Nonparametric Volatility Measurement 0 0 0 830 0 1 23 2,134
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 0 1 638 0 0 17 1,253
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 0 0 1 0 0 4 865
Post-deregulation deposit rate pricing: the multivariate dynamics 0 0 0 1 1 1 11 517
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 0 2 31 1,221
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 421 0 0 28 926
Practical volatility and correlation modeling for financial market risk management 0 0 0 397 0 1 18 872
Priors from Frequency-Domain Dummy Observations 0 0 2 38 0 0 14 109
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 8 0 1 14 50
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 2 0 0 22 49
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 11 0 1 10 34
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 15 4 4 12 37
Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function 0 0 0 0 1 1 6 442
Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think 0 0 0 815 0 1 20 2,218
Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing 0 0 0 1,608 1 2 54 3,660
Real exchange rates under the gold standard 0 0 0 252 2 4 20 1,622
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility 0 0 0 105 3 3 28 173
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility 0 0 0 2 0 1 8 42
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 0 102 0 2 14 366
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 1 124 2 2 21 347
Real-Time Measurement of Business Conditions 0 0 0 91 1 1 11 299
Real-Time Measurement of Business Conditions 0 0 0 0 1 3 14 644
Real-Time Measurement of Business Conditions 0 0 2 111 0 2 27 331
Real-Time Measurement of Business Conditions, Second Version 0 0 0 120 1 2 14 271
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 198 2 2 12 1,132
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 122 1 3 11 392
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 236 1 1 9 752
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 1 1 150 1 5 19 527
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 181 2 3 20 822
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 218 0 3 14 692
Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 0 0 0 7 1 1 8 49
Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession 0 0 0 21 1 1 19 93
Real-Time Real Economic Activity:Entering and Exiting the Pandemic Recession of 2020 0 0 2 13 2 2 16 50
Real-Time Real Economic Activity:Exiting the Great Recession and Entering the Pandemic Recession 0 0 0 40 1 1 9 71
Real-time forecast evaluation of DSGE models with stochastic volatility 0 0 0 74 1 3 22 107
Real-time macroeconomic monitoring: real activity, inflation, and interactions 0 0 0 40 0 1 22 237
Real-time measurement of business conditions 0 0 1 149 2 4 16 366
Real-time measurement of business conditions 0 0 0 174 0 0 13 650
Real-time price discovery in global stock, bond and foreign exchange markets 0 0 1 279 1 3 18 1,021
Real-time price discovery in stock, bond and foreign exchange markets 0 0 0 144 0 0 12 571
Realized Beta: Persistence and Predictability 0 0 0 516 0 2 24 943
Realized beta: Persistence and predictability 0 0 1 222 1 2 24 663
Regime switching with time-varying transition probabilities 0 0 0 10 7 16 66 2,474
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 1 3 172 2 8 35 597
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 0 356 10 35 62 1,053
Scoring the leading indicators 0 0 0 1 1 1 14 1,057
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 3 3 22 556
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 1 15 1,039
Stamp 5.0: A Review 0 0 0 143 0 0 3 587
State space modeling of time series: a review essay 0 0 0 0 0 1 14 1,191
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 0 182 0 0 23 436
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 0 106 0 0 7 361
Stock returns and expected business conditions: Half a century of direct evidence 0 0 0 113 1 1 8 386
Structural change and the combination of forecasts 0 0 0 2 0 1 14 606
Temporal aggregation of ARCH processes and the distribution of asset returns 0 0 0 0 0 0 8 328
Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures 0 0 0 1 0 0 15 597
The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models 0 1 3 202 1 4 28 609
The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models 0 0 2 231 1 3 27 678
The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models 0 1 1 153 0 2 16 439
The Distribution of Exchange Rate Volatility 0 0 0 552 2 4 20 1,465
The Distribution of Exchange Rate Volatility 0 0 0 323 0 1 14 881
The Distribution of Exchange Rate Volatility 0 0 0 531 0 1 12 1,328
The Distribution of Stock Return Volatility 0 0 0 839 0 1 16 2,254
The Distribution of Stock Return Volatility 0 0 0 906 2 5 24 2,425
The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach 0 1 1 497 1 4 39 1,383
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 26 0 0 14 84
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 332 0 0 25 959
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 151 3 4 17 502
The Nobel Memorial Prize for Robert F. Engle 0 0 1 149 0 0 13 620
The Nobel Memorial Prize for Robert F. Engle 0 0 0 61 1 2 17 315
The Nobel Memorial Prize for Robert F. Engle 0 0 0 145 0 0 8 544
The Past, Present, and Future of Macroeconomic Forecasting 0 0 1 289 0 0 16 959
The dynamics of exchange rate volatility: a multivariate latent factor ARCH model 0 0 0 1 0 4 23 850
The past, present, and future of macroeconomic forecasting 0 0 0 379 0 1 10 1,160
The use of prior information in forecast combination 0 0 0 1 0 1 8 508
Time Series Analysis 0 1 4 1,110 0 2 13 1,802
Time Series Analysis 0 0 1 145 0 3 14 402
Unit Root Tests Are Useful for Selecting Forecasting Models 0 0 0 409 3 4 22 1,472
Unit Root Tests are Useful for Selecting Forecasting Models 0 0 0 313 0 1 14 708
Unit roots in economic time series: a selective survey 1 1 1 4 1 2 22 1,222
Volatility Forecasting 0 0 1 951 1 2 32 1,309
Volatility Forecasting 0 0 1 562 1 2 34 1,035
Volatility forecasting 0 0 1 339 0 2 27 762
Weather Forecasting for Weather Derivatives 0 0 0 665 0 0 13 1,747
Weather Forecasting for Weather Derivatives 0 0 0 300 0 1 15 1,055
Weather forecasting for weather derivatives 0 0 0 328 0 1 18 858
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 1 0 1 9 24
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 48 0 1 12 39
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 11 1 1 11 68
Why Are Estimates of Agricultural Supply Response So Variable? 0 0 0 140 0 0 5 437
Why Are Estimates of Agricultural Supply Response so Variable? 0 0 0 11 0 0 5 26
Why are estimates of agricultural supply response so variable? 0 1 3 197 1 2 14 699
Total Working Papers 12 51 291 65,391 294 718 5,982 218,097

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 106 1 4 19 510
A Markov-switching multifractal inter-trade duration model, with application to US equities 0 0 0 50 1 2 19 231
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 2 79 0 2 14 457
A Nonparametric Investigation of Duration Dependence in the American Business Cycle 0 1 1 183 0 4 11 588
A benchmark model for fixed-target Arctic sea ice forecasting 0 0 0 0 0 0 11 23
A new test for market efficiency and uncovered interest parity 0 0 2 4 0 2 14 23
An Application of Operational-Subjective Statistical Methods to Rational Expectations: Comment 0 0 0 0 0 0 1 119
An arbitrage-free generalized Nelson--Siegel term structure model 0 0 0 138 1 4 27 577
Are long expansions followed by short contractions? 0 0 0 2 0 1 8 247
Assessing and comparing fixed-target forecasts of Arctic sea ice: Glide charts for feature-engineered linear regression and machine learning models 0 0 1 1 0 0 14 17
Assessing point forecast accuracy by stochastic error distance 0 0 1 3 2 4 9 27
Assessing point forecast accuracy by stochastic loss distance 0 0 0 10 0 1 10 56
Better to give than to receive: Predictive directional measurement of volatility spillovers 7 32 174 838 30 162 713 2,698
Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 146 1 1 15 1,167
Bootstrapping Multivariate Spectra 0 0 0 49 0 1 7 208
Climate models underestimate the sensitivity of Arctic sea ice to carbon emissions 0 0 0 2 0 0 7 19
Cointegration and Long-Horizon Forecasting 0 0 0 0 0 0 15 471
Comment 0 0 0 11 0 0 8 55
Comparing Predictive Accuracy 0 0 0 0 11 24 93 3,376
Comparing Predictive Accuracy 0 0 0 0 45 124 502 7,721
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 3 8 22 84 14 25 100 318
Discussion: The effect of seasonal adjustment filters on tests for a unit root 0 0 0 10 0 0 7 69
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data 0 0 0 86 0 0 12 365
Econometrics: Retrospect and prospect 0 0 0 24 0 0 6 119
Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate 0 0 0 15 0 1 10 94
Equity Market Spillovers in the Americas 0 0 1 127 0 1 21 434
Estimating global bank network connectedness 0 2 5 63 3 12 56 285
Evaluating Density Forecasts with Applications to Financial Risk Management 0 0 0 2 2 8 50 2,095
Exact maximum-likelihood estimation of autoregressive models via the Kalman filter 0 0 1 208 0 0 5 409
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 18 0 2 30 168
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 2 2 2 54 5 11 27 315
Five questions about business cycles 0 0 1 385 0 0 11 1,783
Forecast combination and encompassing: Reconciling two divergent literatures 0 0 1 87 0 0 12 218
Forecasting and empirical methods in finance and macroeconomics 0 0 1 73 1 1 11 199
Forecasting the term structure of government bond yields 6 20 69 582 21 67 294 2,330
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 1 16 257
Fractional integration and interval prediction 0 0 0 31 0 0 8 133
From the horse’s mouth: gauging conditional expected stock returns from investor surveys 0 0 0 12 0 1 7 91
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 0 0 194 2 5 12 669
Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach 1 1 18 284 7 13 72 1,135
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 1 2 37 2 4 23 192
Has the EMS Reduced Member-Country Exchange Rate Volatility? 0 0 0 0 2 2 7 166
Have Postwar Economic Fluctuations Been Stabilized? 0 0 0 55 1 1 16 399
Horizon problems and extreme events in financial risk management 0 0 1 191 0 0 23 781
How Relevant is Volatility Forecasting for Financial Risk Management? 0 1 2 349 2 6 22 1,137
Improving GDP measurement: A measurement-error perspective 1 1 1 82 1 2 25 392
Is Consumption Too Smooth? Long Memory and the Deaton Paradox 0 0 0 157 1 2 22 550
Job Stability in the United States 0 0 0 201 0 0 18 1,623
Long memory and persistence in aggregate output 0 0 0 160 0 1 8 372
Long memory and regime switching 0 1 1 280 1 12 36 816
Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives 0 3 17 52 3 8 58 181
Measuring Business Cycles: A Modern Perspective 0 1 5 508 0 4 58 1,728
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 0 0 0 654 5 15 78 2,392
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 4 9 22 87 10 32 124 303
Measuring predictability: theory and macroeconomic applications 0 0 0 222 1 1 13 849
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 4 5 27 618 9 21 150 2,100
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 249 1 3 31 819
Modeling and Forecasting Realized Volatility 0 0 0 1,158 11 49 213 3,871
Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange 1 1 2 258 1 2 19 701
Nonparametric exchange rate prediction? 0 0 0 495 0 3 12 1,357
On Cointegration and Exchange Rate Dynamics 0 0 0 233 0 0 15 707
On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean 0 0 1 70 0 2 12 234
On robust inference in time-series regression 0 0 1 2 0 1 19 20
On the Comparison of Interval Forecasts 0 0 0 3 1 1 19 49
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 42 0 1 16 243
On the aggregation of probability assessments: Regularized mixtures of predictive densities for Eurozone inflation and real interest rates 0 0 4 7 1 1 17 28
On the network topology of variance decompositions: Measuring the connectedness of financial firms 6 16 50 894 27 99 363 2,758
On the power of Dickey-Fuller tests against fractional alternatives 0 0 0 154 2 5 23 411
Optimal Prediction Under Asymmetric Loss 1 3 3 75 4 13 28 276
Optimal combination of Arctic sea ice extent measures: A dynamic factor modeling approach 0 0 0 2 0 0 7 18
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 0 1 2 0 0 16 20
Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics 0 0 0 0 0 1 10 787
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 8 1 1 6 28
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 0 0 0 7 11
Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections 1 1 1 2 1 1 10 24
Range‐Based Estimation of Stochastic Volatility Models 0 1 4 141 2 6 47 520
Ratings migration and the business cycle, with application to credit portfolio stress testing 1 3 7 473 4 13 68 1,193
Real Exchange Rates under the Gold Standard 0 0 1 287 0 0 10 1,634
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 0 130 1 2 13 535
Real-Time Measurement of Business Conditions 0 2 6 336 2 5 62 1,025
Real-time forecast evaluation of DSGE models with stochastic volatility 0 0 0 14 0 0 13 95
Real-time price discovery in global stock, bond and foreign exchange markets 1 2 5 363 7 20 62 1,288
Rejoinder 0 0 0 3 0 3 10 48
Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms 0 0 2 9 0 2 25 56
Reprint of: When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume 0 0 0 0 1 1 7 9
Robust estimation - discussion 0 0 0 0 0 1 10 60
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 2 9 23 711 6 30 119 2,003
Scoring the Leading Indicators 0 1 5 771 1 2 22 1,755
Serial Correlation and the Combination of Forecasts 0 0 0 0 0 0 9 401
Shorter recessions and longer expansions 0 0 1 37 0 1 5 510
Software review 0 0 0 8 0 0 10 126
State space modeling of time series: A review essay 0 0 0 163 1 1 10 350
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 0 129 1 1 19 449
Stock returns and expected business conditions: half a century of direct evidence 0 0 1 24 0 0 12 155
Structural Time Series Analysis and Modelling Package: A Review 0 0 0 101 0 0 8 411
Structural change and the combination of forecasts 0 0 5 5 0 1 14 20
Symposium on Forecasting Performance: An Introduction 0 0 0 49 0 1 4 169
Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors' Introduction 0 0 0 1 0 0 4 290
THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003 0 0 0 21 0 0 11 86
Testing for bubbles, reflecting barriers and other anomalies 0 0 1 9 0 1 8 54
Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures 0 0 0 205 2 2 18 491
The Distribution of Realized Exchange Rate Volatility 0 1 4 215 1 8 51 722
The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model 0 0 4 752 1 4 20 1,620
The Nobel Memorial Prize for Robert F. Engle 0 0 0 35 0 0 10 422
The Past, Present, and Future of Macroeconomic Forecasting 0 0 1 181 1 2 17 811
The Uncertain Unit Root in Real GNP: Comment 0 0 0 100 2 3 17 417
The affine arbitrage-free class of Nelson-Siegel term structure models 0 1 9 455 1 13 82 1,429
The distribution of realized stock return volatility 0 1 9 872 4 14 59 2,282
The econometrics of macroeconomics, finance, and the interface 0 0 0 437 0 1 11 837
The exact initial covariance matrix of the state vector of a general MA(q) process 0 0 1 26 0 1 8 158
The macroeconomy and the yield curve: a dynamic latent factor approach 2 5 26 639 6 17 109 2,011
The use of prior information in forecast combination 0 0 0 126 0 2 21 303
Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 1 2 6 83 2 5 27 253
Unit-Root Tests Are Useful for Selecting Forecasting Models 0 0 0 0 1 2 32 703
Weather Forecasting for Weather Derivatives 0 0 1 98 1 2 16 361
When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume 0 0 0 2 0 1 15 25
Why are estimates of agricultural supply response so variable? 0 0 0 47 0 3 10 222
Total Journal Articles 44 137 565 19,414 284 949 4,913 82,728

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 18 172
Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring 0 0 0 0 11 19 140 781
The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice 0 0 0 0 0 0 16 212
Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach 0 0 0 0 2 11 55 603
Total Books 0 0 0 0 13 31 229 1,768

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources and Generalized Duration 0 1 2 27 2 3 29 135
Commodity Connectedness 0 0 1 48 0 2 14 200
Equity Market Spillovers in the Americas 0 0 4 70 2 4 28 240
Facts, Factors, and Questions 0 0 0 104 0 0 12 280
Financial Risk Measurement for Financial Risk Management 0 0 2 62 3 4 58 399
Further Evidence on Business-Cycle Duration Dependence 0 0 0 96 1 2 15 254
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 60 0 0 13 175
Introduction 0 0 0 3 0 0 8 27
On Asymmetry in Economic Time Series 0 0 0 0 0 1 5 6
On the Evolution of US Temperature Dynamics 0 0 1 4 0 0 10 27
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 1 2 252 2 4 28 793
Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 0 0 0 0 0 0 4 13
Realized Beta: Persistence and Predictability 1 2 5 15 4 10 30 62
Volatility and Correlation Forecasting 1 4 13 692 4 15 92 2,447
Total Chapters 2 8 30 1,433 18 45 346 5,058

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