Access Statistics for Francis Diebold

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
"Big Data" and its Origins 0 0 3 158 0 0 6 110
(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation 0 0 4 970 0 0 48 1,807
A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting 0 0 1 10 0 0 3 25
A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting 0 0 0 21 1 1 4 32
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 1 207 0 0 19 573
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 187 0 1 23 481
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 1 1 1 1 24
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 1 65 0 0 2 197
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 32 0 0 3 139
A New Test for Market Efficiency and Uncovered Interest Parity 0 0 10 10 1 1 15 15
A New Test for Market Efficiency and Uncovered Interest Parity 0 0 22 22 0 0 17 17
A New Test forMarket Efficiency and Uncovered Interest Parity 0 0 8 8 0 0 24 24
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 26 0 3 5 166
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 136 0 0 0 368
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 155 0 1 2 360
A Personal Perspective on the Origin(s) and Development of “Big Data": The Phenomenon, the Term, and the Discipline, Second Version 0 1 6 150 1 4 24 441
A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration 0 1 1 618 0 1 6 1,858
A framework for exploring the macroeconomic determinants of systematic risk 0 0 1 183 0 0 5 527
A no-arbitrage approach to range-based estimation of return covariances and correlations 0 0 0 138 0 0 1 345
A nonparametric investigation of duration dependence in the American business cycle 0 0 0 1 0 0 1 361
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 0 0 1 104 0 0 1 327
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 0 0 1 187 0 2 4 523
An application of operational-subjective statistical methods to rational expectations: comment 0 0 0 0 0 0 0 416
An arbitrage-free generalized Nelson-Siegel term structure model 0 0 0 333 1 2 2 794
Assessing Point Forecast Accuracy by Stochastic Error Distance 0 0 0 77 0 0 0 46
Assessing Point Forecast Accuracy by Stochastic Error Distance 0 0 0 53 0 0 0 40
Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice: Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models 0 0 1 3 0 1 3 4
Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice:Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models 0 0 46 46 0 1 5 5
Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics 0 0 0 7 0 0 1 496
Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts 1 1 3 70 1 1 5 61
Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers 11 27 105 1,628 24 69 332 3,822
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 211 0 0 3 798
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 272 0 0 1 1,505
Bounded rationality and strategic complementarity in a macroeconomic model: policy effects, persistence, and multipliers 0 0 0 2 0 0 0 455
Cointegration and Long-Horizon Forecasting 0 0 0 196 0 1 1 482
Cointegration and Long-Horizon Forecasting 0 0 1 549 0 0 2 1,743
Cointegration and long-horizon forecasting 0 0 0 616 1 1 4 1,567
Commodity Connectedness 1 2 9 114 1 8 29 326
Commodity Connectedness 0 0 2 15 0 0 6 44
Commodity connectedness 0 1 2 21 0 2 7 83
Comparing Predictive Accuracy 2 3 31 1,868 2 10 81 4,468
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 1 1 1 355 2 2 2 366
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 0 0 1 49 0 0 4 180
Comparing predictive accuracy I: an asymptotic test 2 2 13 204 4 10 46 1,210
Conditional heteroskedasticity in the market 0 0 0 0 0 0 1 394
Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think 2 2 4 412 2 2 10 1,473
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again 0 0 0 472 0 0 3 3,469
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again 0 0 1 304 0 0 2 1,678
Deviations from random-walk behavior: tests based on the variance-time function 0 0 0 0 0 1 1 463
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 1 1 1 10 1 1 3 83
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 11 0 0 0 91
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 421 0 0 4 965
Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore 0 0 0 101 0 0 1 292
Does the business cycle have duration memory? 0 0 0 1 0 0 0 280
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data 0 0 0 211 0 1 3 1,588
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 139 0 1 2 612
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 154 1 2 6 1,149
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 91 0 1 3 628
Estimating Global Bank Network Connectedness 0 0 3 553 1 2 16 1,220
Estimating Global Bank Network Connectedness 0 0 2 9 1 7 23 86
Estimating Global Bank Network Connectedness 0 2 3 61 2 4 10 180
Evaluating Density Forecasts 0 0 0 69 0 0 0 366
Evaluating Density Forecasts 1 1 5 383 1 1 10 1,285
Evaluating Density Forecasts 0 0 0 189 0 0 0 540
Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters 0 0 0 0 1 1 2 649
Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters 1 1 2 268 1 1 2 1,243
Evaluating density forecasts 0 0 0 257 0 1 4 852
Ex ante turning point forecasting with the composite leading index 0 0 0 0 0 0 1 570
Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models 0 0 0 292 0 0 0 1,721
Exact maximum likelihood estimation of ARCH models 0 0 0 0 0 0 1 769
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 0 0 0 303 0 0 22 1,108
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 304 0 0 20 839
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 2 492 0 0 3 1,597
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 1 207 0 0 3 582
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 1 228 0 0 3 669
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 1 576 0 0 1 1,940
Financial Risk Management in a Volatile Global Environment 0 0 0 715 1 1 2 2,162
Financial Risk Measurement for Financial Risk Management 0 1 7 244 1 3 16 530
Financial Risk Measurement for Financial Risk Management 0 0 1 178 3 7 15 527
Financial Risk Measurement for Financial Risk Management 0 0 3 203 0 0 11 573
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 0 1 214 0 0 3 416
Forecast Evaluation and Combination 0 2 3 1,077 1 6 10 3,150
Forecast combination and encompassing: reconciling two divergent literatures 0 0 0 0 0 0 3 509
Forecast evaluation and combination 0 1 1 517 0 4 12 1,531
Forecasting output with the composite leading index: an ex ante analysis 0 0 0 0 1 3 7 1,031
Forecasting the Term Structure of Government Bond Yields 0 0 2 897 1 4 11 2,132
Forecasting the Term Structure of Government Bond Yields 0 1 1 833 0 1 3 2,255
Forecasting the term structure of government bond yields 0 1 4 825 2 6 20 1,973
Further Results on Forecasting and Model Selection Under Asymmetric Loss 0 0 0 184 0 0 1 484
Further evidence on business cycle duration dependence 0 0 0 0 0 0 9 409
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach 0 0 1 178 2 2 7 654
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach 0 0 2 358 0 0 2 884
Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach 0 0 0 12 0 1 1 64
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 1 113 0 2 3 279
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 195 0 0 2 518
Have postwar economic fluctuations been stabilized? 0 0 0 62 0 0 2 477
Have postwar economic fluctuations been stabilized? 0 0 0 0 1 2 2 367
High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models 0 0 0 221 0 0 0 880
Horizon Problems and Extreme Events in Financial Risk Management 0 0 1 512 1 2 3 1,737
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 332 0 2 4 913
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 790 0 1 4 2,792
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 0 2 3 1,578
Improving GDP Measurement: A Forecast Combination Perspective 0 1 1 80 0 1 2 267
Improving GDP Measurement: A Forecast Combination Perspective 0 0 0 56 0 0 5 187
Improving GDP Measurement: A Measurement-Error Perspective 0 0 0 69 0 0 5 149
Improving GDP Measurement: A Measurement-Error Perspective 0 0 0 52 0 0 3 163
Improving GDP measurement: a forecast combination perspective 0 0 0 71 0 0 0 128
Improving GDP measurement: a measurement-error perspective 0 0 1 45 0 0 3 203
International evidence on business cycle duration dependence 0 0 0 55 0 0 4 374
Is consumption too smooth? Long memory and the Deaton paradox 0 0 0 0 1 3 3 1,010
Job Stability in the United States 0 0 0 158 0 0 2 1,300
Long Memory and Regime Switching 0 0 1 586 0 0 1 1,464
Long memory and persistence in aggregate output 0 0 0 1 0 0 1 862
Machine Learning for Regularized Survey Forecast Combination: Partially Egalitarian Lasso and its Derivatives 0 0 1 39 0 2 9 87
Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives 0 0 0 71 0 1 6 108
Macroeconomic Volatility and Stock Market Volatility, World-Wide 0 0 0 157 0 0 0 373
Macroeconomic Volatility and Stock Market Volatility, Worldwide 0 0 0 213 0 0 5 664
Macroeconomic Volatility and Stock Market Volatility,World-Wide 0 0 1 960 0 0 7 2,466
Measuring Business Cycle: A Modern Perspective 0 0 0 457 0 0 1 1,025
Measuring Business Cycles: A Modern Perspective 0 0 2 533 0 0 9 1,469
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 1 3 221 0 1 23 628
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 0 1 150 0 0 7 528
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 0 1 170 0 1 18 581
Measuring Predictability: Theory And Macroeconomic Applications 0 0 0 126 0 0 0 563
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 1 0 2 2 627
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 197 0 0 0 1,174
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 51 0 0 0 376
Measuring Volatility Dynamics 0 0 0 504 0 0 2 1,957
Measuring financial asset return and volatility spillovers, with application to global equity markets 0 3 7 111 0 8 44 452
Measuring financial asset return and volatility spillovers, with application to global equity markets 0 0 1 24 0 1 11 216
Measuring financial asset return and volatilty spillovers, with application to global equity markets 0 0 7 37 0 0 43 218
Measuring predictability: theory and macroeconomic applications 0 0 1 166 0 0 4 734
Measuring the Dynamics of Global Business Cycle Connectedness 1 2 5 141 2 7 17 438
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 1 52 0 0 39 508
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 1 477 0 3 44 2,247
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 1 287 0 0 41 1,031
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 0 0 354 1 1 6 1,258
Modeling Bond Yields in Finance and Macroeconomics 0 0 2 371 0 0 29 952
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 205 0 1 3 490
Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management 0 0 1 525 0 1 8 1,324
Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management 0 0 4 1,402 3 4 22 3,587
Modeling Volatility Dynamics 0 0 0 372 0 0 0 709
Modeling and Forecasting Realized Volatility 1 1 2 790 3 3 28 1,888
Modeling and Forecasting Realized Volatility 0 1 2 991 1 2 11 2,159
Modeling and Forecasting Realized Volatility 0 1 3 1,255 1 2 10 2,962
Modeling bond yields in finance and macroeconomics 0 0 0 253 0 0 2 623
Modeling bond yields in finance and macroeconomics 0 0 1 269 1 2 15 712
Modeling volatility dynamics 1 1 3 409 1 1 3 999
Near-rationality and strategic complementarity in a macroeconomic model: policy effects, persistence and multipliers 0 0 0 0 0 0 1 155
Nonparametric exchange rate prediction? 0 0 0 3 0 0 1 1,462
On Robust Inference in Time Series Regression 1 3 7 17 1 3 12 30
On Robust Inference in Time Series Regression 0 1 2 122 0 1 5 29
On cointegration and exchange rate dynamics 0 0 0 3 0 0 3 528
On comparing information in forecasts from econometric models: a comment on Fair and Shiller 0 0 0 0 0 0 0 153
On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean 0 0 1 85 0 0 3 678
On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean 0 0 0 1 0 0 0 256
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone In?ation and Real Interest Rates 0 0 0 7 0 0 0 21
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 0 0 0 0 5 32
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 1 12 0 0 1 25
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 0 0 2 11 0 0 4 12
On the Comparison of Interval Forecasts 0 0 1 45 0 1 5 80
On the Correlation Structure of Microstructure Noise in Theory and Practice 0 0 0 90 0 0 0 278
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 163 0 0 0 446
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 37 0 0 0 148
On the Evolution of U.S. Temperature Dynamics 0 0 0 69 1 1 3 76
On the Evolution of U.S. Temperature Dynamics 1 1 1 11 1 1 1 27
On the Financing of Climate Change Adaptation in Developing Countries 1 1 41 41 1 1 7 9
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 0 4 108 1 1 10 335
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 0 1 168 2 5 14 740
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 0 1 259 1 2 23 525
On the Origin(s) and Development of the Term “Big Data" 0 2 5 268 0 2 17 419
On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness 0 1 6 6 1 4 20 20
On the correlation structure of microstructure noise in theory and practice 0 0 0 10 0 1 2 66
On the network topology of variance decompositions: Measuring the connectedness of financial firms 0 0 8 119 1 5 42 367
On the power of Dickey-Fuller tests against fractional alternatives 0 0 0 2 0 0 2 680
On the solution of dynamic linear rational expectations models 0 0 0 0 0 0 0 534
Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach 0 0 0 5 0 0 0 24
Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach 0 0 0 18 0 0 2 30
Optimal Prediction Under Asymmetric Loss 0 0 0 259 0 1 2 1,082
Optimal Prediction Under Asymmetric Loss 0 0 0 77 0 0 1 353
Optimal Prediction Under Asymmetric Loss 0 0 0 127 0 0 0 436
Optimal prediction under asymmetric loss 0 0 0 291 0 0 3 1,015
Parametric and Nonparametric Volatility Measurement 0 1 4 819 0 2 22 2,094
Parametric and Nonparametric Volatility Measurement 0 0 1 692 0 0 4 1,596
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 0 0 1 0 0 5 852
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 0 2 635 0 1 3 1,230
Post-deregulation deposit rate pricing: the multivariate dynamics 0 0 0 1 0 0 0 501
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 418 0 0 15 888
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 569 0 0 4 1,182
Practical volatility and correlation modeling for financial market risk management 0 0 1 395 0 0 30 848
Priors from Frequency-Domain Dummy Observations 0 0 1 35 0 0 4 91
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 2 0 0 0 24
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 8 0 0 0 33
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 15 0 0 0 22
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 9 0 0 0 21
Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function 0 0 0 0 0 0 1 433
Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think 0 0 1 813 0 0 7 2,190
Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing 0 1 2 1,605 0 4 12 3,597
Real exchange rates under the gold standard 0 0 1 250 0 0 3 1,591
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility 0 1 1 105 0 1 1 142
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility 0 0 0 1 0 1 1 25
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 0 102 0 0 4 348
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 0 123 0 0 4 318
Real-Time Measurement of Business Conditions 0 0 0 91 0 0 0 282
Real-Time Measurement of Business Conditions 0 0 0 0 0 0 1 627
Real-Time Measurement of Business Conditions 1 1 3 107 2 2 11 293
Real-Time Measurement of Business Conditions, Second Version 0 0 0 120 0 0 0 254
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 122 0 0 0 379
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 198 0 0 1 1,120
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 1 236 0 0 1 741
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 0 1 148 0 0 21 498
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 180 0 1 1 799
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 217 0 0 1 667
Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 0 0 1 6 0 0 1 38
Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession 0 1 2 20 0 1 7 66
Real-Time Real Economic Activity:Entering and Exiting the Pandemic Recession of 2020 0 0 3 10 1 1 6 24
Real-Time Real Economic Activity:Exiting the Great Recession and Entering the Pandemic Recession 0 0 1 37 3 4 9 46
Real-time forecast evaluation of DSGE models with stochastic volatility 0 0 0 72 0 0 2 77
Real-time macroeconomic monitoring: real activity, inflation, and interactions 0 0 0 40 0 0 4 203
Real-time measurement of business conditions 0 0 2 143 0 0 21 333
Real-time measurement of business conditions 0 0 2 174 0 1 28 630
Real-time price discovery in global stock, bond and foreign exchange markets 0 0 0 274 0 0 31 994
Real-time price discovery in stock, bond and foreign exchange markets 0 0 0 143 0 0 1 556
Realized Beta: Persistence and Predictability 0 0 4 512 0 0 6 907
Realized beta: Persistence and predictability 0 0 1 218 2 7 18 624
Regime switching with time-varying transition probabilities 0 0 0 10 2 5 23 2,373
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 0 161 0 0 6 532
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 0 353 0 0 32 978
Scoring the leading indicators 0 0 0 1 0 0 4 1,039
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility 0 0 1 162 0 0 7 524
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 0 12 1,018
Stamp 5.0: A Review 0 0 0 143 0 0 0 583
State space modeling of time series: a review essay 0 0 0 0 0 0 1 1,172
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 0 106 0 0 0 350
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 0 181 0 0 0 400
Stock returns and expected business conditions: Half a century of direct evidence 0 0 0 112 0 0 1 376
Structural change and the combination of forecasts 0 0 0 2 0 0 1 590
Temporal aggregation of ARCH processes and the distribution of asset returns 0 0 0 0 0 0 1 316
Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures 0 0 0 1 0 0 3 576
The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models 0 0 2 229 0 0 3 634
The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models 0 0 0 152 0 0 0 420
The Distribution of Exchange Rate Volatility 0 0 3 551 1 1 25 1,434
The Distribution of Exchange Rate Volatility 0 0 1 322 0 0 2 858
The Distribution of Exchange Rate Volatility 0 0 2 528 0 0 33 1,308
The Distribution of Stock Return Volatility 0 0 2 906 0 0 21 2,386
The Distribution of Stock Return Volatility 0 0 2 839 0 0 3 2,234
The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach 0 0 3 488 1 4 12 1,317
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 331 1 2 7 928
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 149 0 2 2 478
The Nobel Memorial Prize for Robert F. Engle 0 0 0 145 0 1 2 515
The Nobel Memorial Prize for Robert F. Engle 0 0 0 148 0 1 2 602
The Nobel Memorial Prize for Robert F. Engle 0 0 0 61 0 0 1 294
The Past, Present, and Future of Macroeconomic Forecasting 0 0 1 288 0 0 1 935
The affine arbitrage-free class of Nelson-Siegel term structure models 0 0 1 195 1 3 10 567
The dynamics of exchange rate volatility: a multivariate latent factor ARCH model 0 0 0 1 0 0 2 817
The macroeconomy and the yield curve: a nonstructural analysis 0 0 0 26 0 0 3 66
The past, present, and future of macroeconomic forecasting 0 0 0 378 0 2 6 1,140
The use of prior information in forecast combination 0 0 0 1 0 0 2 498
Time Series Analysis 0 0 0 1,098 2 3 22 1,769
Time Series Analysis 1 1 2 142 2 3 11 379
Unit Root Tests Are Useful for Selecting Forecasting Models 0 1 2 409 0 2 6 1,446
Unit Root Tests are Useful for Selecting Forecasting Models 0 0 0 313 0 0 2 689
Unit roots in economic time series: a selective survey 0 0 0 3 0 2 19 1,179
Volatility Forecasting 0 1 8 557 0 1 26 978
Volatility Forecasting 0 0 3 948 0 0 11 1,265
Volatility forecasting 0 0 4 334 0 0 19 716
Weather Forecasting for Weather Derivatives 0 0 0 664 0 0 1 1,730
Weather Forecasting for Weather Derivatives 0 0 0 299 0 0 2 1,030
Weather forecasting for weather derivatives 0 0 3 327 0 0 9 835
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 4 11 0 0 41 51
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 1 1 1 6 8
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 47 47 0 1 23 23
Why Are Estimates of Agricultural Supply Response So Variable? 0 0 0 140 0 0 2 431
Why Are Estimates of Agricultural Supply Response so Variable? 0 0 0 11 0 0 0 19
Why are estimates of agricultural supply response so variable? 0 0 0 194 0 0 0 684
Total Working Papers 31 80 591 64,289 108 334 2,470 208,822


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 0 0 10 484
A Markov-switching multifractal inter-trade duration model, with application to US equities 0 0 0 48 0 2 5 204
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 2 77 0 2 4 437
A Nonparametric Investigation of Duration Dependence in the American Business Cycle 0 0 0 181 0 0 6 570
A benchmark model for fixed-target Arctic sea ice forecasting 0 0 0 0 0 0 3 8
An Application of Operational-Subjective Statistical Methods to Rational Expectations: Comment 0 0 0 0 0 0 0 116
An arbitrage-free generalized Nelson--Siegel term structure model 0 0 0 138 0 0 5 542
Are long expansions followed by short contractions? 0 0 0 2 0 0 0 237
Assessing point forecast accuracy by stochastic error distance 0 0 0 2 0 0 0 15
Assessing point forecast accuracy by stochastic loss distance 0 0 0 10 0 0 0 44
Better to give than to receive: Predictive directional measurement of volatility spillovers 2 10 46 550 13 41 163 1,590
Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 144 1 1 1 1,143
Bootstrapping Multivariate Spectra 0 0 0 49 0 0 1 198
Cointegration and Long-Horizon Forecasting 0 0 0 0 0 0 2 447
Comment 0 0 0 11 0 0 0 46
Comparing Predictive Accuracy 0 0 0 0 5 16 113 3,105
Comparing Predictive Accuracy 0 0 0 0 41 135 611 6,394
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 0 2 6 42 2 8 25 157
Discussion: The effect of seasonal adjustment filters on tests for a unit root 0 0 0 10 0 0 0 58
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data 0 0 0 86 0 2 5 344
Econometrics: Retrospect and prospect 0 0 0 24 0 0 0 111
Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate 0 0 0 15 0 0 2 77
Equity Market Spillovers in the Americas 0 0 0 125 0 1 14 406
Estimating global bank network connectedness 0 1 6 51 3 6 27 196
Evaluating Density Forecasts with Applications to Financial Risk Management 0 0 0 2 0 4 17 2,007
Exact maximum-likelihood estimation of autoregressive models via the Kalman filter 0 0 0 207 0 0 2 403
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 14 0 0 3 112
Five questions about business cycles 0 1 2 382 4 11 24 1,749
Forecast combination and encompassing: Reconciling two divergent literatures 0 1 3 84 0 1 3 199
Forecasting and empirical methods in finance and macroeconomics 0 0 0 68 0 0 0 179
Forecasting the term structure of government bond yields 2 7 19 466 10 25 67 1,823
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 3 85 0 0 5 233
Fractional integration and interval prediction 0 0 0 31 0 0 0 121
From the horse’s mouth: gauging conditional expected stock returns from investor surveys 0 0 0 11 0 0 1 80
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 0 1 194 0 0 1 657
Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach 0 0 3 256 1 2 23 1,023
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 2 34 0 0 3 160
Has the EMS Reduced Member-Country Exchange Rate Volatility? 0 0 0 0 0 0 0 154
Have Postwar Economic Fluctuations Been Stabilized? 0 0 1 54 0 0 3 377
Horizon problems and extreme events in financial risk management 0 0 0 190 0 1 2 756
How Relevant is Volatility Forecasting for Financial Risk Management? 0 1 3 344 0 2 7 1,100
Improving GDP measurement: A measurement-error perspective 0 0 13 76 2 8 43 332
Is Consumption Too Smooth? Long Memory and the Deaton Paradox 0 0 0 156 0 0 1 523
Job Stability in the United States 0 0 0 199 0 0 2 1,600
Long memory and persistence in aggregate output 0 0 0 157 0 0 4 357
Long memory and regime switching 1 2 4 279 1 4 12 770
Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives 0 0 6 17 0 3 17 78
Measuring Business Cycles: A Modern Perspective 0 1 6 482 1 5 31 1,607
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 2 3 13 28 4 12 34 79
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 0 0 0 654 3 8 82 2,193
Measuring predictability: theory and macroeconomic applications 0 0 1 219 0 0 2 827
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 7 574 1 3 27 1,869
Modeling Bond Yields in Finance and Macroeconomics 0 0 1 245 0 2 15 774
Modeling and Forecasting Realized Volatility 0 0 0 1,158 3 10 61 3,595
Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange 1 1 4 253 1 2 9 675
Nonparametric exchange rate prediction? 0 0 1 486 0 1 5 1,329
On Cointegration and Exchange Rate Dynamics 0 0 1 230 0 0 6 683
On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean 0 0 1 68 0 0 2 215
On the Comparison of Interval Forecasts 0 0 0 3 0 0 2 26
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 2 41 0 0 4 218
On the network topology of variance decompositions: Measuring the connectedness of financial firms 7 25 127 757 23 73 374 2,086
On the power of Dickey-Fuller tests against fractional alternatives 0 0 1 151 0 0 2 380
Optimal Prediction Under Asymmetric Loss 0 0 1 70 0 2 3 243
Optimal combination of Arctic sea ice extent measures: A dynamic factor modeling approach 0 0 0 2 0 0 2 9
Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics 0 0 0 0 0 1 7 773
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 7 0 0 1 20
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 0 0 0 1 2
Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections 0 0 1 1 1 1 5 5
Range‐Based Estimation of Stochastic Volatility Models 0 0 2 133 0 2 12 452
Ratings migration and the business cycle, with application to credit portfolio stress testing 0 1 8 460 1 4 25 1,097
Real Exchange Rates under the Gold Standard 0 0 2 281 1 1 6 1,615
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 1 1 1 129 1 1 7 514
Real-Time Measurement of Business Conditions 0 0 4 322 0 4 19 920
Real-time forecast evaluation of DSGE models with stochastic volatility 0 0 0 13 0 0 2 75
Real-time price discovery in global stock, bond and foreign exchange markets 0 0 3 354 0 1 37 1,183
Rejoinder 0 0 0 3 0 2 2 31
Robust estimation - discussion 0 0 0 0 0 0 0 49
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 3 3 17 647 6 10 63 1,774
Scoring the Leading Indicators 0 1 10 761 0 2 20 1,718
Serial Correlation and the Combination of Forecasts 0 0 0 0 0 1 2 391
Shorter recessions and longer expansions 0 0 0 36 0 0 1 504
Software review 0 0 0 8 0 0 0 114
State space modeling of time series: A review essay 0 0 1 163 0 0 1 338
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 0 128 0 0 0 420
Stock returns and expected business conditions: half a century of direct evidence 0 0 0 23 0 0 0 140
Structural Time Series Analysis and Modelling Package: A Review 0 0 0 101 0 0 0 402
Symposium on Forecasting Performance: An Introduction 0 0 0 49 0 0 0 161
Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors' Introduction 0 0 0 1 0 0 2 280
THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003 0 1 2 21 0 1 2 73
Testing for bubbles, reflecting barriers and other anomalies 0 0 0 8 0 0 0 45
Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures 0 0 2 204 1 1 5 462
The Distribution of Realized Exchange Rate Volatility 0 1 3 202 0 1 7 645
The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model 1 1 4 743 1 2 6 1,587
The Nobel Memorial Prize for Robert F. Engle 0 0 1 35 1 1 4 402
The Past, Present, and Future of Macroeconomic Forecasting 0 0 2 180 0 0 3 781
The Uncertain Unit Root in Real GNP: Comment 0 0 0 98 0 0 2 396
The affine arbitrage-free class of Nelson-Siegel term structure models 2 6 20 403 3 16 55 1,226
The distribution of realized stock return volatility 2 6 14 852 3 11 88 2,175
The econometrics of macroeconomics, finance, and the interface 0 1 2 436 0 1 2 820
The exact initial covariance matrix of the state vector of a general MA(q) process 0 0 0 25 0 0 0 147
The macroeconomy and the yield curve: a dynamic latent factor approach 3 4 9 591 7 14 88 1,786
The use of prior information in forecast combination 0 0 2 122 0 0 5 274
Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 1 2 14 71 1 2 32 202
Unit-Root Tests Are Useful for Selecting Forecasting Models 0 0 0 0 0 0 4 659
Weather Forecasting for Weather Derivatives 0 0 2 93 1 1 9 336
Why are estimates of agricultural supply response so variable? 0 0 0 47 0 0 0 208
Total Journal Articles 28 83 412 18,149 147 474 2,423 73,732
1 registered items for which data could not be found


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 1 3 141
Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring 0 0 0 0 2 10 77 471
The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice 0 0 0 0 1 1 7 184
Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach 0 0 0 0 1 3 15 489
Total Books 0 0 0 0 5 15 102 1,285


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 1 22 0 0 2 90
Commodity Connectedness 0 0 0 46 2 2 10 179
Equity Market Spillovers in the Americas 0 1 4 63 0 1 8 204
Facts, Factors, and Questions 0 0 0 104 1 1 2 259
Financial Risk Measurement for Financial Risk Management 0 2 5 53 3 11 52 286
Further Evidence on Business-Cycle Duration Dependence 0 0 0 96 0 0 0 238
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 2 60 1 1 4 156
Introduction 0 0 0 3 0 0 0 13
Practical Volatility and Correlation Modeling for Financial Market Risk Management 1 1 1 247 1 2 8 753
Volatility and Correlation Forecasting 0 3 19 656 3 15 68 2,279
Total Chapters 1 7 32 1,350 11 33 154 4,457


Statistics updated 2023-11-05