Access Statistics for Francis Diebold

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"Big Data" and its Origins 0 0 4 163 3 4 18 135
(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation 0 0 0 973 0 3 14 1,831
A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting 0 0 0 11 0 1 9 37
A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting 0 0 0 22 0 1 7 41
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 187 1 2 15 500
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk 0 0 0 207 1 4 12 588
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 1 2 4 8 32
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 32 3 4 13 153
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities 0 0 0 65 4 6 18 217
A New Test for Market Efficiency and Uncovered Interest Parity 0 0 0 10 1 1 8 27
A New Test for Market Efficiency and Uncovered Interest Parity 0 0 0 24 1 1 11 61
A New Test forMarket Efficiency and Uncovered Interest Parity 0 0 1 9 1 2 15 43
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 26 2 3 11 181
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 136 1 2 8 378
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 0 155 0 1 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 2 169 4 5 22 514
A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration 0 0 1 621 5 9 23 1,899
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 1 9 356
A nonparametric investigation of duration dependence in the American business cycle 0 0 0 1 2 5 11 374
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 0 0 0 188 2 4 14 543
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 0 0 0 104 1 6 25 356
An application of operational-subjective statistical methods to rational expectations: comment 0 0 0 0 0 1 4 420
An arbitrage-free generalized Nelson-Siegel term structure model 0 0 0 337 2 6 21 824
Assessing Point Forecast Accuracy by Stochastic Error Distance 0 0 0 53 1 4 14 57
Assessing Point Forecast Accuracy by Stochastic Error Distance 0 0 0 77 1 2 18 64
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 2 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 3 4 7 15
Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics 0 0 0 7 1 2 7 508
Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts 0 0 0 72 0 0 10 76
Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers 4 13 64 1,819 17 88 278 4,428
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 273 1 3 8 1,517
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 0 211 3 4 11 825
Bounded rationality and strategic complementarity in a macroeconomic model: policy effects, persistence, and multipliers 0 0 0 2 0 0 4 465
Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions 0 0 0 4 5 7 10 16
Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions 0 0 0 4 0 0 7 13
Clustered Network Connectedness: A New Measurement Framework with Application to Global Equity Markets 1 2 6 21 6 19 35 47
Clustered Network Connectedness: A New Measurement Framework, with Application to Global Equity Markets 1 9 9 9 2 10 10 10
Clustered Network Connectedness:A New Measurement Frameworkwith Application to Global Equity Markets 0 1 11 28 4 12 53 88
Cointegration and Long-Horizon Forecasting 0 0 0 549 3 3 11 1,758
Cointegration and Long-Horizon Forecasting 0 0 0 196 2 4 35 519
Cointegration and long-horizon forecasting 0 0 0 618 2 3 6 1,582
Commodity Connectedness 0 1 7 131 7 15 42 399
Commodity Connectedness 0 0 0 15 4 8 17 61
Commodity connectedness 0 0 0 24 2 5 11 103
Comparing Predictive Accuracy 6 8 25 1,930 20 31 109 4,680
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 0 0 1 357 4 6 23 397
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 0 0 2 53 1 2 19 207
Comparing predictive accuracy I: an asymptotic test 0 2 7 223 4 17 63 1,305
Conditional heteroskedasticity in the market 0 0 0 0 2 3 8 403
Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think 0 0 2 427 2 5 24 1,531
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again 0 0 0 474 3 5 12 3,484
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again 0 0 0 304 0 3 15 1,698
Deviations from random-walk behavior: tests based on the variance-time function 0 0 0 0 0 2 8 474
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 1 1 12 0 1 11 97
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 1 1 12 2 5 14 108
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 423 1 5 14 983
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 1 2 8 305
Does the business cycle have duration memory? 0 0 0 1 1 1 6 287
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data 0 0 0 211 0 0 12 1,602
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 140 0 0 6 620
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 92 1 4 24 654
Dynamic equilibrium economies: a framework for comparing models and data 0 0 0 154 0 0 5 1,156
Estimating Global Bank Network Connectedness 0 0 0 553 2 6 30 1,263
Estimating Global Bank Network Connectedness 0 0 0 9 3 3 17 108
Estimating Global Bank Network Connectedness 0 0 1 63 1 5 26 222
Evaluating Density Forecasts 0 0 0 189 2 2 11 554
Evaluating Density Forecasts 0 0 0 69 0 4 12 381
Evaluating Density Forecasts 0 0 0 383 3 6 36 1,324
Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters 0 0 0 0 1 2 9 660
Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters 0 0 1 272 4 4 17 1,276
Evaluating density forecasts 0 0 1 258 2 3 34 889
Ex ante turning point forecasting with the composite leading index 0 0 0 0 0 1 4 575
Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models 0 0 0 292 1 1 13 1,734
Exact maximum likelihood estimation of ARCH models 0 0 0 0 0 2 6 779
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian 0 0 0 303 6 10 16 1,130
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 495 5 8 24 1,628
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 0 304 7 9 19 859
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 230 1 5 16 689
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 2 213 2 3 17 608
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 0 576 1 5 7 1,950
Financial Risk Management in a Volatile Global Environment 0 0 0 715 2 5 21 2,196
Financial Risk Measurement for Financial Risk Management 0 0 0 207 6 8 38 622
Financial Risk Measurement for Financial Risk Management 0 0 0 247 1 2 19 571
Financial Risk Measurement for Financial Risk Management 0 1 3 183 9 16 45 584
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 0 0 215 3 5 13 430
Forecast Evaluation and Combination 0 0 0 1,081 3 4 22 3,191
Forecast combination and encompassing: reconciling two divergent literatures 0 0 0 0 1 2 6 516
Forecast evaluation and combination 0 0 0 521 5 6 26 1,568
Forecasting output with the composite leading index: an ex ante analysis 0 0 0 0 2 5 13 1,048
Forecasting the Term Structure of Government Bond Yields 0 0 0 898 10 14 34 2,171
Forecasting the Term Structure of Government Bond Yields 0 3 4 844 10 19 41 2,318
Forecasting the term structure of government bond yields 0 1 3 834 13 16 38 2,035
Further Results on Forecasting and Model Selection Under Asymmetric Loss 0 0 0 184 5 8 17 502
Further evidence on business cycle duration dependence 0 0 0 0 2 5 13 423
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach 0 0 0 178 2 3 14 671
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach 0 0 2 363 2 12 35 927
Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach 0 0 0 13 0 2 12 81
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 196 1 3 9 530
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 114 2 3 10 293
Have postwar economic fluctuations been stabilized? 0 0 1 63 0 4 11 492
Have postwar economic fluctuations been stabilized? 0 0 0 0 3 6 18 386
High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models 0 0 0 221 3 6 17 900
Horizon Problems and Extreme Events in Financial Risk Management 0 0 1 514 2 6 17 1,758
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 9 13 21 1,602
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 790 4 4 14 2,809
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 1 333 3 5 9 922
Improving GDP Measurement: A Forecast Combination Perspective 0 0 0 80 4 5 12 290
Improving GDP Measurement: A Forecast Combination Perspective 0 0 0 57 2 6 13 202
Improving GDP Measurement: A Measurement-Error Perspective 0 0 0 53 5 5 14 182
Improving GDP Measurement: A Measurement-Error Perspective 0 0 0 70 1 3 12 169
Improving GDP measurement: a forecast combination perspective 0 0 0 71 0 1 16 146
Improving GDP measurement: a measurement-error perspective 0 0 0 45 3 7 13 220
International evidence on business cycle duration dependence 0 0 0 56 3 3 12 388
Is consumption too smooth? Long memory and the Deaton paradox 0 0 0 0 0 1 8 1,020
Job Stability in the United States 0 0 0 158 2 6 16 1,319
Long Memory and Regime Switching 0 0 0 588 6 15 23 1,490
Long memory and persistence in aggregate output 0 0 0 1 4 4 7 871
Machine Learning and the Yield Curve: Tree-Based Macroeconomic Regime Switching 0 0 3 31 6 10 19 70
Machine Learning and the Yield Curve:Tree-Based Macroeconomic Regime Switching 0 2 3 17 6 15 43 74
Machine Learning for Regularized Survey Forecast Combination: Partially Egalitarian Lasso and its Derivatives 0 0 0 39 1 5 18 150
Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives 0 1 1 73 1 3 13 126
Macroeconomic Volatility and Stock Market Volatility, World-Wide 0 0 1 159 2 3 11 392
Macroeconomic Volatility and Stock Market Volatility, Worldwide 0 0 0 215 4 7 20 692
Macroeconomic Volatility and Stock Market Volatility,World-Wide 0 0 2 964 5 9 42 2,519
Measuring Business Cycle: A Modern Perspective 0 0 1 461 6 7 19 1,050
Measuring Business Cycles: A Modern Perspective 0 1 2 539 1 9 27 1,510
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 2 14 239 9 23 81 729
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 0 2 5 158 3 8 21 563
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets 1 1 3 176 6 15 45 639
Measuring Predictability: Theory And Macroeconomic Applications 0 0 0 127 0 2 15 583
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 197 1 4 14 1,189
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 1 2 5 15 647
Measuring Predictability: Theory and Macroeconomic Applications 0 0 0 51 2 2 11 388
Measuring Volatility Dynamics 0 1 1 505 2 7 11 1,970
Measuring financial asset return and volatility spillovers, with application to global equity markets 0 0 1 114 12 20 64 536
Measuring financial asset return and volatility spillovers, with application to global equity markets 0 0 0 25 1 8 22 244
Measuring financial asset return and volatilty spillovers, with application to global equity markets 0 1 2 40 12 75 148 377
Measuring predictability: theory and macroeconomic applications 0 0 0 166 3 11 18 763
Measuring the Dynamics of Global Business Cycle Connectedness 0 0 0 148 3 3 10 464
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 0 52 5 7 21 531
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 2 291 7 11 19 1,055
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 0 0 1 479 14 15 34 2,296
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? 0 0 0 356 9 13 23 1,288
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 206 3 6 20 513
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 371 2 7 15 972
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 258 1 4 20 648
Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management 0 1 2 530 3 10 26 1,362
Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management 0 2 5 1,414 12 27 60 3,668
Modeling Volatility Dynamics 0 0 0 372 1 3 10 721
Modeling and Forecasting Realized Volatility 0 2 6 999 17 24 50 2,223
Modeling and Forecasting Realized Volatility 0 0 1 1,262 10 22 69 3,059
Modeling and Forecasting Realized Volatility 1 1 6 797 13 20 43 1,937
Modeling bond yields in finance and macroeconomics 0 0 0 271 2 7 17 733
Modeling volatility dynamics 0 1 3 412 3 14 29 1,028
Near-rationality and strategic complementarity in a macroeconomic model: policy effects, persistence and multipliers 0 0 0 0 2 3 4 161
Nonparametric exchange rate prediction? 0 0 0 3 1 3 14 1,481
On Robust Inference in Time Series Regression 0 0 0 4 1 3 11 48
On Robust Inference in Time Series Regression 0 0 0 20 4 9 15 60
On Robust Inference in Time Series Regression 0 0 1 125 2 2 17 60
On cointegration and exchange rate dynamics 0 0 0 3 0 3 16 548
On comparing information in forecasts from econometric models: a comment on Fair and Shiller 0 0 0 0 1 1 3 157
On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean 0 0 0 85 0 1 17 697
On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean 0 0 0 1 2 2 8 268
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone In?ation and Real Interest Rates 0 0 0 7 2 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 2 3 7 43
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates 1 1 1 12 6 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 4 4 9 36
On the Comparison of Interval Forecasts 0 0 0 46 1 2 18 107
On the Correlation Structure of Microstructure Noise in Theory and Practice 0 0 0 90 2 6 10 290
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 163 1 5 16 464
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 37 1 1 9 159
On the Evolution of U.S. Temperature Dynamics 0 0 0 12 2 4 10 38
On the Evolution of U.S. Temperature Dynamics 0 0 0 69 1 2 11 91
On the Financing of Climate Change Adaptation in Developing Countries 0 0 1 43 4 5 14 29
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 1 4 115 3 9 34 382
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 0 3 263 1 7 30 559
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 0 0 4 178 2 4 31 792
On the Origin(s) and Development of the Term “Big Data" 0 1 2 276 6 13 24 463
On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness 0 1 2 44 8 16 56 173
On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness 1 1 2 11 7 9 15 46
On the Wisdom of Crowds (of Economists) 0 1 2 37 3 4 17 22
On the Wisdom of Crowds (of Economists) 0 0 2 2 3 5 17 17
On the Wisdom of Crowds (of Economists) 1 6 6 6 5 6 6 6
On the correlation structure of microstructure noise in theory and practice 0 0 0 11 3 5 11 79
On the network topology of variance decompositions: Measuring the connectedness of financial firms 0 1 5 126 5 10 45 448
On the power of Dickey-Fuller tests against fractional alternatives 0 0 0 2 0 2 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 5 0 1 6 31
Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach 0 0 0 18 1 2 21 54
Optimal Prediction Under Asymmetric Loss 0 0 0 127 1 2 11 451
Optimal Prediction Under Asymmetric Loss 0 0 0 259 0 2 10 1,092
Optimal Prediction Under Asymmetric Loss 0 0 0 77 1 4 22 379
Optimal prediction under asymmetric loss 0 2 4 297 2 8 27 1,047
Parametric and Nonparametric Volatility Measurement 0 0 0 692 0 6 15 1,620
Parametric and Nonparametric Volatility Measurement 0 0 0 830 6 11 21 2,131
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 0 0 1 0 1 8 865
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 0 2 638 1 7 17 1,252
Post-deregulation deposit rate pricing: the multivariate dynamics 0 0 0 1 2 5 10 516
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 11 17 28 1,218
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 421 11 14 26 924
Practical volatility and correlation modeling for financial market risk management 0 0 0 397 1 1 17 870
Priors from Frequency-Domain Dummy Observations 0 0 2 38 1 3 14 109
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 11 1 2 9 33
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 2 5 15 21 48
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 15 3 5 8 32
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections 0 0 0 8 3 4 13 48
Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function 0 0 0 0 0 1 5 441
Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think 0 0 0 815 7 11 20 2,217
Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing 0 0 1 1,608 4 17 52 3,657
Real exchange rates under the gold standard 0 0 0 252 1 4 19 1,618
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility 0 0 0 105 1 9 25 170
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility 0 0 0 2 0 1 7 39
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 1 124 2 4 19 343
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 0 102 1 2 13 363
Real-Time Measurement of Business Conditions 0 1 2 111 1 5 28 327
Real-Time Measurement of Business Conditions 0 0 0 0 1 3 10 639
Real-Time Measurement of Business Conditions 0 0 0 91 1 1 12 297
Real-Time Measurement of Business Conditions, Second Version 0 0 0 120 2 3 13 268
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 236 2 2 8 750
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange 0 0 0 198 3 5 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 2 3 9 389
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 0 0 0 149 1 4 13 521
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 181 3 5 17 818
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 0 0 0 218 3 3 15 689
Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 0 0 0 7 2 2 6 47
Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession 0 0 0 21 3 9 18 92
Real-Time Real Economic Activity:Entering and Exiting the Pandemic Recession of 2020 0 0 2 13 5 7 17 48
Real-Time Real Economic Activity:Exiting the Great Recession and Entering the Pandemic Recession 0 0 0 40 0 2 11 70
Real-time forecast evaluation of DSGE models with stochastic volatility 0 0 0 74 2 6 17 102
Real-time macroeconomic monitoring: real activity, inflation, and interactions 0 0 0 40 6 8 23 236
Real-time measurement of business conditions 0 0 0 174 2 5 15 648
Real-time measurement of business conditions 0 0 0 148 2 2 14 360
Real-time price discovery in global stock, bond and foreign exchange markets 0 0 1 279 4 6 15 1,017
Real-time price discovery in stock, bond and foreign exchange markets 0 0 0 144 2 5 13 571
Realized Beta: Persistence and Predictability 0 0 0 516 4 12 22 940
Realized beta: Persistence and predictability 0 1 2 222 3 9 23 660
Regime switching with time-varying transition probabilities 0 0 0 10 6 25 43 2,447
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 4 171 10 13 30 588
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 0 0 1 356 7 9 22 1,009
Scoring the leading indicators 0 0 0 1 2 3 14 1,055
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 2 5 21 552
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 3 3 15 1,037
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 6 7 15 1,190
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 0 106 3 3 8 361
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 1 182 2 5 26 435
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 2 6 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 3 4 17 597
The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models 0 1 2 231 5 9 26 674
The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models 0 0 0 152 6 6 14 437
The Distribution of Exchange Rate Volatility 0 0 0 531 0 0 9 1,324
The Distribution of Exchange Rate Volatility 0 0 0 552 4 5 16 1,461
The Distribution of Exchange Rate Volatility 0 0 0 323 3 5 20 880
The Distribution of Stock Return Volatility 0 0 0 839 2 4 16 2,252
The Distribution of Stock Return Volatility 0 0 0 906 4 7 17 2,417
The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach 0 0 1 496 4 13 39 1,377
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 332 3 7 24 958
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 26 3 4 14 83
The Macroeconomy and the Yield Curve: A Nonstructural Analysis 0 0 0 151 3 7 13 498
The Nobel Memorial Prize for Robert F. Engle 0 0 0 148 3 4 12 619
The Nobel Memorial Prize for Robert F. Engle 0 0 0 61 2 6 15 311
The Nobel Memorial Prize for Robert F. Engle 0 0 0 145 2 3 9 544
The Past, Present, and Future of Macroeconomic Forecasting 0 0 0 288 1 4 16 958
The affine arbitrage-free class of Nelson-Siegel term structure models 0 0 2 200 5 10 25 603
The dynamics of exchange rate volatility: a multivariate latent factor ARCH model 0 0 0 1 2 6 22 846
The past, present, and future of macroeconomic forecasting 0 0 0 379 2 3 12 1,159
The use of prior information in forecast combination 0 0 0 1 1 3 7 506
Time Series Analysis 0 0 3 1,108 0 1 12 1,799
Time Series Analysis 0 0 1 145 2 4 12 399
Unit Root Tests Are Useful for Selecting Forecasting Models 0 0 0 409 4 7 18 1,468
Unit Root Tests are Useful for Selecting Forecasting Models 0 0 0 313 2 4 13 706
Unit roots in economic time series: a selective survey 0 0 0 3 0 1 21 1,220
Volatility Forecasting 1 1 1 951 4 13 33 1,306
Volatility Forecasting 0 0 1 562 8 15 33 1,033
Volatility forecasting 0 0 1 339 2 7 23 758
Weather Forecasting for Weather Derivatives 0 0 0 665 0 2 13 1,746
Weather Forecasting for Weather Derivatives 0 0 0 300 2 4 15 1,054
Weather forecasting for weather derivatives 0 0 0 328 2 12 16 856
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 11 2 4 11 67
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 1 1 1 11 23
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume 0 0 0 48 2 3 10 36
Why Are Estimates of Agricultural Supply Response So Variable? 0 0 0 140 0 1 5 437
Why Are Estimates of Agricultural Supply Response so Variable? 0 0 0 11 1 3 5 26
Why are estimates of agricultural supply response so variable? 1 1 2 196 1 3 12 696
Total Working Papers 19 81 302 65,313 848 1,824 5,601 217,097

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 1 16 504
A Markov-switching multifractal inter-trade duration model, with application to US equities 0 0 1 50 3 6 21 228
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations 0 0 2 79 2 3 12 455
A Nonparametric Investigation of Duration Dependence in the American Business Cycle 0 0 0 182 1 2 9 584
A benchmark model for fixed-target Arctic sea ice forecasting 0 0 0 0 2 2 12 22
A new test for market efficiency and uncovered interest parity 1 1 2 3 1 3 13 20
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 24 573
Are long expansions followed by short contractions? 0 0 0 2 3 4 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 3 7 16 17
Assessing point forecast accuracy by stochastic error distance 0 0 0 2 0 1 7 22
Assessing point forecast accuracy by stochastic loss distance 0 0 0 10 1 3 7 53
Better to give than to receive: Predictive directional measurement of volatility spillovers 13 46 164 791 60 173 634 2,473
Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers 0 0 1 146 1 3 14 1,164
Bootstrapping Multivariate Spectra 0 0 0 49 0 0 5 206
Climate models underestimate the sensitivity of Arctic sea ice to carbon emissions 0 0 0 2 1 3 9 19
Cointegration and Long-Horizon Forecasting 0 0 0 0 3 8 15 471
Comment 0 0 0 11 1 3 8 55
Comparing Predictive Accuracy 0 0 0 0 15 24 102 3,348
Comparing Predictive Accuracy 0 0 0 0 29 105 490 7,566
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests 1 3 15 73 5 22 79 287
Discussion: The effect of seasonal adjustment filters on tests for a unit root 0 0 0 10 2 3 9 69
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data 0 0 0 86 3 7 17 365
Econometrics: Retrospect and prospect 0 0 0 24 1 3 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 0 0 0 126 2 3 19 431
Estimating global bank network connectedness 0 1 2 60 4 15 45 269
Evaluating Density Forecasts with Applications to Financial Risk Management 0 0 0 2 10 23 44 2,083
Exact maximum-likelihood estimation of autoregressive models via the Kalman filter 0 1 1 208 1 3 6 409
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian 0 0 1 18 3 6 31 165
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 52 3 6 17 303
Five questions about business cycles 0 0 1 385 0 4 12 1,783
Forecast combination and encompassing: Reconciling two divergent literatures 0 0 0 86 1 1 9 214
Forecasting and empirical methods in finance and macroeconomics 0 0 2 73 1 3 11 197
Forecasting the term structure of government bond yields 7 17 58 558 36 86 267 2,249
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 7 7 16 255
Fractional integration and interval prediction 0 0 0 31 1 2 10 133
From the horse’s mouth: gauging conditional expected stock returns from investor surveys 0 0 0 12 2 4 6 90
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 0 0 194 0 1 6 663
Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach 1 4 18 282 5 17 67 1,121
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 35 4 8 18 184
Has the EMS Reduced Member-Country Exchange Rate Volatility? 0 0 0 0 3 3 5 163
Have Postwar Economic Fluctuations Been Stabilized? 0 0 1 55 0 2 18 398
Horizon problems and extreme events in financial risk management 0 0 1 191 3 9 22 779
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 2 348 6 8 18 1,130
Improving GDP measurement: A measurement-error perspective 0 0 0 81 4 4 25 390
Is Consumption Too Smooth? Long Memory and the Deaton Paradox 0 0 0 157 5 8 20 547
Job Stability in the United States 0 0 0 201 4 5 17 1,621
Long memory and persistence in aggregate output 0 0 0 160 2 5 8 371
Long memory and regime switching 0 0 0 279 10 15 26 803
Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives 0 9 17 49 6 25 55 171
Measuring Business Cycles: A Modern Perspective 1 1 6 507 15 29 60 1,723
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 1 3 17 73 9 27 106 254
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 0 0 0 654 8 22 74 2,372
Measuring predictability: theory and macroeconomic applications 0 0 0 222 2 4 12 848
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 3 10 24 610 21 44 142 2,071
Modeling Bond Yields in Finance and Macroeconomics 0 0 0 249 2 15 29 816
Modeling and Forecasting Realized Volatility 0 0 0 1,158 34 54 158 3,801
Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange 0 0 2 257 4 8 18 698
Nonparametric exchange rate prediction? 0 0 2 495 1 4 11 1,352
On Cointegration and Exchange Rate Dynamics 0 0 0 233 2 3 15 707
On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean 0 0 1 70 1 2 10 231
On robust inference in time-series regression 0 0 2 2 4 7 19 19
On the Comparison of Interval Forecasts 0 0 0 3 2 4 18 48
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach 0 0 0 42 1 8 18 242
On the aggregation of probability assessments: Regularized mixtures of predictive densities for Eurozone inflation and real interest rates 2 4 5 7 6 12 17 27
On the network topology of variance decompositions: Measuring the connectedness of financial firms 4 10 45 873 31 91 269 2,618
On the power of Dickey-Fuller tests against fractional alternatives 0 0 1 154 2 5 22 406
Optimal Prediction Under Asymmetric Loss 0 0 0 72 1 5 15 262
Optimal combination of Arctic sea ice extent measures: A dynamic factor modeling approach 0 0 0 2 0 2 7 17
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management 0 0 1 2 2 3 14 18
Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics 0 0 0 0 0 1 10 786
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 0 0 1 8 11
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 8 1 1 5 27
Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections 0 0 0 1 1 3 10 22
Range‐Based Estimation of Stochastic Volatility Models 0 1 2 138 2 12 41 510
Ratings migration and the business cycle, with application to credit portfolio stress testing 0 1 5 470 3 15 58 1,175
Real Exchange Rates under the Gold Standard 0 0 1 286 1 3 12 1,633
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions 0 0 0 130 0 4 11 532
Real-Time Measurement of Business Conditions 0 1 4 334 4 8 60 1,020
Real-time forecast evaluation of DSGE models with stochastic volatility 0 0 0 14 2 4 14 94
Real-time price discovery in global stock, bond and foreign exchange markets 0 1 5 361 2 10 54 1,264
Rejoinder 0 0 0 3 4 5 8 45
Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms 0 0 1 8 3 5 21 52
Reprint of: When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume 0 0 0 0 2 3 5 7
Robust estimation - discussion 0 0 0 0 0 1 8 58
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 3 7 17 701 23 39 92 1,962
Scoring the Leading Indicators 2 3 4 770 4 6 22 1,753
Serial Correlation and the Combination of Forecasts 0 0 0 0 2 2 9 400
Shorter recessions and longer expansions 0 1 1 37 0 2 4 509
Software review 0 0 0 8 1 3 9 125
State space modeling of time series: A review essay 0 0 0 163 1 1 9 348
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence 0 0 0 129 2 6 20 447
Stock returns and expected business conditions: half a century of direct evidence 0 0 1 24 2 3 12 155
Structural Time Series Analysis and Modelling Package: A Review 0 0 0 101 2 6 8 411
Structural change and the combination of forecasts 0 2 4 4 1 5 14 18
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 7 290
THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003 0 0 0 21 3 6 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 2 4 18 489
The Distribution of Realized Exchange Rate Volatility 0 0 4 214 7 15 46 713
The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model 0 0 3 751 0 4 16 1,614
The Nobel Memorial Prize for Robert F. Engle 0 0 0 35 2 3 15 422
The Past, Present, and Future of Macroeconomic Forecasting 0 0 1 181 5 8 19 809
The Uncertain Unit Root in Real GNP: Comment 0 0 1 100 2 8 17 414
The affine arbitrage-free class of Nelson-Siegel term structure models 2 3 23 453 13 21 98 1,408
The distribution of realized stock return volatility 0 1 9 868 8 12 46 2,261
The econometrics of macroeconomics, finance, and the interface 0 0 0 437 4 5 12 836
The exact initial covariance matrix of the state vector of a general MA(q) process 0 1 1 26 3 4 9 157
The macroeconomy and the yield curve: a dynamic latent factor approach 0 6 20 631 12 35 107 1,991
The use of prior information in forecast combination 0 0 1 126 3 8 20 300
Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 1 1 2 79 5 9 19 243
Unit-Root Tests Are Useful for Selecting Forecasting Models 0 0 0 0 3 8 33 701
Weather Forecasting for Weather Derivatives 0 0 1 98 1 3 15 359
When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume 0 0 0 2 1 3 14 24
Why are estimates of agricultural supply response so variable? 0 0 0 47 2 2 10 219
Total Journal Articles 42 139 508 19,219 549 1,322 4,445 81,451

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 3 5 17 170
Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring 0 0 0 0 23 58 145 752
The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice 0 0 0 0 2 3 15 210
Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach 0 0 0 0 10 19 53 584
Total Books 0 0 0 0 38 85 230 1,716

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 26 5 6 30 132
Commodity Connectedness 0 0 1 48 1 3 15 198
Equity Market Spillovers in the Americas 2 4 5 70 8 12 28 236
Facts, Factors, and Questions 0 0 0 104 2 4 14 280
Financial Risk Measurement for Financial Risk Management 0 1 2 62 14 18 58 394
Further Evidence on Business-Cycle Duration Dependence 0 0 0 96 1 3 13 252
Globalization, the Business Cycle, and Macroeconomic Monitoring 0 0 0 60 0 1 14 175
Introduction 0 0 0 3 1 2 9 26
On Asymmetry in Economic Time Series 0 0 0 0 0 2 4 5
On the Evolution of US Temperature Dynamics 0 1 1 4 0 3 11 27
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 251 8 12 24 788
Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 0 0 0 0 2 2 5 13
Realized Beta: Persistence and Predictability 0 2 8 12 2 7 35 50
Volatility and Correlation Forecasting 2 5 9 686 8 25 84 2,427
Total Chapters 4 14 29 1,422 52 100 344 5,003

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