Details about Francis Diebold

E-mail:
Homepage:	http://www.ssc.upenn.edu/~diebold
Postal address:	Dept. of Economics University of Pennsylvania 3718 Locust Walk Phila., PA 19104-6297
Workplace:	Department of Economics, University of Pennsylvania, (more information at EDIRC)

Access statistics for papers by Francis Diebold.

Last updated 2009-10-07. Update your information in the RePEc Author Service.

Short-id: pdi1

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Working Papers

2008

1. An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   Also in Working Paper Series, Federal Reserve Bank of San Francisco (2008) View citations
   PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2008) View citations
2. Macroeconomic Volatility and Stock Market Volatility, World-Wide
   PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2008)
   TÜSİAD-Koç University Economic Research Forum Working Papers, TUSIAD-Koc University Economic Research Forum (2007)
3. Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   Also in TÜSİAD-Koç University Economic Research Forum Working Papers, TUSIAD-Koc University Economic Research Forum (2007)
   Working Papers, Federal Reserve Bank of Philadelphia (2008)
   PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2007)
   See also Journal Article in Economic Journal (2009)
4. On the Correlation Structure of Microstructure Noise in Theory and Practice
   Boston College Working Papers in Economics, Boston College Department of Economics
   Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2008)
5. Real-Time Measurement of Business Conditions
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   Also in Working Papers, Federal Reserve Bank of Philadelphia (2008) View citations
   PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2007) View citations
   Computing in Economics and Finance 2006, Society for Computational Economics (2006) View citations
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2007) View citations
6. Real-Time Measurement of Business Conditions, Second Version
   PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania

2007

7. Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach
   PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007)
   See also Journal Article in Journal of Econometrics (2008)
8. Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations
   Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2006) View citations
   See also Journal Article in Journal of International Economics (2007)
9. Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations
   See also Journal Article in The Review of Economics and Statistics (2007)
10. The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2007) View citations
    NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations

2006

11. A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations
12. Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations
13. Time Series Analysis
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations
    Also in Working Papers, University of Maryland, Department of Agricultural and Resource Economics (2006)

2005

14. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
    CFS Working Paper Series, Center for Financial Studies View citations
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) View citations
    See also Journal Article in American Economic Review (2005)
15. Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore
    Working Papers, Singapore Management University, School of Economics
16. Modeling Bond Yields in Finance and Macroeconomics
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations
    Also in CFS Working Paper Series, Center for Financial Studies (2005) View citations
    Working Paper Series, Federal Reserve Bank of San Francisco (2005) View citations
    NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations
    See also Journal Article in American Economic Review (2005)
17. Practical Volatility and Correlation Modeling for Financial Market Risk Management
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) View citations
    CFS Working Paper Series, Center for Financial Studies (2005) View citations
    See also Chapter (2007)
18. Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in CFS Working Paper Series, Center for Financial Studies (2004) View citations
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2004) View citations
19. Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005)
    CFS Working Paper Series, Center for Financial Studies (2005)
    See also Journal Article in Journal of Business & Economic Statistics (2009)
20. Volatility Forecasting
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) View citations
    CFS Working Paper Series, Center for Financial Studies (2005) View citations

2004

21. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
    CFS Working Paper Series, Center for Financial Studies View citations
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2003) View citations
    See also Journal Article in Journal of Business (2006)
22. Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics
    Econometric Society 2004 Australasian Meetings, Econometric Society
23. Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
    CFS Working Paper Series, Center for Financial Studies View citations
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2003) View citations
24. Forecasting the Term Structure of Government Bond Yields
    CFS Working Paper Series, Center for Financial Studies View citations
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) View citations
    See also Journal Article in Journal of Econometrics (2006)
25. Realized Beta: Persistence and Predictability
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations
    Also in CFS Working Paper Series, Center for Financial Studies (2004) View citations
26. The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Journal of Econometrics (2006)
27. The Nobel Memorial Prize for Robert F. Engle
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations
    CFS Working Paper Series, Center for Financial Studies (2004) View citations
    See also Journal Article in Scandinavian Journal of Economics (2004)
28. Weather Forecasting for Weather Derivatives
    CFS Working Paper Series, Center for Financial Studies View citations
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) View citations
    See also Journal Article in Journal of the American Statistical Association (2005)

2003

29. Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations
    Also in CFS Working Paper Series, Center for Financial Studies (2003) View citations
30. The Macroeconomy and the Yield Curve: A Nonstructural Analysis
    CFS Working Paper Series, Center for Financial Studies View citations
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2003) View citations
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco (2003) View citations

2002

31. Financial Asset Returns, Market Timing, and Volatility Dynamics
    CIRANO Working Papers, CIRANO View citations
32. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
    Working Papers, Duke University, Department of Economics View citations
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) View citations
    NBER Working Papers, National Bureau of Economic Research, Inc (2002) View citations
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2002) View citations
    See also Journal Article in American Economic Review (2003)
33. Modeling and Forecasting Realized Volatility
    Working Papers, Duke University, Department of Economics View citations
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2001) View citations
    See also Journal Article in Econometrica (2003)
34. Parametric and Nonparametric Volatility Measurement
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) View citations

2001

35. High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models
    NBER Working Papers, National Bureau of Economic Research, Inc

2000

36. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999) View citations
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1999) View citations
37. Long Memory and Regime Switching
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Journal of Econometrics (2001)
38. Measuring Predictability: Theory And Macroeconomic Applications
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in Working Papers, Federal Reserve Bank of Philadelphia (1997) View citations
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (1997) View citations
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics (1998) View citations
    See also Journal Article in Journal of Applied Econometrics (2001)
39. Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations
    See also Journal Article in Journal of Banking & Finance (2002)
40. The Distribution of Stock Return Volatility
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) View citations

1999

41. (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations
42. Financial Risk Management in a Volatile Global Environment
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations
43. Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania
44. The Distribution of Exchange Rate Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999) View citations
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1999) View citations
45. Unit Root Tests Are Useful for Selecting Forecasting Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999) View citations
    See also Journal Article in Journal of Business & Economic Statistics (2000)

1998

46. Dynamic equilibrium economies: a framework for comparing models and data
    Staff Report, Federal Reserve Bank of Minneapolis View citations
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1997) View citations
    Working Papers, Federal Reserve Bank of Philadelphia (1997) View citations
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (1995) View citations
    See also Journal Article in Review of Economic Studies (1998)
47. Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1997) View citations
48. Horizon Problems and Extreme Events in Financial Risk Management
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations
    See also Journal Article in Economic Policy Review (1998)
49. How Relevant is Volatility Forecasting for Financial Risk Management?
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1997) View citations
    NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations
    See also Journal Article in The Review of Economics and Statistics (2000)
50. Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1998) View citations
51. Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1998) View citations
52. Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1998) View citations
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1998) View citations

1997

53. Bounded rationality and strategic complementarity in a macroeconomic model: policy effects, persistence, and multipliers
    Working Papers, Federal Reserve Bank of Philadelphia View citations
    Also in Home Pages, University of Pennsylvania
    NBER Working Papers, National Bureau of Economic Research, Inc (1996)
    See also Journal Article in Economic Journal (1997)
54. Cointegration and Long-Horizon Forecasting
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
    Also in Working Papers, Federal Reserve Bank of Philadelphia (1997) View citations
    IMF Working Papers, International Monetary Fund (1997) View citations
    See also Journal Article in Journal of Business & Economic Statistics (1998)
55. Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations
56. Evaluating Density Forecasts
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations
    Also in Working Papers, Federal Reserve Bank of Philadelphia (1997) View citations
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (1997) View citations
    CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences View citations
57. Optimal prediction under asymmetric loss
    Working Papers, Federal Reserve Bank of Philadelphia View citations
    Also in Home Pages, University of Pennsylvania
    CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences View citations
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (1994) View citations
    See also Journal Article in Econometric Theory (1997)
58. The Past, Present, and Future of Macroeconomic Forecasting
    NBER Working Papers, National Bureau of Economic Research, Inc
    Also in Working Papers, Federal Reserve Bank of Philadelphia (1997) View citations
    See also Journal Article in Journal of Economic Perspectives (1998)

1996

59. Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in Home Pages, University of Pennsylvania View citations
60. Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
61. Forecast Evaluation and Combination
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
    Also in Research Paper, Federal Reserve Bank of New York (1995) View citations
62. Why are estimates of agricultural supply response so variable?
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
    Also in Home Pages, University of Pennsylvania
    See also Journal Article in Journal of Econometrics (1997)

1995

63. Measuring Volatility Dynamics
    NBER Technical Working Papers, National Bureau of Economic Research, Inc
64. Modeling volatility dynamics
    Research Paper, Federal Reserve Bank of New York View citations
    Also in Home Pages, University of Pennsylvania View citations

1994

65. Comparing Predictive Accuracy
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Journal of Business & Economic Statistics (2002)
66. Job Stability in the United States
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Journal of Labor Economics (1997)
67. Measuring Business Cycles: A Modern Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in Home Pages, University of Pennsylvania View citations
    See also Journal Article in The Review of Economics and Statistics (1996)

1993

68. Exact maximum likelihood estimation of ARCH models
    Working Papers, Federal Reserve Bank of Philadelphia View citations
69. On cointegration and exchange rate dynamics
    Working Papers, Federal Reserve Bank of Philadelphia View citations
    See also Journal Article in Journal of Finance (1994)
70. On comparing information in forecasts from econometric models: a comment on Fair and Shiller
    Working Papers, Federal Reserve Bank of Philadelphia
71. On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean
    Working Papers, Federal Reserve Bank of Philadelphia
    Also in Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1990) View citations
    See also Journal Article in Journal of Econometrics (1994)
72. Regime switching with time-varying transition probabilities
    Working Papers, Federal Reserve Bank of Philadelphia View citations
73. Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures
    Working Papers, Federal Reserve Bank of Philadelphia View citations
    See also Journal Article in Journal of Econometrics (1996)

1992

74. Near-rationality and strategic complementarity in a macroeconomic model: policy effects, persistence and multipliers
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

1991

75. Comparing predictive accuracy I: an asymptotic test
    Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations
76. Further evidence on business cycle duration dependence
    Working Papers, Federal Reserve Bank of Philadelphia View citations
    See also Chapter (1993)
77. Have postwar economic fluctuations been stabilized?
    Working Paper Series / Economic Activity Section, Board of Governors of the Federal Reserve System (U.S.) View citations
    Also in Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1990) View citations
    See also Journal Article in American Economic Review (1992)

1990

78. International evidence on business cycle duration dependence
    Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations
79. On the power of Dickey-Fuller tests against fractional alternatives
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations
    See also Journal Article in Economics Letters (1991)
80. Real exchange rates under the gold standard
    Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations
    See also Journal Article in Journal of Political Economy (1991)

1989

81. Forecast combination and encompassing: reconciling two divergent literatures
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations
    See also Journal Article in International Journal of Forecasting (1989)
82. Forecasting output with the composite leading index: an ex ante analysis
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations
83. Is consumption too smooth? Long memory and the Deaton paradox
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations
    See also Journal Article in The Review of Economics and Statistics (1991)
84. Nonparametric exchange rate prediction?
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations
    See also Journal Article in Journal of International Economics (1990)

1988

85. A nonparametric investigation of duration dependence in the American business cycle
    Working Paper Series / Economic Activity Section, Board of Governors of the Federal Reserve System (U.S.) View citations
    See also Journal Article in Journal of Political Economy (1990)
86. An application of operational-subjective statistical methods to rational expectations: comment
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
    See also Journal Article in Journal of Business & Economic Statistics (1988)
87. Conditional heteroskedasticity in the market
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
88. Ex ante turning point forecasting with the composite leading index
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
89. Long memory and persistence in aggregate output
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations
    See also Journal Article in Journal of Monetary Economics (1989)
90. On the solution of dynamic linear rational expectations models
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
91. Post-deregulation deposit rate pricing: the multivariate dynamics
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
92. Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations
93. State space modeling of time series: a review essay
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
    See also Journal Article in Journal of Economic Dynamics and Control (1989)
94. Unit roots in economic time series: a selective survey
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations

1987

95. Deviations from random-walk behavior: tests based on the variance-time function
    Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.)
96. Does the business cycle have duration memory?
    Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations
97. Scoring the leading indicators
    Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations
    See also Journal Article in Journal of Business (1989)
98. The use of prior information in forecast combination
    Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations
    See also Journal Article in International Journal of Forecasting (1990)

1986

99. Structural change and the combination of forecasts
    Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations
100. Temporal aggregation of ARCH processes and the distribution of asset returns
     Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations
101. The dynamics of exchange rate volatility: a multivariate latent factor ARCH model
     Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations
     See also Journal Article in Journal of Applied Econometrics (1989)

Undated

102. Further Results on Forecasting and Model Selection Under Asymmetric Loss
     Home Pages, University of Pennsylvania View citations
     See also Journal Article in Journal of Applied Econometrics (1996)
103. Stamp 5.0: A Review
     Home Pages, University of Pennsylvania

Journal Articles

2009

1. Equity Market Spillovers in the Americas
   Journal Economía Chilena (The Chilean Economy), 2009, 12, (2), 55-65
2. Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
   Economic Journal, 2009, 119, (534), 158-171 View citations
   See also Working Paper (2008)
3. Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
   Journal of Business & Economic Statistics, 2009, 27, (2), 266-278
   Also in Proceedings, 2005 (2005)
   See also Working Paper (2005)

2008

4. Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach
   Journal of Econometrics, 2008, 146, (2), 351-363 View citations
   See also Working Paper (2007)

2007

5. Real-time price discovery in global stock, bond and foreign exchange markets
   Journal of International Economics, 2007, 73, (2), 251-277 View citations
   See also Working Paper (2007)
6. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
   The Review of Economics and Statistics, 2007, 89, (4), 701-720 View citations
   See also Working Paper (2007)

2006

7. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
   Journal of Business, 2006, 79, (1), 61-74 View citations
   See also Working Paper (2004)
8. Comment
   Journal of Business & Economic Statistics, 2006, 24, 181-183
9. Forecasting the term structure of government bond yields
   Journal of Econometrics, 2006, 130, (2), 337-364 View citations
   See also Working Paper (2004)
10. The econometrics of macroeconomics, finance, and the interface
    Journal of Econometrics, 2006, 131, (1-2), 1-2
11. The macroeconomy and the yield curve: a dynamic latent factor approach
    Journal of Econometrics, 2006, 131, (1-2), 309-338 View citations
    See also Working Paper (2004)

2005

12. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
    American Economic Review, 2005, 95, (2), 398-404 View citations
    See also Working Paper (2005)
13. Modeling Bond Yields in Finance and Macroeconomics
    American Economic Review, 2005, 95, (2), 415-420 View citations
    See also Working Paper (2005)
14. Robust estimation - discussion
    Proceedings, 2005, 82-85
15. Weather Forecasting for Weather Derivatives
    Journal of the American Statistical Association, 2005, 100, 6-16 View citations
    See also Working Paper (2004)

2004

16. The Nobel Memorial Prize for Robert F. Engle
    Scandinavian Journal of Economics, 2004, 106, (2), 165-185 View citations
    See also Working Paper (2004)

2003

17. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
    American Economic Review, 2003, 93, (1), 38-62 View citations
    See also Working Paper (2002)
18. Modeling and Forecasting Realized Volatility
    Econometrica, 2003, 71, (2), 579-625 View citations
    See also Working Paper (2002)
19. THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003
    Econometric Theory, 2003, 19, (06), 1159-1193

2002

20. Comparing Predictive Accuracy
    Journal of Business & Economic Statistics, 2002, 20, (1), 134-44 View citations
    Also in Journal of Business & Economic Statistics, 1995, 13, (3), 253-63 (1995) View citations
    See also Working Paper (1994)
21. Range-Based Estimation of Stochastic Volatility Models
    Journal of Finance, 2002, 57, (3), 1047-1091 View citations
22. Ratings migration and the business cycle, with application to credit portfolio stress testing
    Journal of Banking & Finance, 2002, 26, (2-3), 445-474 View citations
    See also Working Paper (2000)

2001

23. Econometrics: Retrospect and prospect
    Journal of Econometrics, 2001, 100, (1), 73-75
24. Five questions about business cycles
    Economic Review, 2001, 1-15 View citations
25. Forecasting and empirical methods in finance and macroeconomics
    Journal of Econometrics, 2001, 105, (1), 1-3
26. Long memory and regime switching
    Journal of Econometrics, 2001, 105, (1), 131-159 View citations
    See also Working Paper (2000)
27. Measuring predictability: theory and macroeconomic applications
    Journal of Applied Econometrics, 2001, 16, (6), 657-669 View citations
    See also Working Paper (2000)
28. The Distribution of Realized Exchange Rate Volatility
    Journal of the American Statistical Association, 2001, 96, 42-55 View citations
29. The distribution of realized stock return volatility
    Journal of Financial Economics, 2001, 61, (1), 43-76 View citations

2000

30. How Relevant is Volatility Forecasting for Financial Risk Management?
    The Review of Economics and Statistics, 2000, 82, (1), 12-22 View citations
    See also Working Paper (1998)
31. Unit-Root Tests Are Useful for Selecting Forecasting Models
    Journal of Business & Economic Statistics, 2000, 18, (3), 265-73 View citations
    See also Working Paper (1999)

1999

32. Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange
    The Review of Economics and Statistics, 1999, 81, (4), 661-673 View citations

1998

33. Bootstrapping Multivariate Spectra
    The Review of Economics and Statistics, 1998, 80, (4), 664-666 View citations
34. Cointegration and Long-Horizon Forecasting
    Journal of Business & Economic Statistics, 1998, 16, (4), 450-58 View citations
    See also Working Paper (1997)
35. Dynamic Equilibrium Economies: A Framework for Comparing Models and Data
    Review of Economic Studies, 1998, 65, (3), 433-51 View citations
    See also Working Paper (1998)
36. Evaluating Density Forecasts with Applications to Financial Risk Management
    International Economic Review, 1998, 39, (4), 863-83 View citations
37. Horizon problems and extreme events in financial risk management
    Economic Policy Review, 1998, (Oct), 109-118 View citations
    See also Working Paper (1998)
38. Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors' Introduction
    International Economic Review, 1998, 39, (4), 811-15
39. The Past, Present, and Future of Macroeconomic Forecasting
    Journal of Economic Perspectives, 1998, 12, (2), 175-92 View citations
    See also Working Paper (1997)

1997

40. Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers
    Economic Journal, 1997, 107, (444), 1358-74
    See also Working Paper (1997)
41. Job Stability in the United States
    Journal of Labor Economics, 1997, 15, (2), 206-33 View citations
    See also Working Paper (1994)
42. Optimal Prediction Under Asymmetric Loss
    Econometric Theory, 1997, 13, (06), 808-817 View citations
    See also Working Paper (1997)
43. Why are estimates of agricultural supply response so variable?
    Journal of Econometrics, 1997, 76, (1-2), 357-373
    See also Working Paper (1996)

1996

44. Comment on "Is job stability declining in the U.S. economy?" by Kenneth A. Swinnerton and Howard Wial (48:2, Jan. 1995)
    Industrial and Labor Relations Review, 1996, 49, (2), 348-355
45. Fractional integration and interval prediction
    Economics Letters, 1996, 50, (3), 305-313 View citations
46. Further Results on Forecasting and Model Selection under Asymmetric Loss
    Journal of Applied Econometrics, 1996, 11, (5), 561-71 View citations
    See also Working Paper
47. Measuring Business Cycles: A Modern Perspective
    The Review of Economics and Statistics, 1996, 78, (1), 67-77 View citations
    See also Working Paper (1994)
48. Software review
    International Journal of Forecasting, 1996, 12, (2), 309-315 View citations
49. Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures
    Journal of Econometrics, 1996, 70, (1), 221-241 View citations
    See also Working Paper (1993)
50. The Uncertain Unit Root in Real GNP: Comment
    American Economic Review, 1996, 86, (5), 1291-98 View citations

1994

51. On Cointegration and Exchange Rate Dynamics
    Journal of Finance, 1994, 49, (2), 727-35 View citations
    See also Working Paper (1993)
52. On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean
    Journal of Econometrics, 1994, 62, (2), 301-316 View citations
    See also Working Paper (1993)

1993

53. Are long expansions followed by short contractions?
    Business Review, 1993, (Jul), 3-11
54. Comment on modeling asset returns with alternative stable distributions
    Econometric Reviews, 1993, 12, (3), 339-342
55. Discussion: The effect of seasonal adjustment filters on tests for a unit root
    Journal of Econometrics, 1993, 55, (1-2), 99-103

1992

56. Have Postwar Economic Fluctuations Been Stabilized?
    American Economic Review, 1992, 82, (4), 993-1005 View citations
    See also Working Paper (1991)

1991

57. Is Consumption Too Smooth? Long Memory and the Deaton Paradox
    The Review of Economics and Statistics, 1991, 73, (1), 1-9 View citations
    See also Working Paper (1989)
58. On the power of Dickey-Fuller tests against fractional alternatives
    Economics Letters, 1991, 35, (2), 155-160 View citations
    See also Working Paper (1990)
59. Real Exchange Rates under the Gold Standard
    Journal of Political Economy, 1991, 99, (6), 1252-71 View citations
    See also Working Paper (1990)
60. Shorter recessions and longer expansions
    Business Review, 1991, (Nov), 13-20

1990

61. A Nonparametric Investigation of Duration Dependence in the American Business Cycle
    Journal of Political Economy, 1990, 98, (3), 596-616 View citations
    See also Working Paper (1988)
62. Nonparametric exchange rate prediction?
    Journal of International Economics, 1990, 28, (3-4), 315-332 View citations
    See also Working Paper (1989)
63. Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics
    Journal of Business & Economic Statistics, 1990, 8, (3), 281-91 View citations
64. The use of prior information in forecast combination
    International Journal of Forecasting, 1990, 6, (4), 503-508 View citations
    See also Working Paper (1987)

1989

65. Forecast combination and encompassing: Reconciling two divergent literatures
    International Journal of Forecasting, 1989, 5, (4), 589-592 View citations
    See also Working Paper (1989)
66. Intertemporal consumer behavior under changes in income: a comment
    Econometric Reviews, 1989, 8, (1), 93-99
67. Long memory and persistence in aggregate output
    Journal of Monetary Economics, 1989, 24, (2), 189-209 View citations
    See also Working Paper (1988)
68. Scoring the Leading Indicators
    Journal of Business, 1989, 62, (3), 369-91 View citations
    See also Working Paper (1987)
69. State space modeling of time series: A review essay
    Journal of Economic Dynamics and Control, 1989, 13, (4), 597-612
    See also Working Paper (1988)
70. Structural Time Series Analysis and Modelling Package: A Review
    Journal of Applied Econometrics, 1989, 4, (2), 195-204 View citations
71. The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model
    Journal of Applied Econometrics, 1989, 4, (1), 1-21 View citations
    See also Working Paper (1986)

1988

72. An Application of Operational-Subjective Statistical Methods to Rational Expectations: Comment
    Journal of Business & Economic Statistics, 1988, 6, (4), 470-72
    See also Working Paper (1988)
73. Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate
    European Economic Review, 1988, 32, (1), 27-53
74. Has the EMS Reduced Member-Country Exchange Rate Volatility?
    Empirical Economics, 1988, 13, (2), 81-102 View citations
75. Serial Correlation and the Combination of Forecasts
    Journal of Business & Economic Statistics, 1988, 6, (1), 105-11 View citations
76. Testing for bubbles, reflecting barriers and other anomalies
    Journal of Economic Dynamics and Control, 1988, 12, (1), 63-70

1987

77. Prediction, Extraction, and Estimation in Unobserved Components Models
    Econometric Theory, 1987, 3, (02), 305-305

1986

78. Exact maximum-likelihood estimation of autoregressive models via the Kalman filter
    Economics Letters, 1986, 22, (2-3), 197-201
79. The exact initial covariance matrix of the state vector of a general MA(q) process
    Economics Letters, 1986, 22, (1), 27-31

Chapters

2007

1. Practical Volatility and Correlation Modeling for Financial Market Risk Management
   A chapter in The Risks of Financial Institutions, 2007, pp 513-548
   See also Working Paper (2005)

2006

2. Volatility and Correlation Forecasting
   Elsevier View citations

1993

3. Further Evidence on Business-Cycle Duration Dependence
   A chapter in Business Cycles, Indicators and Forecasting, 1993, pp 255-284 View citations
   See also Working Paper (1991)