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Details about Francis Diebold
Access statistics for papers by Francis Diebold.
Last updated 2008-03-07. Update your information in the RePEc Author Service .
Short-id: pdi1
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Journal Articles Chapters
Working Papers 2008
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, TÜSİAD-Koç University Economic Research Forum (2007) PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2007)
2007
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)
Macroeconomic Volatility and Stock Market Volatility,World-Wide TÜSİAD-Koç University Economic Research Forum Working Papers, TÜSİAD-Koç University Economic Research Forum
Real-Time Measurement of Business Conditions PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations Also in 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
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
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
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
Real-time price discovery in global stock, bond and foreign exchange markets International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations See Also Journal Article in Journal of International Economics (2007)
Time Series Analysis PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations
2005
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)
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
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 Working Paper Series, Federal Reserve Bank of San Francisco (2005) View citations NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations CFS Working Paper Series, Center for Financial Studies (2005) View citations See Also Journal Article in American Economic Review (2005)
Practical Volatility and Correlation Modeling for Financial Market Risk Management NBER Working Papers, National Bureau of Economic Research, Inc View citations Also in CFS Working Paper Series, Center for Financial Studies (2005) View citations PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) View citations
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
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility NBER Working Papers, National Bureau of Economic Research, Inc View citations See Also Journal Article in The Review of Economics and Statistics (2007)
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)
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
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 PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2003) View citations 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 See Also Journal Article in Journal of Business (2006)
Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics Econometric Society 2004 Australasian Meetings, Econometric Society
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
Forecasting the Term Structure of Government Bond Yields CFS Working Paper Series, Center for Financial Studies 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 (2003) View citations See Also Journal Article in Journal of Econometrics (2006)
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
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)
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)
Weather Forecasting for Weather Derivatives CFS Working Paper Series, Center for Financial Studies 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 (2003) See Also Journal Article in Journal of the American Statistical Association (2005)
2003
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
The Macroeconomy and the Yield Curve: A Nonstructural Analysis CFS Working Paper Series, Center for Financial Studies View citations Also in Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco (2003) View citations PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2003) View citations
2002
Financial Asset Returns, Market Timing, and Volatility Dynamics CIRANO Working Papers, CIRANO View citations
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
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)
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
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
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
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)
Measuring Predictability: Theory And Macroeconomic Applications CEPR Discussion Papers, C.E.P.R. Discussion Papers Also in Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics (1998) View citations NBER Technical Working Papers, National Bureau of Economic Research, Inc (1997) View citations Working Papers, Federal Reserve Bank of Philadelphia (1997) View citations See Also Journal Article in Journal of Applied Econometrics (2001)
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)
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
(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
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
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
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
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
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)
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
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)
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)
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
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
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 New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1998) View citations Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1998) View citations
1997
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 NBER Working Papers, National Bureau of Economic Research, Inc (1996) Home Pages, University of Pennsylvania See Also Journal Article in Economic Journal (1997)
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)
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
Evaluating Density Forecasts Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations Also in 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 Working Papers, Federal Reserve Bank of Philadelphia (1997) View citations
Optimal prediction under asymmetric loss Working Papers, Federal Reserve Bank of Philadelphia View citations Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (1994) View citations CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences View citations Home Pages, University of Pennsylvania
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
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
Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
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
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
Measuring Volatility Dynamics NBER Technical Working Papers, National Bureau of Economic Research, Inc
Modeling volatility dynamics Research Paper, Federal Reserve Bank of New York View citations Also in Home Pages, University of Pennsylvania View citations
1994
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)
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)
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
Exact maximum likelihood estimation of ARCH models Working Papers, Federal Reserve Bank of Philadelphia View citations
On cointegration and exchange rate dynamics Working Papers, Federal Reserve Bank of Philadelphia View citations See Also Journal Article in Journal of Finance (1994)
On comparing information in forecasts from econometric models: a comment on Fair and Shiller Working Papers, Federal Reserve Bank of Philadelphia
On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean Working Papers, Federal Reserve Bank of PhiladelphiaAlso in Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1990) See Also Journal Article in Journal of Econometrics (1994)
Regime switching with time-varying transition probabilities Working Papers, Federal Reserve Bank of Philadelphia View citations
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
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
Comparing predictive accuracy I: an asymptotic test Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations
Further evidence on business cycle duration dependence Working Papers, Federal Reserve Bank of Philadelphia View citations
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
International evidence on business cycle duration dependence Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations
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)
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
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)
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
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)
Nonparametric exchange rate prediction? Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)See Also Journal Article in Journal of International Economics (1990)
1988
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)
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)
Conditional heteroskedasticity in the market Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
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.)
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)
On the solution of dynamic linear rational expectations models Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
Post-deregulation deposit rate pricing: the multivariate dynamics Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
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
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)
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
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.)
Does the business cycle have duration memory? Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations
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)
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
Structural change and the combination of forecasts Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations
Temporal aggregation of ARCH processes and the distribution of asset returns Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.)
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
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)
Stamp 5.0: A Review Home Pages, University of Pennsylvania
Journal Articles 2007
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 (2006)
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 (2005)
2006
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)
Comment Journal of Business & Economic Statistics , 2006, 24 , 181-183 Forecasting the term structure of government bond yields Journal of Econometrics , 2006, 130 , (2), 337-364 View citations See Also Working Paper (2004)
The econometrics of macroeconomics, finance, and the interface Journal of Econometrics , 2006, 131 , (1-2), 1-2 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
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)
Modeling Bond Yields in Finance and Macroeconomics American Economic Review , 2005, 95 , (2), 415-420 View citations See Also Working Paper (2005)
Robust estimation - discussion Proceedings , 2005, 82-85
Weather Forecasting for Weather Derivatives Journal of the American Statistical Association , 2005, 100 , 6-16 View citations See Also Working Paper (2004)
2004
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
Modeling and Forecasting Realized Volatility Econometrica , 2003, 71 , (2), 579-625 View citations See Also Working Paper (2002)
THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003 Econometric Theory , 2003, 19 , (06), 1159-1193
2002
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), 253-63View citations See Also Working Paper (1994)
Range-Based Estimation of Stochastic Volatility Models Journal of Finance , 2002, 57 , (3), 1047-1091 View citations
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
Econometrics: Retrospect and prospect Journal of Econometrics , 2001, 100 , (1), 73-75 Five questions about business cycles Economic Review , 2001, 1-15 View citations
Forecasting and empirical methods in finance and macroeconomics Journal of Econometrics , 2001, 105 , (1), 1-3 Long memory and regime switching Journal of Econometrics , 2001, 105 , (1), 131-159 View citations See Also Working Paper (2000)
Measuring predictability: theory and macroeconomic applications Journal of Applied Econometrics , 2001, 16 , (6), 657-669 View citations See Also Working Paper (2000)
The Distribution of Realized Exchange Rate Volatility Journal of the American Statistical Association , 2001, 96 , 42-55 View citations
The distribution of realized stock return volatility Journal of Financial Economics , 2001, 61 , (1), 43-76 View citations
2000
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)
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
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
Bootstrapping Multivariate Spectra The Review of Economics and Statistics , 1998, 80 , (4), 664-666 View citations
Cointegration and Long-Horizon Forecasting Journal of Business & Economic Statistics , 1998, 16 , (4), 450-58 View citations See Also Working Paper (1997)
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)
Evaluating Density Forecasts with Applications to Financial Risk Management International Economic Review , 1998, 39 , (4), 863-83 View citations
Horizon problems and extreme events in financial risk management Economic Policy Review , 1998, (Oct), 109-118 View citations See Also Working Paper (1998)
Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors' Introduction International Economic Review , 1998, 39 , (4), 811-15
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
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)
Job Stability in the United States Journal of Labor Economics , 1997, 15 , (2), 206-33 View citations See Also Working Paper (1994)
Why are estimates of agricultural supply response so variable? Journal of Econometrics , 1997, 76 , (1-2), 357-373 See Also Working Paper (1996)
1996
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
Fractional integration and interval prediction Economics Letters , 1996, 50 , (3), 305-313 View citations
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
Measuring Business Cycles: A Modern Perspective The Review of Economics and Statistics , 1996, 78 , (1), 67-77 View citations See Also Working Paper (1994)
Software review International Journal of Forecasting , 1996, 12 , (2), 309-315 View citations
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)
The Uncertain Unit Root in Real GNP: Comment American Economic Review , 1996, 86 , (5), 1291-98 View citations
1994
On Cointegration and Exchange Rate Dynamics Journal of Finance , 1994, 49 , (2), 727-35 View citations See Also Working Paper (1993)
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
Are long expansions followed by short contractions? Business Review , 1993, (Jul), 3-11
Discussion: The effect of seasonal adjustment filters on tests for a unit root Journal of Econometrics , 1993, 55 , (1-2), 99-103
1992
Have Postwar Economic Fluctuations Been Stabilized? American Economic Review , 1992, 82 , (4), 993-1005 View citations See Also Working Paper (1991)
1991
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)
On the power of Dickey-Fuller tests against fractional alternatives Economics Letters , 1991, 35 , (2), 155-160 View citations See Also Working Paper (1990)
Real Exchange Rates under the Gold Standard Journal of Political Economy , 1991, 99 , (6), 1252-71 View citations See Also Working Paper (1990)
Shorter recessions and longer expansions Business Review , 1991, (Nov), 13-20
1990
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)
Nonparametric exchange rate prediction? Journal of International Economics , 1990, 28 , (3-4), 315-332 View citations See Also Working Paper (1989)
Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics Journal of Business & Economic Statistics , 1990, 8 , (3), 281-91 View citations
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
Forecast combination and encompassing: Reconciling two divergent literatures International Journal of Forecasting , 1989, 5 , (4), 589-592 View citations See Also Working Paper (1989)
Intertemporal consumer behavior under changes in income: a comment Econometric Reviews , 1989, 8 , (1), 93-99 Long memory and persistence in aggregate output Journal of Monetary Economics , 1989, 24 , (2), 189-209 View citations See Also Working Paper (1988)
Scoring the Leading Indicators Journal of Business , 1989, 62 , (3), 369-91 View citations See Also Working Paper (1987)
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)
Structural Time Series Analysis and Modelling Package: A Review Journal of Applied Econometrics , 1989, 4 , (2), 195-204 View citations
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
An Application of Operational-Subjective Statistical Methods to Rational Expectations: Comment Journal of Business & Economic Statistics , 1988, 6 , (4), 470-72See Also Working Paper (1988)
Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate European Economic Review , 1988, 32 , (1), 27-53 Has the EMS Reduced Member-Country Exchange Rate Volatility? Empirical Economics , 1988, 13 , (2), 81-102 View citations
Serial Correlation and the Combination of Forecasts Journal of Business & Economic Statistics , 1988, 6 , (1), 105-11 View citations
Testing for bubbles, reflecting barriers and other anomalies Journal of Economic Dynamics and Control , 1988, 12 , (1), 63-70
1986
Exact maximum-likelihood estimation of autoregressive models via the Kalman filter Economics Letters , 1986, 22 , (2-3), 197-201 The exact initial covariance matrix of the state vector of a general MA(q) process Economics Letters , 1986, 22 , (1), 27-31
1933
Comment on modeling asset returns with alternative stable distributions Econometric Reviews , 1933, 12 , (3), 339-342
Chapters 2006
Volatility and Correlation Forecasting Elsevier View citations
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