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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 2014-07-22. Update your information in the RePEc Author Service.

Short-id: pdi1


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Working Papers

2014

  1. Assessing Point Forecast Accuracy by Stochastic Divergence from Zero
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads

2013

  1. Improving GDP Measurement: A Measurement-Error Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2013) Downloads View citations (1)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2013) Downloads View citations (1)
  2. Measuring the Dynamics of Global Business Cycle Connectedness
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads

2012

  1. A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2013)
  2. A Personal Perspective on the Origin(s) and Development of “Big Data": The Phenomenon, the Term, and the Discipline, Second Version
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads
  3. Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) Downloads View citations (5)
  4. Financial Risk Measurement for Financial Risk Management
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2011) Downloads
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2011) Downloads
  5. On the Correlation Structure of Microstructure Noise: A Financial Economic Approach
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (3)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) Downloads View citations (1)

    See also Journal Article in Review of Economic Studies (2013)
  6. On the Origin(s) and Development of the Term “Big Data"
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads

2011

  1. Globalization, the Business Cycle, and Macroeconomic Monitoring
    IMF Working Papers, International Monetary Fund Downloads View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) Downloads View citations (2)

    See also Chapter (2010)
    Journal Article in NBER International Seminar on Macroeconomics (2011)
  2. Improving GDP Measurement: A Forecast Combination Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2011) Downloads
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2011) Downloads
  3. On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum Downloads View citations (8)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) Downloads View citations (7)
    Working Papers, Federal Reserve Bank of Philadelphia (2011) Downloads View citations (5)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2011) Downloads View citations (32)

    See also Journal Article in Journal of Econometrics (2014)

2010

  1. Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum Downloads View citations (43)
    See also Journal Article in International Journal of Forecasting (2012)
  2. Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2010) Downloads View citations (6)
    Working Papers, Federal Reserve Bank of Philadelphia (2010) Downloads View citations (3)

    See also Journal Article in American Economic Review (2010)

2008

  1. An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2008) Downloads View citations (4)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2008) Downloads View citations (24)

    See also Journal Article in Econometrics Journal (2009)
  2. Macroeconomic Volatility and Stock Market Volatility, World-Wide
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2008) Downloads View citations (14)
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum (2007) Downloads View citations (3)
  3. Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    Also in Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum (2007) Downloads View citations (2)
    Working Papers, Federal Reserve Bank of Philadelphia (2008) Downloads View citations (26)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2008) Downloads View citations (1)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2007) Downloads View citations (8)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2007) Downloads View citations (3)

    See also Journal Article in Economic Journal (2009)
  4. On the Correlation Structure of Microstructure Noise in Theory and Practice
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads View citations (7)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2008) Downloads View citations (6)
  5. Priors from Frequency-Domain Dummy Observations
    2008 Meeting Papers, Society for Economic Dynamics Downloads
  6. Real-Time Measurement of Business Conditions
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2008) Downloads View citations (19)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2007) Downloads View citations (4)
    Computing in Economics and Finance 2006, Society for Computational Economics (2006) View citations (9)
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2007) Downloads View citations (4)

    See also Journal Article in Journal of Business & Economic Statistics (2009)
  7. Real-Time Measurement of Business Conditions, Second Version
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads View citations (3)

2007

  1. 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 Downloads View citations (3)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) Downloads
    CFS Working Paper Series, Center for Financial Studies (CFS) (2007) Downloads

    See also Journal Article in Journal of Econometrics (2008)
  2. Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads View citations (117)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2006) Downloads View citations (13)

    See also Journal Article in Journal of International Economics (2007)
  3. 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 Downloads View citations (170)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (11)

    See also Journal Article in The Review of Economics and Statistics (2007)
  4. 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 Downloads View citations (37)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2007) Downloads View citations (16)
    NBER Working Papers, National Bureau of Economic Research, Inc (2007) Downloads View citations (13)

    See also Journal Article in Journal of Econometrics (2011)

2006

  1. 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 Downloads View citations (3)
  2. Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence
    Finance Working Papers, East Asian Bureau of Economic Research Downloads
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2006) Downloads View citations (3)
    Finance Working Papers, East Asian Bureau of Economic Research (2006) Downloads
  3. Time Series Analysis
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads View citations (10)
    Also in Working Papers, University of Maryland, Department of Agricultural and Resource Economics (2006) Downloads View citations (2)

2005

  1. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (28)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2005) Downloads View citations (30)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) Downloads View citations (28)

    See also Journal Article in American Economic Review (2005)
  2. 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 Downloads
  3. Modeling Bond Yields in Finance and Macroeconomics
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads View citations (64)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2005) Downloads View citations (59)
    Working Paper Series, Federal Reserve Bank of San Francisco (2005) Downloads View citations (59)
    NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (62)

    See also Journal Article in American Economic Review (2005)
  4. Practical Volatility and Correlation Modeling for Financial Market Risk Management
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2005) Downloads View citations (5)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) Downloads View citations (7)

    See also Chapter (2007)
  5. Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (15)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2004) Downloads View citations (81)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2004) Downloads View citations (10)
  6. 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 Downloads
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2005) Downloads
    NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (1)

    See also Journal Article in Journal of Business & Economic Statistics (2009)
  7. Volatility Forecasting
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (25)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) Downloads View citations (41)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2005) Downloads View citations (22)

2004

  1. A no-arbitrage approach to range-based estimation of return covariances and correlations
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) Downloads View citations (9)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (2)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2003) Downloads View citations (8)

    See also Journal Article in The Journal of Business (2006)
  2. Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics
    Econometric Society 2004 Australasian Meetings, Econometric Society
  3. Realized Beta: Persistence and Predictability
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads View citations (8)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2004) Downloads View citations (9)
  4. The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (13)
    See also Journal Article in Journal of Econometrics (2006)
  5. The Nobel Memorial Prize for Robert F. Engle
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads View citations (6)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2004) View citations (5)
    NBER Working Papers, National Bureau of Economic Research, Inc (2004) Downloads View citations (6)

    See also Journal Article in Scandinavian Journal of Economics (2004)
  6. Weather forecasting for weather derivatives
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) Downloads View citations (3)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) Downloads View citations (6)

    See also Journal Article in Journal of the American Statistical Association (2005)

2003

  1. Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2003) Downloads View citations (3)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2003) Downloads View citations (2)

    See also Journal Article in Management Science (2006)
  2. Forecasting the Term Structure of Government Bond Yields
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (27)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2003) Downloads View citations (24)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) Downloads View citations (29)

    See also Journal Article in Journal of Econometrics (2006)
  3. Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (11)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2003) Downloads View citations (20)
  4. The Macroeconomy and the Yield Curve: A Nonstructural Analysis
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (9)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2003) Downloads View citations (11)
    Working Paper Series, Federal Reserve Bank of San Francisco (2003) Downloads View citations (9)

2002

  1. Financial Asset Returns, Market Timing, and Volatility Dynamics
    CIRANO Working Papers, CIRANO Downloads View citations (5)
  2. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
    Working Papers, Duke University, Department of Economics Downloads View citations (13)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) Downloads View citations (54)
    NBER Working Papers, National Bureau of Economic Research, Inc (2002) Downloads View citations (15)
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2002) Downloads View citations (14)

    See also Journal Article in American Economic Review (2003)
  3. Modeling and Forecasting Realized Volatility
    Working Papers, Duke University, Department of Economics Downloads View citations (15)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) Downloads View citations (34)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2001) Downloads View citations (19)

    See also Journal Article in Econometrica (2003)
  4. Parametric and Nonparametric Volatility Measurement
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (31)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) Downloads View citations (45)

2001

  1. High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)

2000

  1. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (43)
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999) Downloads View citations (7)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1999) Downloads View citations (10)
  2. Long Memory and Regime Switching
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (44)
    See also Journal Article in Journal of Econometrics (2001)
  3. Measuring Predictability: Theory And Macroeconomic Applications
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in Working Papers, Federal Reserve Bank of Philadelphia (1997) Downloads View citations (9)
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (1997) Downloads View citations (9)
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics (1998) View citations (1)

    See also Journal Article in Journal of Applied Econometrics (2001)
  4. 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 Downloads View citations (29)
    See also Journal Article in Journal of Banking & Finance (2002)
  5. The Distribution of Stock Return Volatility
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (21)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) Downloads View citations (31)

1999

  1. (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- Downloads View citations (8)
  2. Financial Risk Management in a Volatile Global Environment
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (4)
  3. 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 Downloads View citations (5)
  4. The Distribution of Exchange Rate Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (37)
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999) Downloads View citations (78)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1999) Downloads View citations (32)
  5. Unit Root Tests Are Useful for Selecting Forecasting Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (15)
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999) Downloads View citations (15)

    See also Journal Article in Journal of Business & Economic Statistics (2000)

1998

  1. Dynamic equilibrium economies: a framework for comparing models and data
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (61)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (1997) Downloads View citations (5)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1997) Downloads View citations (15)
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (1995) Downloads View citations (9)

    See also Journal Article in Review of Economic Studies (1998)
  2. 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 (7)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1997) Downloads View citations (37)
  3. Horizon Problems and Extreme Events in Financial Risk Management
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (16)
    See also Journal Article in Economic Policy Review (1998)
  4. 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- Downloads View citations (8)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1997) Downloads View citations (4)
    NBER Working Papers, National Bureau of Economic Research, Inc (1998) Downloads View citations (4)

    See also Journal Article in The Review of Economics and Statistics (2000)
  5. 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- Downloads View citations (4)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1998) Downloads View citations (15)
  6. 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 (39)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1998) Downloads View citations (40)
  7. 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 Downloads View citations (2)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1998) Downloads View citations (1)
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1998) Downloads View citations (1)

1997

  1. Bounded rationality and strategic complementarity in a macroeconomic model: policy effects, persistence, and multipliers
    Working Papers, Federal Reserve Bank of Philadelphia View citations (4)
    Also in Home Pages, University of Pennsylvania Downloads
    NBER Working Papers, National Bureau of Economic Research, Inc (1996) Downloads

    See also Journal Article in Economic Journal (1997)
  2. Cointegration and Long-Horizon Forecasting
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (35)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (1997) Downloads View citations (10)
    IMF Working Papers, International Monetary Fund (1997) Downloads View citations (15)

    See also Journal Article in Journal of Business & Economic Statistics (1998)
  3. 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 Downloads View citations (13)
  4. Evaluating Density Forecasts
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (5)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (1997) Downloads View citations (5)
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (1997) Downloads View citations (50)
    CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences Downloads View citations (7)
  5. Optimal prediction under asymmetric loss
    Working Papers, Federal Reserve Bank of Philadelphia Downloads View citations (101)
    Also in Home Pages, University of Pennsylvania Downloads
    CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences Downloads View citations (99)
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (1994) Downloads View citations (10)

    See also Journal Article in Econometric Theory (1997)
  6. The Past, Present, and Future of Macroeconomic Forecasting
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in Working Papers, Federal Reserve Bank of Philadelphia (1997) Downloads View citations (4)

    See also Journal Article in Journal of Economic Perspectives (1998)

1996

  1. Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    Also in Home Pages, University of Pennsylvania Downloads View citations (3)
  2. Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
  3. Forecast Evaluation and Combination
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (148)
    Also in Research Paper, Federal Reserve Bank of New York (1995) Downloads View citations (32)
  4. Why are estimates of agricultural supply response so variable?
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (2)
    Also in Home Pages, University of Pennsylvania Downloads

    See also Journal Article in Journal of Econometrics (1997)

1995

  1. Measuring Volatility Dynamics
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads
  2. Modeling volatility dynamics
    Research Paper, Federal Reserve Bank of New York Downloads View citations (35)
    Also in Home Pages, University of Pennsylvania Downloads View citations (17)

1994

  1. Comparing Predictive Accuracy
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (15)
    See also Journal Article in Journal of Business & Economic Statistics (2002)
  2. Job Stability in the United States
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (12)
    See also Journal Article in Journal of Labor Economics (1997)
  3. Measuring Business Cycles: A Modern Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    Also in Home Pages, University of Pennsylvania Downloads View citations (1)

    See also Journal Article in The Review of Economics and Statistics (1996)

1993

  1. Exact maximum likelihood estimation of ARCH models
    Working Papers, Federal Reserve Bank of Philadelphia View citations (2)
  2. On cointegration and exchange rate dynamics
    Working Papers, Federal Reserve Bank of Philadelphia View citations (18)
    See also Journal Article in Journal of Finance (1994)
  3. On comparing information in forecasts from econometric models: a comment on Fair and Shiller
    Working Papers, Federal Reserve Bank of Philadelphia
  4. 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) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (1994)
  5. Regime switching with time-varying transition probabilities
    Working Papers, Federal Reserve Bank of Philadelphia View citations (34)
  6. Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures
    Working Papers, Federal Reserve Bank of Philadelphia View citations (2)
    See also Journal Article in Journal of Econometrics (1996)

1992

  1. 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.) View citations (1)

1991

  1. Comparing predictive accuracy I: an asymptotic test
    Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis Downloads View citations (4)
  2. Further evidence on business cycle duration dependence
    Working Papers, Federal Reserve Bank of Philadelphia View citations (16)
    See also Chapter (1993)
  3. Have postwar economic fluctuations been stabilized?
    Working Paper Series / Economic Activity Section, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
    Also in Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1990) Downloads View citations (15)

    See also Journal Article in American Economic Review (1992)

1990

  1. International evidence on business cycle duration dependence
    Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis Downloads View citations (4)
  2. 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 (4)
    See also Journal Article in Economics Letters (1991)
  3. Real exchange rates under the gold standard
    Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis Downloads View citations (4)
    See also Journal Article in Journal of Political Economy (1991)

1989

  1. 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 (40)
    See also Journal Article in International Journal of Forecasting (1989)
  2. 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 (64)
  3. 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 (1)
    See also Journal Article in The Review of Economics and Statistics (1991)
  4. Nonparametric exchange rate prediction?
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
    See also Journal Article in Journal of International Economics (1990)

1988

  1. 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 (12)
    See also Journal Article in Journal of Political Economy (1990)
  2. 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)
  3. Conditional heteroskedasticity in the market
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
  4. 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.)
  5. Long memory and persistence in aggregate output
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (36)
    See also Journal Article in Journal of Monetary Economics (1989)
  6. On the solution of dynamic linear rational expectations models
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
  7. Post-deregulation deposit rate pricing: the multivariate dynamics
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
  8. 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 (3)
  9. 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)
  10. 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 (26)

1987

  1. 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.)
  2. Does the business cycle have duration memory?
    Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (3)
  3. Scoring the leading indicators
    Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (9)
    See also Journal Article in The Journal of Business (1989)
  4. The use of prior information in forecast combination
    Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
    See also Journal Article in International Journal of Forecasting (1990)

1986

  1. Structural change and the combination of forecasts
    Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (7)
  2. 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 (1)
  3. 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 (10)
    See also Journal Article in Journal of Applied Econometrics (1989)

Undated

  1. Further Results on Forecasting and Model Selection Under Asymmetric Loss
    Home Pages, University of Pennsylvania Downloads View citations (1)
    See also Journal Article in Journal of Applied Econometrics (1996)
  2. Stamp 5.0: A Review
    Home Pages, University of Pennsylvania Downloads

Journal Articles

2014

  1. On the network topology of variance decompositions: Measuring the connectedness of financial firms
    Journal of Econometrics, 2014, 182, (1), 119-134 Downloads View citations (1)
    See also Working Paper (2011)

2013

  1. A Markov-switching multifractal inter-trade duration model, with application to US equities
    Journal of Econometrics, 2013, 177, (2), 320-342 Downloads View citations (3)
    See also Working Paper (2012)
  2. On the Correlation Structure of Microstructure Noise: A Financial Economic Approach
    Review of Economic Studies, 2013, 80, (4), 1304-1337 Downloads
    See also Working Paper (2012)

2012

  1. Better to give than to receive: Predictive directional measurement of volatility spillovers
    International Journal of Forecasting, 2012, 28, (1), 57-66 Downloads View citations (51)
    See also Working Paper (2010)

2011

  1. Globalization, the Business Cycle, and Macroeconomic Monitoring
    NBER International Seminar on Macroeconomics, 2011, 7, (1), 245 - 286 Downloads View citations (3)
    See also Chapter (2010)
    Working Paper (2011)
  2. The affine arbitrage-free class of Nelson-Siegel term structure models
    Journal of Econometrics, 2011, 164, (1), 4-20 Downloads View citations (41)
    See also Working Paper (2007)

2010

  1. Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions
    American Economic Review, 2010, 100, (2), 20-24 Downloads View citations (2)
    See also Working Paper (2010)

2009

  1. An arbitrage-free generalized Nelson--Siegel term structure model
    Econometrics Journal, 2009, 12, (3), C33-C64 Downloads View citations (11)
    See also Working Paper (2008)
  2. Equity Market Spillovers in the Americas
    Journal Economía Chilena (The Chilean Economy), 2009, 12, (2), 55-65 Downloads View citations (3)
    See also Chapter (2011)
  3. Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
    Economic Journal, 2009, 119, (534), 158-171 Downloads View citations (100)
    See also Working Paper (2008)
  4. Real-Time Measurement of Business Conditions
    Journal of Business & Economic Statistics, 2009, 27, (4), 417-427 Downloads View citations (71)
    See also Working Paper (2008)
  5. Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
    Journal of Business & Economic Statistics, 2009, 27, (2), 266-278 Downloads View citations (17)
    Also in Proceedings, 2005 (2005) Downloads

    See also Working Paper (2005)

2008

  1. Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach
    Journal of Econometrics, 2008, 146, (2), 351-363 Downloads View citations (29)
    See also Working Paper (2007)

2007

  1. Real-time price discovery in global stock, bond and foreign exchange markets
    Journal of International Economics, 2007, 73, (2), 251-277 Downloads View citations (91)
    See also Working Paper (2007)
  2. 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 Downloads View citations (159)
    See also Working Paper (2007)

2006

  1. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
    The Journal of Business, 2006, 79, (1), 61-74 Downloads View citations (50)
    See also Working Paper (2004)
  2. Comment
    Journal of Business & Economic Statistics, 2006, 24, 181-183 Downloads
  3. Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
    Management Science, 2006, 52, (8), 1273-1287 Downloads View citations (19)
    See also Working Paper (2003)
  4. Forecasting the term structure of government bond yields
    Journal of Econometrics, 2006, 130, (2), 337-364 Downloads View citations (232)
    See also Working Paper (2003)
  5. The econometrics of macroeconomics, finance, and the interface
    Journal of Econometrics, 2006, 131, (1-2), 1-2 Downloads
  6. The macroeconomy and the yield curve: a dynamic latent factor approach
    Journal of Econometrics, 2006, 131, (1-2), 309-338 Downloads View citations (201)
    See also Working Paper (2004)

2005

  1. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
    American Economic Review, 2005, 95, (2), 398-404 Downloads View citations (27)
    See also Working Paper (2005)
  2. From the horse’s mouth: gauging conditional expected stock returns from investor surveys
    Proceedings, 2005 Downloads View citations (1)
  3. Modeling Bond Yields in Finance and Macroeconomics
    American Economic Review, 2005, 95, (2), 415-420 Downloads View citations (66)
    See also Working Paper (2005)
  4. Robust estimation - discussion
    Proceedings, 2005, 82-85
  5. Weather Forecasting for Weather Derivatives
    Journal of the American Statistical Association, 2005, 100, 6-16 Downloads View citations (40)
    See also Working Paper (2004)

2004

  1. The Nobel Memorial Prize for Robert F. Engle
    Scandinavian Journal of Economics, 2004, 106, (2), 165-185 Downloads View citations (6)
    See also Working Paper (2004)

2003

  1. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
    American Economic Review, 2003, 93, (1), 38-62 Downloads View citations (315)
    See also Working Paper (2002)
  2. Modeling and Forecasting Realized Volatility
    Econometrica, 2003, 71, (2), 579-625 Downloads View citations (655)
    See also Working Paper (2002)
  3. THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003
    Econometric Theory, 2003, 19, (06), 1159-1193 Downloads View citations (4)

2002

  1. Comparing Predictive Accuracy
    Journal of Business & Economic Statistics, 2002, 20, (1), 134-44 View citations (24)
    Also in Journal of Business & Economic Statistics, 1995, 13, (3), 253-63 (1995) View citations (1746)

    See also Working Paper (1994)
  2. Range-Based Estimation of Stochastic Volatility Models
    Journal of Finance, 2002, 57, (3), 1047-1091 Downloads View citations (192)
  3. Ratings migration and the business cycle, with application to credit portfolio stress testing
    Journal of Banking & Finance, 2002, 26, (2-3), 445-474 Downloads View citations (130)
    See also Working Paper (2000)
  4. Symposium on Forecasting Performance: An Introduction
    IMF Staff Papers, 2002, 49, (1), 1 Downloads

2001

  1. Econometrics: Retrospect and prospect
    Journal of Econometrics, 2001, 100, (1), 73-75 Downloads View citations (2)
  2. Five questions about business cycles
    Economic Review, 2001, 1-15 Downloads View citations (9)
  3. Forecasting and empirical methods in finance and macroeconomics
    Journal of Econometrics, 2001, 105, (1), 1-3 Downloads
  4. Long memory and regime switching
    Journal of Econometrics, 2001, 105, (1), 131-159 Downloads View citations (339)
    See also Working Paper (2000)
  5. Measuring predictability: theory and macroeconomic applications
    Journal of Applied Econometrics, 2001, 16, (6), 657-669 Downloads View citations (34)
    See also Working Paper (2000)
  6. The Distribution of Realized Exchange Rate Volatility
    Journal of the American Statistical Association, 2001, 96, 42-55 Downloads View citations (435)
  7. The distribution of realized stock return volatility
    Journal of Financial Economics, 2001, 61, (1), 43-76 Downloads View citations (399)

2000

  1. How Relevant is Volatility Forecasting for Financial Risk Management?
    The Review of Economics and Statistics, 2000, 82, (1), 12-22 Downloads View citations (66)
    See also Working Paper (1998)
  2. Unit-Root Tests Are Useful for Selecting Forecasting Models
    Journal of Business & Economic Statistics, 2000, 18, (3), 265-73 View citations (40)
    See also Working Paper (1999)

1999

  1. 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 Downloads View citations (85)

1998

  1. Bootstrapping Multivariate Spectra
    The Review of Economics and Statistics, 1998, 80, (4), 664-666 Downloads View citations (11)
  2. Cointegration and Long-Horizon Forecasting
    Journal of Business & Economic Statistics, 1998, 16, (4), 450-58 View citations (34)
    See also Working Paper (1997)
  3. Dynamic Equilibrium Economies: A Framework for Comparing Models and Data
    Review of Economic Studies, 1998, 65, (3), 433-51 Downloads View citations (64)
    See also Working Paper (1998)
  4. Evaluating Density Forecasts with Applications to Financial Risk Management
    International Economic Review, 1998, 39, (4), 863-83 View citations (337)
  5. Horizon problems and extreme events in financial risk management
    Economic Policy Review, 1998, (Oct), 109-118 Downloads View citations (14)
    See also Working Paper (1998)
  6. Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors' Introduction
    International Economic Review, 1998, 39, (4), 811-15 View citations (1)
  7. The Past, Present, and Future of Macroeconomic Forecasting
    Journal of Economic Perspectives, 1998, 12, (2), 175-192 Downloads View citations (42)
    See also Working Paper (1997)

1997

  1. Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers
    Economic Journal, 1997, 107, (444), 1358-74 Downloads
    See also Working Paper (1997)
  2. Job Stability in the United States
    Journal of Labor Economics, 1997, 15, (2), 206-33 Downloads View citations (36)
    See also Working Paper (1994)
  3. Optimal Prediction Under Asymmetric Loss
    Econometric Theory, 1997, 13, (06), 808-817 Downloads View citations (112)
    See also Working Paper (1997)
  4. Why are estimates of agricultural supply response so variable?
    Journal of Econometrics, 1997, 76, (1-2), 357-373 Downloads View citations (7)
    See also Working Paper (1996)

1996

  1. 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
  2. Fractional integration and interval prediction
    Economics Letters, 1996, 50, (3), 305-313 Downloads View citations (13)
  3. Further Results on Forecasting and Model Selection under Asymmetric Loss
    Journal of Applied Econometrics, 1996, 11, (5), 561-71 Downloads View citations (58)
    See also Working Paper
  4. Measuring Business Cycles: A Modern Perspective
    The Review of Economics and Statistics, 1996, 78, (1), 67-77 Downloads View citations (169)
    See also Working Paper (1994)
  5. Software review
    International Journal of Forecasting, 1996, 12, (2), 309-315 Downloads View citations (1)
  6. Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures
    Journal of Econometrics, 1996, 70, (1), 221-241 Downloads View citations (79)
    See also Working Paper (1993)
  7. The Uncertain Unit Root in Real GNP: Comment
    American Economic Review, 1996, 86, (5), 1291-98 Downloads View citations (56)

1994

  1. On Cointegration and Exchange Rate Dynamics
    Journal of Finance, 1994, 49, (2), 727-35 Downloads View citations (99)
    See also Working Paper (1993)
  2. On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean
    Journal of Econometrics, 1994, 62, (2), 301-316 Downloads View citations (56)
    See also Working Paper (1993)

1993

  1. Are long expansions followed by short contractions?
    Business Review, 1993, (Jul), 3-11 Downloads View citations (1)
  2. Discussion: The effect of seasonal adjustment filters on tests for a unit root
    Journal of Econometrics, 1993, 55, (1-2), 99-103 Downloads View citations (1)

1992

  1. 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 Filter Adrew C. Harvey Cambridge University Press, 1989
    Econometric Theory, 1992, 8, (02), 293-299 Downloads View citations (2)
  2. Have Postwar Economic Fluctuations Been Stabilized?
    American Economic Review, 1992, 82, (4), 993-1005 Downloads View citations (38)
    See also Working Paper (1991)

1991

  1. Is Consumption Too Smooth? Long Memory and the Deaton Paradox
    The Review of Economics and Statistics, 1991, 73, (1), 1-9 Downloads View citations (32)
    See also Working Paper (1989)
  2. On the power of Dickey-Fuller tests against fractional alternatives
    Economics Letters, 1991, 35, (2), 155-160 Downloads View citations (99)
    See also Working Paper (1990)
  3. Real Exchange Rates under the Gold Standard
    Journal of Political Economy, 1991, 99, (6), 1252-71 Downloads View citations (166)
    See also Working Paper (1990)
  4. Shorter recessions and longer expansions
    Business Review, 1991, (Nov), 13-20 Downloads

1990

  1. A Nonparametric Investigation of Duration Dependence in the American Business Cycle
    Journal of Political Economy, 1990, 98, (3), 596-616 Downloads View citations (57)
    See also Working Paper (1988)
  2. Nonparametric exchange rate prediction?
    Journal of International Economics, 1990, 28, (3-4), 315-332 Downloads View citations (168)
    See also Working Paper (1989)
  3. Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics
    Journal of Business & Economic Statistics, 1990, 8, (3), 281-91 View citations (21)
  4. The use of prior information in forecast combination
    International Journal of Forecasting, 1990, 6, (4), 503-508 Downloads View citations (40)
    See also Working Paper (1987)

1989

  1. Forecast combination and encompassing: Reconciling two divergent literatures
    International Journal of Forecasting, 1989, 5, (4), 589-592 Downloads View citations (39)
    See also Working Paper (1989)
  2. Long memory and persistence in aggregate output
    Journal of Monetary Economics, 1989, 24, (2), 189-209 Downloads View citations (182)
    See also Working Paper (1988)
  3. Scoring the Leading Indicators
    The Journal of Business, 1989, 62, (3), 369-91 Downloads View citations (120)
    See also Working Paper (1987)
  4. State space modeling of time series: A review essay
    Journal of Economic Dynamics and Control, 1989, 13, (4), 597-612 Downloads View citations (2)
    See also Working Paper (1988)
  5. Structural Time Series Analysis and Modelling Package: A Review
    Journal of Applied Econometrics, 1989, 4, (2), 195-204 Downloads View citations (1)
  6. The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model
    Journal of Applied Econometrics, 1989, 4, (1), 1-21 Downloads View citations (199)
    See also Working Paper (1986)

1988

  1. 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)
  2. Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate
    European Economic Review, 1988, 32, (1), 27-53 Downloads View citations (4)
  3. Has the EMS Reduced Member-Country Exchange Rate Volatility?
    Empirical Economics, 1988, 13, (2), 81-102 View citations (8)
  4. Prediction, Extraction, and Estimation in Unobserved Components Model
    Econometric Theory, 1988, 4, (02), 356-359 Downloads
    Also in Econometric Theory, 1987, 3, (02), 305-305 (1987) Downloads
  5. Serial Correlation and the Combination of Forecasts
    Journal of Business & Economic Statistics, 1988, 6, (1), 105-11 View citations (18)
  6. Testing for bubbles, reflecting barriers and other anomalies
    Journal of Economic Dynamics and Control, 1988, 12, (1), 63-70 Downloads View citations (1)

1986

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

Books

2012

  1. Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach, vol 1
    Economics Books, Princeton University Press View citations (1)

Chapters

2012

  1. Facts, Factors, and Questions
    (Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach)
    Princeton University Press Downloads

2011

  1. Equity Market Spillovers in the Americas
    Chapter 07 in Financial Stability, Monetary Policy, and Central Banking, 2011, vol. 15, pp 199-214 Downloads View citations (5)
    See also Journal Article in Journal Economía Chilena (The Chilean Economy) (2009)

2010

  1. Globalization, the Business Cycle, and Macroeconomic Monitoring
    A chapter in NBER International Seminar on Macroeconomics 2010, 2010, pp 245-286 Downloads View citations (1)
    See also Working Paper (2011)
    Journal Article in NBER International Seminar on Macroeconomics (2011)

2007

  1. Practical Volatility and Correlation Modeling for Financial Market Risk Management
    A chapter in The Risks of Financial Institutions, 2007, pp 513-548 Downloads View citations (2)
    See also Working Paper (2005)

2006

  1. Volatility and Correlation Forecasting
    Elsevier Downloads View citations (60)

1993

  1. Further Evidence on Business-Cycle Duration Dependence
    A chapter in Business Cycles, Indicators and Forecasting, 1993, pp 255-284 Downloads View citations (23)
    See also Working Paper (1991)

Software Items

 
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