Details about Francis Diebold

E-mail:
Homepage:	http://www.sas.upenn.edu/~fdiebold
Workplace:	Department of Economics, University of Pennsylvania, (more information at EDIRC)

Access statistics for papers by Francis Diebold.

Last updated 2022-11-16. Update your information in the RePEc Author Service.

Short-id: pdi1

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Working Papers

2023

1. Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice: Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models
   Papers, arXiv.org
   Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2022)
2. On Robust Inference in Time Series Regression
   Papers, arXiv.org View citations (3)
   Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2022) View citations (2)
3. On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness
   Papers, arXiv.org View citations (2)
4. When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume
   Papers, arXiv.org View citations (1)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2022)
   PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2022)

2022

5. A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting
   PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (3)
   Also in Papers, arXiv.org (2022) View citations (3)
   See also Journal Article in Economics Letters (2022)
6. A New Test for Market Efficiency and Uncovered Interest Parity
   Papers, arXiv.org
   Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2022)
   NBER Working Papers, National Bureau of Economic Research, Inc (2022)
7. On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates
   Papers, arXiv.org
   Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2021) View citations (3)
   NBER Working Papers, National Bureau of Economic Research, Inc (2022) View citations (1)
   Working Papers, Federal Reserve Bank of Philadelphia (2021) View citations (4)
8. On the Financing of Climate Change Adaptation in Developing Countries
   Papers, arXiv.org
9. Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020
   Papers, arXiv.org View citations (5)
   Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2022)

2021

10. "Big Data" and its Origins
    Papers, arXiv.org View citations (2)
11. On the Evolution of U.S. Temperature Dynamics
    Papers, arXiv.org
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2019) View citations (2)
12. Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections
    Papers, arXiv.org View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2020)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2019) View citations (4)
    Working Paper Series, Federal Reserve Bank of San Francisco (2020)
    See also Journal Article in Journal of Econometrics (2022)

2020

13. Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (4)
    Also in Papers, arXiv.org (2020) View citations (4)
    See also Journal Article in International Journal of Forecasting (2021)
14. Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (30)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2020) View citations (13)

2019

15. 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 Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1996) View citations (1)
    Home Pages, University of Pennsylvania
    See also Journal Article in Journal of Econometrics (1997)

2018

16. Machine Learning for Regularized Survey Forecast Combination: Partially Egalitarian Lasso and its Derivatives
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (9)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2018) View citations (18)
    See also Journal Article in International Journal of Forecasting (2019)
17. On the Comparison of Interval Forecasts
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (16)
    See also Journal Article in Journal of Time Series Analysis (2018)

2017

18. Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (5)
19. Commodity Connectedness
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (24)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2017) View citations (26)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2017) View citations (26)
    See also Chapter (2018)
20. Estimating Global Bank Network Connectedness
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (47)
    Also in Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum (2015) View citations (22)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2015) View citations (20)
    See also Journal Article in Journal of Applied Econometrics (2018)
21. Real-time forecast evaluation of DSGE models with stochastic volatility
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (41)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2016) View citations (12)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2015) View citations (11)
    See also Journal Article in Journal of Econometrics (2017)

2016

22. Assessing Point Forecast Accuracy by Stochastic Error Distance
    NBER Working Papers, National Bureau of Economic Research, Inc
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2014) View citations (2)
    See also Journal Article in Econometric Reviews (2017)

2013

23. Improving GDP Measurement: A Measurement-Error Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (15)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2013) View citations (27)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2013) View citations (15)
    See also Journal Article in Journal of Econometrics (2016)
24. Measuring the Dynamics of Global Business Cycle Connectedness
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (38)

2012

25. A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
    Also in Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2012) View citations (4)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2012) View citations (5)
    See also Journal Article in Journal of Econometrics (2013)
26. 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 View citations (2)
27. 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 View citations (42)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) View citations (42)
    See also Journal Article in Journal of Business & Economic Statistics (2015)
28. Financial Risk Measurement for Financial Risk Management
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2011) View citations (8)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) View citations (5)
    See also Chapter (2013)
29. On the Correlation Structure of Microstructure Noise: A Financial Economic Approach
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (6)
    See also Journal Article in Review of Economic Studies (2013)
30. 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 View citations (2)

2011

31. Globalization, the Business Cycle, and Macroeconomic Monitoring
    IMF Working Papers, International Monetary Fund View citations (18)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (17)
    See also Chapter (2010)
    Journal Article in NBER International Seminar on Macroeconomics (2011)
32. Improving GDP Measurement: A Forecast Combination Perspective
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (11)
    Working Papers, Federal Reserve Bank of Philadelphia (2011) View citations (6)
33. On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (54)
    Also in Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum (2011) View citations (50)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2011) View citations (72)
    Working Papers, Federal Reserve Bank of Philadelphia (2011) View citations (30)
    See also Journal Article in Journal of Econometrics (2014)

2010

34. 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 View citations (47)
    See also Journal Article in International Journal of Forecasting (2012)
35. Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (67)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2010) View citations (62)
    NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (75)
    See also Journal Article in American Economic Review (2010)

2008

36. An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2008) View citations (28)
    Working Paper Series, Federal Reserve Bank of San Francisco (2008) View citations (10)
    See also Journal Article in Econometrics Journal (2009)
37. Macroeconomic Volatility and Stock Market Volatility, World-Wide
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (23)
    Also in Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum (2007) View citations (7)
    NBER Working Papers, National Bureau of Economic Research, Inc (2008) View citations (49)
38. Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (32)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2007) View citations (15)
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum (2007) View citations (10)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2008) View citations (30)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2007) View citations (10)
    Working Papers, Federal Reserve Bank of Philadelphia (2008) View citations (64)
    See also Journal Article in Economic Journal (2009)
39. 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 View citations (9)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2008) View citations (8)
40. Priors from Frequency-Domain Dummy Observations
    2008 Meeting Papers, Society for Economic Dynamics View citations (2)
41. Real-Time Measurement of Business Conditions
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
    Also in Computing in Economics and Finance 2006, Society for Computational Economics (2006) View citations (9)
    Working Papers, Federal Reserve Bank of Philadelphia (2008) View citations (23)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2007) View citations (5)
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2007) View citations (4)
    See also Journal Article in Journal of Business & Economic Statistics (2009)
42. Real-Time Measurement of Business Conditions, Second Version
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (5)

2007

43. Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2007) View citations (11)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2007) View citations (6)
    See also Journal Article in Journal of Econometrics (2008)
44. Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (533)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2006) View citations (14)
    See also Journal Article in Journal of International Economics (2007)
45. Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (847)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (26)
    See also Journal Article in The Review of Economics and Statistics (2007)
46. 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 (46)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations (26)
    Working Paper Series, Federal Reserve Bank of San Francisco (2007) View citations (23)
    See also Journal Article in Journal of Econometrics (2011)

2006

47. A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (15)
    See also Chapter (2006)
48. 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 (9)
    Also in Finance Working Papers, East Asian Bureau of Economic Research (2006) View citations (8)
    Finance Working Papers, East Asian Bureau of Economic Research (2006) View citations (8)
49. Time Series Analysis
    Working Papers, University of Maryland, Department of Agricultural and Resource Economics View citations (5)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2006) View citations (14)

2005

50. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (84)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2005) View citations (84)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) View citations (84)
    See also Journal Article in American Economic Review (2005)
51. 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
52. Modeling Bond Yields in Finance and Macroeconomics
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (145)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2005) View citations (143)
    NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (142)
    Working Paper Series, Federal Reserve Bank of San Francisco (2005) View citations (122)
    See also Journal Article in American Economic Review (2005)
53. Practical Volatility and Correlation Modeling for Financial Market Risk Management
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (23)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2005) View citations (18)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) View citations (16)
    See also Chapter (2007)
54. Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (45)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2004) View citations (83)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2004) View citations (34)
55. Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2005) View citations (6)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) View citations (6)
    See also Journal Article in Journal of Business & Economic Statistics (2009)
56. Volatility Forecasting
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (55)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2005) View citations (37)
    NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (40)

2004

57. A no-arbitrage approach to range-based estimation of return covariances and correlations
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (11)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2003) View citations (13)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (2)
    See also Journal Article in The Journal of Business (2006)
58. Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics
    Econometric Society 2004 Australasian Meetings, Econometric Society
59. Realized Beta: Persistence and Predictability
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (13)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2004) View citations (13)
60. The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (23)
    See also Journal Article in Journal of Econometrics (2006)
61. 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 (13)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations (14)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2004) View citations (12)
    See also Journal Article in Scandinavian Journal of Economics (2004)
62. Weather forecasting for weather derivatives
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (4)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) View citations (9)
    NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (6)
    See also Journal Article in Journal of the American Statistical Association (2005)

2003

63. Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2003) View citations (15)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2003) View citations (15)
64. Forecasting the Term Structure of Government Bond Yields
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (38)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2003) View citations (35)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) View citations (35)
    See also Journal Article in Journal of Econometrics (2006)
65. 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 (44)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2003) View citations (44)
66. The Macroeconomy and the Yield Curve: A Nonstructural Analysis
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (10)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2003) View citations (11)
    Working Paper Series, Federal Reserve Bank of San Francisco (2003) View citations (11)

2002

67. Financial Asset Returns, Market Timing, and Volatility Dynamics
    CIRANO Working Papers, CIRANO View citations (12)
68. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (34)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) View citations (62)
    Working Papers, Duke University, Department of Economics (2002) View citations (34)
    NBER Working Papers, National Bureau of Economic Research, Inc (2002) View citations (35)
    See also Journal Article in American Economic Review (2003)
69. Modeling and Forecasting Realized Volatility
    Working Papers, Duke University, Department of Economics View citations (30)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2001) View citations (40)
    NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (56)
    See also Journal Article in Econometrica (2003)
70. Parametric and Nonparametric Volatility Measurement
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (70)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2002) View citations (62)

2001

71. High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)

2000

72. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (109)
    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 (10)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1999) View citations (13)
    See also Journal Article in Multinational Finance Journal (2000)
73. Long Memory and Regime Switching
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (44)
    See also Journal Article in Journal of Econometrics (2001)
74. Measuring Predictability: Theory And Macroeconomic Applications
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences View citations (10)
    Working Papers, Federal Reserve Bank of Philadelphia (1997) View citations (11)
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics (1998) View citations (1)
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (1997) View citations (11)
    See also Journal Article in Journal of Applied Econometrics (2001)
75. 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 (30)
    See also Journal Article in Journal of Banking & Finance (2002)
76. The Distribution of Stock Return Volatility
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (31)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) View citations (41)

1999

77. (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 (55)
78. 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 (5)
79. 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 View citations (10)
80. The Distribution of Exchange Rate Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (54)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1999) View citations (47)
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999) View citations (90)
81. Unit Root Tests Are Useful for Selecting Forecasting Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)
    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 (18)
    See also Journal Article in Journal of Business & Economic Statistics (2000)

1998

82. Dynamic equilibrium economies: a framework for comparing models and data
    Staff Report, Federal Reserve Bank of Minneapolis View citations (98)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1997) View citations (16)
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (1995) View citations (14)
    Working Papers, Federal Reserve Bank of Philadelphia (1997) View citations (5)
    See also Journal Article in Review of Economic Studies (1998)
83. 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 (15)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1997) View citations (42)
84. 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 (27)
    See also Journal Article in Economic Policy Review (1998)
85. 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 (10)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1997) View citations (5)
    NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations (6)
    See also Journal Article in The Review of Economics and Statistics (2000)
86. 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 (7)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1998) View citations (19)
87. Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (65)
    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 (64)
88. Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (2)
    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 (2)
    NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations (3)

1997

89. Bounded rationality and strategic complementarity in a macroeconomic model: policy effects, persistence, and multipliers
    Working Papers, Federal Reserve Bank of Philadelphia View citations (13)
    Also in Home Pages, University of Pennsylvania
    NBER Working Papers, National Bureau of Economic Research, Inc (1996)
    See also Journal Article in Economic Journal (1997)
90. Cointegration and Long-Horizon Forecasting
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (33)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (1997) View citations (11)
    IMF Working Papers, International Monetary Fund (1997) View citations (14)
    See also Journal Article in Journal of Business & Economic Statistics (1998)
91. 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 (23)
92. Evaluating Density Forecasts
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (73)
    Also in CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences View citations (14)
    Working Papers, Federal Reserve Bank of Philadelphia (1997) View citations (11)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1997) View citations (14)
93. Optimal prediction under asymmetric loss
    Working Papers, Federal Reserve Bank of Philadelphia View citations (178)
    Also in Home Pages, University of Pennsylvania
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (1994) View citations (14)
    CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences View citations (176)
    See also Journal Article in Econometric Theory (1997)
94. The Past, Present, and Future of Macroeconomic Forecasting
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (1997) View citations (12)
    See also Journal Article in Journal of Economic Perspectives (1998)

1996

95. Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
    Also in Home Pages, University of Pennsylvania View citations (3)
96. Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (6)
97. Forecast Evaluation and Combination
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (325)
    Also in Research Paper, Federal Reserve Bank of New York (1995) View citations (39)

1995

98. Measuring Volatility Dynamics
    NBER Technical Working Papers, National Bureau of Economic Research, Inc
99. Modeling volatility dynamics
    Research Paper, Federal Reserve Bank of New York View citations (44)
    Also in Home Pages, University of Pennsylvania View citations (15)

1994

100. Comparing Predictive Accuracy
     NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (29)
     See also Journal Article in Journal of Business & Economic Statistics (2002)
101. Job Stability in the United States
     NBER Working Papers, National Bureau of Economic Research, Inc View citations (23)
     See also Journal Article in Journal of Labor Economics (1997)
102. Measuring Business Cycles: A Modern Perspective
     NBER Working Papers, National Bureau of Economic Research, Inc View citations (19)
     Also in Home Pages, University of Pennsylvania View citations (1)
     See also Journal Article in The Review of Economics and Statistics (1996)

1993

103. Exact maximum likelihood estimation of ARCH models
     Working Papers, Federal Reserve Bank of Philadelphia View citations (3)
104. On cointegration and exchange rate dynamics
     Working Papers, Federal Reserve Bank of Philadelphia View citations (19)
     See also Journal Article in Journal of Finance (1994)
105. On comparing information in forecasts from econometric models: a comment on Fair and Shiller
     Working Papers, Federal Reserve Bank of Philadelphia
106. On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean
     Working Papers, Federal Reserve Bank of Philadelphia View citations (1)
     Also in Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1990) View citations (2)
     See also Journal Article in Journal of Econometrics (1994)
107. Regime switching with time-varying transition probabilities
     Working Papers, Federal Reserve Bank of Philadelphia View citations (90)
108. 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

109. 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

110. Comparing predictive accuracy I: an asymptotic test
     Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations (9)
111. Further evidence on business cycle duration dependence
     Working Papers, Federal Reserve Bank of Philadelphia View citations (53)
     See also Chapter (1993)
112. Have postwar economic fluctuations been stabilized?
     Working Paper Series / Economic Activity Section, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
     Also in Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1990) View citations (19)
     See also Journal Article in American Economic Review (1992)

1990

113. International evidence on business cycle duration dependence
     Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations (7)
114. 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 (6)
     See also Journal Article in Economics Letters (1991)
115. Real exchange rates under the gold standard
     Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations (5)
     See also Journal Article in Journal of Political Economy (1991)

1989

116. 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 (74)
     See also Journal Article in International Journal of Forecasting (1989)
117. 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 (70)
118. 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)
119. 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

120. 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 (15)
     See also Journal Article in Journal of Political Economy (1990)
121. 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)
122. Conditional heteroskedasticity in the market
     Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
123. 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.)
124. Long memory and persistence in aggregate output
     Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (35)
     See also Journal Article in Journal of Monetary Economics (1989)
125. On the solution of dynamic linear rational expectations models
     Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
126. 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)
127. 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)
128. 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)
129. 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

130. 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.)
131. Does the business cycle have duration memory?
     Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (3)
132. Scoring the leading indicators
     Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (14)
     See also Journal Article in The Journal of Business (1989)
133. The use of prior information in forecast combination
     Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
     See also Journal Article in International Journal of Forecasting (1990)

1986

134. Structural change and the combination of forecasts
     Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (8)
135. 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 (7)
136. 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 (11)
     See also Journal Article in Journal of Applied Econometrics (1989)

Undated

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

Journal Articles

2022

1. A benchmark model for fixed-target Arctic sea ice forecasting
   Economics Letters, 2022, 215, (C) View citations (3)
   See also Working Paper (2022)
2. Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections
   Journal of Econometrics, 2022, 231, (2), 520-534 View citations (6)
   See also Working Paper (2021)

2021

3. Optimal combination of Arctic sea ice extent measures: A dynamic factor modeling approach
   International Journal of Forecasting, 2021, 37, (4), 1509-1519 View citations (6)
   See also Working Paper (2020)

2020

4. Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I)
   The Journal of Financial Econometrics, 2020, 18, (3), 471-472
   Also in The Journal of Financial Econometrics, 18, (3), 471-472

2019

5. Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives
   International Journal of Forecasting, 2019, 35, (4), 1679-1691 View citations (51)
   See also Working Paper (2018)

2018

6. Estimating global bank network connectedness
   Journal of Applied Econometrics, 2018, 33, (1), 1-15 View citations (183)
   See also Working Paper (2017)
7. On the Comparison of Interval Forecasts
   Journal of Time Series Analysis, 2018, 39, (6), 953-965 View citations (15)
   See also Working Paper (2018)

2017

8. Assessing point forecast accuracy by stochastic error distance
   Econometric Reviews, 2017, 36, (6-9), 588-598 View citations (6)
   See also Working Paper (2016)
9. Real-time forecast evaluation of DSGE models with stochastic volatility
   Journal of Econometrics, 2017, 201, (2), 322-332 View citations (33)
   See also Working Paper (2017)

2016

10. Improving GDP measurement: A measurement-error perspective
    Journal of Econometrics, 2016, 191, (2), 384-397 View citations (43)
    See also Working Paper (2013)
11. Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014
    The Journal of Financial Econometrics, 2016, 14, (1), 81-127 View citations (103)

2015

12. Assessing point forecast accuracy by stochastic loss distance
    Economics Letters, 2015, 130, (C), 37-38 View citations (6)
13. Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests
    Journal of Business & Economic Statistics, 2015, 33, (1), 1-1 View citations (175)
    See also Working Paper (2012)
14. Rejoinder
    Journal of Business & Economic Statistics, 2015, 33, (1), 24-24

2014

15. On the network topology of variance decompositions: Measuring the connectedness of financial firms
    Journal of Econometrics, 2014, 182, (1), 119-134 View citations (1504)
    See also Working Paper (2011)

2013

16. A Markov-switching multifractal inter-trade duration model, with application to US equities
    Journal of Econometrics, 2013, 177, (2), 320-342 View citations (31)
    See also Working Paper (2012)
17. On the Correlation Structure of Microstructure Noise: A Financial Economic Approach
    Review of Economic Studies, 2013, 80, (4), 1304-1337 View citations (27)
    See also Working Paper (2012)

2012

18. Better to give than to receive: Predictive directional measurement of volatility spillovers
    International Journal of Forecasting, 2012, 28, (1), 57-66 View citations (1810)
    See also Working Paper (2010)

2011

19. Globalization, the Business Cycle, and Macroeconomic Monitoring
    NBER International Seminar on Macroeconomics, 2011, 7, (1), 245 - 286 View citations (19)
    See also Chapter (2010)
    Working Paper (2011)
20. The affine arbitrage-free class of Nelson-Siegel term structure models
    Journal of Econometrics, 2011, 164, (1), 4-20 View citations (195)
    See also Working Paper (2007)

2010

21. Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions
    American Economic Review, 2010, 100, (2), 20-24 View citations (76)
    See also Working Paper (2010)

2009

22. An arbitrage-free generalized Nelson--Siegel term structure model
    Econometrics Journal, 2009, 12, (3), C33-C64 View citations (60)
    See also Working Paper (2008)
23. Equity Market Spillovers in the Americas
    Journal Economía Chilena (The Chilean Economy), 2009, 12, (2), 55-65 View citations (9)
    See also Chapter (2011)
24. Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
    Economic Journal, 2009, 119, (534), 158-171 View citations (1456)
    Also in Economic Journal, 2009, 119, (534), 158-171 (2009) View citations (1358)
    See also Working Paper (2008)
25. Real-Time Measurement of Business Conditions
    Journal of Business & Economic Statistics, 2009, 27, (4), 417-427 View citations (404)
    See also Working Paper (2008)
26. Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
    Journal of Business & Economic Statistics, 2009, 27, (2), 266-278 View citations (76)
    Also in Proceedings, 2005 (2005) View citations (6)
    See also Working Paper (2005)

2008

27. Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach
    Journal of Econometrics, 2008, 146, (2), 351-363 View citations (149)
    See also Working Paper (2007)

2007

28. Real-time price discovery in global stock, bond and foreign exchange markets
    Journal of International Economics, 2007, 73, (2), 251-277 View citations (505)
    See also Working Paper (2007)
29. 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 (841)
    See also Working Paper (2007)

2006

30. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
    The Journal of Business, 2006, 79, (1), 61-74 View citations (112)
    See also Working Paper (2004)
31. Comment
    Journal of Business & Economic Statistics, 2006, 24, 181-183
32. Forecasting the term structure of government bond yields
    Journal of Econometrics, 2006, 130, (2), 337-364 View citations (758)
    See also Working Paper (2003)
33. The econometrics of macroeconomics, finance, and the interface
    Journal of Econometrics, 2006, 131, (1-2), 1-2
34. The macroeconomy and the yield curve: a dynamic latent factor approach
    Journal of Econometrics, 2006, 131, (1-2), 309-338 View citations (570)
    See also Working Paper (2004)

2005

35. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
    American Economic Review, 2005, 95, (2), 398-404 View citations (84)
    See also Working Paper (2005)
36. From the horse’s mouth: gauging conditional expected stock returns from investor surveys
    Proceedings, 2005 View citations (1)
37. Modeling Bond Yields in Finance and Macroeconomics
    American Economic Review, 2005, 95, (2), 415-420 View citations (143)
    See also Working Paper (2005)
38. Robust estimation - discussion
    Proceedings, 2005, 82-85
39. Weather Forecasting for Weather Derivatives
    Journal of the American Statistical Association, 2005, 100, 6-16 View citations (116)
    See also Working Paper (2004)

2004

40. The Nobel Memorial Prize for Robert F. Engle
    Scandinavian Journal of Economics, 2004, 106, (2), 165-185 View citations (13)
    See also Working Paper (2004)

2003

41. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
    American Economic Review, 2003, 93, (1), 38-62 View citations (815)
    See also Working Paper (2002)
42. Modeling and Forecasting Realized Volatility
    Econometrica, 2003, 71, (2), 579-625 View citations (1809)
    See also Working Paper (2002)
43. THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003
    Econometric Theory, 2003, 19, (6), 1159-1193 View citations (7)

2002

44. Comparing Predictive Accuracy
    Journal of Business & Economic Statistics, 2002, 20, (1), 134-44 View citations (386)
    Also in Journal of Business & Economic Statistics, 1995, 13, (3), 253-63 (1995) View citations (4801)
    See also Working Paper (1994)
45. Range‐Based Estimation of Stochastic Volatility Models
    Journal of Finance, 2002, 57, (3), 1047-1091 View citations (481)
46. 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 (248)
    See also Working Paper (2000)
47. Symposium on Forecasting Performance: An Introduction
    IMF Staff Papers, 2002, 49, (1), 1

2001

48. Econometrics: Retrospect and prospect
    Journal of Econometrics, 2001, 100, (1), 73-75 View citations (2)
49. Five questions about business cycles
    Economic Review, 2001, 1-15 View citations (14)
50. Forecasting and empirical methods in finance and macroeconomics
    Journal of Econometrics, 2001, 105, (1), 1-3
51. Long memory and regime switching
    Journal of Econometrics, 2001, 105, (1), 131-159 View citations (677)
    See also Working Paper (2000)
52. Measuring predictability: theory and macroeconomic applications
    Journal of Applied Econometrics, 2001, 16, (6), 657-669 View citations (61)
    See also Working Paper (2000)
53. The Distribution of Realized Exchange Rate Volatility
    Journal of the American Statistical Association, 2001, 96, 42-55 View citations (1082)
54. The distribution of realized stock return volatility
    Journal of Financial Economics, 2001, 61, (1), 43-76 View citations (1033)

2000

55. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
    Multinational Finance Journal, 2000, 4, (3-4), 159-179 View citations (98)
    See also Working Paper (2000)
56. How Relevant is Volatility Forecasting for Financial Risk Management?
    The Review of Economics and Statistics, 2000, 82, (1), 12-22 View citations (133)
    See also Working Paper (1998)
57. Unit-Root Tests Are Useful for Selecting Forecasting Models
    Journal of Business & Economic Statistics, 2000, 18, (3), 265-73 View citations (94)
    See also Working Paper (1999)

1999

58. 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 (213)

1998

59. Bootstrapping Multivariate Spectra
    The Review of Economics and Statistics, 1998, 80, (4), 664-666 View citations (34)
60. Cointegration and Long-Horizon Forecasting
    Journal of Business & Economic Statistics, 1998, 16, (4), 450-58 View citations (105)
    See also Working Paper (1997)
61. Dynamic Equilibrium Economies: A Framework for Comparing Models and Data
    Review of Economic Studies, 1998, 65, (3), 433-451 View citations (103)
    See also Working Paper (1998)
62. Evaluating Density Forecasts with Applications to Financial Risk Management
    International Economic Review, 1998, 39, (4), 863-83 View citations (808)
63. Horizon problems and extreme events in financial risk management
    Economic Policy Review, 1998, 4, (Oct), 109-118 View citations (25)
    See also Working Paper (1998)
64. Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors' Introduction
    International Economic Review, 1998, 39, (4), 811-15 View citations (5)
65. The Past, Present, and Future of Macroeconomic Forecasting
    Journal of Economic Perspectives, 1998, 12, (2), 175-192 View citations (108)
    See also Working Paper (1997)

1997

66. Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers
    Economic Journal, 1997, 107, (444), 1358-74 View citations (10)
    See also Working Paper (1997)
67. Job Stability in the United States
    Journal of Labor Economics, 1997, 15, (2), 206-33 View citations (54)
    See also Working Paper (1994)
68. Optimal Prediction Under Asymmetric Loss
    Econometric Theory, 1997, 13, (6), 808-817 View citations (189)
    See also Working Paper (1997)
69. Why are estimates of agricultural supply response so variable?
    Journal of Econometrics, 1997, 76, (1-2), 357-373 View citations (19)
    See also Working Paper (2019)

1996

70. Fractional integration and interval prediction
    Economics Letters, 1996, 50, (3), 305-313 View citations (20)
71. Further Results on Forecasting and Model Selection under Asymmetric Loss
    Journal of Applied Econometrics, 1996, 11, (5), 561-71 View citations (83)
    See also Working Paper
72. Measuring Business Cycles: A Modern Perspective
    The Review of Economics and Statistics, 1996, 78, (1), 67-77 View citations (278)
    See also Working Paper (1994)
73. Software review
    International Journal of Forecasting, 1996, 12, (2), 309-315 View citations (1)
74. Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures
    Journal of Econometrics, 1996, 70, (1), 221-241 View citations (142)
    See also Working Paper (1993)
75. The Uncertain Unit Root in Real GNP: Comment
    American Economic Review, 1996, 86, (5), 1291-98 View citations (91)

1994

76. On Cointegration and Exchange Rate Dynamics
    Journal of Finance, 1994, 49, (2), 727-35 View citations (136)
    See also Working Paper (1993)
77. 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 (74)
    See also Working Paper (1993)

1993

78. Are long expansions followed by short contractions?
    Business Review, 1993, (Jul), 3-11 View citations (1)
79. Discussion: The effect of seasonal adjustment filters on tests for a unit root
    Journal of Econometrics, 1993, 55, (1-2), 99-103 View citations (4)

1992

80. Forecasting, Structural Time Series Models and the Kalman Filter, Andrew C. Harvey Cambridge University Press, 1939 - Fore Casting, Structural Time Series Models and The Kalman FilterAdrew C. Harvey Cambridge University Press, 1989
    Econometric Theory, 1992, 8, (2), 293-299 View citations (2)
81. Have Postwar Economic Fluctuations Been Stabilized?
    American Economic Review, 1992, 82, (4), 993-1005 View citations (59)
    See also Working Paper (1991)

1991

82. Is Consumption Too Smooth? Long Memory and the Deaton Paradox
    The Review of Economics and Statistics, 1991, 73, (1), 1-9 View citations (48)
    See also Working Paper (1989)
83. On the power of Dickey-Fuller tests against fractional alternatives
    Economics Letters, 1991, 35, (2), 155-160 View citations (256)
    See also Working Paper (1990)
84. Real Exchange Rates under the Gold Standard
    Journal of Political Economy, 1991, 99, (6), 1252-71 View citations (231)
    See also Working Paper (1990)
85. Shorter recessions and longer expansions
    Business Review, 1991, (Nov), 13-20 View citations (1)

1990

86. A Nonparametric Investigation of Duration Dependence in the American Business Cycle
    Journal of Political Economy, 1990, 98, (3), 596-616 View citations (116)
    See also Working Paper (1988)
87. Nonparametric exchange rate prediction?
    Journal of International Economics, 1990, 28, (3-4), 315-332 View citations (245)
    See also Working Paper (1989)
88. Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics
    Journal of Business & Economic Statistics, 1990, 8, (3), 281-91 View citations (36)
89. The use of prior information in forecast combination
    International Journal of Forecasting, 1990, 6, (4), 503-508 View citations (91)
    See also Working Paper (1987)

1989

90. Forecast combination and encompassing: Reconciling two divergent literatures
    International Journal of Forecasting, 1989, 5, (4), 589-592 View citations (75)
    See also Working Paper (1989)
91. Long memory and persistence in aggregate output
    Journal of Monetary Economics, 1989, 24, (2), 189-209 View citations (300)
    See also Working Paper (1988)
92. Scoring the Leading Indicators
    The Journal of Business, 1989, 62, (3), 369-91 View citations (194)
    See also Working Paper (1987)
93. State space modeling of time series: A review essay
    Journal of Economic Dynamics and Control, 1989, 13, (4), 597-612 View citations (4)
    See also Working Paper (1988)
94. Structural Time Series Analysis and Modelling Package: A Review
    Journal of Applied Econometrics, 1989, 4, (2), 195-204 View citations (3)
95. The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model
    Journal of Applied Econometrics, 1989, 4, (1), 1-21 View citations (354)
    See also Working Paper (1986)

1988

96. 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)
97. Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate
    European Economic Review, 1988, 32, (1), 27-53 View citations (17)
98. Has the EMS Reduced Member-Country Exchange Rate Volatility?
    Empirical Economics, 1988, 13, (2), 81-102 View citations (12)
99. Serial Correlation and the Combination of Forecasts
    Journal of Business & Economic Statistics, 1988, 6, (1), 105-11 View citations (31)
100. Testing for bubbles, reflecting barriers and other anomalies
     Journal of Economic Dynamics and Control, 1988, 12, (1), 63-70 View citations (2)

1986

101. Exact maximum-likelihood estimation of autoregressive models via the Kalman filter
     Economics Letters, 1986, 22, (2-3), 197-201 View citations (4)
102. The exact initial covariance matrix of the state vector of a general MA(q) process
     Economics Letters, 1986, 22, (1), 27-31 View citations (3)

Books

2015

1. Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring
   OUP Catalogue, Oxford University Press View citations (220)

2012

2. Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach
   Economics Books, Princeton University Press View citations (11)

2010

3. The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice
   Economics Books, Princeton University Press View citations (25)

1999

4. Business Cycles: Durations, Dynamics, and Forecasting
   Economics Books, Princeton University Press View citations (66)

Edited books

2012

1. Financial Risk Measurement and Management
   Books, Edward Elgar Publishing View citations (22)

Chapters

2018

1. Commodity Connectedness
   Chapter 04 in Monetary Policy and Global Spillovers: Mechanisms, Effects and Policy Measures, 2018, vol. 25, pp 097-136 View citations (7)
   See also Working Paper (2017)

2013

2. Financial Risk Measurement for Financial Risk Management
   Elsevier View citations (41)
   See also Working Paper (2012)

2012

3. Facts, Factors, and Questions
   A chapter in : Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach, 2012

2011

4. Equity Market Spillovers in the Americas
   Chapter 07 in Financial Stability, Monetary Policy, and Central Banking, 2011, vol. 15, pp 199-214 View citations (28)
   See also Journal Article in Journal Economía Chilena (The Chilean Economy) (2009)

2010

5. Globalization, the Business Cycle, and Macroeconomic Monitoring
   A chapter in NBER International Seminar on Macroeconomics 2010, 2010, pp 245-286 View citations (15)
   See also Journal Article in NBER International Seminar on Macroeconomics (2011)
   Working Paper (2011)
6. Introduction
   A chapter in The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice, 2010

2007

7. Practical Volatility and Correlation Modeling for Financial Market Risk Management
   A chapter in The Risks of Financial Institutions, 2007, pp 513-544 View citations (20)
   See also Working Paper (2005)

2006

8. A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources and Generalized Duration
   Chapter 9 in Long-run Growth and Short-run Stabilization, 2006 View citations (4)
   See also Working Paper (2006)
9. Volatility and Correlation Forecasting
   Elsevier View citations (275)

1993

10. Further Evidence on Business-Cycle Duration Dependence
    A chapter in Business Cycles, Indicators, and Forecasting, 1993, pp 255-284 View citations (67)
    See also Working Paper (1991)