Details about Francis Diebold

Comparing Predictive Accuracy
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (28)
See also Journal Article Comparing Predictive Accuracy, Journal of Business & Economic Statistics, American Statistical Association (2002) View citations (435) (2002)
Job Stability in the United States
NBER Working Papers, National Bureau of Economic Research, Inc View citations (23)
See also Journal Article Job Stability in the United States, Journal of Labor Economics, University of Chicago Press (1997) View citations (56) (1997)
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 Measuring Business Cycles: A Modern Perspective, The Review of Economics and Statistics, MIT Press (1996) View citations (280) (1996)

1993

Exact maximum likelihood estimation of ARCH models
Working Papers, Federal Reserve Bank of Philadelphia View citations (3)
On cointegration and exchange rate dynamics
Working Papers, Federal Reserve Bank of Philadelphia View citations (19)
See also Journal Article On Cointegration and Exchange Rate Dynamics, Journal of Finance, American Finance Association (1994) View citations (136) (1994)
On comparing information in forecasts from econometric models: a comment on Fair and Shiller
Working Papers, Federal Reserve Bank of Philadelphia
On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean
Working Papers, Federal Reserve Bank of 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 On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean, Journal of Econometrics, Elsevier (1994) View citations (74) (1994)
Regime switching with time-varying transition probabilities
Working Papers, Federal Reserve Bank of Philadelphia View citations (90)
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 Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures, Journal of Econometrics, Elsevier (1996) View citations (143) (1996)

1992

Near-rationality and strategic complementarity in a macroeconomic model: policy effects, persistence and multipliers
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (1)

1991

Comparing predictive accuracy I: an asymptotic test
Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations (9)
Further evidence on business cycle duration dependence
Working Papers, Federal Reserve Bank of Philadelphia View citations (53)
See also Chapter Further Evidence on Business-Cycle Duration Dependence, NBER Chapters, National Bureau of Economic Research, Inc (1993) View citations (67) (1993)
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 Have Postwar Economic Fluctuations Been Stabilized?, American Economic Review, American Economic Association (1992) View citations (59) (1992)

1990

International evidence on business cycle duration dependence
Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations (7)
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 On the power of Dickey-Fuller tests against fractional alternatives, Economics Letters, Elsevier (1991) View citations (258) (1991)
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 Real Exchange Rates under the Gold Standard, Journal of Political Economy, University of Chicago Press (1991) View citations (231) (1991)

1989

Forecast combination and encompassing: reconciling two divergent literatures
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (76)
See also Journal Article Forecast combination and encompassing: Reconciling two divergent literatures, International Journal of Forecasting, Elsevier (1989) View citations (75) (1989)
Forecasting output with the composite leading index: an ex ante analysis
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (70)
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 Is Consumption Too Smooth? Long Memory and the Deaton Paradox, The Review of Economics and Statistics, MIT Press (1991) View citations (48) (1991)
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 Nonparametric exchange rate prediction?, Journal of International Economics, Elsevier (1990) View citations (244) (1990)

1988

A nonparametric investigation of duration dependence in the American business cycle
Working Paper Series / Economic Activity Section, Board of Governors of the Federal Reserve System (U.S.) View citations (15)
See also Journal Article A Nonparametric Investigation of Duration Dependence in the American Business Cycle, Journal of Political Economy, University of Chicago Press (1990) View citations (118) (1990)
An application of operational-subjective statistical methods to rational expectations: comment
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
See also Journal Article An Application of Operational-Subjective Statistical Methods to Rational Expectations: Comment, Journal of Business & Economic Statistics, American Statistical Association (1988) (1988)
Conditional heteroskedasticity in the market
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
Ex ante turning point forecasting with the composite leading index
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
Long memory and persistence in aggregate output
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (35)
See also Journal Article Long memory and persistence in aggregate output, Journal of Monetary Economics, Elsevier (1989) View citations (302) (1989)
On the solution of dynamic linear rational expectations models
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
Post-deregulation deposit rate pricing: the multivariate dynamics
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
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)
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 State space modeling of time series: A review essay, Journal of Economic Dynamics and Control, Elsevier (1989) View citations (4) (1989)
Unit roots in economic time series: a selective survey
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (26)

1987

Deviations from random-walk behavior: tests based on the variance-time function
Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.)
Does the business cycle have duration memory?
Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (3)
Scoring the leading indicators
Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (14)
See also Journal Article Scoring the Leading Indicators, The Journal of Business, University of Chicago Press (1989) View citations (197) (1989)
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 The use of prior information in forecast combination, International Journal of Forecasting, Elsevier (1990) View citations (93) (1990)

1986

Structural change and the combination of forecasts
Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (8)
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)
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 The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1989) View citations (357) (1989)

Undated

Further Results on Forecasting and Model Selection Under Asymmetric Loss
Home Pages, University of Pennsylvania
See also Journal Article Further Results on Forecasting and Model Selection under Asymmetric Loss, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1996) View citations (83) (1996)
Stamp 5.0: A Review
Home Pages, University of Pennsylvania

Journal Articles

2022

A benchmark model for fixed-target Arctic sea ice forecasting
Economics Letters, 2022, 215, (C) View citations (4)
See also Working Paper A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting, Papers (2022) View citations (4) (2022)
Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections
Journal of Econometrics, 2022, 231, (2), 520-534 View citations (12)
See also Working Paper Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections, Papers (2021) View citations (5) (2021)

2021

Optimal combination of Arctic sea ice extent measures: A dynamic factor modeling approach
International Journal of Forecasting, 2021, 37, (4), 1509-1519 View citations (11)
See also Working Paper Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach, Papers (2020) View citations (4) (2020)

2020

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

2019

Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives
International Journal of Forecasting, 2019, 35, (4), 1679-1691 View citations (62)
See also Working Paper Machine Learning for Regularized Survey Forecast Combination: Partially Egalitarian Lasso and its Derivatives, PIER Working Paper Archive (2018) View citations (9) (2018)

2018

Estimating global bank network connectedness
Journal of Applied Econometrics, 2018, 33, (1), 1-15 View citations (232)
See also Working Paper Estimating Global Bank Network Connectedness, NBER Working Papers (2017) View citations (47) (2017)
On the Comparison of Interval Forecasts
Journal of Time Series Analysis, 2018, 39, (6), 953-965 View citations (17)
See also Working Paper On the Comparison of Interval Forecasts, PIER Working Paper Archive (2018) View citations (18) (2018)

2017

Assessing point forecast accuracy by stochastic error distance
Econometric Reviews, 2017, 36, (6-9), 588-598 View citations (7)
See also Working Paper Assessing Point Forecast Accuracy by Stochastic Error Distance, NBER Working Papers (2016) (2016)
Real-time forecast evaluation of DSGE models with stochastic volatility
Journal of Econometrics, 2017, 201, (2), 322-332 View citations (36)
See also Working Paper Real-time forecast evaluation of DSGE models with stochastic volatility, CFS Working Paper Series (2017) View citations (45) (2017)

2016

Improving GDP measurement: A measurement-error perspective
Journal of Econometrics, 2016, 191, (2), 384-397 View citations (45)
See also Working Paper Improving GDP Measurement: A Measurement-Error Perspective, NBER Working Papers (2013) View citations (15) (2013)
Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014
Journal of Financial Econometrics, 2016, 14, (1), 81-127 View citations (107)

2015

Assessing point forecast accuracy by stochastic loss distance
Economics Letters, 2015, 130, (C), 37-38 View citations (6)
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 (194)
See also Working Paper Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests, NBER Working Papers (2012) View citations (43) (2012)
Rejoinder
Journal of Business & Economic Statistics, 2015, 33, (1), 24-24

2014

On the network topology of variance decompositions: Measuring the connectedness of financial firms
Journal of Econometrics, 2014, 182, (1), 119-134 View citations (1872)
See also Working Paper On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms, Koç University-TUSIAD Economic Research Forum Working Papers (2011) View citations (52) (2011)

2013

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 A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities, PIER Working Paper Archive (2012) View citations (5) (2012)
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach
The Review of Economic Studies, 2013, 80, (4), 1304-1337 View citations (29)
See also Working Paper On the Correlation Structure of Microstructure Noise: A Financial Economic Approach, Boston College Working Papers in Economics (2012) View citations (5) (2012)

2012

Better to give than to receive: Predictive directional measurement of volatility spillovers
International Journal of Forecasting, 2012, 28, (1), 57-66 View citations (2221)
See also Working Paper Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers, Koç University-TUSIAD Economic Research Forum Working Papers (2010) View citations (47) (2010)

2011

Globalization, the Business Cycle, and Macroeconomic Monitoring
NBER International Seminar on Macroeconomics, 2011, 7, (1), 245 - 286 View citations (20)
See also Working Paper Globalization, the Business Cycle, and Macroeconomic Monitoring, IMF Working Papers (2011) View citations (19) (2011)
Chapter Globalization, the Business Cycle, and Macroeconomic Monitoring, NBER Chapters, 2010, 245-286 (2010) View citations (15) (2010)
The affine arbitrage-free class of Nelson-Siegel term structure models
Journal of Econometrics, 2011, 164, (1), 4-20 View citations (202)
See also Working Paper The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models, PIER Working Paper Archive (2007) View citations (46) (2007)

2010

Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions
American Economic Review, 2010, 100, (2), 20-24 View citations (80)
See also Working Paper Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions, NBER Working Papers (2010) View citations (79) (2010)

2009

An arbitrage-free generalized Nelson--Siegel term structure model
Econometrics Journal, 2009, 12, (3), C33-C64 View citations (62)
See also Working Paper An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model, PIER Working Paper Archive (2008) View citations (28) (2008)
Equity Market Spillovers in the Americas
Journal Economía Chilena (The Chilean Economy), 2009, 12, (2), 55-65 View citations (9)
See also Chapter Equity Market Spillovers in the Americas, Central Banking, Analysis, and Economic Policies Book Series, 2011, 15, 199-214 (2011) View citations (27) (2011)
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
Economic Journal, 2009, 119, (534), 158-171 View citations (1551)
Also in Economic Journal, 2009, 119, (534), 158-171 (2009) View citations (1649)
See also Working Paper Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets, NBER Working Papers (2008) View citations (35) (2008)
Real-Time Measurement of Business Conditions
Journal of Business & Economic Statistics, 2009, 27, (4), 417-427 View citations (435)
See also Working Paper Real-Time Measurement of Business Conditions, NBER Working Papers (2008) View citations (9) (2008)
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
Journal of Business & Economic Statistics, 2009, 27, (2), 266-278 View citations (82)
Also in Proceedings, 2005 (2005) View citations (6)
See also Working Paper Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence, PIER Working Paper Archive (2005) View citations (7) (2005)

2008

Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach
Journal of Econometrics, 2008, 146, (2), 351-363 View citations (154)
See also Working Paper Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach, PIER Working Paper Archive (2007) View citations (6) (2007)

2007

Real-time price discovery in global stock, bond and foreign exchange markets
Journal of International Economics, 2007, 73, (2), 251-277 View citations (514)
See also Working Paper Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets, CREATES Research Papers (2007) View citations (546) (2007)
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 (884)
See also Working Paper Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility, CREATES Research Papers (2007) View citations (890) (2007)

2006

A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
The Journal of Business, 2006, 79, (1), 61-74 View citations (116)
See also Working Paper A no-arbitrage approach to range-based estimation of return covariances and correlations, CFS Working Paper Series (2004) View citations (5) (2004)
Comment
Journal of Business & Economic Statistics, 2006, 24, 181-183
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
Management Science, 2006, 52, (8), 1273-1287 View citations (122)
See also Working Paper Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics, PIER Working Paper Archive (2003) View citations (15) (2003)
Forecasting the term structure of government bond yields
Journal of Econometrics, 2006, 130, (2), 337-364 View citations (787)
See also Working Paper Forecasting the Term Structure of Government Bond Yields, NBER Working Papers (2003) View citations (38) (2003)
The econometrics of macroeconomics, finance, and the interface
Journal of Econometrics, 2006, 131, (1-2), 1-2
The macroeconomy and the yield curve: a dynamic latent factor approach
Journal of Econometrics, 2006, 131, (1-2), 309-338 View citations (586)
See also Working Paper The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach, NBER Working Papers (2004) View citations (23) (2004)

2005

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
American Economic Review, 2005, 95, (2), 398-404 View citations (87)
See also Working Paper A Framework for Exploring the Macroeconomic Determinants of Systematic Risk, PIER Working Paper Archive (2005) View citations (87) (2005)
From the horse’s mouth: gauging conditional expected stock returns from investor surveys
Proceedings, 2005 View citations (1)
Modeling Bond Yields in Finance and Macroeconomics
American Economic Review, 2005, 95, (2), 415-420 View citations (144)
See also Working Paper Modeling Bond Yields in Finance and Macroeconomics, PIER Working Paper Archive (2005) View citations (146) (2005)
Robust estimation - discussion
Proceedings, 2005, 82-85
Weather Forecasting for Weather Derivatives
Journal of the American Statistical Association, 2005, 100, 6-16 View citations (122)
See also Working Paper Weather forecasting for weather derivatives, CFS Working Paper Series (2004) View citations (4) (2004)

2004

The Nobel Memorial Prize for Robert F. Engle
Scandinavian Journal of Economics, 2004, 106, (2), 165-185 View citations (14)
See also Working Paper The Nobel Memorial Prize for Robert F. Engle, CFS Working Paper Series (2004) View citations (13) (2004)

2003

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
American Economic Review, 2003, 93, (1), 38-62 View citations (827)
See also Working Paper Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange, Working Papers (2002) View citations (34) (2002)
Modeling and Forecasting Realized Volatility
Econometrica, 2003, 71, (2), 579-625 View citations (1899)
See also Working Paper Modeling and Forecasting Realized Volatility, Working Papers (2002) View citations (30) (2002)
THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003
Econometric Theory, 2003, 19, (6), 1159-1193 View citations (8)

2002

Comparing Predictive Accuracy
Journal of Business & Economic Statistics, 2002, 20, (1), 134-44 View citations (435)
Also in Journal of Business & Economic Statistics, 1995, 13, (3), 253-63 (1995) View citations (4982)
See also Working Paper Comparing Predictive Accuracy, NBER Technical Working Papers (1994) View citations (28) (1994)
Range‐Based Estimation of Stochastic Volatility Models
Journal of Finance, 2002, 57, (3), 1047-1091 View citations (496)
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 (255)
See also Working Paper Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing, Center for Financial Institutions Working Papers (2000) View citations (30) (2000)
Symposium on Forecasting Performance: An Introduction
IMF Staff Papers, 2002, 49, (1), 1

2001

Econometrics: Retrospect and prospect
Journal of Econometrics, 2001, 100, (1), 73-75 View citations (2)
Five questions about business cycles
Economic Review, 2001, 1-15 View citations (14)
Forecasting and empirical methods in finance and macroeconomics
Journal of Econometrics, 2001, 105, (1), 1-3
Long memory and regime switching
Journal of Econometrics, 2001, 105, (1), 131-159 View citations (689)
See also Working Paper Long Memory and Regime Switching, NBER Technical Working Papers (2000) View citations (44) (2000)
Measuring predictability: theory and macroeconomic applications
Journal of Applied Econometrics, 2001, 16, (6), 657-669 View citations (62)
See also Working Paper Measuring Predictability: Theory And Macroeconomic Applications, CEPR Discussion Papers (2000) (2000)
The Distribution of Realized Exchange Rate Volatility
Journal of the American Statistical Association, 2001, 96, 42-55 View citations (1121)
The distribution of realized stock return volatility
Journal of Financial Economics, 2001, 61, (1), 43-76 View citations (1078)

2000

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
Multinational Finance Journal, 2000, 4, (3-4), 159-179 View citations (103)
See also Working Paper Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian, NBER Working Papers (2000) View citations (114) (2000)
How Relevant is Volatility Forecasting for Financial Risk Management?
The Review of Economics and Statistics, 2000, 82, (1), 12-22 View citations (138)
See also Working Paper How Relevant is Volatility Forecasting for Financial Risk Management?, NBER Working Papers (1998) View citations (6) (1998)
Unit-Root Tests Are Useful for Selecting Forecasting Models
Journal of Business & Economic Statistics, 2000, 18, (3), 265-73 View citations (100)
See also Working Paper Unit Root Tests Are Useful for Selecting Forecasting Models, NBER Working Papers (1999) View citations (17) (1999)

1999

Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange
The Review of Economics and Statistics, 1999, 81, (4), 661-673 View citations (217)

1998

Bootstrapping Multivariate Spectra
The Review of Economics and Statistics, 1998, 80, (4), 664-666 View citations (34)
Cointegration and Long-Horizon Forecasting
Journal of Business & Economic Statistics, 1998, 16, (4), 450-58 View citations (105)
See also Working Paper Cointegration and Long-Horizon Forecasting, NBER Technical Working Papers (1997) View citations (33) (1997)
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data
The Review of Economic Studies, 1998, 65, (3), 433-451 View citations (103)
See also Working Paper Dynamic equilibrium economies: a framework for comparing models and data, Staff Report (1998) View citations (98) (1998)
Evaluating Density Forecasts with Applications to Financial Risk Management
International Economic Review, 1998, 39, (4), 863-83 View citations (821)
Horizon problems and extreme events in financial risk management
Economic Policy Review, 1998, 4, (Oct), 109-118 View citations (27)
See also Working Paper Horizon Problems and Extreme Events in Financial Risk Management, Center for Financial Institutions Working Papers (1998) View citations (29) (1998)
Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors' Introduction
International Economic Review, 1998, 39, (4), 811-15 View citations (5)
The Past, Present, and Future of Macroeconomic Forecasting
Journal of Economic Perspectives, 1998, 12, (2), 175-192 View citations (110)
See also Working Paper The Past, Present, and Future of Macroeconomic Forecasting, NBER Working Papers (1997) View citations (8) (1997)

1997

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 Bounded rationality and strategic complementarity in a macroeconomic model: policy effects, persistence, and multipliers, Working Papers (1997) View citations (13) (1997)
Job Stability in the United States
Journal of Labor Economics, 1997, 15, (2), 206-33 View citations (56)
See also Working Paper Job Stability in the United States, NBER Working Papers (1994) View citations (23) (1994)
Optimal Prediction Under Asymmetric Loss
Econometric Theory, 1997, 13, (6), 808-817 View citations (192)
See also Working Paper Optimal prediction under asymmetric loss, Working Papers (1997) View citations (178) (1997)
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 Why Are Estimates of Agricultural Supply Response so Variable?, Finance and Economics Discussion Series (2019) (2019)

1996

Fractional integration and interval prediction
Economics Letters, 1996, 50, (3), 305-313 View citations (20)
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 Further Results on Forecasting and Model Selection Under Asymmetric Loss, Home Pages
Measuring Business Cycles: A Modern Perspective
The Review of Economics and Statistics, 1996, 78, (1), 67-77 View citations (280)
See also Working Paper Measuring Business Cycles: A Modern Perspective, NBER Working Papers (1994) View citations (19) (1994)
Software review
International Journal of Forecasting, 1996, 12, (2), 309-315 View citations (1)
Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures
Journal of Econometrics, 1996, 70, (1), 221-241 View citations (143)
See also Working Paper Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures, Working Papers (1993) View citations (2) (1993)
The Uncertain Unit Root in Real GNP: Comment
American Economic Review, 1996, 86, (5), 1291-98 View citations (92)

1994

On Cointegration and Exchange Rate Dynamics
Journal of Finance, 1994, 49, (2), 727-35 View citations (136)
See also Working Paper On cointegration and exchange rate dynamics, Working Papers (1993) View citations (19) (1993)
On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean
Journal of Econometrics, 1994, 62, (2), 301-316 View citations (74)
See also Working Paper On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean, Working Papers (1993) View citations (1) (1993)

1993

Are long expansions followed by short contractions?
Business Review, 1993, (Jul), 3-11 View citations (1)
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

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)
Have Postwar Economic Fluctuations Been Stabilized?
American Economic Review, 1992, 82, (4), 993-1005 View citations (59)
See also Working Paper Have postwar economic fluctuations been stabilized?, Working Paper Series / Economic Activity Section (1991) View citations (2) (1991)

1991

Is Consumption Too Smooth? Long Memory and the Deaton Paradox
The Review of Economics and Statistics, 1991, 73, (1), 1-9 View citations (48)
See also Working Paper Is consumption too smooth? Long memory and the Deaton paradox, Finance and Economics Discussion Series (1989) View citations (1) (1989)
On the power of Dickey-Fuller tests against fractional alternatives
Economics Letters, 1991, 35, (2), 155-160 View citations (258)
See also Working Paper On the power of Dickey-Fuller tests against fractional alternatives, Finance and Economics Discussion Series (1990) View citations (6) (1990)
Real Exchange Rates under the Gold Standard
Journal of Political Economy, 1991, 99, (6), 1252-71 View citations (231)
See also Working Paper Real exchange rates under the gold standard, Discussion Paper / Institute for Empirical Macroeconomics (1990) View citations (5) (1990)
Shorter recessions and longer expansions
Business Review, 1991, (Nov), 13-20 View citations (1)

1990

A Nonparametric Investigation of Duration Dependence in the American Business Cycle
Journal of Political Economy, 1990, 98, (3), 596-616 View citations (118)
See also Working Paper A nonparametric investigation of duration dependence in the American business cycle, Working Paper Series / Economic Activity Section (1988) View citations (15) (1988)
Nonparametric exchange rate prediction?
Journal of International Economics, 1990, 28, (3-4), 315-332 View citations (244)
See also Working Paper Nonparametric exchange rate prediction?, Finance and Economics Discussion Series (1989) View citations (2) (1989)
Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics
Journal of Business & Economic Statistics, 1990, 8, (3), 281-91 View citations (36)
The use of prior information in forecast combination
International Journal of Forecasting, 1990, 6, (4), 503-508 View citations (93)
See also Working Paper The use of prior information in forecast combination, Special Studies Papers (1987) View citations (2) (1987)

1989

Forecast combination and encompassing: Reconciling two divergent literatures
International Journal of Forecasting, 1989, 5, (4), 589-592 View citations (75)
See also Working Paper Forecast combination and encompassing: reconciling two divergent literatures, Finance and Economics Discussion Series (1989) View citations (76) (1989)
Long memory and persistence in aggregate output
Journal of Monetary Economics, 1989, 24, (2), 189-209 View citations (302)
See also Working Paper Long memory and persistence in aggregate output, Finance and Economics Discussion Series (1988) View citations (35) (1988)
Scoring the Leading Indicators
The Journal of Business, 1989, 62, (3), 369-91 View citations (197)
See also Working Paper Scoring the leading indicators, Special Studies Papers (1987) View citations (14) (1987)
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 State space modeling of time series: a review essay, Finance and Economics Discussion Series (1988) (1988)
Structural Time Series Analysis and Modelling Package: A Review
Journal of Applied Econometrics, 1989, 4, (2), 195-204 View citations (3)
The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model
Journal of Applied Econometrics, 1989, 4, (1), 1-21 View citations (357)
See also Working Paper The dynamics of exchange rate volatility: a multivariate latent factor ARCH model, Special Studies Papers (1986) View citations (11) (1986)

1988

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 An application of operational-subjective statistical methods to rational expectations: comment, Finance and Economics Discussion Series (1988) (1988)
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)
Has the EMS Reduced Member-Country Exchange Rate Volatility?
Empirical Economics, 1988, 13, (2), 81-102 View citations (12)
Serial Correlation and the Combination of Forecasts
Journal of Business & Economic Statistics, 1988, 6, (1), 105-11 View citations (36)
Testing for bubbles, reflecting barriers and other anomalies
Journal of Economic Dynamics and Control, 1988, 12, (1), 63-70 View citations (2)

1986

Exact maximum-likelihood estimation of autoregressive models via the Kalman filter
Economics Letters, 1986, 22, (2-3), 197-201 View citations (4)
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

Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring
OUP Catalogue, Oxford University Press View citations (241)

2012

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

2010

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

Business Cycles: Durations, Dynamics, and Forecasting
Economics Books, Princeton University Press View citations (69)

Edited books

2012

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

Chapters

2018

Commodity Connectedness
Chapter 04 in Monetary Policy and Global Spillovers: Mechanisms, Effects and Policy Measures, 2018, vol. 25, pp 097-136 View citations (8)
See also Working Paper Commodity Connectedness, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2017) View citations (38) (2017)

2013

Financial Risk Measurement for Financial Risk Management
Elsevier View citations (41)
See also Working Paper Financial Risk Measurement for Financial Risk Management, National Bureau of Economic Research, Inc (2012) View citations (9) (2012)

2012

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

2011

Equity Market Spillovers in the Americas
Chapter 07 in Financial Stability, Monetary Policy, and Central Banking, 2011, vol. 15, pp 199-214 View citations (27)
See also Journal Article Equity Market Spillovers in the Americas, Central Bank of Chile (2009) View citations (9) (2009)

2010

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 Globalization, the Business Cycle, and Macroeconomic Monitoring, University of Chicago Press (2011) View citations (20) (2011)
Working Paper Globalization, the Business Cycle, and Macroeconomic Monitoring, International Monetary Fund (2011) View citations (19) (2011)
Introduction
A chapter in The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice, 2010

2007

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 Practical Volatility and Correlation Modeling for Financial Market Risk Management, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) View citations (17) (2005)

2006

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 A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2006) View citations (15) (2006)
Volatility and Correlation Forecasting
Elsevier View citations (280)

1993

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 Further evidence on business cycle duration dependence, Federal Reserve Bank of Philadelphia (1991) View citations (53) (1991)