Details about Francis Diebold
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
- 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)
- 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)
- On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness
Papers, arXiv.org View citations (2)
- 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
- 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)
- 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)
- 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)
- On the Financing of Climate Change Adaptation in Developing Countries
Papers, arXiv.org
- 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
- "Big Data" and its Origins
Papers, arXiv.org View citations (2)
- 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)
- 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
- 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)
- 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
- 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
- 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)
- 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
- 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)
- 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)
- 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)
- 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
- 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
- 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)
- 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
- 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)
- 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)
- 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)
- 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)
- 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)
- 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
- 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)
- 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)
- 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
- 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)
- 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
- 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)
- 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)
- 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)
- 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)
- Priors from Frequency-Domain Dummy Observations
2008 Meeting Papers, Society for Economic Dynamics View citations (2)
- 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)
- 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
- 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)
- 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)
- 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)
- 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
- 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)
- 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)
- 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
- 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)
- Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore
Working Papers, Singapore Management University, School of Economics
- Modeling Bond Yields in Finance and Macroeconomics
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (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)
- 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)
- 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)
- 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)
- 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
- 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)
- Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics
Econometric Society 2004 Australasian Meetings, Econometric Society
- 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)
- 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)
- 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)
- 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
- 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)
- 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)
- 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)
- 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
- Financial Asset Returns, Market Timing, and Volatility Dynamics
CIRANO Working Papers, CIRANO View citations (12)
- 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)
- 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)
- 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
- 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
- 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)
- 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)
- 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)
- 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)
- 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
- (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)
- 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)
- 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)
- 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)
- 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
- 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)
- 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)
- 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)
- 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)
- 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)
- 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)
- 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
- 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)
- 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)
- 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)
- 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)
- 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)
- 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
- 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)
- Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (6)
- 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
- Measuring Volatility Dynamics
NBER Technical Working Papers, National Bureau of Economic Research, Inc
- Modeling volatility dynamics
Research Paper, Federal Reserve Bank of New York View citations (44)
Also in Home Pages, University of Pennsylvania View citations (15)
1994
- 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)
- 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)
- 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
- 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 in Journal of Finance (1994)
- On comparing information in forecasts from econometric models: a comment on Fair and Shiller
Working Papers, Federal Reserve Bank of Philadelphia
- On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean
Working Papers, Federal Reserve Bank of 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)
- 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 in Journal of Econometrics (1996)
1992
- Near-rationality and strategic complementarity in a macroeconomic model: policy effects, persistence and multipliers
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 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 (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 in American Economic Review (1992)
1990
- International evidence on business cycle duration dependence
Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations (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 in Economics Letters (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 in Journal of Political Economy (1991)
1989
- Forecast combination and encompassing: reconciling two divergent literatures
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (74)
See also Journal Article in International Journal of Forecasting (1989)
- Forecasting output with the composite leading index: an ex ante analysis
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (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 in The Review of Economics and Statistics (1991)
- Nonparametric exchange rate prediction?
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
See also Journal Article in Journal of International Economics (1990)
1988
- A nonparametric investigation of duration dependence in the American business cycle
Working Paper Series / Economic Activity Section, Board of Governors of the Federal Reserve System (U.S.) View citations (15)
See also Journal Article in Journal of Political Economy (1990)
- An application of operational-subjective statistical methods to rational expectations: comment
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
See also Journal Article in Journal of Business & Economic Statistics (1988)
- Conditional heteroskedasticity in the market
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 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 in Journal of Monetary Economics (1989)
- On the solution of dynamic linear rational expectations models
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
- Post-deregulation deposit rate pricing: the multivariate dynamics
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 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 in Journal of Economic Dynamics and Control (1989)
- Unit roots in economic time series: a selective survey
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (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 in The Journal of Business (1989)
- The use of prior information in forecast combination
Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
See also Journal Article in International Journal of Forecasting (1990)
1986
- Structural change and the combination of forecasts
Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (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 in Journal of Applied Econometrics (1989)
Undated
- 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)
- 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 (3)
See also Working Paper (2022)
- 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
- 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
- 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
- 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
- Estimating global bank network connectedness
Journal of Applied Econometrics, 2018, 33, (1), 1-15 View citations (183)
See also Working Paper (2017)
- 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
- Assessing point forecast accuracy by stochastic error distance
Econometric Reviews, 2017, 36, (6-9), 588-598 View citations (6)
See also Working Paper (2016)
- 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
- Improving GDP measurement: A measurement-error perspective
Journal of Econometrics, 2016, 191, (2), 384-397 View citations (43)
See also Working Paper (2013)
- 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
- 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 (175)
See also Working Paper (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 (1504)
See also Working Paper (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 (2012)
- 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
- 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
- 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)
- 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
- 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
- An arbitrage-free generalized Nelson--Siegel term structure model
Econometrics Journal, 2009, 12, (3), C33-C64 View citations (60)
See also Working Paper (2008)
- Equity Market Spillovers in the Americas
Journal Economía Chilena (The Chilean Economy), 2009, 12, (2), 55-65 View citations (9)
See also Chapter (2011)
- 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)
- Real-Time Measurement of Business Conditions
Journal of Business & Economic Statistics, 2009, 27, (4), 417-427 View citations (404)
See also Working Paper (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 (76)
Also in Proceedings, 2005 (2005) View citations (6)
See also Working Paper (2005)
2008
- 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
- 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)
- 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
- 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)
- Comment
Journal of Business & Economic Statistics, 2006, 24, 181-183
- Forecasting the term structure of government bond yields
Journal of Econometrics, 2006, 130, (2), 337-364 View citations (758)
See also Working Paper (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 (570)
See also Working Paper (2004)
2005
- A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
American Economic Review, 2005, 95, (2), 398-404 View citations (84)
See also Working Paper (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 (143)
See also Working Paper (2005)
- Robust estimation - discussion
Proceedings, 2005, 82-85
- Weather Forecasting for Weather Derivatives
Journal of the American Statistical Association, 2005, 100, 6-16 View citations (116)
See also Working Paper (2004)
2004
- The Nobel Memorial Prize for Robert F. Engle
Scandinavian Journal of Economics, 2004, 106, (2), 165-185 View citations (13)
See also Working Paper (2004)
2003
- 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)
- Modeling and Forecasting Realized Volatility
Econometrica, 2003, 71, (2), 579-625 View citations (1809)
See also Working Paper (2002)
- THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003
Econometric Theory, 2003, 19, (6), 1159-1193 View citations (7)
2002
- 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)
- Range‐Based Estimation of Stochastic Volatility Models
Journal of Finance, 2002, 57, (3), 1047-1091 View citations (481)
- 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)
- 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 (677)
See also Working Paper (2000)
- Measuring predictability: theory and macroeconomic applications
Journal of Applied Econometrics, 2001, 16, (6), 657-669 View citations (61)
See also Working Paper (2000)
- The Distribution of Realized Exchange Rate Volatility
Journal of the American Statistical Association, 2001, 96, 42-55 View citations (1082)
- The distribution of realized stock return volatility
Journal of Financial Economics, 2001, 61, (1), 43-76 View citations (1033)
2000
- 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)
- 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)
- 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
- 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
- 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 (1997)
- 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)
- Evaluating Density Forecasts with Applications to Financial Risk Management
International Economic Review, 1998, 39, (4), 863-83 View citations (808)
- 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)
- 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 (108)
See also Working Paper (1997)
1997
- Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers
Economic Journal, 1997, 107, (444), 1358-74 View citations (10)
See also Working Paper (1997)
- Job Stability in the United States
Journal of Labor Economics, 1997, 15, (2), 206-33 View citations (54)
See also Working Paper (1994)
- Optimal Prediction Under Asymmetric Loss
Econometric Theory, 1997, 13, (6), 808-817 View citations (189)
See also Working Paper (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 (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
- 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)
- 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 (142)
See also Working Paper (1993)
- The Uncertain Unit Root in Real GNP: Comment
American Economic Review, 1996, 86, (5), 1291-98 View citations (91)
1994
- On Cointegration and Exchange Rate Dynamics
Journal of Finance, 1994, 49, (2), 727-35 View citations (136)
See also Working Paper (1993)
- On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean
Journal of Econometrics, 1994, 62, (2), 301-316 View citations (74)
See also Working Paper (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 (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 (1989)
- 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)
- Real Exchange Rates under the Gold Standard
Journal of Political Economy, 1991, 99, (6), 1252-71 View citations (231)
See also Working Paper (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 (116)
See also Working Paper (1988)
- Nonparametric exchange rate prediction?
Journal of International Economics, 1990, 28, (3-4), 315-332 View citations (245)
See also Working Paper (1989)
- Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics
Journal of Business & Economic Statistics, 1990, 8, (3), 281-91 View citations (36)
- 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
- 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)
- Long memory and persistence in aggregate output
Journal of Monetary Economics, 1989, 24, (2), 189-209 View citations (300)
See also Working Paper (1988)
- Scoring the Leading Indicators
The Journal of Business, 1989, 62, (3), 369-91 View citations (194)
See also Working Paper (1987)
- State space modeling of time series: A review essay
Journal of Economic Dynamics and Control, 1989, 13, (4), 597-612 View citations (4)
See also Working Paper (1988)
- Structural Time Series Analysis and Modelling Package: A Review
Journal of Applied Econometrics, 1989, 4, (2), 195-204 View citations (3)
- 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
- 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)
- 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 (31)
- 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 (220)
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 (66)
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 (7)
See also Working Paper (2017)
2013
- Financial Risk Measurement for Financial Risk Management
Elsevier View citations (41)
See also Working Paper (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 (28)
See also Journal Article in Journal Economía Chilena (The Chilean Economy) (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 in NBER International Seminar on Macroeconomics (2011) Working Paper (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 (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 (2006)
- Volatility and Correlation Forecasting
Elsevier View citations (275)
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 (1991)
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