Details about Francis Diebold

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

Access statistics for papers by Francis Diebold.

Last updated 2025-05-15. Update your information in the RePEc Author Service.

Short-id: pdi1

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Working Papers

2025

1. Clustered Network Connectedness: A New Measurement Framework with Application to Global Equity Markets
   Papers, arXiv.org
   Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2025)
2. Machine Learning and the Yield Curve: Tree-Based Macroeconomic Regime Switching
   Papers, arXiv.org
   Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2024)
3. On the Wisdom of Crowds (of Economists)
   Papers, arXiv.org
   Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2025)

2024

4. On Robust Inference in Time Series Regression
   Papers, arXiv.org View citations (4)
   Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2022) View citations (2)
   NBER Working Papers, National Bureau of Economic Research, Inc (2024) View citations (1)

2023

5. Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice: Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models
   Papers, arXiv.org View citations (1)
   Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2022)
   Working Papers, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management (2022)
   See also Journal Article Assessing and comparing fixed-target forecasts of Arctic sea ice: Glide charts for feature-engineered linear regression and machine learning models, Energy Economics, Elsevier (2023) View citations (1) (2023)
6. Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions
   Papers, arXiv.org View citations (6)
   Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2023) View citations (3)
   See also Journal Article Climate models underestimate the sensitivity of Arctic sea ice to carbon emissions, Energy Economics, Elsevier (2023) View citations (5) (2023)
7. On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness
   Papers, arXiv.org View citations (17)
   Also in Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum (2022) View citations (3)
8. When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume
   Papers, arXiv.org View citations (6)
   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)
   See also Journal Article When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume, Journal of Econometrics, Elsevier (2023) View citations (6) (2023)

2022

9. 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 (5)
   Also in Papers, arXiv.org (2022) View citations (5)
   See also Journal Article A benchmark model for fixed-target Arctic sea ice forecasting, Economics Letters, Elsevier (2022) View citations (5) (2022)
10. A New Test for Market Efficiency and Uncovered Interest Parity
    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 (2022)
    Papers, arXiv.org (2022)
    See also Journal Article A new test for market efficiency and uncovered interest parity, Journal of International Money and Finance, Elsevier (2023) View citations (1) (2023)
11. On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates
    Papers, arXiv.org View citations (3)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2022) View citations (4)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2021) View citations (3)
    Working Papers, Federal Reserve Bank of Philadelphia (2021) View citations (4)
    See also Journal Article On the aggregation of probability assessments: Regularized mixtures of predictive densities for Eurozone inflation and real interest rates, Journal of Econometrics, Elsevier (2023) View citations (6) (2023)
12. On the Financing of Climate Change Adaptation in Developing Countries
    Papers, arXiv.org
13. 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)
    See also Chapter Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020, Advances in Econometrics, Emerald Group Publishing Limited (2022) (2022)

2021

14. "Big Data" and its Origins
    Papers, arXiv.org View citations (2)
15. 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)
    See also Chapter On the Evolution of US Temperature Dynamics, Advances in Econometrics, Emerald Group Publishing Limited (2022) (2022)
16. Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections
    Papers, arXiv.org View citations (6)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2020)
    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)
    See also Journal Article Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections, Journal of Econometrics, Elsevier (2022) View citations (14) (2022)

2020

17. Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach
    Papers, arXiv.org View citations (4)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2020) View citations (4)
    See also Journal Article Optimal combination of Arctic sea ice extent measures: A dynamic factor modeling approach, International Journal of Forecasting, Elsevier (2021) View citations (13) (2021)
18. 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 (34)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2020) View citations (17)

2019

19. 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 Why are estimates of agricultural supply response so variable?, Journal of Econometrics, Elsevier (1997) View citations (19) (1997)

2018

20. 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 Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives, International Journal of Forecasting, Elsevier (2019) View citations (69) (2019)
21. On the Comparison of Interval Forecasts
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (18)
    See also Journal Article On the Comparison of Interval Forecasts, Journal of Time Series Analysis, Wiley Blackwell (2018) View citations (17) (2018)

2017

22. 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)
23. Commodity Connectedness
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (45)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2017) View citations (47)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2017) View citations (47)
    See also Chapter Commodity Connectedness, Central Banking, Analysis, and Economic Policies Book Series, Central Bank of Chile (2018) View citations (8) (2018)
24. Estimating Global Bank Network Connectedness
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (54)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2015) View citations (20)
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum (2015) View citations (22)
    See also Journal Article Estimating global bank network connectedness, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2018) View citations (284) (2018)
25. Real-time forecast evaluation of DSGE models with stochastic volatility
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (47)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2015) View citations (10)
    NBER Working Papers, National Bureau of Economic Research, Inc (2016) View citations (11)
    See also Journal Article Real-time forecast evaluation of DSGE models with stochastic volatility, Journal of Econometrics, Elsevier (2017) View citations (40) (2017)

2016

26. 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 Assessing point forecast accuracy by stochastic error distance, Econometric Reviews, Taylor & Francis Journals (2017) View citations (7) (2017)

2013

27. Improving GDP Measurement: A Measurement-Error Perspective
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (15)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) View citations (15)
    Working Papers, Federal Reserve Bank of Philadelphia (2013) View citations (27)
    See also Journal Article Improving GDP measurement: A measurement-error perspective, Journal of Econometrics, Elsevier (2016) View citations (46) (2016)
28. 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 (39)

2012

29. A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (4)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2012) View citations (5)
    NBER Working Papers, National Bureau of Economic Research, Inc (2012) View citations (5)
    See also Journal Article A Markov-switching multifractal inter-trade duration model, with application to US equities, Journal of Econometrics, Elsevier (2013) View citations (31) (2013)
30. 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)
31. 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 (44)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) View citations (44)
    See also Journal Article Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests, Journal of Business & Economic Statistics, Taylor & Francis Journals (2015) View citations (221) (2015)
32. Financial Risk Measurement for Financial Risk Management
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) View citations (5)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2011) View citations (8)
    See also Chapter Financial Risk Measurement for Financial Risk Management, Handbook of the Economics of Finance, Elsevier (2013) View citations (42) (2013)
33. 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 On the Correlation Structure of Microstructure Noise: A Financial Economic Approach, The Review of Economic Studies, Review of Economic Studies Ltd (2013) View citations (30) (2013)
34. 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

35. Globalization, the Business Cycle, and Macroeconomic Monitoring
    IMF Working Papers, International Monetary Fund View citations (19)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (17)
    See also Chapter Globalization, the Business Cycle, and Macroeconomic Monitoring, NBER Chapters, National Bureau of Economic Research, Inc (2010) View citations (15) (2010)
    Journal Article Globalization, the Business Cycle, and Macroeconomic Monitoring, NBER International Seminar on Macroeconomics, University of Chicago Press (2011) View citations (20) (2011)
36. 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 Working Papers, Federal Reserve Bank of Philadelphia (2011) View citations (6)
    NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (11)
37. On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (74)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2011) View citations (30)
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum (2011) View citations (52)
    NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (56)
    See also Journal Article On the network topology of variance decompositions: Measuring the connectedness of financial firms, Journal of Econometrics, Elsevier (2014) View citations (2214) (2014)

2010

38. 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 Better to give than to receive: Predictive directional measurement of volatility spillovers, International Journal of Forecasting, Elsevier (2012) View citations (2615) (2012)
39. Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (79)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2010) View citations (66)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2010) View citations (71)
    See also Journal Article Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions, American Economic Review, American Economic Association (2010) View citations (80) (2010)

2008

40. An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2008) View citations (10)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2008) View citations (28)
    See also Journal Article An arbitrage-free generalized Nelson--Siegel term structure model, Econometrics Journal, Royal Economic Society (2009) View citations (67) (2009)
41. 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 (26)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2008) View citations (52)
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum (2007) View citations (7)
42. Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (41)
    Also in Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum (2007) View citations (10)
    Working Papers, Federal Reserve Bank of Philadelphia (2008) View citations (73)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2007) View citations (15)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2008) View citations (39)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2007) View citations (10)
    See also Journal Article Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets, Economic Journal, Royal Economic Society (2009) View citations (1827) (2009)
43. 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)
44. Priors from Frequency-Domain Dummy Observations
    2008 Meeting Papers, Society for Economic Dynamics View citations (2)
45. Real-Time Measurement of Business Conditions
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2007) View citations (4)
    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)
    See also Journal Article Real-Time Measurement of Business Conditions, Journal of Business & Economic Statistics, American Statistical Association (2009) View citations (454) (2009)
46. 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

47. Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (6)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations (8)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2007) View citations (11)
    See also Journal Article Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach, Journal of Econometrics, Elsevier (2008) View citations (164) (2008)
48. 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 (563)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2006) View citations (15)
    See also Journal Article Real-time price discovery in global stock, bond and foreign exchange markets, Journal of International Economics, Elsevier (2007) View citations (531) (2007)
49. 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 (935)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (27)
    See also Journal Article Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility, The Review of Economics and Statistics, MIT Press (2007) View citations (929) (2007)
50. 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 (24)
    See also Journal Article The affine arbitrage-free class of Nelson-Siegel term structure models, Journal of Econometrics, Elsevier (2011) View citations (213) (2011)

2006

51. 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 A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources and Generalized Duration, Chapters, Edward Elgar Publishing (2006) View citations (4) (2006)
52. Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence
    Finance Working Papers, East Asian Bureau of Economic Research View citations (8)
    Also in Finance Working Papers, East Asian Bureau of Economic Research (2006) View citations (8)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2006) View citations (9)
53. 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

54. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (95)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) View citations (95)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2005) View citations (95)
    See also Journal Article A Framework for Exploring the Macroeconomic Determinants of Systematic Risk, American Economic Review, American Economic Association (2005) View citations (95) (2005)
55. 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
56. Modeling Bond Yields in Finance and Macroeconomics
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (147)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2005) View citations (148)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) View citations (150)
    Working Paper Series, Federal Reserve Bank of San Francisco (2005) View citations (123)
    See also Journal Article Modeling Bond Yields in Finance and Macroeconomics, American Economic Review, American Economic Association (2005) View citations (148) (2005)
57. Practical Volatility and Correlation Modeling for Financial Market Risk Management
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (24)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) View citations (17)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2005) View citations (19)
    See also Chapter Practical Volatility and Correlation Modeling for Financial Market Risk Management, NBER Chapters, National Bureau of Economic Research, Inc (2007) View citations (20) (2007)
58. Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (46)
    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)
59. Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) View citations (9)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2005) View citations (9)
    See also Journal Article Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence, Journal of Business & Economic Statistics, American Statistical Association (2009) View citations (86) (2009)
60. Volatility Forecasting
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (41)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2005) View citations (38)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) View citations (56)

2004

61. 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 Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (2)
    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)
    See also Journal Article A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations, The Journal of Business, University of Chicago Press (2006) View citations (115) (2006)
62. Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics
    Econometric Society 2004 Australasian Meetings, Econometric Society
63. 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)
    See also Chapter Realized Beta: Persistence and Predictability, Advances in Econometrics, Emerald Group Publishing Limited (2006) View citations (7) (2006)
64. 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 The macroeconomy and the yield curve: a dynamic latent factor approach, Journal of Econometrics, Elsevier (2006) View citations (609) (2006)
65. 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 (14)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations (15)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2004) View citations (13)
    See also Journal Article The Nobel Memorial Prize for Robert F. Engle, Scandinavian Journal of Economics, Wiley Blackwell (2004) View citations (14) (2004)
66. 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 (8)
    See also Journal Article Weather Forecasting for Weather Derivatives, Journal of the American Statistical Association, American Statistical Association (2005) View citations (137) (2005)

2003

67. Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (15)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (16)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2003) View citations (15)
    See also Journal Article Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics, Management Science, INFORMS (2006) View citations (124) (2006)
68. Forecasting the Term Structure of Government Bond Yields
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (39)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2003) View citations (36)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) View citations (35)
    See also Journal Article Forecasting the term structure of government bond yields, Journal of Econometrics, Elsevier (2006) View citations (826) (2006)
69. Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (45)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2003) View citations (45)
70. 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

71. Financial Asset Returns, Market Timing, and Volatility Dynamics
    CIRANO Working Papers, CIRANO View citations (13)
72. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (34)
    Also in Working Papers, Duke University, Department of Economics (2002) View citations (33)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) View citations (61)
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2002) View citations (33)
    See also Journal Article Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange, American Economic Review, American Economic Association (2003) View citations (846) (2003)
73. Modeling and Forecasting Realized Volatility
    Working Papers, Duke University, Department of Economics View citations (29)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (61)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2001) View citations (45)
    See also Journal Article Modeling and Forecasting Realized Volatility, Econometrica, Econometric Society (2003) View citations (1993) (2003)
74. Parametric and Nonparametric Volatility Measurement
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (71)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2002) View citations (63)

2001

75. 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

76. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (114)
    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 Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian, Multinational Finance Journal, Multinational Finance Journal (2000) View citations (103) (2000)
77. Long Memory and Regime Switching
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (44)
    See also Journal Article Long memory and regime switching, Journal of Econometrics, Elsevier (2001) View citations (703) (2001)
78. 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)
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (1997) View citations (11)
    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)
    See also Journal Article Measuring predictability: theory and macroeconomic applications, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2001) View citations (63) (2001)
79. 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 Ratings migration and the business cycle, with application to credit portfolio stress testing, Journal of Banking & Finance, Elsevier (2002) View citations (261) (2002)
80. The Distribution of Stock Return Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (41)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2000) View citations (31)

1999

81. (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 (56)
82. 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)
83. 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)
84. The Distribution of Exchange Rate Volatility
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (47)
    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 (89)
    NBER Working Papers, National Bureau of Economic Research, Inc (1999) View citations (54)
85. 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 Unit-Root Tests Are Useful for Selecting Forecasting Models, Journal of Business & Economic Statistics, American Statistical Association (2000) View citations (101) (2000)

1998

86. Dynamic equilibrium economies: a framework for comparing models and data
    Staff Report, Federal Reserve Bank of Minneapolis View citations (97)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (1995) View citations (14)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1997) View citations (16)
    Working Papers, Federal Reserve Bank of Philadelphia (1997) View citations (6)
    See also Journal Article Dynamic Equilibrium Economies: A Framework for Comparing Models and Data, The Review of Economic Studies, Review of Economic Studies Ltd (1998) View citations (102) (1998)
87. 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 (43)
88. 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 (29)
    See also Journal Article Horizon problems and extreme events in financial risk management, Economic Policy Review, Federal Reserve Bank of New York (1998) View citations (27) (1998)
89. 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 NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations (6)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1997) View citations (5)
    See also Journal Article How Relevant is Volatility Forecasting for Financial Risk Management?, The Review of Economics and Statistics, MIT Press (2000) View citations (143) (2000)
90. 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 (20)
91. 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 (67)
    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 (62)
    See also Journal Article Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management, Journal of Risk Finance, Emerald Group Publishing Limited (2000) View citations (5) (2000)
92. Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (2)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1998) View citations (2)
    NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations (3)

1997

93. 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 Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers, Economic Journal, Royal Economic Society (1997) View citations (10) (1997)
94. Cointegration and Long-Horizon Forecasting
    IMF Working Papers, International Monetary Fund View citations (14)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (1997) View citations (33)
    Working Papers, Federal Reserve Bank of Philadelphia (1997) View citations (11)
    See also Journal Article Cointegration and Long-Horizon Forecasting, Journal of Business & Economic Statistics, American Statistical Association (1998) View citations (105) (1998)
95. 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 (24)
96. Evaluating Density Forecasts
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (18)
    Also in CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences View citations (18)
    Working Papers, Federal Reserve Bank of Philadelphia (1997) View citations (11)
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (1997) View citations (75)
97. Optimal prediction under asymmetric loss
    Working Papers, Federal Reserve Bank of Philadelphia View citations (178)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (1994) View citations (13)
    Home Pages, University of Pennsylvania
    CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences View citations (180)
    See also Journal Article Optimal Prediction Under Asymmetric Loss, Econometric Theory, Cambridge University Press (1997) View citations (193) (1997)
98. 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 The Past, Present, and Future of Macroeconomic Forecasting, Journal of Economic Perspectives, American Economic Association (1998) View citations (110) (1998)

1996

99. 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)
100. Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models
     NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (6)
101. Forecast Evaluation and Combination
     NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (333)
     Also in Research Paper, Federal Reserve Bank of New York (1995) View citations (39)

1995

102. Measuring Volatility Dynamics
     NBER Technical Working Papers, National Bureau of Economic Research, Inc
103. Modeling volatility dynamics
     Research Paper, Federal Reserve Bank of New York View citations (43)
     Also in Home Pages, University of Pennsylvania View citations (15)

1994

104. Comparing Predictive Accuracy
     NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (31)
     See also Journal Article Comparing Predictive Accuracy, Journal of Business & Economic Statistics, American Statistical Association (2002) View citations (513) (2002)
105. 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)
106. Measuring Business Cycles: A Modern Perspective
     NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
     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 (288) (1996)

1993

107. Exact maximum likelihood estimation of ARCH models
     Working Papers, Federal Reserve Bank of Philadelphia View citations (3)
108. 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 (137) (1994)
109. On comparing information in forecasts from econometric models: a comment on Fair and Shiller
     Working Papers, Federal Reserve Bank of Philadelphia
110. 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 (75) (1994)
111. Regime switching with time-varying transition probabilities
     Working Papers, Federal Reserve Bank of Philadelphia View citations (90)
112. 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 (148) (1996)

1992

113. 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

114. Comparing predictive accuracy I: an asymptotic test
     Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations (10)
115. 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)
116. 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 (61) (1992)

1990

117. International evidence on business cycle duration dependence
     Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations (7)
118. 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 (274) (1991)
119. 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

120. 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 (77)
     See also Journal Article Forecast combination and encompassing: Reconciling two divergent literatures, International Journal of Forecasting, Elsevier (1989) View citations (76) (1989)
121. 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 (68)
122. 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 (49) (1991)
123. 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 (247) (1990)

1988

124. 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)
125. 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)
126. Conditional heteroskedasticity in the market
     Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
127. 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.)
128. 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 (304) (1989)
129. On the solution of dynamic linear rational expectations models
     Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
130. 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)
131. 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)
132. 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)
133. 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

134. 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.)
135. Does the business cycle have duration memory?
     Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (3)
136. 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)
137. 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 (94) (1990)

1986

138. Structural change and the combination of forecasts
     Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (8)
     See also Journal Article Structural change and the combination of forecasts, Journal of Forecasting, John Wiley & Sons, Ltd. (1987) View citations (10) (1987)
139. 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)
140. 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

141. 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 (84) (1996)
142. Stamp 5.0: A Review
     Home Pages, University of Pennsylvania

Journal Articles

2024

1. Reprint of: When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume
   Journal of Econometrics, 2024, 239, (1)

2023

2. A new test for market efficiency and uncovered interest parity
   Journal of International Money and Finance, 2023, 130, (C) View citations (1)
   See also Working Paper A New Test for Market Efficiency and Uncovered Interest Parity, NBER Working Papers (2022) (2022)
3. Assessing and comparing fixed-target forecasts of Arctic sea ice: Glide charts for feature-engineered linear regression and machine learning models
   Energy Economics, 2023, 124, (C) View citations (1)
   See also Working Paper Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice: Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models, Papers (2023) View citations (1) (2023)
4. Climate models underestimate the sensitivity of Arctic sea ice to carbon emissions
   Energy Economics, 2023, 126, (C) View citations (5)
   See also Working Paper Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions, Papers (2023) View citations (6) (2023)
5. On the aggregation of probability assessments: Regularized mixtures of predictive densities for Eurozone inflation and real interest rates
   Journal of Econometrics, 2023, 237, (2) View citations (6)
   See also Working Paper On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates, Papers (2022) View citations (3) (2022)
6. Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms
   Journal of Econometrics, 2023, 234, (S), 70-90
7. When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume
   Journal of Econometrics, 2023, 236, (2) View citations (6)
   See also Working Paper When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume, Papers (2023) View citations (6) (2023)

2022

8. A benchmark model for fixed-target Arctic sea ice forecasting
   Economics Letters, 2022, 215, (C) View citations (5)
   See also Working Paper A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting, PIER Working Paper Archive (2022) View citations (5) (2022)
9. Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections
   Journal of Econometrics, 2022, 231, (2), 520-534 View citations (14)
   See also Working Paper Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections, Papers (2021) View citations (6) (2021)

2021

10. Optimal combination of Arctic sea ice extent measures: A dynamic factor modeling approach
    International Journal of Forecasting, 2021, 37, (4), 1509-1519 View citations (13)
    See also Working Paper Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach, Papers (2020) View citations (4) (2020)

2020

11. 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

12. Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives
    International Journal of Forecasting, 2019, 35, (4), 1679-1691 View citations (69)
    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

13. Estimating global bank network connectedness
    Journal of Applied Econometrics, 2018, 33, (1), 1-15 View citations (284)
    See also Working Paper Estimating Global Bank Network Connectedness, NBER Working Papers (2017) View citations (54) (2017)
14. 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

15. 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)
16. Real-time forecast evaluation of DSGE models with stochastic volatility
    Journal of Econometrics, 2017, 201, (2), 322-332 View citations (40)
    See also Working Paper Real-time forecast evaluation of DSGE models with stochastic volatility, CFS Working Paper Series (2017) View citations (47) (2017)

2016

17. Improving GDP measurement: A measurement-error perspective
    Journal of Econometrics, 2016, 191, (2), 384-397 View citations (46)
    See also Working Paper Improving GDP Measurement: A Measurement-Error Perspective, PIER Working Paper Archive (2013) View citations (15) (2013)
18. Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014
    Journal of Financial Econometrics, 2016, 14, (1), 81-127 View citations (114)

2015

19. Assessing point forecast accuracy by stochastic loss distance
    Economics Letters, 2015, 130, (C), 37-38 View citations (6)
20. 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 (221)
    See also Working Paper Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests, PIER Working Paper Archive (2012) View citations (44) (2012)
21. Rejoinder
    Journal of Business & Economic Statistics, 2015, 33, (1), 24-24

2014

22. On the network topology of variance decompositions: Measuring the connectedness of financial firms
    Journal of Econometrics, 2014, 182, (1), 119-134 View citations (2214)
    See also Working Paper On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms, PIER Working Paper Archive (2011) View citations (74) (2011)

2013

23. 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, Working Papers (2012) View citations (4) (2012)
24. On the Correlation Structure of Microstructure Noise: A Financial Economic Approach
    The Review of Economic Studies, 2013, 80, (4), 1304-1337 View citations (30)
    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

25. Better to give than to receive: Predictive directional measurement of volatility spillovers
    International Journal of Forecasting, 2012, 28, (1), 57-66 View citations (2615)
    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

26. Globalization, the Business Cycle, and Macroeconomic Monitoring
    NBER International Seminar on Macroeconomics, 2011, 7, (1), 245 - 286 View citations (20)
    See also Chapter Globalization, the Business Cycle, and Macroeconomic Monitoring, NBER Chapters, 2010, 245-286 (2010) View citations (15) (2010)
    Working Paper Globalization, the Business Cycle, and Macroeconomic Monitoring, IMF Working Papers (2011) View citations (19) (2011)
27. The affine arbitrage-free class of Nelson-Siegel term structure models
    Journal of Econometrics, 2011, 164, (1), 4-20 View citations (213)
    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

28. 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

29. An arbitrage-free generalized Nelson--Siegel term structure model
    Econometrics Journal, 2009, 12, (3), C33-C64 View citations (67)
    See also Working Paper An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model, NBER Working Papers (2008) View citations (13) (2008)
30. 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 (28) (2011)
31. Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
    Economic Journal, 2009, 119, (534), 158-171 View citations (1827)
    Also in Economic Journal, 2009, 119, (534), 158-171 (2009) View citations (1736)
    See also Working Paper Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets, NBER Working Papers (2008) View citations (41) (2008)
32. Real-Time Measurement of Business Conditions
    Journal of Business & Economic Statistics, 2009, 27, (4), 417-427 View citations (454)
    See also Working Paper Real-Time Measurement of Business Conditions, NBER Working Papers (2008) View citations (9) (2008)
33. Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
    Journal of Business & Economic Statistics, 2009, 27, (2), 266-278 View citations (86)
    Also in Proceedings, 2005 (2005) View citations (6)
    See also Working Paper Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence, NBER Working Papers (2005) View citations (10) (2005)

2008

34. Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach
    Journal of Econometrics, 2008, 146, (2), 351-363 View citations (164)
    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

35. Real-time price discovery in global stock, bond and foreign exchange markets
    Journal of International Economics, 2007, 73, (2), 251-277 View citations (531)
    See also Working Paper Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets, CREATES Research Papers (2007) View citations (563) (2007)
36. 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 (929)
    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 (935) (2007)

2006

37. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
    The Journal of Business, 2006, 79, (1), 61-74 View citations (115)
    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)
38. Comment
    Journal of Business & Economic Statistics, 2006, 24, 181-183
39. Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
    Management Science, 2006, 52, (8), 1273-1287 View citations (124)
    See also Working Paper Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics, PIER Working Paper Archive (2003) View citations (15) (2003)
40. Forecasting the term structure of government bond yields
    Journal of Econometrics, 2006, 130, (2), 337-364 View citations (826)
    See also Working Paper Forecasting the Term Structure of Government Bond Yields, NBER Working Papers (2003) View citations (39) (2003)
41. The econometrics of macroeconomics, finance, and the interface
    Journal of Econometrics, 2006, 131, (1-2), 1-2
42. The macroeconomy and the yield curve: a dynamic latent factor approach
    Journal of Econometrics, 2006, 131, (1-2), 309-338 View citations (609)
    See also Working Paper The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach, NBER Working Papers (2004) View citations (23) (2004)

2005

43. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
    American Economic Review, 2005, 95, (2), 398-404 View citations (95)
    See also Working Paper A Framework for Exploring the Macroeconomic Determinants of Systematic Risk, NBER Working Papers (2005) View citations (95) (2005)
44. From the horse’s mouth: gauging conditional expected stock returns from investor surveys
    Proceedings, 2005 View citations (1)
45. Modeling Bond Yields in Finance and Macroeconomics
    American Economic Review, 2005, 95, (2), 415-420 View citations (148)
    See also Working Paper Modeling Bond Yields in Finance and Macroeconomics, NBER Working Papers (2005) View citations (147) (2005)
46. Robust estimation - discussion
    Proceedings, 2005, 82-85
47. Weather Forecasting for Weather Derivatives
    Journal of the American Statistical Association, 2005, 100, 6-16 View citations (137)
    See also Working Paper Weather forecasting for weather derivatives, CFS Working Paper Series (2004) View citations (4) (2004)

2004

48. 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, PIER Working Paper Archive (2004) View citations (14) (2004)

2003

49. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
    American Economic Review, 2003, 93, (1), 38-62 View citations (846)
    See also Working Paper Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange, NBER Working Papers (2002) View citations (34) (2002)
50. Modeling and Forecasting Realized Volatility
    Econometrica, 2003, 71, (2), 579-625 View citations (1993)
    See also Working Paper Modeling and Forecasting Realized Volatility, Working Papers (2002) View citations (29) (2002)
51. THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003
    Econometric Theory, 2003, 19, (6), 1159-1193 View citations (9)

2002

52. Comparing Predictive Accuracy
    Journal of Business & Economic Statistics, 2002, 20, (1), 134-44 View citations (513)
    Also in Journal of Business & Economic Statistics, 1995, 13, (3), 253-63 (1995) View citations (5202)
    See also Working Paper Comparing Predictive Accuracy, NBER Technical Working Papers (1994) View citations (31) (1994)
53. Range‐Based Estimation of Stochastic Volatility Models
    Journal of Finance, 2002, 57, (3), 1047-1091 View citations (506)
54. 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 (261)
    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)
55. Symposium on Forecasting Performance: An Introduction
    IMF Staff Papers, 2002, 49, (1), 1

2001

56. Econometrics: Retrospect and prospect
    Journal of Econometrics, 2001, 100, (1), 73-75 View citations (2)
57. Five questions about business cycles
    Economic Review, 2001, 1-15 View citations (14)
58. Forecasting and empirical methods in finance and macroeconomics
    Journal of Econometrics, 2001, 105, (1), 1-3
59. Long memory and regime switching
    Journal of Econometrics, 2001, 105, (1), 131-159 View citations (703)
    See also Working Paper Long Memory and Regime Switching, NBER Technical Working Papers (2000) View citations (44) (2000)
60. Measuring predictability: theory and macroeconomic applications
    Journal of Applied Econometrics, 2001, 16, (6), 657-669 View citations (63)
    See also Working Paper Measuring Predictability: Theory And Macroeconomic Applications, CEPR Discussion Papers (2000) (2000)
61. The Distribution of Realized Exchange Rate Volatility
    Journal of the American Statistical Association, 2001, 96, 42-55 View citations (1162)
62. The distribution of realized stock return volatility
    Journal of Financial Economics, 2001, 61, (1), 43-76 View citations (1121)

2000

63. 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)
64. How Relevant is Volatility Forecasting for Financial Risk Management?
    The Review of Economics and Statistics, 2000, 82, (1), 12-22 View citations (143)
    See also Working Paper How Relevant is Volatility Forecasting for Financial Risk Management?, New York University, Leonard N. Stern School Finance Department Working Paper Seires (1998) View citations (10) (1998)
65. Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management
    Journal of Risk Finance, 2000, 1, (2), 30-35 View citations (5)
    See also Working Paper Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management, Center for Financial Institutions Working Papers (1998) View citations (67) (1998)
66. Unit-Root Tests Are Useful for Selecting Forecasting Models
    Journal of Business & Economic Statistics, 2000, 18, (3), 265-73 View citations (101)
    See also Working Paper Unit Root Tests Are Useful for Selecting Forecasting Models, NBER Working Papers (1999) View citations (17) (1999)

1999

67. 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 (219)

1998

68. Bootstrapping Multivariate Spectra
    The Review of Economics and Statistics, 1998, 80, (4), 664-666 View citations (36)
69. 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, IMF Working Papers (1997) View citations (14) (1997)
70. Dynamic Equilibrium Economies: A Framework for Comparing Models and Data
    The Review of Economic Studies, 1998, 65, (3), 433-451 View citations (102)
    See also Working Paper Dynamic equilibrium economies: a framework for comparing models and data, Staff Report (1998) View citations (97) (1998)
71. Evaluating Density Forecasts with Applications to Financial Risk Management
    International Economic Review, 1998, 39, (4), 863-83 View citations (825)
72. 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)
73. Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors' Introduction
    International Economic Review, 1998, 39, (4), 811-15 View citations (5)
74. 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

75. 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)
76. 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)
77. Optimal Prediction Under Asymmetric Loss
    Econometric Theory, 1997, 13, (6), 808-817 View citations (193)
    See also Working Paper Optimal prediction under asymmetric loss, Working Papers (1997) View citations (178) (1997)
78. 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

79. Fractional integration and interval prediction
    Economics Letters, 1996, 50, (3), 305-313 View citations (20)
80. Further Results on Forecasting and Model Selection under Asymmetric Loss
    Journal of Applied Econometrics, 1996, 11, (5), 561-71 View citations (84)
    See also Working Paper Further Results on Forecasting and Model Selection Under Asymmetric Loss, Home Pages
81. Measuring Business Cycles: A Modern Perspective
    The Review of Economics and Statistics, 1996, 78, (1), 67-77 View citations (288)
    See also Working Paper Measuring Business Cycles: A Modern Perspective, NBER Working Papers (1994) View citations (20) (1994)
82. Software review
    International Journal of Forecasting, 1996, 12, (2), 309-315 View citations (1)
83. Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures
    Journal of Econometrics, 1996, 70, (1), 221-241 View citations (148)
    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)
84. The Uncertain Unit Root in Real GNP: Comment
    American Economic Review, 1996, 86, (5), 1291-98 View citations (93)

1994

85. On Cointegration and Exchange Rate Dynamics
    Journal of Finance, 1994, 49, (2), 727-35 View citations (137)
    See also Working Paper On cointegration and exchange rate dynamics, Working Papers (1993) View citations (19) (1993)
86. 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 (75)
    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

87. Are long expansions followed by short contractions?
    Business Review, 1993, (Jul), 3-11 View citations (1)
88. 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

89. 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)
90. Have Postwar Economic Fluctuations Been Stabilized?
    American Economic Review, 1992, 82, (4), 993-1005 View citations (61)
    See also Working Paper Have postwar economic fluctuations been stabilized?, Working Paper Series / Economic Activity Section (1991) View citations (2) (1991)

1991

91. Is Consumption Too Smooth? Long Memory and the Deaton Paradox
    The Review of Economics and Statistics, 1991, 73, (1), 1-9 View citations (49)
    See also Working Paper Is consumption too smooth? Long memory and the Deaton paradox, Finance and Economics Discussion Series (1989) View citations (1) (1989)
92. On the power of Dickey-Fuller tests against fractional alternatives
    Economics Letters, 1991, 35, (2), 155-160 View citations (274)
    See also Working Paper On the power of Dickey-Fuller tests against fractional alternatives, Finance and Economics Discussion Series (1990) View citations (6) (1990)
93. 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)
94. Shorter recessions and longer expansions
    Business Review, 1991, (Nov), 13-20 View citations (1)

1990

95. 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)
96. Nonparametric exchange rate prediction?
    Journal of International Economics, 1990, 28, (3-4), 315-332 View citations (247)
    See also Working Paper Nonparametric exchange rate prediction?, Finance and Economics Discussion Series (1989) View citations (2) (1989)
97. Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics
    Journal of Business & Economic Statistics, 1990, 8, (3), 281-91 View citations (37)
98. The use of prior information in forecast combination
    International Journal of Forecasting, 1990, 6, (4), 503-508 View citations (94)
    See also Working Paper The use of prior information in forecast combination, Special Studies Papers (1987) View citations (2) (1987)

1989

99. Forecast combination and encompassing: Reconciling two divergent literatures
    International Journal of Forecasting, 1989, 5, (4), 589-592 View citations (76)
    See also Working Paper Forecast combination and encompassing: reconciling two divergent literatures, Finance and Economics Discussion Series (1989) View citations (77) (1989)
100. Long memory and persistence in aggregate output
     Journal of Monetary Economics, 1989, 24, (2), 189-209 View citations (304)
     See also Working Paper Long memory and persistence in aggregate output, Finance and Economics Discussion Series (1988) View citations (35) (1988)
101. 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)
102. 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)
103. Structural Time Series Analysis and Modelling Package: A Review
     Journal of Applied Econometrics, 1989, 4, (2), 195-204 View citations (3)
104. 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

105. 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)
106. Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate
     European Economic Review, 1988, 32, (1), 27-53 View citations (18)
107. Has the EMS Reduced Member-Country Exchange Rate Volatility?
     Empirical Economics, 1988, 13, (2), 81-102 View citations (12)
108. Serial Correlation and the Combination of Forecasts
     Journal of Business & Economic Statistics, 1988, 6, (1), 105-11 View citations (38)
109. Testing for bubbles, reflecting barriers and other anomalies
     Journal of Economic Dynamics and Control, 1988, 12, (1), 63-70 View citations (2)

1987

110. Structural change and the combination of forecasts
     Journal of Forecasting, 1987, 6, (1), 21-40 View citations (10)
     See also Working Paper Structural change and the combination of forecasts, Special Studies Papers (1986) View citations (8) (1986)

1986

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

Books

2015

1. Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring
   OUP Catalogue, Oxford University Press View citations (263)

2012

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

2010

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

1999

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

Edited books

2012

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

Chapters

2022

1. On the Evolution of US Temperature Dynamics
   A chapter in Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling, 2022, vol. 43A, pp 9-28
   See also Working Paper On the Evolution of U.S. Temperature Dynamics, arXiv.org (2021) (2021)
2. Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020
   A chapter in Essays in Honour of Fabio Canova, 2022, vol. 44A, pp 5-24
   See also Working Paper Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020, arXiv.org (2022) View citations (5) (2022)

2018

3. 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 (45) (2017)

2013

4. Financial Risk Measurement for Financial Risk Management
   Elsevier View citations (42)
   See also Working Paper Financial Risk Measurement for Financial Risk Management, National Bureau of Economic Research, Inc (2012) View citations (9) (2012)

2012

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

2011

6. 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 Equity Market Spillovers in the Americas, Central Bank of Chile (2009) View citations (9) (2009)

2010

7. 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)
8. Introduction
   A chapter in The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice, 2010

2007

9. 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, National Bureau of Economic Research, Inc (2005) View citations (24) (2005)

2006

10. 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)
11. Realized Beta: Persistence and Predictability
    A chapter in Econometric Analysis of Financial and Economic Time Series, 2006, pp 1-39 View citations (7)
    See also Working Paper Realized Beta: Persistence and Predictability, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2004) View citations (13) (2004)
12. Volatility and Correlation Forecasting
    Elsevier View citations (284)

1995

13. On Asymmetry in Economic Time Series
    A chapter in Economics, Econometrics and the LINK: Essays in Honor of Lawrence R.Klein, 1995, pp 119-128

1993

14. 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)