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List of works by Francis X. Diebold

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

scientific article published in February 2005

A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities

scientific article published in May 2012

A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations

scientific article published in May 2003

An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model

scientific article published in November 2008

Assessing Point Forecast Accuracy by Stochastic Error Distance

Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers

scientific article published in March 1996

Cointegration and Long-Horizon Forecasting

scientific article published in October 1997

Commodity Connectedness

scientific article published in August 2017

Comparing Predictive Accuracy

scientific article published in November 1994

Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests

scientific article published in September 2012

Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again

scientific article published in March 1996

Dynamic Equilibrium Economies: A Framework for Comparing Models and Data

scientific article published in February 1995

Estimating Global Bank Network Connectedness

scientific article published in February 2017

Evaluating Density Forecasts

Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters

Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models

scientific article published in April 1996

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian

scientific article published in January 2000

Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics

Financial Risk Measurement for Financial Risk Management

scientific article published in May 2012

Forecast Evaluation and Combination

scientific article published in March 1996

Forecasting the Term Structure of Government Bond Yields

Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach

scientific article published in November 2007

Globalization, the Business Cycle, and Macroeconomic Monitoring

High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models

How Relevant is Volatility Forecasting for Financial Risk Management?

scientific article published in December 1998

Improving GDP Measurement: A Forecast Combination Perspective

Improving GDP Measurement: A Measurement-Error Perspective

scientific article published in April 2013

Job Stability in the United States

scientific article published in September 1994

Long Memory and Regime Switching

scientific article published in November 2000

Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives

scientific article published in September 2018

Macroeconomic Volatility and Stock Market Volatility, Worldwide

scientific article published in August 2008

Measuring Business Cycles: A Modern Perspective

scientific article published in February 1994

Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets

scientific article published in February 2008

Measuring Predictability: Theory and Macroeconomic Applications

scientific article published in August 1997

Measuring Volatility Dynamics

scientific article published in February 1995

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

scientific article published in May 2002

Modeling Bond Yields in Finance and Macroeconomics

scientific article published in January 2005

Modeling and Forecasting Realized Volatility

scientific article published in March 2001

On the Correlation Structure of Microstructure Noise: A Financial Economic Approach

scientific article published in October 2010

On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms

scientific article published in October 2011

Optimal Prediction Under Asymmetric Loss

scientific article published in October 1994

Parametric and Nonparametric Volatility Measurement

Practical Volatility and Correlation Modeling for Financial Market Risk Management

scientific article published in January 2005

Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections

scientific article published in December 2020

Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility

scientific article published in September 2016

Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions

scientific article published in January 2010

Real-Time Measurement of Business Conditions

scientific article published in September 2008

Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange

scientific article published in December 1998

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets

scientific article published in May 2005

Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession

scientific article published in July 2020

Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility

scientific article published in November 2005

Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence

The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models

scientific article published in November 2007

The Distribution of Exchange Rate Volatility

scientific article published in February 1999

The Distribution of Stock Return Volatility

scientific article published in October 2000

The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach

scientific article published in July 2004

The Nobel Memorial Prize for Robert F. Engle

scientific article published in April 2004

Unit Root Tests Are Useful for Selecting Forecasting Models

scientific article published in February 1999

Volatility Forecasting

scientific article published in March 2005

Weather Forecasting for Weather Derivatives

scientific article published in December 2003