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[PDF] Comparing predictive accuracy

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FX Diebold… - Journal of business and economic statistics, 2002 - ASA
Page 1. © 1995 American Statistical Association Journal of Business & Economic
Statistics, July 1995, Vol. 13, No. 3 Comparing Predictive Accuracy Francis X. Diebold
Department of Economics, University of Pennsylvania, Philadelphia ...
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Modeling and forecasting realized volatility

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TG Andersen, T Bollerslev, FX Diebold… - Econometrica, 2003 - Wiley Online Library
Page 1. Econometrica, Vol. 71, No. 2 (March, 2003), 579–625 MODELING AND
FORECASTING REALIZED VOLATILITY By Torben G. Andersen, Tim Bollerslev,
Francis X. Diebold, and Paul Labys1 We provide a framework ...
Cited by 1503 - Related articles - Library Search - BL Direct - All 67 versions

The distribution of exchange rate volatility

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T Andersen, T Bollerslev, FX Diebold… - 1999 - nber.org
Page 1. NBER WORKING PAPER SERIES THE DISTRIBUTION OF EXCHANGE
RATE VOLATILITY Torben G. Anderson Tim Bollerslev Francis X. Diebold Paul Labys
Working Paper 6961 http://www.nber.org/papers/w6961 ...
Cited by 1297 - Related articles - Library Search - BL Direct - All 54 versions

The distribution of realized stock return volatility

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TG Andersen, T Bollerslev, FX Diebold… - Journal of Financial …, 2001 - Elsevier
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Evaluating density forecasts

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FX Diebold, TA Gunther… - 1997 - nber.org
Page 1. TECHNICAL WORKING PAPER SERIES EVALUATING DENSITY
FORECASTS Francis X. Diebold Todd A. Günther Anthony S. Tay Technical Working
Paper 215 NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 ...
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Long memory and regime switching

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FX Diebold… - Journal of Econometrics, 2001 - Elsevier
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Micro effects of macro announcements: Real-time price discovery in foreign exchange

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TG Andersen, T Bollerslev, FX Diebold… - 2002 - nber.org
Page 1. NBER WORKING PAPER SERIES MICRO EFFECTS OF MACRO
ANNOUNCEMENTS: REAL-TIME PRICE DISCOVERY IN FOREIGN EXCHANGE
Torben G. Andersen Tim Bollerslev Francis X. Diebold Clara Vega ...
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Forecasting the term structure of government bond yields

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FX Diebold… - Journal of Econometrics, 2006 - Elsevier
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Range‐based estimation of stochastic volatility models

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S Alizadeh, MW Brandt… - The Journal of Finance, 2002 - Wiley Online Library
Page 1. Range-Based Estimation of Stochastic Volatility Models SASSAN ALIZADEH,
MICHAEL W. BRANDT, and FRANCIS X. DIEBOLD* ABSTRACT We propose using
the price range in the estimation of stochastic volatility models. ...
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The dynamics of exchange rate volatility: a multivariate latent factor ARCH model

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FX Diebold… - Journal of Applied Econometrics, 1989 - Wiley Online Library
Page 1. JOURNAL OF APPLIED ECONOMETRICS, VOL. 4, 1-21 (1989) THE
DYNAMICS OF EXCHANGE RATE VOLATILITY: A MULTIVARIATE LATENT FACTOR
ARCH MODEL FRANCIS X. DIEBOLD Board of Governors ...
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Long memory and persistence in aggregate output

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FX Diebold… - Journal of monetary economics, 1989 - Elsevier
... Summer Institute. Paula Decubellis provided persistently good research assistance.
This paper was completed while Francis Diebold was an economist at the Board of
Governors of the Federal Reserve System. The views expressed ...
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Regime switching with time-varying transition probabilities

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FX Diebold, JH Lee… - 1994 - books.google.com
Page 162. Regime Switching with Time-Varying Transition Probabilities FRANCIS
X. DIEBOLD, JOON-HAENG LEE, AND GRETCHEN C. WEINBACH* 1. Introduction
Models incorporating nonlinearities associated with regime ...
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Nonparametric exchange rate prediction?

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FX Diebold… - Journal of international Economics, 1990 - Elsevier
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Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility

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TG Andersen, T Bollerslev… - The Review of Economics and …, 2007 - MIT Press
Page 1. ROUGHING IT UP: INCLUDING JUMP COMPONENTS IN THE
MEASUREMENT, MODELING, AND FORECASTING OF RETURN VOLATILITY
Torben G. Andersen, Tim Bollerslev, and Francis X. Diebold* Abstract—A ...
Cited by 392 - Related articles - Library Search - BL Direct - All 23 versions

Real-time price discovery in stock, bond and foreign exchange markets

[PDF] from psu.edu
TG Andersen, T Bollerslev, FX Diebold… - 2005 - nber.org
Page 1. NBER WORKING PAPER SERIES REAL-TIME PRICE DISCOVERY IN STOCK, BOND
AND FOREIGN EXCHANGE MARKETS Torben G. Andersen Tim Bollerslev Francis X. Diebold
Clara Vega Working Paper 11312 http://www.nber.org/papers/w11312 ...
Cited by 382 - Related articles - Library Search - BL Direct - All 50 versions

Real exchange rates under the gold standard

FX Diebold, S Husted… - Journal of Political Economy, 1991 - JSTOR
Page 1. Real Exchange Rates under the Gold Standard Francis X. Diebold University
of Pennsylvania Steven Husted University of Pittsburgh Mark Rush University of Florida
Purchasing power parity is one of the most important ...
Cited by 373 - Related articles - Get it from MIT Libraries - All 11 versions

Ratings migration and the business cycle, with application to credit portfolio stress testing

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A Bangia, FX Diebold, A Kronimus… - Journal of Banking & …, 2002 - Elsevier
Cited by 380 - Related articles - Library Search - All 37 versions

Measuring business cycles: A modern perspective

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FX Diebold… - 1994 - nber.org
Page 1. NBER WORKING PAPER SERIES MEASURING BUSINESS CYCLES:
MODERN PERSPECTIVE Francis X. Diebold Glenn D. Rudcbusch Working Paper
No. 4643 NATIONAL BUREAU OF ECONOMIC RESEARCH ...
Cited by 373 - Related articles - Library Search - BL Direct - All 22 versions

Parametric and nonparametric volatility measurement

[PDF] from duke.edu
TG Andersen, T Bollerslev… - 2002 - nber.org
Page 1. TECHNICAL WORKING PAPER SERIES PARAMETRIC AND NONPARAMETRIC
VOLATILITY MEASUREMENT Torben G. Andersen Tim Bollerslev Francis X. Diebold
Technical Working Paper 279 http://www.nber.org/papers/T0279 ...
Cited by 367 - Related articles - Library Search - BL Direct - All 46 versions

The macroeconomy and the yield curve: a dynamic latent factor approach

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FX Diebold, GD Rudebusch… - Journal of Econometrics, 2006 - Elsevier
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On the power of Dickey-Fuller tests against fractional alternatives

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FX Diebold… - Economics Letters, 1991 - Elsevier
Cited by 335 - Related articles - Library Search - All 9 versions

Scoring the leading indicators

FX Diebold… - Journal of Business, 1989 - JSTOR
Page 1. Francis X. Diebold Glenn D. Rudebusch Federal Reserve Board Scoring
the Leading Indicators* I. Introduction To economic agents suffering through cycles
of prosperity and depression, the prospect of a set of indicators ...
Cited by 317 - Related articles - Get it from MIT Libraries - Library Search - All 10 versions

Volatility and correlation forecasting

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TG Andersen, T Bollerslev, PF Christoffersen… - Handbook of economic …, 2006 - Elsevier
Cited by 274 - Related articles - Library Search - All 53 versions

How relevant is volatility forecasting for financial risk management?

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PF Christoffersen… - Review of Economics and Statistics, 2000 - MIT Press
Page 1. HOW RELEVANT IS VOLATILITY FORECASTING FOR FINANCIAL RISK
MANAGEMENT? Peter F. Christoffersen and Francis X. Diebold* Abstract—It depends.
If volatility fluctuates in a forecastable way, volatility forecasts ...
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Forecasting output with the composite leading index: A real-time analysis

[PDF] from upenn.edu
FX Diebold… - Journal of the American Statistical …, 1991 - JSTOR
Page 1. Forecasting Output With the Composite Leading Index: A Real-Time Analysis
FRANCIS X. DIEBOLD and GLENN D. RUDEBUSCH* We examine the ability of the
composite index of leading economic indicators to predict ...
Cited by 222 - Related articles - Get it from MIT Libraries - All 10 versions

Multivariate density forecast evaluation and calibration in financial risk management: high-frequency returns on foreign exchange

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FX Diebold, J Hahn… - Review of Economics and Statistics, 1999 - MIT Press
Page 1. MULTIVARIATE DENSITY FORECAST EVALUATION AND CALIBRATION IN
FINANCIAL RISK MANAGEMENT: HIGH-FREQUENCY RETURNS ON FOREIGN
EXCHANGE Francis X. Diebold, Jinyong Hahn, and Anthony S. Tay* ...
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Job stability in the United States

FX Diebold, D Neumark… - 1994 - nber.org
Page 1. NBER WORKING PAPER SERIES JOB STABILITY IN THE UNITED STATES
Francis X. Diebold David Neumark Daniel Poisky Working Paper No. 4859 NATIONAL
BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts ...
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Optimal prediction under asymmetric loss

[PDF] from duke.edu
PF Christoffersen… - 1994 - nber.org
Page 1. NB WOR}TG PAP. SERIES MONEY AND BCO€ CAUSALITX' DETECTION Cheng
Hsiao Working Paper No. 167 COUI'ER RESEARCH CENTER FOR ECONOMICSAND
MANAGflIENT SCIEJCE National Bureau of Economic Research, Inc. ...
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Exchange rate returns standardized by realized volatility are (nearly) Gaussian

[PDF] from duke.edu
TG Andersen, T Bollerslev, FX Diebold… - 2000 - nber.org
Page 1. Page 2. Page 3. 1 As argued by Hsieh (1989), a higher conditional than
unconditional kurtosis may be interpreted as evidence of model misspecification.
-1- r t ' F t g t 1. Introduction and Basic Ideas The prescriptions ...
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[BOOK] Pitfalls and opportunities in the use of extreme value theory in risk management

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FX Diebold, T Schuermann, JD Stroughair… - 1998 - papers.ssrn.com
Page 1. KfW "ïORK UMlVtRSl'tY NYUf STERNI suoi, oi- su Department of Finance
Working Paper Series 1998 FIN-98-081 Pitfalls and Opportunities in the Use of
Extreme Value Theory in Risk Management Francis X. Diebold ...
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Modeling liquidity risk, with implications for traditional market risk measurement and management

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A Bangia, FX Diebold, T Schuermann… - Risk Management: The …, 2002 - Springer
Page 1. 1. MODELING LIQUIDITY RISK, WITH IMPLICATIONS FOR TRADITIONAL MARKET
RISK MEASUREMENT AND MANAGEMENT ANIL BANGIA Oliver, Wyman & Company FRANCIS
X. DIEBOLD University of Pennsylvania, NB.ER and Oliver Wyman Institute ...
Cited by 209 - Related articles - Library Search - All 57 versions

The past, present, and future of macroeconomic forecasting

FX Diebold - 1997 - nber.org
Page 1. THE PAST, PRESENT, AND FUTURE OF MACROECONOMIC FORECASTING
Francis X. Diebold Working Paper 6290 Page 2. NBER WORKING PAPER SERIES
THE PAST, PRESENT, AND FUTURE OF MACROECONOMIC ...
Cited by 196 - Related articles - BL Direct - All 15 versions

[CITATION] Great realisations

T Andersen, T Bollerslev… - RISK-LONDON- …, 2000 - RISK MAGAZINE LIMITED
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A nonparametric investigation of duration dependence in the American business cycle

FX Diebold… - Journal of Political Economy, 1990 - JSTOR
Page 1. A Nonparametric Investigation of Duration Dependence in the American
Business Cycle Francis X. Diebold University of Pennsylvania Glenn D. Rudebusch
Board of Governors of the Federal Reserve System Does the ...
Cited by 185 - Related articles - Get it from MIT Libraries - Library Search - All 12 versions

On cointegration and exchange rate dynamics

FX Diebold, J Gardeazabal… - Journal of Finance, 1994 - JSTOR
Page 1. THE JOURNAL OF FINANCE * VOL. XLIX, NO. 2 * JUNE 1994 On
Cointegration and Exchange Rate Dynamics FRANCIS X. DIEBOLD, JAVIER
GARDEAZABAL, and KAMIL YILMAZ* ABSTRACT Baillie and Bollerslev ...
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[CITATION] Unit roots in economic time series: A selective survey

FX Diebold… - Finance and Economics Discussion …, 1988 - ideas.repec.org
No abstract is available for this item.
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On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean

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YW Cheung… - Journal of Econometrics, 1994 - Elsevier
Cited by 158 - Related articles - Library Search - All 19 versions

Modeling bond yields in finance and macroeconomics

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FX Diebold, M Piazzesi… - 2005 - nber.org
Page 1. NBER WORKING PAPER SERIES MODELING BOND YIELDS IN FINANCE
AND MACROECONOMICS Francis X. Diebold Monika Piazzesi Glenn D. Rudebusch
Working Paper 11089 http://www.nber.org/papers/w11089 ...
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Dynamic equilibrium economies: A framework for comparing models and data

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FX Diebold, LE Ohanian… - The Review of …, 1998 - restud.oxfordjournals.org
Page 1. Review of Economic Studies (1998) 65, 433-451 © 1998 The Review of
Economic Studies Limited 0034-6527/98/00190433$02.00 Dynamic Equilibrium
Economies: A Framework for Comparing Models and Data FRANCIS ...
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Modeling volatility dynamics

FX Diebold… - … : developments, tensions and prospects, 1995 - books.google.com
Page 445. 11 MODELING VOLATILITY DYNAMICS Francis X. Diebold Jose A. Lopez
Introduction Good macroeconomic and financial theorists, like all good theorists,
want to get the facts straight before theorizing; hence, the ...
Cited by 147 - Related articles - All 7 versions

[CITATION] Testing for Serial Correlation in the Presence of ARCH

FX Diebold - Proceedings of the American Statistical Association, …, 1986
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Testing structural stability with endogenous breakpoint a size comparison of analytic and bootstrap procedures

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FX Diebold… - Journal of Econometrics, 1996 - Elsevier
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Parametric and nonparametric volatility measurement

TG Andersen, T Bollerslev, FX Diebold - in LP Hansen and Y. Ait- …, 2004 - Citeseer
CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): the problems
and opportunities facing the financial services industry in its search for competitive excellence.
The Center's research focuses on the issues related to managing risk at the firm level as well ...
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A no-arbitrage approach to range-based estimation of return covariances and correlations

[PDF] from upenn.edu
MW Brandt… - 2003 - nber.org
Page 1. NBER WORKING PAPER SERIES A NO-ARBITRAGE APPROACH TO RANGE-BASED
ESTIMATION OF RETURN COVARIANCES AND CORRELATIONS Michael W. Brandt Francis
X. Diebold Working Paper 9664 http://www.nber.org/papers/w9664 ...
Cited by 127 - Related articles - BL Direct - All 34 versions

Cointegration and long-horizon forecasting

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PF Christoffersen… - 1997 - nber.org
Page 1. TECHNICAL WORKING PAPER SERIES COINTEGRATION AND
LONG-HORIZON FORECASTING Peter F. Christoffersen Francis X. Diebold Technical
Working Paper 217 NATIONAL BUREAU OF ECONOMIC RESEARCH ...
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[PDF] Further results on forecasting and model selection under asymmetric loss

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PF Christoffersen… - Journal of applied econometrics, 1996 - christoffersen.com
Page 1. Further Results on Forecasting and Model Selection Under Asymmetric Loss Peter F.
Christoffersen and Francis X. Diebold Department of Economics University of Pennsylvania 3718
Locust Walk Philadelphia, PA 19104 October 1995 This Print: June 27, 1996 ...
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Evaluating density forecasts of inflation: the Survey of Professional Forecasters

[PDF] from psu.edu
FX Diebold, AS Tay… - 1997 - nber.org
Page 1. EVALUATING DENSITY FORECASTS OF INFLATION: THE SURVEY OF
PROFESSIONAL FORECASTERS Francis X. Diebold Anthony S. Tay Kenneth F.
Wallis Working Paper 6228 Page 2. NBER WORKING PAPER ...
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Have postwar economic fluctuations been stabilized?

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FX Diebold… - The American Economic Review, 1992 - JSTOR
Page 1. Have Postwar Economic Fluctuations Been Stabilized? By FRANCIS X. DIEBOLD
AND GLENN D. RUDEBUSCH* Arthur F. Burns (1960 p. 2) was one of the first to assert
that business cycles in the postwar era had changed in character: ...
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Is consumption too smooth? Long memory and the Deaton paradox

[PDF] from upenn.edu
FX Diebold… - The review of Economics and Statistics, 1991 - JSTOR
Page 1. The Review of Economics and Statistics VOL. LXXIII FEBRUARY 1991
NUMBER 1 IS CONSUMPTION TOO SMOOTH? LONG MEMORY AND THE DEATON
PARADOX Francis X. Diebold and Glenn D. Rudebusch* ...
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[BOOK] Converting 1-day volatility to h-day volatility: scaling by h is worse than you think

[PDF] from upenn.edu
FX Diebold, A Hickman, A Inoue, T Schuermann… - 1997 - econ.upenn.edu
Page 1. h h Converting 1-Day Volatility to h-Day Volatility: Scaling by is Worse than You Think
Francis X. Diebold Andrew Hickman University of Pennsylvania Oliver, Wyman and Company
fdiebold@mail.sas.upenn.edu ahickman@owc.com Atsushi Inoue Til Schuermann ...
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Unit root tests are useful for selecting forecasting models

[TXT] from nyu.edu
FX Diebold… - 1999 - nber.org
Page 1 NBER WORKING PAPER SERIES UNIT ROOT TESTS ARE USEFUL FOR SELECTING
FORECASTING MODELS Francis X. Diebold Lutz Kilian Working Paper 6928 http://www.nber.
org/papers/w6928 NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 ...
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The uncertain unit root in real GNP: Comment

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FX Diebold… - The American Economic Review, 1996 - JSTOR
Page 1. The Uncertain Unit Root in Real GNP: Comment By FRANCIS X. DIEBOLD AND
ABDELHAK S. SENHADJI * Fifteen years after the seminal work of Charles R. Nelson
and Charles I. Plosser ( 1982), the question of deterministic vs. ...
Cited by 101 - Related articles - BL Direct - All 8 versions

[PDF] Real-time measurement of business conditions

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SB Aruoba, FX Diebold… - Journal of Business and Economic Statistics, 2009 - ASA
Page 1. Real-Time Measurement of Business Conditions S. Bora ˘gan ARUOBA
Department of Economics, University of Maryland, College Park, MD 20742
(aruoba@econ.umd.edu) Francis X. DIEBOLD Departments of Economics ...
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[PDF] Practical volatility and correlation modeling for financial market risk management

[PDF] from nber.org
TG Andersen, T Bollerslev, P Christoffersen… - 2007 - nber.org
Page 1. This PDF is a selection from a published volume from the National Bureau of Economic
Research Volume Title: The Risks of Financial Institutions Volume Author/Editor: Mark Carey and
René M. Stulz, editors Volume Publisher: University of Chicago Press ...
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[PDF] Further evidence on business-cycle duration dependence

[PDF] from nber.org
FX Diebold, G Rudebusch… - 1993 - nber.org
Page 1. This PDF is a selection from an out-of-print volume from the National Bureau
of Economic Research Volume Title: Business Cycles, Indicators and Forecasting Volume
Author/Editor: James H. Stock and Mark W. Watson, editors ...
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[BOOK] Business cycles: durations, dynamics, and forecasting

FX Diebold… - 1999 - books.google.com
... date econometric analysis of business cycles now available. Francis Diebold and
Glenn Rudebusch have long been acknowledged as leading ex- perts on business
cycles. And here they present a highly integrative collection ...
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The affine arbitrage-free class of Nelson-Siegel term structure models

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JHE Christensen, FX Diebold… - Journal of Econometrics, 2011 - Elsevier
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Realized beta: Persistence and predictability

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TG Andersen, T Bollerslev, FX Diebold… - 2005 - emeraldinsight.com
A large literature over several decades reveals both extensive concern with the question of
time-varying betas and an emerging consensus that betas are in fact time-varying, leading to
the prominence of the conditional CAPM. Set against that background, we assess the dynamics ...
Cited by 92 - Related articles - All 35 versions

Horizon problems and extreme events in financial risk management

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P Christoffersen, F Diebold… - 1999 - papers.ssrn.com
Abstract: Is volatility forecastability important for long-horizon risk management, or is a
traditional constant-volatility assumption adequate? In this paper, the authors address this
question, exploring the interface between long-horizon financial risk management and ...
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Financial asset returns, direction-of-change forecasting, and volatility dynamics

[PDF] from upenn.edu
PF Christoffersen… - 2003 - nber.org
Page 1. NBER WORKING PAPER SERIES FINANCIAL ASSET RETURNS, DIRECTION-OF-
CHANGE FORECASTING, AND VOLATILITY DYNAMICS Peter F. Christoffersen Francis X.
Diebold Working Paper 10009 http://www.nber.org/papers/w10009 ...
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Measuring predictability: theory and macroeconomic applications

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FX Diebold… - 1997 - nber.org
Page 1. 1 2The Relationship Between Children's Health and Intellectual Development
Linda N. Edwards Michael Grossman The focus of this paper is on functional health
status of children in the population. More specifically ...
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The use of prior information in forecast combination

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FX Diebold… - International Journal of Forecasting, 1990 - Elsevier
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Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets*

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FX Diebold… - The Economic Journal, 2009 - Wiley Online Library
Skip to Main Content. ...
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Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach

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FX Diebold, C Li… - Journal of Econometrics, 2008 - Elsevier
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Forecast combination and encompassing: Reconciling two divergent literatures

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FX Diebold - International Journal of Forecasting, 1989 - Elsevier
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Comment on Kenneth A. Swinnerton and Howard Wial-Is Job Stability Declining in the US Economy

Full text - MIT Libraries
FX Diebold, D Neumark… - Indus. & Lab. Rel. Rev., 1995 - HeinOnline
Page 1. COMMUNICATIONS Comment on Kenneth A. Swinnerton and Howard Wial,
"IsJob Stability Declining in the US Economy?" FRANCIS X. DIEBOLD, DAVID
NEUMARK, and DANIEL POLSKY* Innumerable media reports ...
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Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate

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FX Diebold… - European Economic Review, 1988 - Elsevier
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Turning point prediction with the composite leading index: An ex ante analysis

FX Diebold… - Leading economic indicators: …, 1991 - books.google.com
Page 244. CHAPTER 14 Turning point prediction with the composite leading index:
An ex ante analysis Francis X. Diebold and Glenn D. Rudebusch On the day of its
release, the preliminary estimate of the Department of Commerce ...
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A framework for exploring the macroeconomic determinants of systematic risk

[PDF] from mecon.gov.ar
TG Andersen, T Bollerslev, FX Diebold… - 2005 - nber.org
Page 1. NBER WORKING PAPER SERIES A FRAMEWORK FOR EXPLORING THE
MACROECONOMIC DETERMINANTS OF SYSTEMATIC RISK Torben G. Andersen Tim Bollerslev
Francis X. Diebold Jin (Ginger) Wu Working Paper 11134 http://www.nber.org/papers/w11134 ...
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An arbitrage-free generalized Nelson-Siegel term structure model

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JHE Christensen, FX Diebold… - 2008 - nber.org
Page 1. NBER WORKING PAPER SERIES AN ARBITRAGE-FREE GENERALIZED
NELSON-SIEGEL TERM STRUCTURE MODEL Jens HE Christensen Francis X. Diebold Glenn
D. Rudebusch Working Paper 14463 http://www.nber.org/papers/w14463 ...
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Empirical modeling of exchange rate dynamics

FX Diebold - New York, 1988 - lavoisier.fr
Livre: Empirical modeling of exchange rate dynamics DIEBOLD Francis X.
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Serial correlation and the combination of forecasts

[PDF] from upenn.edu
FX Diebold - Journal of Business & Economic Statistics, 1988 - JSTOR
Page 1. Journal of Business & Economic Statistics, January 1988, Vol. 6, No. 1 Serial Correlation
and the Combination of Forecasts Francis X. Diebold Division of Research and Statistics, Board
of Governors of the Federal Reserve System, Washington, DC 20551 ...
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Stock returns and expected business conditions: Half a century of direct evidence

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SD Campbell… - Journal of Business and Economic …, 2009 - Taylor & Francis
Page 1. Stock Returns and Expected Business Conditions: Half a Century of Direct
Evidence Sean D. CAMPBELL Federal Reserve Board, Washington, DC
(sean.d.campbell@frb.gov) Francis X. DIEBOLD University of Pennsylvania ...
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Post-deregulation bank-deposit-rate pricing: The multivariate dynamics

FX Diebold… - Journal of Business & Economic Statistics, 1990 - JSTOR
Page 1. Journal of Business & Economic Statistics, July 1990, Vol. 8, No. 3 Post-Deregulation
Bank-Deposit-Rate Pricing: The Multivariate Dynamics Francis X. Diebold Department of
Economics, University of Pennsylvania, Philadelphia, PA 19104-6297 ...
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The macroeconomy and the yield curve: A nonstructural analysis

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F Diebold, G Rudebusch… - 2003 - papers.ssrn.com
Abstract: We estimate a model with latent factors that summarize the yield curve (namely,
level, slope, and curvature) as well as observable macroeconomic variables (real activity,
inflation, and the stance of monetary policy). Our goal is to provide a characterization of ...
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A three-factor yield curve model: non-affine structure, systematic risk sources, and generalized duration

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FX Diebold, L Ji… - … and Econometrics: Essays in Memory of …, 2006 - books.google.com
Page 256. 9. A three-factor yield curve model: non-affine structure, systematic risk
sources and generalized duration* Francis X. Diebold, Lei Ji and Canlin Li 1.
INTRODUCTION We assess and apply the term-structure model ...
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[BOOK] Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function

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FX Diebold… - 1988 - ssc.upenn.edu
Page 1. Reprinted from: Balde* Raj (ed.) (1989), Advances in Econometrics лпа
Modeling. Needham, Mass.: Kluwer Academic Publishers, pp. 29-45. CHAPTER 2
RANDOM WALKS VERSUS FRACTIONAL INTEGRATION: POWER ...
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Bootstrapping multivariate spectra

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Full text - MIT Libraries
J Berkowitz… - Review of economics and statistics, 1998 - MIT Press
Page 1. NOTES BOOTSTRAPPING MULTIVARIATE SPECTRA Jeremy Berkowitz
and Francis X. Diebold* Abstract—We generalize the Franke-Härdle (1992)
spectral-density boot- strap to the multivariate case. The extension ...
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Macroeconomic Volatility and Stock Market Volatility, Worldwide

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FX Diebold… - 2008 - nber.org
Page 1. NBER WORKING PAPER SERIES MACROECONOMIC VOLATILITY AND
STOCK MARKET VOLATILITY, WORLDWIDE Francis X. Diebold Kamil Yilmaz Working
Paper 14269 http://www.nber.org/papers/w14269 NATIONAL ...
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The Nobel Memorial Prize for Robert F. Engle

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FX Diebold - The Scandinavian Journal of Economics, 2004 - Wiley Online Library
Skip to Main Content. ...
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Deterministic vs. stochastic trend in US GNP, yet again

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FX Diebold… - 1996 - nber.org
Page 1. NBER WORKING PAPER SERIES DETERMINISTIC VS. STOCHASTIC
TREND IN US GNP, YET AGAIN Francis X. Diebold Abdelhak S. Senhadji Working
Paper 5481 NATIONAL BUREAU OF ECONOMIC RESEARCH ...
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Has the EMS reduced member-country exchange rate volatility?

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FX Diebold… - Empirical Economics, 1988 - Springer
Page 1. empec, VoL 13, 1988, page 81-102 Has the EMS Reduced Member-Country
Exchange Rate Volatility? By FX Diebold 1 and P. Pauly 1 Introduction The European
Monetary System (EMS) was founded in March 1979 ...
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[PDF] Five questions about business cycles

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FX Diebold… - … Review-Federal Reserve Bank of San …, 2001 - sf.frb.org
Page 1. 1 Introduction This article examines five questions about business cycles. They are
difficult questions, and we do not provide defini- tive answers. Instead, we focus on the range
of relevant evidence and discussion provided in recent research. ...
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Why are estimates of agricultural supply response so variable?

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FX Diebold… - Journal of econometrics, 1997 - Elsevier
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Fractional integration and interval prediction

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FX Diebold… - Economics Letters, 1996 - Elsevier
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BOUNDED RATIONALITY AND STRATEGIC COMPLEMENTARITY IN A MACROECONOMIC MODEL: POLICY EFFECTS, PERSISTENCE AND MULTIPLIERS*

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AN Bomfim… - The Economic Journal, 1997 - Wiley Online Library
Skip to Main Content. Wiley Online Library will be disrupted 4
Feb from 10-12 GMT for monthly maintenance. ...
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[CITATION] Temporal aggregation of ARCH processes and the distribution of asset returns

F Diebold - Special Studies Papers, 1986 - econpapers.repec.org
... Please update your bookmarks. Temporal aggregation of ARCH processes and the
distribution of asset returns. Francis Diebold (). No 200, Special Studies Papers from
Board of Governors of the Federal Reserve System (US). ...
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Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions

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SB Aruoba… - 2010 - nber.org
Page 1. NBER WORKING PAPER SERIES REAL-TIME MACROECONOMIC MONITORING:
REAL ACTIVITY, INFLATION, AND INTERACTIONS S. Boragan Aruoba Francis X. Diebold
Working Paper 15657 http://www.nber.org/papers/w15657 ...
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(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation

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TG Andersen, T Bollerslev, FX Diebold… - New York University, …, 1999 - ideas.repec.org
Downloadable! We review and synthesize our recent work on realized volatility in financial markets.
This includes (1) constructing and interpreting realized volatilities for a variety of asset returns
("understanding"), (2) determining underlying sampling frequencies high enough to ...
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[CITATION] The dynamics of exchange rate volatility: a multivariate latent factor ARCH model

F Diebold… - Special Studies Papers, 1986 - econpapers.repec.org
Related works: Journal Article: The Dynamics of Exchange Rate Volatility: A Multivariate Latent
Factor Arch Model (1989) This item may be available elsewhere in EconPapers: Search for items
with the same title. ... This site is part of RePEc and all the data displayed here is part of ...
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Financial asset returns, market timing, and volatility dynamics

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P Christoffersen… - 2002 - papers.ssrn.com
Abstract: We consider three sets of phenomena that feature prominently-and separately-in
the financial economics literature: conditional mean dependence (or lack thereof) in asset
returns, dependence (and hence forecastability) in asset return signs with implications for ...
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Real-time measurement of business conditions

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SB Aruoba, FX Diebold… - 2008 - nber.org
Page 1. NBER WORKING PAPER SERIES REAL-TIME MEASUREMENT OF
BUSINESS CONDITIONS S. Boragan Aruoba Francis X. Diebold Chiara Scotti Working
Paper 14349 http://www.nber.org/papers/w14349 NATIONAL ...
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Small sample properties of asymptotically equivalent tests for autoregressive conditional heteroskedasticity

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FX Diebold… - Statistical Papers, 1989 - Springer
Page 1. Statistical Papers 30, 105-131 (1989) Stalbtical Papers StalisUsck Ilafte 9 Springer-Verlag
1989 Small sample properties of asymptotically equivalent tests for autoregressive conditional
heteroskedasticity Francis X. Diebold and Peter Pauly Received: Dec. ...
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Direction-of-change forecasts based on conditional variance, skewness and kurtosis dynamics: international evidence

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P Christoffersen, F Diebold, R Mariano… - PIER Working Paper …, 2006 - papers.ssrn.com
Abstract: Recent theoretical work has revealed a direct connection between asset return
volatility forecastability and asset return sign forecastability. This suggests that the pervasive
volatility forecastability in equity returns could, via induced sign forecastability, be used to ...
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[PDF] Measuring Financial Asset Return and Volatility Spillovers With Application to Global Equity Markets

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FX Diebold… - RODNEY L WHITE CENTER FOR FINANCIAL …, 2007 - ku.edu.tr
Page 1. TÜSİAD-KOÇ UNIVERSITY ECONOMIC RESEARCH FORUM WORKING PAPER SERIES
MEASURING FINANCIAL ASSET RETURN AND VOLATILITY SPILLOVERS WITH APPLICATION
TO GLOBAL EQUITY MARKETS Francis X. Diebold Kamil Yılmaz ...
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[CITATION] Elements of forecasting in business, economics, government and finance

FX Diebold - South-Western College Publishing, 1998
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The Et Interview: Professor Robert F. Engle, January 2003

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Full text - MIT Libraries
FX Diebold - Econometric Theory, 2003 - Cambridge Univ Press
Page 1. THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE Interviewed by Francis
X. Diebold University of Pennsylvania and NBER January 2003 In the past thirty-five
years, time-series econometrics developed from infancy ...
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[CITATION] ARCH models of exchange rate fluctuations

FX Diebold… - Manuscrip, Department of Economics, University of …, 1985
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Better to give than to receive: Predictive directional measurement of volatility spillovers

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Full text - MIT Libraries
FX Diebold… - International Journal of Forecasting, 2012 - papers.ssrn.com
Page 1. Electronic copy available at: http://ssrn.com/abstract=1536123 Forthcoming,
International Journal of Forecasting Better to Give than to Receive: Predictive
Directional Measurement of Volatility Spillovers Francis X. Diebold ...
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[CITATION] State space modeling of time series: a review essay

FX Diebold - Finance and Economics Discussion Series, 1988 - ideas.repec.org
No abstract is available for this item.
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