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Francis X. Diebold

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Personal Details

First Name: Francis
Middle Name: X.
Last Name: Diebold
Suffix:

RePEc Short-ID: pdi1

Email:
Homepage: http://www.ssc.upenn.edu/~diebold
Postal Address: Dept. of Economics University of Pennsylvania 3718 Locust Walk Phila., PA 19104-6297
Phone:

Affiliation

Department of Economics
University of Pennsylvania
Location: Philadelphia, Pennsylvania (United States)
Homepage: http://www.econ.upenn.edu/
Email:
Phone: 215-898-7701
Fax: 215-573-2057
Postal: 160 McNeil Building, 3718 Locust Walk, Philadelphia, PA 19104-6297
Handle: RePEc:edi:deupaus (more details at EDIRC)

Works

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Working papers

  1. Francis X. Diebold & Minchul Shin, 2014. "Assessing Point Forecast Accuracy by Stochastic Divergence from Zero," PIER Working Paper Archive 14-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  2. Francis X. Diebold & Kamil Yilmaz, 2013. "Measuring the Dynamics of Global Business Cycle Connectedness," PIER Working Paper Archive 13-070, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  3. Boragan Aruoba & Francis X. Diebold & Jeremy Nalewaik & Frank Schorfheide & Dongho Song, 2013. "Improving GDP Measurement: A Measurement-Error Perspective," PIER Working Paper Archive 13-016, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  4. Francis X. Diebold, 2012. "On the Origin(s) and Development of the Term “Big Data"," PIER Working Paper Archive 12-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  5. Francis X. Diebold, 2012. "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 13-003, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 26 Nov 2012.
  6. Fei Chen & Francis X. Diebold & Frank Schorfheide, 2012. "A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities," PIER Working Paper Archive 12-020, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  7. Francis X. Diebold, 2012. "Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests," PIER Working Paper Archive 12-035, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  8. Francis X. Diebold & Kamil Yilmaz, 2011. "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum 1124, Koc University-TUSIAD Economic Research Forum.
  9. Boragan Aruoba & Francis X. Diebold & Jeremy Nalewaik & Frank Schorfheide & Dongho Song, 2011. "Improving GDP Measurement: A Forecast Combination Perspective," PIER Working Paper Archive 11-028, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  10. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," PIER Working Paper Archive 11-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  11. S. Boragan Aruoba & Marco Terrones & M. Ayhan Kose & Francis X. Diebold, 2011. "Globalization, the Business Cycle, and Macroeconomic Monitoring," IMF Working Papers, International Monetary Fund 11/25, International Monetary Fund.
  12. S. Boragan Aruoba & Francis X. Diebold, 2010. "Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions," PIER Working Paper Archive 10-002, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  13. Francis X. Diebold & Kamil Yilmaz, 2010. "Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum 1001, Koc University-TUSIAD Economic Research Forum, revised Mar 2010.
  14. Francis X. Diebold & Georg H. Strasser, 2008. "On the Correlation Structure of Microstructure Noise: A Financial Economic Approach," Boston College Working Papers in Economics, Boston College Department of Economics 693, Boston College Department of Economics, revised 24 Apr 2012.
  15. Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2008. "An arbitrage-free generalized Nelson-Siegel term structure model," Working Paper Series, Federal Reserve Bank of San Francisco 2008-07, Federal Reserve Bank of San Francisco.
  16. Frank Schorfheide & Francis X. Diebold & Marco Del Negro, 2008. "Priors from Frequency-Domain Dummy Observations," 2008 Meeting Papers 310, Society for Economic Dynamics.
  17. Francis X. Diebold & Georg H. Strasser, 2008. "On the Correlation Structure of Microstructure Noise in Theory and Practice," PIER Working Paper Archive 08-038, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  18. S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2007. "Real-Time Measurement of Business Conditions, Second Version," PIER Working Paper Archive 08-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 04 Apr 2008.
  19. S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2007. "Real-time measurement of business conditions," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 901, Board of Governors of the Federal Reserve System (U.S.).
  20. Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2007. "The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models," NBER Working Papers 13611, National Bureau of Economic Research, Inc.
  21. Francis X. Diebold & Kamil Yılmaz, 2007. "Macroeconomic Volatility and Stock Market Volatility,World-Wide," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum 0711, Koc University-TUSIAD Economic Research Forum.
  22. Francis X. Diebold & Canlin Li & Vivian Z. Yue, 2007. "Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach," PIER Working Paper Archive 07-030, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  23. Francis X. Diebold & Kamil Yılmaz, 2007. "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum 0705, Koc University-TUSIAD Economic Research Forum.
  24. Francis X. Diebold & Lutz Kilian & Marc Nerlove, 2006. "Time Series Analysis," PIER Working Paper Archive 06-019, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  25. Francis X. Diebold & Lei Ji & Canlin Li, 2006. "A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration," PIER Working Paper Archive 06-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  26. Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse, 2006. "Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence," PIER Working Paper Archive 06-016, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  27. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2006. "Real-time price discovery in global stock, bond and foreign exchange markets," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 871, Board of Governors of the Federal Reserve System (U.S.).
  28. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," PIER Working Paper Archive 05-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  29. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Working Papers 11069, National Bureau of Economic Research, Inc.
  30. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu, 2005. "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," PIER Working Paper Archive 05-009, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  31. Francis X. Diebold & Monika Piazzesi & Glenn Rudebusch, 2005. "Modeling Bond Yields in Finance and Macroeconomics," NBER Working Papers 11089, National Bureau of Economic Research, Inc.
  32. Sean D. Campbell & Francis X. Diebold, 2005. "Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence," PIER Working Paper Archive 05-025, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 16 Sep 2005.
  33. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2005. "Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," NBER Working Papers 11775, National Bureau of Economic Research, Inc.
  34. Francis X. Diebold, 2004. "Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics," Econometric Society 2004 Australasian Meetings, Econometric Society 352, Econometric Society.
  35. Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse, 2004. "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 02-2005, Singapore Management University, School of Economics, revised Jan 2005.
  36. Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," PIER Working Paper Archive 04-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  37. Francis X. Diebold & Glenn D. Rudebusch & S. Boragan Aruoba, 2004. "The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach," NBER Working Papers 10616, National Bureau of Economic Research, Inc.
  38. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2003. "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility," PIER Working Paper Archive 03-025, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Sep 2003.
  39. Peter F. Christoffersen & Francis X. Diebold, 2003. "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," NBER Working Papers 10009, National Bureau of Economic Research, Inc.
  40. Francis X. Diebold & Canlin Li, 2003. "Forecasting the Term Structure of Government Bond Yields," NBER Working Papers 10048, National Bureau of Economic Research, Inc.
  41. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2003. "Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets," PIER Working Paper Archive 04-028, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 28 Jun 2004.
  42. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu, 2003. "Realized Beta: Persistence and Predictability," PIER Working Paper Archive 04-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Mar 2004.
  43. Francis X. Diebold & Glenn D. Rudebusch & S. Boragan Aruoba, 2003. "The Macroeconomy and the Yield Curve: A Nonstructural Analysis," PIER Working Paper Archive 03-024, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  44. Michael W. Brandt & Francis X. Diebold, 2003. "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," NBER Working Papers 9664, National Bureau of Economic Research, Inc.
  45. Peter Christoffersen & Francis X. Diebold, 2002. "Financial Asset Returns, Market Timing, and Volatility Dynamics," CIRANO Working Papers, CIRANO 2002s-02, CIRANO.
  46. Sean D. Campbell & Francis X. Diebold, 2002. "Weather Forecasting for Weather Derivatives," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania 02-42, Wharton School Center for Financial Institutions, University of Pennsylvania.
  47. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers, Duke University, Department of Economics 02-16, Duke University, Department of Economics.
  48. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0279, National Bureau of Economic Research, Inc.
  49. Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Labys, Paul, 2002. "Modeling and Forecasting Realized Volatility," Working Papers, Duke University, Department of Economics 02-12, Duke University, Department of Economics.
  50. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 2001. "High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models," NBER Working Papers 8162, National Bureau of Economic Research, Inc.
  51. Francis X. Diebold & Atsushi Inoue, 2000. "Long Memory and Regime Switching," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0264, National Bureau of Economic Research, Inc.
  52. Diebold, Francis X & Kilian, Lutz, 2000. "Measuring Predictability: Theory And Macroeconomic Applications," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2424, C.E.P.R. Discussion Papers.
  53. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Heiko Ebens, 2000. "The Distribution of Stock Return Volatility," NBER Working Papers 7933, National Bureau of Economic Research, Inc.
  54. Anil Bangia & Francis X. Diebold & Til Schuermann, 2000. "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 00-26, Wharton School Center for Financial Institutions, University of Pennsylvania.
  55. Francis X. Diebold & Lutz Kilian, 1999. "Unit Root Tests are Useful for Selecting Forecasting Models," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 99-063, New York University, Leonard N. Stern School of Business-.
  56. Francis X. Diebold & Anthony M. Santomero, 1999. "Financial Risk Management in a Volatile Global Environment," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania 99-43, Wharton School Center for Financial Institutions, University of Pennsylvania.
  57. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 1999. "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 00-28, Wharton School Center for Financial Institutions, University of Pennsylvania.
  58. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 99-060, New York University, Leonard N. Stern School of Business-.
  59. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 99-061, New York University, Leonard N. Stern School of Business-.
  60. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 99-059, New York University, Leonard N. Stern School of Business-.
  61. Anil Bangia & Francis X. Diebold & Til Schuermann & John D. Stroughair, 1998. "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- 99-062, New York University, Leonard N. Stern School of Business-.
  62. Peter F. Christoffersen & Francis X. Diebold, 1998. "How Relevant is Volatility Forecasting for Financial Risk Management?," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 98-080, New York University, Leonard N. Stern School of Business-.
  63. Francis X. Diebold & Til Schuermann & John D. Stroughair, 1998. "Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 98-081, New York University, Leonard N. Stern School of Business-.
  64. Francis X. Diebold & Jinyong Hahn & Anthony S. Tay, 1998. "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- 98-079, New York University, Leonard N. Stern School of Business-.
  65. Peter F. Christoffersen & Francis X. Diebold & Til Schuermann, 1998. "Horizon Problems and Extreme Events in Financial Risk Management," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania 98-16, Wharton School Center for Financial Institutions, University of Pennsylvania.
  66. Antulio N. Bomfim & Francis X. Diebold, 1997. "Bounded rationality and strategic complementarity in a macroeconomic model: policy effects, persistence, and multipliers," Working Papers 97-18, Federal Reserve Bank of Philadelphia.
  67. Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating density forecasts," Working Papers 97-6, Federal Reserve Bank of Philadelphia.
  68. Francis X. Diebold & Andrew Hickman & Atsushi Inoue & Til Schuermann, 1997. "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 97-34, Wharton School Center for Financial Institutions, University of Pennsylvania.
  69. Peter F. Christoffersen & Francis X. Diebold, 1997. "Optimal prediction under asymmetric loss," Working Papers 97-11, Federal Reserve Bank of Philadelphia.
  70. Peter F. Christoffersen & Francis X. Diebold, 1997. "Cointegration and long-horizon forecasting," Working Papers 97-14, Federal Reserve Bank of Philadelphia.
  71. Francis X. Diebold & Lee E. Ohanian & Jeremy Berkowitz, 1997. "Dynamic equilibrium economies: a framework for comparing models and data," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 1997-23, Board of Governors of the Federal Reserve System (U.S.).
  72. Francis X. Diebold & Anthony S. Tay & Kenneth F. Wallis, 1997. "Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters," NBER Working Papers 6228, National Bureau of Economic Research, Inc.
  73. Francis X. Diebold, 1997. "The past, present, and future of macroeconomic forecasting," Working Papers 97-20, Federal Reserve Bank of Philadelphia.
  74. Russell L. Lamb & Francis X. Diebold, 1996. "Why are estimates of agricultural supply response so variable?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 96-8, Board of Governors of the Federal Reserve System (U.S.).
  75. Francis X. Diebold & Til Schuermann, 1996. "Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0194, National Bureau of Economic Research, Inc.
  76. Francis X. Diebold & Abdelhak S. Senhadji, 1996. "Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again," NBER Working Papers 5481, National Bureau of Economic Research, Inc.
  77. Francis X. Diebold & Jose A. Lopez, 1995. "Modeling volatility dynamics," Research Paper, Federal Reserve Bank of New York 9522, Federal Reserve Bank of New York.
  78. Francis X. Diebold & Jose A. Lopez, 1995. "Measuring Volatility Dynamics," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0173, National Bureau of Economic Research, Inc.
  79. Francis X. Diebold & Jose A. Lopez, 1995. "Forecast evaluation and combination," Research Paper, Federal Reserve Bank of New York 9525, Federal Reserve Bank of New York.
  80. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0169, National Bureau of Economic Research, Inc.
  81. Francis X. Diebold & Glenn D. Rudebusch, 1994. "Measuring Business Cycles: A Modern Perspective," NBER Working Papers 4643, National Bureau of Economic Research, Inc.
  82. Francis X. Diebold & David Neumark & Daniel Polsky, 1994. "Job Stability in the United States," NBER Working Papers 4859, National Bureau of Economic Research, Inc.
  83. Francis X. Diebold & Joon-Haeng Lee & Gretchen C. Weinbach, 1993. "Regime switching with time-varying transition probabilities," Working Papers 93-12, Federal Reserve Bank of Philadelphia.
  84. Francis X. Diebold & Celia Chen, 1993. "Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures," Working Papers 93-11, Federal Reserve Bank of Philadelphia.
  85. Francis X. Diebold & Til Schuermann, 1993. "Exact maximum likelihood estimation of ARCH models," Working Papers 93-4, Federal Reserve Bank of Philadelphia.
  86. Francis X. Diebold & Javier Gardeazabal & Kamil Yilmaz, 1993. "On cointegration and exchange rate dynamics," Working Papers 93-2, Federal Reserve Bank of Philadelphia.
  87. Francis X. Diebold, 1993. "On comparing information in forecasts from econometric models: a comment on Fair and Shiller," Working Papers 93-6, Federal Reserve Bank of Philadelphia.
  88. Antulio N. Bomfim & Francis X. Diebold, 1992. "Near-rationality and strategic complementarity in a macroeconomic model: policy effects, persistence and multipliers," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 205, Board of Governors of the Federal Reserve System (U.S.).
  89. Francis X. Diebold & Glenn D. Rudebusch & Daniel E. Sichel, 1991. "Further evidence on business cycle duration dependence," Working Papers 91-11, Federal Reserve Bank of Philadelphia.
  90. Francis X. Diebold & Glenn D. Rudebusch, 1991. "Have postwar economic fluctuations been stabilized?," Working Paper Series / Economic Activity Section, Board of Governors of the Federal Reserve System (U.S.) 116, Board of Governors of the Federal Reserve System (U.S.).
  91. Francis X. Diebold & Roberto S. Mariano, 1991. "Comparing predictive accuracy I: an asymptotic test," Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis 52, Federal Reserve Bank of Minneapolis.
  92. Francis X. Diebold & Glenn D. Rudebusch, 1990. "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.) 119, Board of Governors of the Federal Reserve System (U.S.).
  93. Yin-Wong Cheung & Francis X. Diebold, 1990. "On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean," Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis 34, Federal Reserve Bank of Minneapolis.
  94. Francis X. Diebold & Glenn D. Rudebusch & Daniel E. Sichel, 1990. "International evidence on business cycle duration dependence," Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis 31, Federal Reserve Bank of Minneapolis.
  95. Francis X. Diebold & Steven Husted & Mark Rush, 1990. "Real exchange rates under the gold standard," Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis 32, Federal Reserve Bank of Minneapolis.
  96. Francis X. Diebold, 1989. "Forecast combination and encompassing: reconciling two divergent literatures," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 80, Board of Governors of the Federal Reserve System (U.S.).
  97. Francis X. Diebold & James M. Nason, 1989. "Nonparametric exchange rate prediction?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 81, Board of Governors of the Federal Reserve System (U.S.).
  98. Francis X. Diebold & Glenn D. Rudebusch, 1989. "Forecasting output with the composite leading index: an ex ante analysis," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 90, Board of Governors of the Federal Reserve System (U.S.).
  99. Francis X. Diebold & Glenn D. Rudebusch, 1989. "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.) 57, Board of Governors of the Federal Reserve System (U.S.).
  100. Francis X. Diebold & Glenn D. Rudebusch, 1988. "A nonparametric investigation of duration dependence in the American business cycle," Working Paper Series / Economic Activity Section, Board of Governors of the Federal Reserve System (U.S.) 90, Board of Governors of the Federal Reserve System (U.S.).
  101. Francis X. Diebold & Jong Im & C. Jevons Lee, 1988. "Conditional heteroskedasticity in the market," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 42, Board of Governors of the Federal Reserve System (U.S.).
  102. Francis X. Diebold, 1988. "On the solution of dynamic linear rational expectations models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 19, Board of Governors of the Federal Reserve System (U.S.).
  103. Francis X. Diebold & Marc Nerlove, 1988. "Unit roots in economic time series: a selective survey," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 49, Board of Governors of the Federal Reserve System (U.S.).
  104. Francis X. Diebold, 1988. "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.) 41, Board of Governors of the Federal Reserve System (U.S.).
  105. Francis X. Diebold & Steven A. Sharpe, 1988. "Post-deregulation deposit rate pricing: the multivariate dynamics," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 8, Board of Governors of the Federal Reserve System (U.S.).
  106. Francis X. Diebold, 1988. "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.) 6, Board of Governors of the Federal Reserve System (U.S.).
  107. Francis X. Diebold & Glenn D. Rudebusch, 1988. "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.) 40, Board of Governors of the Federal Reserve System (U.S.).
  108. Francis X. Diebold & Glenn D. Rudebusch, 1988. "Long memory and persistence in aggregate output," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 7, Board of Governors of the Federal Reserve System (U.S.).
  109. Francis X. Diebold, 1988. "State space modeling of time series: a review essay," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 9, Board of Governors of the Federal Reserve System (U.S.).
  110. Francis X. Diebold & Peter Pauly, 1987. "The use of prior information in forecast combination," Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) 218, Board of Governors of the Federal Reserve System (U.S.).
  111. Francis X. Diebold, 1987. "Deviations from random-walk behavior: tests based on the variance-time function," Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) 224, Board of Governors of the Federal Reserve System (U.S.).
  112. Francis X. Diebold & Glenn D. Rudebusch, 1987. "Does the business cycle have duration memory?," Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) 223, Board of Governors of the Federal Reserve System (U.S.).
  113. Francis X. Diebold & Glenn D. Rudebusch, 1987. "Scoring the leading indicators," Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) 206, Board of Governors of the Federal Reserve System (U.S.).
  114. Francis X. Diebold & Peter Pauly, 1986. "Structural change and the combination of forecasts," Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) 201, Board of Governors of the Federal Reserve System (U.S.).
  115. Francis X. Diebold, 1986. "Temporal aggregation of ARCH processes and the distribution of asset returns," Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) 200, Board of Governors of the Federal Reserve System (U.S.).
  116. Francis X. Diebold & Marc Nerlove, 1986. "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.) 205, Board of Governors of the Federal Reserve System (U.S.).
  117. Diebold, Giorgianni, & Inoue, . "Stamp 5.0: A Review," Home Pages, University of Pennsylvania _058, University of Pennsylvania.
  118. Christoffersen & Diebold, . "Further Results on Forecasting and Model Selection Under Asymmetric Loss," Home Pages, University of Pennsylvania _059, University of Pennsylvania.

Articles

  1. Diebold, Francis X. & Yılmaz, Kamil, 2014. "On the network topology of variance decompositions: Measuring the connectedness of financial firms," Journal of Econometrics, Elsevier, Elsevier, vol. 182(1), pages 119-134.
  2. Chen, Fei & Diebold, Francis X. & Schorfheide, Frank, 2013. "A Markov-switching multifractal inter-trade duration model, with application to US equities," Journal of Econometrics, Elsevier, Elsevier, vol. 177(2), pages 320-342.
  3. Francis X. Diebold & Georg Strasser, 2013. "On the Correlation Structure of Microstructure Noise: A Financial Economic Approach," Review of Economic Studies, Oxford University Press, vol. 80(4), pages 1304-1337.
  4. Diebold, Francis X. & Yilmaz, Kamil, 2012. "Better to give than to receive: Predictive directional measurement of volatility spillovers," International Journal of Forecasting, Elsevier, Elsevier, vol. 28(1), pages 57-66.
  5. S. Borağan Aruoba & Francis X. Diebold & M. Ayhan Kose & Marco E. Terrones, 2011. "Globalization, the Business Cycle, and Macroeconomic Monitoring," NBER International Seminar on Macroeconomics, University of Chicago Press, University of Chicago Press, vol. 7(1), pages 245 - 286.
  6. Christensen, Jens H.E. & Diebold, Francis X. & Rudebusch, Glenn D., 2011. "The affine arbitrage-free class of Nelson-Siegel term structure models," Journal of Econometrics, Elsevier, Elsevier, vol. 164(1), pages 4-20, September.
  7. S. Boragan Aruoba & Francis X. Diebold, 2010. "Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions," American Economic Review, American Economic Association, American Economic Association, vol. 100(2), pages 20-24, May.
  8. Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2009. "An arbitrage-free generalized Nelson--Siegel term structure model," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 12(3), pages C33-C64, November.
  9. Francis X. Diebold / Kamil Yilmaz, 2009. "Equity Market Spillovers in the Americas," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, Central Bank of Chile, vol. 12(2), pages 55-65, August.
  10. FrancisX. Diebold & Kamil Yilmaz, 2009. "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 119(534), pages 158-171, 01.
  11. Campbell, Sean D. & Diebold, Francis X., 2009. "Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 27(2), pages 266-278.
  12. Aruoba, S. BoraÄŸan & Diebold, Francis X. & Scotti, Chiara, 2009. "Real-Time Measurement of Business Conditions," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 27(4), pages 417-427.
  13. Diebold, Francis X. & Li, Canlin & Yue, Vivian Z., 2008. "Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach," Journal of Econometrics, Elsevier, Elsevier, vol. 146(2), pages 351-363, October.
  14. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 701-720, November.
  15. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2007. "Real-time price discovery in global stock, bond and foreign exchange markets," Journal of International Economics, Elsevier, Elsevier, vol. 73(2), pages 251-277, November.
  16. Diebold, Francis X. & Rudebusch, Glenn D. & Borag[caron]an Aruoba, S., 2006. "The macroeconomy and the yield curve: a dynamic latent factor approach," Journal of Econometrics, Elsevier, Elsevier, vol. 131(1-2), pages 309-338.
  17. Peter F. Christoffersen & Francis X. Diebold, 2006. "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," Management Science, INFORMS, INFORMS, vol. 52(8), pages 1273-1287, August.
  18. Diebold, Francis X. & Li, Canlin, 2006. "Forecasting the term structure of government bond yields," Journal of Econometrics, Elsevier, Elsevier, vol. 130(2), pages 337-364, February.
  19. Diebold, Francis X., 2006. "Comment," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 24, pages 181-183, April.
  20. Michael W. Brandt & Francis X. Diebold, 2006. "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 79(1), pages 61-74, January.
  21. Diebold, F.X. & Engle, R.F. & Favero, C. & Gallo, G.M. & Schorfheide, F., 2006. "The econometrics of macroeconomics, finance, and the interface," Journal of Econometrics, Elsevier, Elsevier, vol. 131(1-2), pages 1-2.
  22. Francis x. Diebold, 2005. "Robust estimation - discussion," Proceedings, Board of Governors of the Federal Reserve System (U.S.), Board of Governors of the Federal Reserve System (U.S.), pages 82-85.
  23. Sean D. Campbell & Francis X. Diebold, 2005. "Weather Forecasting for Weather Derivatives," Journal of the American Statistical Association, American Statistical Association, American Statistical Association, vol. 100, pages 6-16, March.
  24. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu, 2005. "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," American Economic Review, American Economic Association, American Economic Association, vol. 95(2), pages 398-404, May.
  25. Francis X. Diebold & Monika Piazzesi & Glenn D. Rudebusch, 2005. "Modeling Bond Yields in Finance and Macroeconomics," American Economic Review, American Economic Association, American Economic Association, vol. 95(2), pages 415-420, May.
  26. Gene Amromin & Steven Sharpe, 2005. "From the horse’s mouth: gauging conditional expected stock returns from investor surveys," Proceedings, Board of Governors of the Federal Reserve System (U.S.), Board of Governors of the Federal Reserve System (U.S.).
  27. Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," Scandinavian Journal of Economics, Wiley Blackwell, Wiley Blackwell, vol. 106(2), pages 165-185, 06.
  28. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2003. "Modeling and Forecasting Realized Volatility," Econometrica, Econometric Society, Econometric Society, vol. 71(2), pages 579-625, March.
  29. Diebold, Francis X., 2003. "The Et Interview: Professor Robert F. Engle, January 2003," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 19(06), pages 1159-1193, December.
  30. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2003. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," American Economic Review, American Economic Association, American Economic Association, vol. 93(1), pages 38-62, March.
  31. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 2002. "Range-Based Estimation of Stochastic Volatility Models," Journal of Finance, American Finance Association, American Finance Association, vol. 57(3), pages 1047-1091, 06.
  32. Francis X. Diebold, 2002. "Symposium on Forecasting Performance: An Introduction," IMF Staff Papers, Palgrave Macmillan, vol. 49(1), pages 1.
  33. Bangia, Anil & Diebold, Francis X. & Kronimus, Andre & Schagen, Christian & Schuermann, Til, 2002. "Ratings migration and the business cycle, with application to credit portfolio stress testing," Journal of Banking & Finance, Elsevier, Elsevier, vol. 26(2-3), pages 445-474, March.
  34. Diebold, Francis X. & Inoue, Atsushi, 2001. "Long memory and regime switching," Journal of Econometrics, Elsevier, Elsevier, vol. 105(1), pages 131-159, November.
  35. Francis X. Diebold & Lutz Kilian, 2001. "Measuring predictability: theory and macroeconomic applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 16(6), pages 657-669.
  36. Francis X. Diebold & Glenn D. Rudebusch, 2001. "Five questions about business cycles," Economic Review, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco, pages 1-15.
  37. Diebold, F. X. & West, Kenneth D., 2001. "Forecasting and empirical methods in finance and macroeconomics," Journal of Econometrics, Elsevier, Elsevier, vol. 105(1), pages 1-3, November.
  38. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko, 2001. "The distribution of realized stock return volatility," Journal of Financial Economics, Elsevier, Elsevier, vol. 61(1), pages 43-76, July.
  39. Andersen T. G & Bollerslev T. & Diebold F. X & Labys P., 2001. "The Distribution of Realized Exchange Rate Volatility," Journal of the American Statistical Association, American Statistical Association, American Statistical Association, vol. 96, pages 42-55, March.
  40. Diebold, Francis X., 2001. "Econometrics: Retrospect and prospect," Journal of Econometrics, Elsevier, Elsevier, vol. 100(1), pages 73-75, January.
  41. Diebold, Francis X & Kilian, Lutz, 2000. "Unit-Root Tests Are Useful for Selecting Forecasting Models," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 18(3), pages 265-73, July.
  42. Peter F. Christoffersen & Francis X. Diebold, 2000. "How Relevant is Volatility Forecasting for Financial Risk Management?," The Review of Economics and Statistics, MIT Press, vol. 82(1), pages 12-22, February.
  43. Francis X. Diebold & Jinyong Hahn & Anthony S. Tay, 1999. "Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 661-673, November.
  44. Diebold, Francis X & West, Kenneth D, 1998. "Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors' Introduction," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 811-15, November.
  45. Peter F. Christoffersen & Francis X. Diebold & Til Schuermann, 1998. "Horizon problems and extreme events in financial risk management," Economic Policy Review, Federal Reserve Bank of New York, Federal Reserve Bank of New York, issue Oct, pages 109-118.
  46. Diebold, Francis X & Gunther, Todd A & Tay, Anthony S, 1998. "Evaluating Density Forecasts with Applications to Financial Risk Management," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 863-83, November.
  47. Francis X. Diebold, 1998. "The Past, Present, and Future of Macroeconomic Forecasting," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 12(2), pages 175-192, Spring.
  48. Jeremy Berkowitz & Francis X. Diebold, 1998. "Bootstrapping Multivariate Spectra," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 664-666, November.
  49. Diebold, Francis X & Ohanian, Lee E & Berkowitz, Jeremy, 1998. "Dynamic Equilibrium Economies: A Framework for Comparing Models and Data," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 65(3), pages 433-51, July.
  50. Christoffersen, Peter F & Diebold, Francis X, 1998. "Cointegration and Long-Horizon Forecasting," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 16(4), pages 450-58, October.
  51. Diebold, Francis X. & Lamb, Russell L., 1997. "Why are estimates of agricultural supply response so variable?," Journal of Econometrics, Elsevier, Elsevier, vol. 76(1-2), pages 357-373.
  52. Bomfim, Antulio N & Diebold, Francis X, 1997. "Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 107(444), pages 1358-74, September.
  53. Diebold, Francis X & Neumark, David & Polsky, Daniel, 1997. "Job Stability in the United States," Journal of Labor Economics, University of Chicago Press, University of Chicago Press, vol. 15(2), pages 206-33, April.
  54. Christoffersen, Peter F. & Diebold, Francis X., 1997. "Optimal Prediction Under Asymmetric Loss," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 13(06), pages 808-817, December.
  55. Diebold, Francis X & Rudebusch, Glenn D, 1996. "Measuring Business Cycles: A Modern Perspective," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 67-77, February.
  56. Christoffersen, Peter F & Diebold, Francis X, 1996. "Further Results on Forecasting and Model Selection under Asymmetric Loss," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 11(5), pages 561-71, Sept.-Oct.
  57. Koehler, Anne & Diebold, Francis X. & Giogianni, Lorenzo & Inoue, Atsushi, 1996. "Software review," International Journal of Forecasting, Elsevier, Elsevier, vol. 12(2), pages 309-315, June.
  58. Diebold, Francis X & Senhadji, Abdelhak S, 1996. "The Uncertain Unit Root in Real GNP: Comment," American Economic Review, American Economic Association, American Economic Association, vol. 86(5), pages 1291-98, December.
  59. Francis X. Diebold & David Neumark & Daniel Polsky, 1996. "Comment on "Is job stability declining in the U.S. economy?" by Kenneth A. Swinnerton and Howard Wial (48:2, Jan. 1995)," Industrial and Labor Relations Review, ILR Review, Cornell University, ILR School, vol. 49(2), pages 348-355, January.
  60. Diebold, Francis X. & Lindner, Peter, 1996. "Fractional integration and interval prediction," Economics Letters, Elsevier, Elsevier, vol. 50(3), pages 305-313, March.
  61. Diebold, Francis X. & Chen, Celia, 1996. "Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures," Journal of Econometrics, Elsevier, Elsevier, vol. 70(1), pages 221-241, January.
  62. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 13(3), pages 253-63, July.
  63. Diebold, Francis X & Gardeazabal, Javier & Yilmaz, Kamil, 1994. " On Cointegration and Exchange Rate Dynamics," Journal of Finance, American Finance Association, American Finance Association, vol. 49(2), pages 727-35, June.
  64. Cheung, Yin-Wong & Diebold, Francis X., 1994. "On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean," Journal of Econometrics, Elsevier, Elsevier, vol. 62(2), pages 301-316, June.
  65. Diebold, Francis X., 1993. "Discussion : The effect of seasonal adjustment filters on tests for a unit root," Journal of Econometrics, Elsevier, Elsevier, vol. 55(1-2), pages 99-103.
  66. Francis X. Diebold, 1993. "Are long expansions followed by short contractions?," Business Review, Federal Reserve Bank of Philadelphia, Federal Reserve Bank of Philadelphia, issue Jul, pages 3-11.
  67. Diebold, Francis X & Rudebusch, Glenn D, 1992. "Have Postwar Economic Fluctuations Been Stabilized?," American Economic Review, American Economic Association, American Economic Association, vol. 82(4), pages 993-1005, September.
  68. Diebold, Francis X., 1992. "Forecasting, Structural Time Series Models and the Kalman Filter, Andrew C. Harvey Cambridge University Press, 1939 Fore Casting, Structural Time Series Models and The Kalman Filter Adrew C. Harvey Ca," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 8(02), pages 293-299, June.
  69. Diebold, Francis X & Rudebusch, Glenn D, 1991. "Is Consumption Too Smooth? Long Memory and the Deaton Paradox," The Review of Economics and Statistics, MIT Press, vol. 73(1), pages 1-9, February.
  70. Diebold, Francis X & Husted, Steven & Rush, Mark, 1991. "Real Exchange Rates under the Gold Standard," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 99(6), pages 1252-71, December.
  71. Francis X. Diebold & Glenn D. Rudebusch, 1991. "Shorter recessions and longer expansions," Business Review, Federal Reserve Bank of Philadelphia, Federal Reserve Bank of Philadelphia, issue Nov, pages 13-20.
  72. Diebold, Francis X. & Rudebusch, Glenn D., 1991. "On the power of Dickey-Fuller tests against fractional alternatives," Economics Letters, Elsevier, Elsevier, vol. 35(2), pages 155-160, February.
  73. Diebold, Francis X. & Pauly, Peter, 1990. "The use of prior information in forecast combination," International Journal of Forecasting, Elsevier, Elsevier, vol. 6(4), pages 503-508, December.
  74. Diebold, Francis X. & Nason, James A., 1990. "Nonparametric exchange rate prediction?," Journal of International Economics, Elsevier, Elsevier, vol. 28(3-4), pages 315-332, May.
  75. Diebold, Francis X & Sharpe, Steven A, 1990. "Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 8(3), pages 281-91, July.
  76. Diebold, Francis X & Rudebusch, Glenn D, 1990. "A Nonparametric Investigation of Duration Dependence in the American Business Cycle," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 98(3), pages 596-616, June.
  77. Diebold, Francis X & Nerlove, Marc, 1989. "The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 4(1), pages 1-21, Jan.-Mar..
  78. Diebold, Francis X & Rudebusch, Glenn D, 1989. "Scoring the Leading Indicators," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 62(3), pages 369-91, July.
  79. Diebold, Francis X, 1989. "Structural Time Series Analysis and Modelling Package: A Review," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 4(2), pages 195-204, April-Jun.
  80. Diebold, Francis X., 1989. "Forecast combination and encompassing: Reconciling two divergent literatures," International Journal of Forecasting, Elsevier, Elsevier, vol. 5(4), pages 589-592.
  81. Diebold, Francis X., 1989. "State space modeling of time series : A review essay," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 13(4), pages 597-612, October.
  82. Diebold, Francis X. & Rudebusch, Glenn D., 1989. "Long memory and persistence in aggregate output," Journal of Monetary Economics, Elsevier, Elsevier, vol. 24(2), pages 189-209, September.
  83. Diebold, Francis X, 1988. "An Application of Operational-Subjective Statistical Methods to Rational Expectations: Comment," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 6(4), pages 470-72, October.
  84. Diebold, Francis X. & Pauly, Peter, 1988. "Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate," European Economic Review, Elsevier, Elsevier, vol. 32(1), pages 27-53, January.
  85. Diebold, F X & Pauly, P, 1988. "Has the EMS Reduced Member-Country Exchange Rate Volatility?," Empirical Economics, Springer, Springer, vol. 13(2), pages 81-102.
  86. Diebold, Francis X., 1988. "Testing for bubbles, reflecting barriers and other anomalies," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(1), pages 63-70, March.
  87. Diebold, Francis X, 1988. "Serial Correlation and the Combination of Forecasts," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 6(1), pages 105-11, January.
  88. Diebold, Francis X. & Nerlove, Marc, 1987. "Prediction, Extraction, and Estimation in Unobserved Components Models," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 3(02), pages 305-305, April.
  89. Diebold, Francis X., 1986. "Exact maximum-likelihood estimation of autoregressive models via the Kalman filter," Economics Letters, Elsevier, Elsevier, vol. 22(2-3), pages 197-201.
  90. Diebold, Francis X., 1986. "The exact initial covariance matrix of the state vector of a general MA(q) process," Economics Letters, Elsevier, Elsevier, vol. 22(1), pages 27-31.

Chapters

  1. Francis X. Diebold & Glenn D. Rudebusch, 2012. "Facts, Factors, and Questions
    [Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach]
    ," Introductory Chapters, Princeton University Press, Princeton University Press.
  2. Francis X. Diebold & Kamil Yilmaz, 2011. "Equity Market Spillovers in the Americas," Central Banking, Analysis, and Economic Policies Book Series, Central Bank of Chile, in: Rodrigo Alfaro (ed.), Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 7, pages 199-214 Central Bank of Chile.
  3. S. Borağan Aruoba & Francis X. Diebold & M. Ayhan Kose & Marco E. Terrones, 2010. "Globalization, the Business Cycle, and Macroeconomic Monitoring," NBER Chapters, National Bureau of Economic Research, Inc, in: NBER International Seminar on Macroeconomics 2010, pages 245-286 National Bureau of Economic Research, Inc.
  4. Torben G. Andersen & Tim Bollerslev & Peter Christoffersen & Francis X. Diebold, 2007. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Chapters, National Bureau of Economic Research, Inc, in: The Risks of Financial Institutions, pages 513-548 National Bureau of Economic Research, Inc.
  5. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, Elsevier, Elsevier.
  6. Francis X. Diebold & Glenn Rudebusch & Daniel Sichel, 1993. "Further Evidence on Business-Cycle Duration Dependence," NBER Chapters, National Bureau of Economic Research, Inc, in: Business Cycles, Indicators and Forecasting, pages 255-284 National Bureau of Economic Research, Inc.

Books

  1. Francis X. Diebold & Glenn D. Rudebusch, 2012. "Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach," Economics Books, Princeton University Press, Princeton University Press, edition 1, volume 1, number 9895.

NEP Fields

92 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (5) 2011-10-15 2011-11-01 2011-11-21 2011-11-28 2012-05-29. Author is listed
  2. NEP-BEC: Business Economics (21) 2005-02-20 2005-03-13 2005-08-13 2006-06-17 2007-01-23 2007-10-06 2007-10-13 2007-10-13 2007-11-17 2007-11-17 2007-11-24 2008-02-16 2008-04-15 2008-08-31 2008-09-29 2008-09-29 2008-10-07 2010-01-23 2010-08-21 2011-02-26 2011-09-16. Author is listed
  3. NEP-CBA: Central Banking (15) 2008-04-15 2008-06-27 2008-09-29 2010-01-23 2010-08-21 2011-02-26 2011-09-16 2011-09-22 2011-10-09 2011-10-15 2011-10-15 2011-11-01 2011-11-21 2011-11-28 2012-05-29. Author is listed
  4. NEP-CFN: Corporate Finance (10) 1998-12-28 2003-05-08 2003-11-30 2003-12-07 2005-01-02 2005-02-01 2005-02-01 2005-03-20 2007-01-23 2007-11-24. Author is listed
  5. NEP-CMP: Computational Economics (1) 2008-09-29
  6. NEP-ECM: Econometrics (29) 1998-12-28 1998-12-28 1999-02-22 1999-03-08 2000-01-24 2001-03-16 2001-07-23 2002-08-16 2002-10-08 2002-10-08 2003-01-05 2003-02-26 2003-07-07 2005-01-02 2005-01-02 2005-02-01 2005-03-13 2005-03-20 2006-06-17 2006-06-24 2006-09-30 2007-10-06 2008-09-29 2008-10-07 2008-10-28 2008-11-18 2011-10-09 2012-05-22 2012-09-22. Author is listed
  7. NEP-ETS: Econometric Time Series (34) 1999-02-15 1999-03-01 2000-01-24 2001-03-13 2001-03-13 2001-07-23 2001-07-23 2002-08-16 2002-10-08 2003-02-18 2003-11-30 2004-06-07 2004-07-18 2004-07-18 2005-01-02 2005-01-02 2005-01-02 2005-02-01 2005-03-13 2005-03-20 2005-05-23 2005-11-19 2006-06-17 2006-06-24 2006-09-30 2006-12-16 2007-11-17 2007-11-24 2008-06-27 2008-10-07 2008-10-28 2008-11-18 2012-05-22 2012-09-22. Author is listed
  8. NEP-FIN: Finance (26) 2001-03-13 2001-03-13 2001-07-23 2001-07-23 2002-06-13 2002-08-16 2003-01-05 2003-02-18 2003-11-30 2004-06-07 2004-07-18 2005-01-02 2005-01-02 2005-01-02 2005-02-01 2005-02-01 2005-02-01 2005-02-20 2005-03-13 2005-03-20 2005-09-29 2005-11-12 2005-11-19 2006-06-17 2006-06-24 2006-09-30. Author is listed
  9. NEP-FMK: Financial Markets (27) 2001-03-13 2001-03-13 2001-07-23 2001-07-23 2002-06-13 2002-08-16 2002-10-08 2003-02-18 2003-05-08 2005-01-02 2005-01-02 2005-02-01 2005-03-13 2005-08-13 2005-09-29 2005-11-12 2005-11-19 2006-06-17 2006-06-24 2006-06-24 2006-09-30 2007-10-13 2007-11-17 2008-02-16 2008-06-27 2008-09-29 2008-11-11. Author is listed
  10. NEP-FOR: Forecasting (12) 2005-11-19 2006-06-17 2006-06-24 2006-09-30 2007-10-13 2007-10-13 2011-09-16 2011-09-22 2011-10-09 2012-09-22 2012-09-22 2014-04-11. Author is listed
  11. NEP-GER: German Papers (1) 2014-04-11
  12. NEP-HIS: Business, Economic & Financial History (4) 2004-06-07 2005-01-02 2005-09-29 2012-10-13
  13. NEP-HPE: History & Philosophy of Economics (2) 2004-06-07 2005-01-02
  14. NEP-IFN: International Finance (15) 1998-08-21 1998-08-21 1998-12-28 1998-12-28 1999-03-01 2000-01-24 2001-03-13 2001-03-13 2001-07-23 2002-06-13 2003-02-18 2003-02-18 2003-07-29 2005-01-02 2008-06-27. Author is listed
  15. NEP-MAC: Macroeconomics (27) 2005-02-01 2005-02-01 2005-02-01 2005-02-20 2005-05-23 2005-08-13 2006-06-24 2007-09-24 2007-10-13 2007-10-13 2007-10-13 2007-11-24 2008-04-15 2008-08-31 2008-08-31 2008-09-29 2008-10-07 2010-01-23 2010-08-21 2011-02-26 2011-09-16 2011-09-22 2011-10-09 2013-04-13 2013-04-20 2013-05-19 2013-12-29. Author is listed
  16. NEP-MON: Monetary Economics (8) 2005-02-01 2005-02-01 2005-02-01 2005-05-23 2005-08-13 2007-10-13 2007-11-17 2008-06-27. Author is listed
  17. NEP-MST: Market Microstructure (6) 2006-12-16 2008-06-27 2008-10-28 2008-11-18 2010-01-23 2012-05-22. Author is listed
  18. NEP-NET: Network Economics (1) 2011-10-15
  19. NEP-OPM: Open Economy Macroeconomics (3) 2008-06-27 2010-08-21 2011-02-26
  20. NEP-ORE: Operations Research (1) 2014-04-11
  21. NEP-RMG: Risk Management (27) 2002-10-08 2002-10-08 2003-01-05 2003-02-18 2003-02-18 2003-05-08 2003-07-04 2003-11-30 2003-11-30 2005-02-01 2005-03-13 2005-09-29 2005-11-12 2006-06-24 2006-09-30 2006-12-16 2007-10-06 2007-10-13 2007-11-24 2008-04-15 2008-08-31 2008-10-07 2011-10-15 2011-11-01 2011-11-21 2011-11-28 2012-05-29. Author is listed
  22. NEP-SEA: South East Asia (2) 2006-06-17 2006-09-30
  23. NEP-UPT: Utility Models & Prospect Theory (2) 2008-10-28 2008-11-18

Statistics

This author is among the top 5% authors according to these criteria:
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  9. Number of Citations
  10. Number of Citations, Discounted by Citation Age
  11. Number of Citations, Weighted by Simple Impact Factor
  12. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  13. Number of Citations, Weighted by Recursive Impact Factor
  14. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  15. Number of Citations, Weighted by Number of Authors
  16. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  17. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  18. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  19. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  20. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  21. h-index
  22. Number of Registered Citing Authors
  23. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  24. Number of Journal Pages
  25. Number of Journal Pages, Weighted by Simple Impact Factor
  26. Number of Journal Pages, Weighted by Recursive Impact Factor
  27. Number of Journal Pages, Weighted by Number of Authors
  28. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  29. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  30. Number of Abstract Views in RePEc Services over the past 12 months
  31. Number of Downloads through RePEc Services over the past 12 months
  32. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
  33. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  34. Closeness measure in co-authorship network
  35. Betweenness measure in co-authorship network
  36. Breadth of citations across fields
  37. Wu-Index
  38. Strength of students

Most cited item

Most downloaded item (past 12 months)

Access and download statistics for all items

Co-authorship network on CollEc

Corrections

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