• NEP-ALL-2003-01-05 (All new papers)
• NEP-ECM-2003-01-05 (Econometrics)
• NEP-FIN-2003-01-05 (Finance)
• NEP-RMG-2003-01-05 (Risk Management)

1. 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, vol. 39(4), pages 863-83, November.
2. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," Center for Financial Institutions Working Papers 02-27, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
   Other versions:
   • Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," NBER Technical Working Papers 0279, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
3. Seater, John J, 1993. "World Temperature-Trend Uncertainties and Their Implications for Economic Policy," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(3), pages 265-77, July.
4. Hyndman, R.J. & Grunwald, G.K., 1999. "Generalized Additive Modelling of Mixed Distribution Markov Models with Application to Melbourne's Rainfall," Monash Econometrics and Business Statistics Working Papers 2/99, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
5. Hansen, Bruce E, 1994. "Autoregressive Conditional Density Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 705-30, August. [Downloadable!] (restricted)
   Other versions:
   • Hansen, B.E., 1992. "Autoregressive Conditional Density Estimation," RCER Working Papers 322, University of Rochester - Center for Economic Research (RCER).
6. Pesaran, M Hashem & Pierse, Richard G & Kumar, Mohan S, 1989. "Econometric Analysis of Aggregation in the Context of Linear Prediction Models," Econometrica, Econometric Society, vol. 57(4), pages 861-88, July. [Downloadable!] (restricted)
   Other versions:
   • M. H. Pesaran & R. G. Pierse & M. S. Kumar, 1988. "Econometric Analysis of Aggregation in the Context of Linear Prediction Models," UCLA Economics Working Papers 485, UCLA Department of Economics. [Downloadable!]
7. Sean D. Campbell & Francis X. Diebold, 2002. "Weather Forecasting for Weather Derivatives," Center for Financial Institutions Working Papers 02-42, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
   Other versions:
   • Sean D. Campbell & Francis X. Diebold, 2004. "Weather Forecasting for Weather Derivatives," CFS Working Paper Series 2004/10, Center for Financial Studies. [Downloadable!]
   • Sean D. Campbell & Francis X. Diebold, 2003. "Weather Forecasting for Weather Derivatives," NBER Working Papers 10141, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   • Sean D. Campbell & Francis X. Diebold, 2005. "Weather Forecasting for Weather Derivatives," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 6-16, March. [Downloadable!] (restricted)
8. repec:cup:etheor:v:13:y:1997:i:6:p:808-17 is not listed on IDEAS
9. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March. [Downloadable!] (restricted)
10. 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., vol. 11(5), pages 561-71, Sept.-Oct. [Downloadable!] (restricted)
    Other versions:
    • Christoffersen & Diebold, . "Further Results on Forecasting and Model Selection Under Asymmetric Loss," Home Pages _059, University of Pennsylvania. [Downloadable!]
11. Peter F. Christoffersen & Francis X. Diebold, 1997. "Optimal prediction under asymmetric loss," Working Papers 97-11, Federal Reserve Bank of Philadelphia. [Downloadable!]
    Other versions:
    • Christoffersen & Diebold, . "Optimal Prediction Under Asymmetric Loss," Home Pages 167, 1996., University of Pennsylvania. [Downloadable!]
    • Peter F. Christoffersen & Francis X. Diebold, . "Optimal Prediction Under Asymmetric Loss," CARESS Working Papres 97-20, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences. [Downloadable!]
    • Peter F. Christoffersen & Francis X. Diebold, 1994. "Optimal Prediction Under Asymmetric Loss," NBER Technical Working Papers 0167, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
12. 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. [Downloadable!] (restricted)
13. Roll, Richard, 1984. "Orange Juice and Weather," American Economic Review, American Economic Association, vol. 74(5), pages 861-80, December. [Downloadable!] (restricted)
14. 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. [Downloadable!] (restricted)
    Other versions:
    • Francis X. Diebold & Anthony S. Tay & Kenneth F. Wallis, 1998. "Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters," Working Papers 98-15, New York University, Leonard N. Stern School of Business, Department of Economics.
15. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June. [Downloadable!] (restricted)
16. Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating Density Forecasts," NBER Technical Working Papers 0215, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating density forecasts," Working Papers 97-6, Federal Reserve Bank of Philadelphia. [Downloadable!]
    • Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating Density Forecasts," Center for Financial Institutions Working Papers 97-37, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    • Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, . "Evaluating Density Forecasts," CARESS Working Papres 97-18, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences. [Downloadable!]
17. Enric Valor & Hipòlit Torró & Vicente Meneu, 2001. "Single Factor Stochastic Models With Seasonality Applied To Underlying Weather Derivatives Variables," Working Papers. Serie EC 2001-22, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

1. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Discussion Papers 2008-10, School of Economics, The University of New South Wales. [Downloadable!]
   Other versions:
   • Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Tinbergen Institute Discussion Papers 08-050/4, Tinbergen Institute. [Downloadable!]
   • Dijk, D. van & Diks, C.G.H. & Panchenko, V., 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," CeNDEF Working Papers 08-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
2. Jacob Boudoukh & Matthew Richardson & YuQing Shen & Robert F. Whitelaw, 2003. "Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the OJ Market," NBER Working Papers 9515, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
3. Fred Espen Benth & Jūratė Šaltytė-Benth, 2005. "Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives," Applied Mathematical Finance, Taylor and Francis Journals, vol. 12(1), pages 53-85, March. [Downloadable!] (restricted)
4. Sean D. Campbell & Francis X. Diebold, 2004. "Weather Forecasting for Weather Derivatives," CFS Working Paper Series 2004/10, Center for Financial Studies. [Downloadable!]
   Other versions:
   • Sean D. Campbell & Francis X. Diebold, 2003. "Weather Forecasting for Weather Derivatives," NBER Working Papers 10141, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   • Sean D. Campbell & Francis X. Diebold, 2002. "Weather Forecasting for Weather Derivatives," Center for Financial Institutions Working Papers 02-42, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
   • Sean D. Campbell & Francis X. Diebold, 2005. "Weather Forecasting for Weather Derivatives," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 6-16, March. [Downloadable!] (restricted)
5. Caiado, Jorge, 2007. "Forecasting water consumption in Spain using univariate time series models," MPRA Paper 6610, University Library of Munich, Germany. [Downloadable!]
6. Eckhard Platen & Jason West, 2003. "Fair Pricing of Weather Derivatives," Research Paper Series 106, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
7. Wolfram Schlenker & Michael Roberts, 2008. "Estimating the Impact of Climate Change on Crop Yields: The Importance of Nonlinear Temperature Effects," NBER Working Papers 13799, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   Other versions:
   • Wolfram Schlenker & Michael J. Roberts, 2006. "Estimating the impact of climate change on crop yields: The importance of non-linear temperature effects," Discussion Papers 0607-01, Columbia University, Department of Economics. [Downloadable!]