Francis X. Diebold

发表

Conditional Heteroskedasticity in Economic Time Series

Francis X. Diebold, 1988 .

Measuring Predictability: Theory and Macroeconomic Applications

Francis X. Diebold, Lutz Kilian, F. Diebold, 1997 .

Forecasting in Situations of Structural Change: A General Approach

Francis X. Diebold, Peter Pauly, 1989 .

ation and the Combination of Forecasts

Francis X. Diebold, 1988 .

Forecast combination and encompassing: Reconciling two divergent literatures

Francis X. Diebold, F. Diebold, 1989 .

State space modeling of time series: a review essay

Francis X. Diebold, F. Diebold, 1989 .

Unit-Root Tests Are Useful for Selecting Forecasting Models

Francis X. Diebold, Lutz Kilian, F. Diebold, 1999 .

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

Francis X. Diebold, F. Diebold, 2012 .

A Personal Perspective on the Origin(s) and Development of 'Big Data': The Phenomenon, the Term, and the Discipline, Second Version

Francis X. Diebold, F. Diebold, 2012 .

The Rodney L. White Center for Financial Research Financial Asset Returns, Direction-of-Change Forecasting and Volatility

Francis X. Diebold, Peter F. Christoffersen, F. Diebold, 2003 .

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

Francis X. Diebold, Minchul Shin, F. Diebold, 2018, International Journal of Forecasting.

Measuring the Dynamics of Global Business Cycle Connectedness

Francis X. Diebold, Kamil Yilmaz, F. Diebold, 2013 .

On the limitations of comparing mean square forecast errors: Commentary

Francis X. Diebold, Richard T. Baillie, 1993 .

Leading economic indicators: Turning point prediction with the composite leading index: An ex ante analysis

Francis X. Diebold, Glenn D. Rudebusch, 1991 .

On the Origin(s) and Development of the Term 'Big Data'

Francis X. Diebold, F. Diebold, 2012 .

Dynamic Equilibrium Economies: A Framework for Comparing Models and Data

Francis X. Diebold, Lee E. Ohanian, Jeremy Berkowitz, 1995 .

Elements of Forecasting

Francis X. Diebold, F. Diebold, 1997 .

Appendix B: Details of AFNS Restrictions

Francis X. Diebold, Glenn D. Rudebusch, 2013 .

CFEnetwork: The annals of computational and financial econometrics, 3rd issue

Robert Taylor, Jean-Marie Dufour, Helmut Lütkepohl, 2014, Computational Statistics & Data Analysis.

Assessing point forecast accuracy by stochastic error distance

Francis X. Diebold, Minchul Shin, F. Diebold, 2014 .

Modeling and Forecasting Realized Volatility

Francis X. Diebold, Torben G. Andersen, Tim Bollerslev, 2001 .

Real-Time Measurement of Business Conditions

Francis X. Diebold, S. Boragan Aruoba, Chiara Scotti, 2007 .

"Big Data"and its Origins

Francis X. Diebold, 2020 .

Scoring the Leading Indicators

Francis X. Diebold, Glenn D. Rudebusch, F. Diebold, 2020, Business Cycles.

A benchmark model for fixed-target Arctic sea ice forecasting

Francis X. Diebold, Maximilian Gobel, F. Diebold, 2021, Economics Letters.

The use of prior information in forecast combination

Francis X. Diebold, Peter Pauly, F. Diebold, 1990 .

Forecasting and Model Selection Under Asymmetric Loss

Francis X. Diebold, Peter Christoffersen, F. Diebold, 1996 .

Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach

Francis X. Diebold, Canlin Li, Vivian Z. Yue, 2008 .

The Uncertain Unit Root in Real GNP: Comment

Francis X. Diebold, Abdelhak S Senhadji, F. Diebold, 1996 .

The exact initial covariance matrix of the state vector of a general MA(q) process

Francis X. Diebold, F. Diebold, 1986 .

Serial Correlation and the Combination of Forecasts

Francis X. Diebold, F. Diebold, 1988 .

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

Francis X. Diebold, F. Diebold, 2006 .

Business Cycles: Durations, Dynamics, and Forecasting

Francis X. Diebold, Glenn D. Rudebusch, F. Diebold, 1999 .

Parametric and Nonparametric Measurements of Volatility: Volume 1: Tools and Techniques

Francis X. Diebold, Torben G. Andersen, Tim Bollerslev, 2010 .

Advances in Economics and Econometrics: “Big Data” Dynamic Factor Models for Macroeconomic Measurement and Forecasting: A Discussion of the Papers by Lucrezia Reichlin and by Mark W. Watson

Francis X. Diebold, F. Diebold, 2003 .

Estimating global bank network connectedness

Francis X. Diebold, Kamil Yilmaz, Mert Demirer, 2018 .

Exact maximum-likelihood estimation of autoregressive models via the Kalman filter

Francis X. Diebold, F. Diebold, 1986 .

A Note on Bayesian Forecast Combination Procedures

Francis X. Diebold, 1991 .

Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures

Francis X. Diebold, F. Diebold, Celia Chen, 1996 .

On cointegration and exchange rate dynamics

Francis X. Diebold, Kamil Yilmaz, F. Diebold, 1994 .

Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting than You Think

Francis X. Diebold, Michael W. Brandt, F. Diebold, 1999 .

Have Postwar Economic Fluctuations Been Stabilized?

Francis X. Diebold, Glenn D. Rudebusch, F. Diebold, 2020, Business Cycles.

Unit roots in economic time series: a selective survey

Francis X. Diebold, Marc Nerlove, F. Diebold, 1988 .

Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach

Francis X. Diebold, Glenn D. Rudebusch, F. Diebold, 2013 .

Cointegration and Long-Horizon Forecasting

Francis X. Diebold, Peter Christoffersen, F. Diebold, 1997, SSRN Electronic Journal.

Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate

Francis X. Diebold, Peter Pauly, F. Diebold, 1988 .

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

Francis X. Diebold, Clara Vega, Torben G. Andersen, 2006 .

Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore

Francis X. Diebold, Yiu Kuen Tse, Peter Christoffersen, 2004 .

Introduction: Econometric forecasting

Francis X. Diebold, Mark W. Watson, 1996 .

A Nonparametric Investigation of Duration Dependence in the American Business Cycle

Francis X. Diebold, Glenn D. Rudebusch, F. Diebold, 1990, Journal of Political Economy.

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

Francis X. Diebold, Clara Vega, Torben G. Andersen, 2006 .

The Nobel Memorial Prize for Robert F. Engle

Francis X. Diebold, 2004 .

Forecasting output with the composite leading index: an ex ante analysis

Francis X. Diebold, Glenn D. Rudebusch, F. Diebold, 1989 .

Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing

Francis X. Diebold, Til Schuermann, Anil Bangia, 2002 .

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

Francis X. Diebold, Clara Vega, Torben G. Andersen, 2002 .

A Markov-switching multifractal inter-trade duration model, with application to US equities

Francis X. Diebold, Frank Schorfheide, Fei Chen, 2013 .

On the limitations of comparing mean square forecast errors: Comment

Francis X. Diebold, F. Diebold, 1993 .

Comparing predictive accuracy I: an asymptotic test

Francis X. Diebold, Roberto S. Mariano, F. Diebold, 1991 .

Why Are Estimates of Agricultural Supply Response so Variable

Francis X. Diebold, Russell L. Lamb, 1996 .

Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004-2014

Francis X. Diebold, Kamil Yilmaz, F. Diebold, 2015 .

Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function

Francis X. Diebold, 1988 .

The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice

Francis X. Diebold, Neil A. Doherty, Richard J. Herring, 2010 .

Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility

Francis X. Diebold, Frank Schorfheide, Minchul Shin, 2015 .

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, Glenn D. Rudebusch, F. Diebold, 2008 .

The solution of dynamic linear rational expectations models

Francis X. Diebold, 1988 .

Bootstrapping Multivariate Spectra

Francis X. Diebold, Jeremy Berkowitz, F. Diebold, 1998, Review of Economics and Statistics.