NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Francis X. Diebold

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

Working Papers

April 2013Improving GDP Measurement: A Measurement-Error Perspective
with S. Boraǧan Aruoba, Jeremy Nalewaik, Frank Schorfheide, Dongho Song: w18954
September 2012Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests
w18391
May 2012Financial Risk Measurement for Financial Risk Management
with Torben G. Andersen, Tim Bollerslev, Peter F. Christoffersen: w18084
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities
with Fei Chen, Frank Schorfheide: w18078

Published: 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, vol. 177(2), pages 320-342. citation courtesy of

October 2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
with Kamil Yilmaz: w17490

Published: Diebold, F.X. and Yilmaz, K. (2014), "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," Journal of Econometrics, 182, 119-134. citation courtesy of

September 2011Improving GDP Measurement: A Forecast Combination Perspective
with S. Boragan Aruoba, Jeremy Nalewaik, Frank Schorfheide, Dongho Song: w17421

Published: "Improving GDP Measurement: A Forecast Combination Perspective," in X. Chen and N. Swanson (eds.), Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis: Essays in Honor of Halbert L. White Jr., Springer, 1- 26, 2012. With B. Aruoba, J. Nalewaik, F. Schorfheide and D. Song,

October 2010On the Correlation Structure of Microstructure Noise: A Financial Economic Approach
with Georg Strasser: w16469

Published: 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. citation courtesy of

August 2010Globalization, the Business Cycle, and Macroeconomic Monitoring
with S. Boragan Aruoba, M. Ayhan Kose, Marco E. Terrones: w16264

Published:

January 2010Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions
with S. Boragan Aruoba: w15657

Published: S. Borağan Aruoba & Francis X. Diebold, 2010. "Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions," American Economic Review, American Economic Association, vol. 100(2), pages 20-24, May. citation courtesy of

November 2008An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
with Jens H.E. Christensen, Glenn D. Rudebusch: w14463

Published: 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, vol. 12(3), pages C33-C64, November. citation courtesy of

September 2008Real-Time Measurement of Business Conditions
with S. Boragan Aruoba, Chiara Scotti: w14349

Published: Aruoba, S. BoraÄŸan & Diebold, Francis X. & Scotti, Chiara, 2009. "Real-Time Measurement of Business Conditions," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 417-427. citation courtesy of

August 2008Macroeconomic Volatility and Stock Market Volatility, Worldwide
with Kamil Yilmaz: w14269
February 2008Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets
with Kamil Yilmaz: w13811

Published: FrancisX. Diebold & Kamil Yilmaz, 2009. "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets," Economic Journal, Royal Economic Society, vol. 119(534), pages 158-171, 01. citation courtesy of

November 2007The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models
with Jens H. E. Christensen, Glenn D. Rudebusch: w13611

Published: 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, vol. 164(1), pages 4-20, September. citation courtesy of

Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach
with Canlin Li, Vivian Z. Yue: w13588

Published: Diebold, Francis X. & Li, Canlin & Yue, Vivian Z., 2008. "Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach," Journal of Econometrics, Elsevier, vol. 146(2), pages 351-363, October. citation courtesy of

November 2005Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
with Torben G. Andersen, Tim Bollerslev: w11775

Published: 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, 04. citation courtesy of

Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
with Sean D. Campbell: w11736

Published:

May 2005Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
with Torben G. Andersen, Tim Bollerslev, Clara Vega: w11312

Published: Andersen, Torben, Tim Bollerslev, Francis Diebold, and Clara Vega. "Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets." Journal of International Economics 73 (2007): 251-277.

March 2005Volatility Forecasting
with Torben G. Andersen, Tim Bollerslev, Peter F. Christoffersen: w11188
February 2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
with Torben G. Andersen, Tim Bollerslev, Jin (Ginger) Wu: w11134

Published: Andersen, Torben G., Tim Bollerslev, Francis X. Diebold and Jin Wu. "A Framework For Exploring The Macroeconomic Determinants Of Systematic Risk," American Economic Review, 2005, v95(2,May), 398-404. citation courtesy of

January 2005Modeling Bond Yields in Finance and Macroeconomics
with Monika Piazzesi, Glenn Rudebusch: w11089

Published: Diebold, Francis X., Monika Piazzesi and Glenn D. Rudebusch. "Modeling Bonds Yields In Finance And Macroeconomics," American Economic Review, 2005, v95(2,May), 415-420. citation courtesy of

Practical Volatility and Correlation Modeling for Financial Market Risk Management
with Torben G. Andersen, Tim Bollerslev, Peter F. Christoffersen: w11069

Published: Practical Volatility and Correlation Modeling for Financial Market Risk Management , Torben G. Andersen, Tim Bollerslev, Peter Christoffersen, Francis X. Diebold. in The Risks of Financial Institutions, Carey and Stulz. 2006

July 2004The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach
with Glenn D. Rudebusch, S. Boragan Aruoba: w10616

Published: Diebold, Francis S., Glenn D. Rudebusch and S. Borag'an Aruoba. "The Macroeconomy And The Yield Curve: A Dynamic Latent Factor Approach," Journal of Econometrics, 2006, v131(1-2,Mar-Apr), 309-338. citation courtesy of

April 2004The Nobel Memorial Prize for Robert F. Engle
w10423

Published: Diebold, Francis S. "The Nobel Memorial Prize For Robert F. Engle," Scandinavian Journal of Economics, 2004, v106(2), 165-185. citation courtesy of

December 2003Weather Forecasting for Weather Derivatives
with Sean D. Campbell: w10141

Published: 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. citation courtesy of

October 2003Forecasting the Term Structure of Government Bond Yields
with Canlin Li: w10048

Published: Diebold, Francis X. and Canlin Li. "Forecasting The Term Structure Of Government Bond Yields," Journal of Econometrics, 2006, v130(2,Feb), 337-364. citation courtesy of

Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
with Peter F. Christoffersen: w10009

Published: Christoffersen, Peter F. and Francis X. Diebold. "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics." Management Science 52 (2006): 1273-1287. citation courtesy of

May 2003A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
with Michael W. Brandt: w9664

Published: Michael W. Brandt & Francis X. Diebold, 2006. "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," Journal of Business, University of Chicago Press, vol. 79(1), pages 61-74, January. citation courtesy of

August 2002Parametric and Nonparametric Volatility Measurement
with Torben G. Andersen, Tim Bollerslev: t0279
May 2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
with Torben G. Andersen, Tim Bollerslev, Clara Vega: w8959

Published: Andersen, Torben G., Tim Bollerslev, Francis X. Diebold and Clara Vega. "Micro Effects Of Macro Announcements: Real-Time Price Discovery In Foreign Exchange," American Economic Review, 2003, v93(1,Mar), 38-62. citation courtesy of

March 2001Modeling and Forecasting Realized Volatility
with Torben G. Andersen, Tim Bollerslev, Paul Labys: w8160

Published: Andersen, Torben G., Tim Bollerslev, Francis X. Diebold and Paul Labys. "Modeling And Forecasting Realized Volatility," Econometrica, 2003, v71(2,Mar), 579-625. citation courtesy of

High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models
with Sassan Alizadeh, Michael W. Brandt: w8162

Published: Alizadeh, Sassan, Michael W. Brandt and Francis X. Diebold. "Range-Based Estimation Of Stochastic Volatility Models," Journal of Finance, 2002, v57(3,Jun), 1047-1091.

November 2000Long Memory and Regime Switching
with Atsushi Inoue: t0264

Published: Diebold, Francis X. and Atsushi Inoue. "Long Memory And Regime Switching," Journal of Econometrics, 2001, v105(1,Nov), 131-159.

October 2000The Distribution of Stock Return Volatility
with Torben G. Andersen, Tim Bollerslev, Heiko Ebens: w7933

Published: Andersen, Torben G., Tim Bollerslev, Francis X. Diebold and Heiko Ebens. "The Distribution Of Realized Stock Return Volatility," Journal of Financial Economics, 2001, v61(1,Jul), 43-76.

January 2000Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
with Torben G. Andersen, Tim Bollerslev, Paul Labys: w7488

Published: Andersen, Torben G., Tim Bollerslev, Francis X. Diebold and Paul Labys. "The Distribution Of Realized Exchange Rate Volatility," Journal of the American Statistical Association, 2001, v96(453,Mar), 42-55.

February 1999Unit Root Tests Are Useful for Selecting Forecasting Models
with Lutz Kilian: w6928

Published: Diebold, Francis X. and Lutz Kilian. "Unit-Root Tests Are Useful For Selecting Forecasting Models," Journal of Business and Economic Statistics, 2000, v18(3,Jul), 265-273. citation courtesy of

The Distribution of Exchange Rate Volatility
with Torben Andersen, Tim Bollerslev, Paul Labys: w6961

Published: Andersen, Torben G., Tim Bollerslev, Francis X. Diebold and Paul Labys. "The Distribution Of Realized Exchange Rate Volatility," Journal of the American Statistical Association, 2001, v96(453,Mar), 42-55.

December 1998How Relevant is Volatility Forecasting for Financial Risk Management?
with Peter F. Christoffersen: w6844

Published: Review of Economics and Statistics, Vol. 82 (2000): 12-23. citation courtesy of

Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange
with Jinyong Hahn, Anthony S. Tay: w6845

Published: (Published as "Multivariate Density Forecast Evaluation and Calibration in Financial Risk Management: High Frequency Returns on Foreign Exchange") Review of Economics and Statistics, Vol. 81 (1999): 661-673.

November 1997The Past, Present, and Future of Macroeconomic Forecasting
w6290

Published: Journal of Economic Perspectives, Vol. 12 (1998): 175-192. citation courtesy of

October 1997Evaluating Density Forecasts
with Todd A. Gunther, Anthony S. Tay: t0215

Published: (newly titled "Evaluating Density Forecasts, with Applications to Financial Risk Management") International Economic Review, Vol. 39 (1998): 863-883.

Cointegration and Long-Horizon Forecasting
with Peter F. Christoffersen: t0217

Published: Journal of Business and Economic Statistics, Vol. 16 (1998): 450-458.

Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters
with Anthony S. Tay, Kenneth F. Wallis: w6228

Published: Cointegration, Causality and Forecasting: A Festschrift in Honor of Clive W. J. Granger, 76-90, Engleand, R. and H. Whie, eds., Oxford: Oxford University Press, 1999.

August 1997Measuring Predictability: Theory and Macroeconomic Applications
with Lutz Kilian: t0213

Published: Diebold, Franics S. and Lutz Kilian. "Measuring Predictability: Theory And Macroeconomic Applications," Jouranl of Applied Econometrics, 2001, v16(6), 657-669.

April 1996Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models
with Til Schuermann: t0194

Published: Mariano, R.S., T. Schuermann, and M. Weeks (eds.) Simulation-Based inference in Econometrics: Methods and Applications. New York: Cambridge University Press, 2008.

March 1996Forecast Evaluation and Combination
with Jose A. Lopez: t0192

Published: in G.S. Maddala and C.R. Rao (eds.), Handbook of Statistics. Amsterdam: North-Holland (1996).

Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again
with Abdelhak S. Senhadji: w5481

Published: American Economic Review, 86, 1291-1298 (1996).

Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers
with Antulio N. Bomfim: w5482

Published: Economic Journal, Vol. 107 (1997): 1358-1375. citation courtesy of

February 1995Measuring Volatility Dynamics
with Jose A. Lopez: t0173

Published: "Modeling Volatility Dynamics," Macroeconometrics: Developments, Tensions and Prospects, Kevin Hoover, ed. Kluwer Academic Press 1995, pp. 427-472.

Dynamic Equilibrium Economies: A Framework for Comparing Models and Data
with Lee E. Ohanian, Jeremy Berkowitz: t0174

Published: Review of Economic Studies, Vol. 65 (1998): 433-452.

November 1994Comparing Predictive Accuracy
with Robert S. Mariano: t0169

Published: Journal of Business and Economic Statistics (1995), vol. 13, pp. 253-265.

October 1994Optimal Prediction Under Asymmetric Loss
with Peter F. Christoffersen: t0167

Published:

September 1994Job Stability in the United States
with David Neumark, Daniel Polsky: w4859

Published: Journal of Labor Economics, Vol. 15 (1997): 206-233. citation courtesy of

February 1994Measuring Business Cycles: A Modern Perspective
with Glenn D. Rudebusch: w4643

Published: Review of Economics and Statistics, vol., LXXVIII, no. 1, February 1996, pp . 67-77 citation courtesy of

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
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