| April 2013 | Improving GDP Measurement: A Measurement-Error Perspective
with S. Boraǧan Aruoba, Jeremy Nalewaik, Frank Schorfheide, Dongho Song: w18954
|
| September 2012 | Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests
w18391
|
| May 2012 | Financial 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
|
| October 2011 | On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
with Kamil Yilmaz: w17490
|
| September 2011 | Improving GDP Measurement: A Forecast Combination Perspective
with S. Boragan Aruoba, Jeremy Nalewaik, Frank Schorfheide, Dongho Song: w17421
|
| October 2010 | On the Correlation Structure of Microstructure Noise: A Financial Economic Approach
with Georg Strasser: w16469
|
| August 2010 | Globalization, the Business Cycle, and Macroeconomic Monitoring
with S. Boragan Aruoba, M. Ayhan Kose, Marco E. Terrones: w16264
|
| January 2010 | Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions
with S. Boragan Aruoba: w15657
|
| November 2008 | An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
with Jens H.E. Christensen, Glenn D. Rudebusch: w14463
|
| September 2008 | Real-Time Measurement of Business Conditions
with S. Boragan Aruoba, Chiara Scotti: w14349
|
| August 2008 | Macroeconomic Volatility and Stock Market Volatility, Worldwide
with Kamil Yilmaz: w14269
|
| February 2008 | Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets
with Kamil Yilmaz: w13811
|
| November 2007 | The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models
with Jens H. E. Christensen, Glenn D. Rudebusch: w13611
|
| Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach
with Canlin Li, Vivian Z. Yue: w13588
|
| November 2005 | Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
with Torben G. Andersen, Tim Bollerslev: w11775
|
| Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
with Sean D. Campbell: w11736
|
| May 2005 | Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
with Torben G. Andersen, Tim Bollerslev, Clara Vega: w11312
|
| March 2005 | Volatility Forecasting
with Torben G. Andersen, Tim Bollerslev, Peter F. Christoffersen: w11188
|
| February 2005 | A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
with Torben G. Andersen, Tim Bollerslev, Jin (Ginger) Wu: w11134
|
| January 2005 | Modeling Bond Yields in Finance and Macroeconomics
with Monika Piazzesi, Glenn Rudebusch: w11089
|
| Practical Volatility and Correlation Modeling for Financial Market Risk Management
with Torben G. Andersen, Tim Bollerslev, Peter F. Christoffersen: w11069
|
| July 2004 | The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach
with Glenn D. Rudebusch, S. Boragan Aruoba: w10616
|
| April 2004 | The Nobel Memorial Prize for Robert F. Engle
w10423
|
| December 2003 | Weather Forecasting for Weather Derivatives
with Sean D. Campbell: w10141
|
| October 2003 | Forecasting the Term Structure of Government Bond Yields
with Canlin Li: w10048
|
| Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
with Peter F. Christoffersen: w10009
|
| May 2003 | A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
with Michael W. Brandt: w9664
|
| August 2002 | Parametric and Nonparametric Volatility Measurement
with Torben G. Andersen, Tim Bollerslev: t0279
|
| May 2002 | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
with Torben G. Andersen, Tim Bollerslev, Clara Vega: w8959
|
| March 2001 | Modeling and Forecasting Realized Volatility
with Torben G. Andersen, Tim Bollerslev, Paul Labys: w8160
|
| High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models
with Sassan Alizadeh, Michael W. Brandt: w8162
|
| November 2000 | Long Memory and Regime Switching
with Atsushi Inoue: t0264
|
| October 2000 | The Distribution of Stock Return Volatility
with Torben G. Andersen, Tim Bollerslev, Heiko Ebens: w7933
|
| January 2000 | Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
with Torben G. Andersen, Tim Bollerslev, Paul Labys: w7488
|
| February 1999 | Unit Root Tests Are Useful for Selecting Forecasting Models
with Lutz Kilian: w6928
|
| The Distribution of Exchange Rate Volatility
with Torben Andersen, Tim Bollerslev, Paul Labys: w6961
|
| December 1998 | How Relevant is Volatility Forecasting for Financial Risk Management?
with Peter F. Christoffersen: w6844
|
| 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
|
| November 1997 | The Past, Present, and Future of Macroeconomic Forecasting
w6290
|
| October 1997 | Evaluating Density Forecasts
with Todd A. Gunther, Anthony S. Tay: t0215
|
| Cointegration and Long-Horizon Forecasting
with Peter F. Christoffersen: t0217
|
| Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters
with Anthony S. Tay, Kenneth F. Wallis: w6228
|
| August 1997 | Measuring Predictability: Theory and Macroeconomic Applications
with Lutz Kilian: t0213
|
| April 1996 | Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models
with Til Schuermann: t0194
|
| March 1996 | Forecast Evaluation and Combination
with Jose A. Lopez: t0192
|
| Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again
with Abdelhak S. Senhadji: w5481
|
| Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers
with Antulio N. Bomfim: w5482
|
| February 1995 | Measuring Volatility Dynamics
with Jose A. Lopez: t0173
|
| Dynamic Equilibrium Economies: A Framework for Comparing Models and Data
with Lee E. Ohanian, Jeremy Berkowitz: t0174
|
| November 1994 | Comparing Predictive Accuracy
with Robert S. Mariano: t0169
|
| October 1994 | Optimal Prediction Under Asymmetric Loss
with Peter F. Christoffersen: t0167
|
| September 1994 | Job Stability in the United States
with David Neumark, Daniel Polsky: w4859
|
| February 1994 | Measuring Business Cycles: A Modern Perspective
with Glenn D. Rudebusch: w4643
|
