Working Papers by Francis X. Diebold

Paper Number Author Title
20-001 Francis X. Diebold, Glenn Rudebusch Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections
20-012 Francis X. Diebold, Maximilian Gobel, Philippe Goulet Coulombe, Glenn Rudebusch, Boyuan Zhang Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach
20-023 Francis X. Diebold Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession
19-012 Francis X. Diebold, Glenn Rudebusch On the Evolution of U.S. Temperature Dynamics
18-013 Ross Askanazi, Francis X. Diebold, Frank Schorfheide, Minchul Shin On the Comparison of Interval Forecasts
18-014 Francis X. Diebold, Minchul Shin Machine Learning for Regularized Survey Forecast Combination: Partially Egalitarian Lasso and its Derivatives
17-003 Francis X. Diebold, Laura Liu, Kamil Yilmaz Commodity Connectedness
17-017 Francis X. Diebold, Minchul Shin Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts
15-025 Mert Demirer, Francis X. Diebold, Laura Liu, Kamil Yilmaz Estimating Global Bank Network Connectedness
15-018 Francis X. Diebold, Frank Schorfheide, Minchul Shin Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility
14-038 Francis X. Diebold, Minchul Shin Assessing Point Forecast Accuracy by Stochastic Error Distance
13-003 Francis X. Diebold A Personal Perspective on the Origin(s) and Development of “Big Data": The Phenomenon, the Term, and the Discipline, Second Version
13-016 S. Boragan Aruoba, Francis X. Diebold, Jeremy Nalewaik, Frank Schorfheide, Dongho Song Improving GDP Measurement: A Measurement-Error Perspective
13-070 Francis X. Diebold, Kamil Yilmaz Measuring the Dynamics of Global Business Cycle Connectedness
12-020 Fei Chen, Francis X. Diebold, Frank Schorfheide A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities
12-035 Francis X. Diebold Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests
12-037 Francis X. Diebold On the Origin(s) and Development of the Term “Big Data
11-028 S. Boragan Aruoba, Francis X. Diebold, Jeremy Nalewaik, Frank Schorfheide, Dongho Song Improving GDP Measurement: A Forecast Combination Perspective
11-031 Francis X. Diebold, Kamil Yilmaz On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
11-037 Torben Andersen, Tim Bollerslev, Peter Christoffersen, Francis X. Diebold Financial Risk Measurement for Financial Risk Management
10-002 S. Boragan Aruoba, Francis X. Diebold Real-Time Macroeconomic Monitoring, Real Activity, Inflation, and Interactions
08-031 Francis X. Diebold, Kamil Yilmaz Macroeconomic Volatility and Stock Market Volatility, World-Wide
08-030 Jens Christensen, Francis X. Diebold, Glenn Rudebusch An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
08-011 S. Boragan Aruoba, Francis X. Diebold, Chiara Scotti Real Time Measurement of Business Conditions, Second Version
08-038 Francis X. Diebold, Georg Strasser On the Correlation Structure of Microstructure Noise in Theory and Practice
07-030 Francis X. Diebold, Canlin Li, Vivian Yue Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach
07-029 Jens Christensen, Francis X. Diebold, Glenn Rudebusch The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models
07-028 S. Boragan Aruoba, Francis X. Diebold, Chiara Scotti Real-Time Measurement of Business Conditions
07-002 Francis X. Diebold, Kamil Yilmaz Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets
06-019 Francis X. Diebold, L. Kilian, M. Nerlove Time Series Analysis
06-017 Francis X. Diebold, Lei Ji, Canlin Li A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalizd Duration
06-016 Peter Christoffersen, Francis X. Diebold, Roberto Mariano, Anthony Tay, Yiu Tse Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence
05-025 Sean Campbell, Francis X. Diebold Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
05-011 Torben Andersen, Tim Bollerslev, Peter Christoffersen, Francis X. Diebold Volatility Forecasting
05-009 Torben Andersen, Tim Bollerslev, Francis X. Diebold, Jin Wu A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
05-008 Francis X. Diebold, Monika Piazzesi, Glenn Rudebusch Modeling Bond Yields in Finance and Macroeconomics
05-007 Torben Andersen, Tim Bollerslev, Peter Christoffersen, Francis X. Diebold Practical Volatility and Correlation Modeling for Financial Market Risk Management
04-018 Torben Andersen, Tim Bollerslev, Francis X. Diebold, Jin Wu Realized Beta: Persistence and Predictability
04-010 Francis X. Diebold The Nobel Memorial Prize for Robert F. Engle
04-009 Peter Christoffersen, Francis X. Diebold Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
04-028 Torben Andersen, Tim Bollerslev, Francis X. Diebold, Clara Vega Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
03-025 Torben Andersen, Tim Bollerslev, Francis X. Diebold Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, ...
03-024 S. Boragan Aruoba, Francis X. Diebold, Glenn Rudebusch The Macroeconomy and the Yield Curve: A Nonstructural Analysis
03-013 Michael Brandt, Francis X. Diebold A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations, Second Version
02-046 Sean Campbell, Francis X. Diebold Weather Forecasting for Weather Derivatives, Second Version
02-026 Francis X. Diebold, Canlin Li Forecasting the Term Structure of Government Bond Yields
02-019 Torben Andersen, Tim Bollerslev, Francis X. Diebold Parametric and Nonparametric Volatility Measurement
02-011 Torben Andersen, Tim Bollerslev, Francis X. Diebold, Clara Vega Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
01-002 Torben Andersen, Tim Bollerslev, Francis X. Diebold, Paul Labys Modeling and Forecasting Realized Volatility
01-001 Torben Andersen, Tim Bollerslev, Francis X. Diebold, Heiko Ebens The Distribution of Stock Return Volatility
01-031 Francis X. Diebold, Sean Campbell Weather Forecasting for Weather Derivatives
01-008 Torben Andersen, Tim Bollerslev, Francis X. Diebold, Paul Labys Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
01-007 Sassan Alizadeh, Michael Brandt, Francis X. Diebold High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models
01-006 Francis X. Diebold, Atsushi Inoue Long Memory and Structural Change
01-005 Francis X. Diebold, Lutz Kilian Measuring Predictability: Theory and Macroeconomic Applications
01-004 Anil Bangia, Francis X. Diebold, Til Schuermann Ratings Migration and the Business Cycle, with Application to Credit Portfolio Stress Testing
01-003 Torben Andersen, Tim Bollerslev, Francis X. Diebold, Paul Labys The Distribution of Realized Exchange Rate Volatility
97-031 Francis X. Diebold Macroeconomic Forecasting is Alive and Well
97-030 Francis X. Diebold, Andrew Hickman, Atsushi Inoue, Til Schuermann Converting 1-Day Volatility to h-Day Volatility: Scaling by is Worse than You Think
97-029 Jeremy Berkowitz, Francis X. Diebold, Lee Ohanian A Dynamic Equilibrium Economies: A Framework for Comparing Models and Data
97-020 Peter Christoffersen, Francis X. Diebold Optimal Prediction Under Asymmetric Loss
97-018 Francis X. Diebold, Todd Gunther, Anthony Tay Evaluating Density Forecasts
97-017 Peter Christoffersen, Francis X. Diebold Co-integration and Long-Horizon Forecasting