Research Papers Diebold, F.X. and Shin, M. (2018), "Machine
Learning for Regularized Survey Forecast Combination: Partially-Egalitarian
Lasso and its Derivatives," International
Journal of Forecasting, in press. NBER Working Paper 24967. Askanasi, R., Diebold, F.X., Schorfheide, F.
and Shin, M. (2018), "On
the Comparison of Interval Forecasts", Journal of Time Series Analysis, 39, 953-965. Diebold, F.X., Liu, L. and Yilmaz, K. (2018), "Commodity
Connectedness," in E.
Mendoza, D. Saravia and E. Pasten
(eds.), Monetary Policy and Global
Spillovers: Mechanisms, Effects and Policy Measures. Santiago: Bank of
Chile Central Banking Series, Volume 25, 97-136. Full published volume here. Demirer, M., Diebold, F.X., Liu, L. and
Yilmaz, K. (2018), "Estimating Global Bank Network Connectedness",
Journal of Applied Econometrics, 33,
1-15. Diebold, F.X. and Shin, M. (2017),
"Assessing Point Forecast
Accuracy by Stochastic Error Distance," Econometric Reviews, 36,
588-598. (Special Issue in Honor of E. Maasoumi,
edited by P.C.B. Phillips and A. Ullah.) 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. Chen, F., Diebold, F.X. and Schorfheide, F.
(2013), "A Markov-Switching
Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities,"
Journal of
Econometrics, 177, 320-342. Diebold, F.X. and Strasser, G.H. (2013), "On the Correlation
Structure of Microstructure Noise: A Financial Economic Approach," Review of
Economic Studies, 80, 1304-1337. Andersen, T.G., Bollerslev, T., Christoffersen, P.F. and Diebold, F.X. (2013), "Financial Risk Measurement for
Financial Risk Management," in G. Constantinedes,
M. Harris and Rene Stulz (eds.), Handbook of the
Economics of Finance, Volume 2, Part B, Elsevier, 1127-1220. Aruoba, S.B., Diebold, F.X., Nalewaik, J. Schorfheide, F.
and Song, D. (2012), "Improving GDP
Measurement: A Forecast Combination Perspective," in X. Chen and N.
Swanson (eds.), Causality,
Prediction, and Specification Analysis: Recent Advances and Future
Directions, Essays in Honor of Halbert L. White Jr.,
1-26. Diebold, F.X. (2012), "100+ Years of Financial Risk
Measurement and Management," in F.X. Diebold (ed.), Financial Risk Measurement and Management
(ed.). Cheltenham, U.K. and Northampton, Mass.: Edward Elgar Publishing Ltd. (International
Library of Critical Writings in Economics). Diebold, F.X. (2012, revised 2018),
"The Origin(s) and
Development of 'Big Data': The Phenomenon, the Term, and and
the Discipline," Manuscript, Department of Economics, University of
Pennsylvania. Diebold, F.X. and Yilmaz, K. (2012), "Better to Give
than to Receive: Predictive Directional Measurement of Volatility Spillovers
(with discussion)," International Journal of Forecasting, 28, 57-66. Aruoba, S.B., Diebold, F.X., Kose, M.A. and Terrones, M.E.
(2011), "Globalization, the
Business Cycle, and Macroeconomic Monitoring," in R. Clarida and F.Giavazzi (eds.), NBER
International Seminar on Macroeconomics. Chicago: University of
Chicago Press, 245-302. Christensen, J.H.E., Diebold, F.X. and Rudebusch, G.D. (2011),
"The Affine
Arbitrage-Free Class of Nelson-Siegel Term Structure Models," Journal of Econometrics,
164, 4-20. Diebold, F.X. and Yilmaz, K. (2011), "Equity Market Spillovers in the
Americas," in R. Alfaro (ed.) Financial Stability, Monetary Policy, and Central Banking.
Santiago: Bank of Chile Central Banking Series, Volume 15, 199-214. Aruoba, S.B. and Diebold, F.X. (2010), "Real-Time Macroeconomic Monitoring:
Real Activity, Inflation, and Interactions," American
Economic Review, 100, 20-24. Andersen, T.G., Bollerslev, T. and Diebold,
F.X. (2010), "Parametric and Nonparametric Volatility Measurement,"
in L.P. Hansen and Y. Ait-Sahalia (eds.), Handbook of Financial
Econometrics. Amsterdam: North-Holland, 67-138. Diebold, F.X. and Yilmaz, K. (2010),
"Macroeconomic Volatility and Stock
Market Volatility, Worldwide," in T. Bollerslev,
J. Russell and M. Watson (eds.), Volatility and Time Series Econometrics: Essays in Honor of Robert F.
Engle. Oxford: Oxford University Press, 97-116. Diebold, F.X. (2010), "Discussion of Jeremy J. Nalewaik: The Income- and Expenditure-Side Estimates of
U.S. Output Growth," Brookings Papers on Economic Activity (spring), 107-112. Diebold, F.X., Kilian, L. and Nerlove, M.
(2009), "Time
Series Analysis," in L. Blume and S. Durlauf
(eds.), The
New Palgrave Dictionary of Economics, Second Edition. London:
Macmillan, 284-298. Campbell, S.D. and Diebold, F.X. (2009), "Stock Returns and
Expected Business Conditions: Half a Century of Direct Evidence," Journal of
Business and Economic Statistics, 27, 266-278. Christensen, J.H.E., Diebold, F.X. and Rudebusch, G.D. (2009),
"An Arbitrage-Free Generalized
Nelson-Siegel Term Structure Model," The Econometrics Journal,
12, 33-64. Aruoba, S.B., Diebold, F.X. and Scotti, C. (2009), "Real-Time Measurement of
Business Conditions," Journal of Business and Economic Statistics, 27, 417-427
(lead article). Diebold, F.X. and Yilmaz, K. (2009), "Measuring Financial Asset Return and
Volatility Spillovers, With Application to Global Equity Markets," Economic Journal,
119, 158-171. Diebold, F.X., Li, C. and Yue, V. (2008), "Global Yield Curve
Dynamics and Interactions: A Generalized Nelson-Siegel Approach," Journal of
Econometrics, 146, 351-363. Andersen, T.G., Bollerslev, T. and Diebold,
F.X. (2007), "Roughing
It Up: Including Jump Components in the Measurement, Modeling and Forecasting
of Return Volatility," Review of Economics and Statistics, 89, 701-720. Christoffersen, P.F., Diebold,
F.X., Mariano, R.S., Tay, A.S. and Tse, Y.K. (2007), "Direction-of-Change
Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics:
International Evidence," Journal of Financial Forecasting, 1, 3-24. Andersen, T., Bollerslev, T., Diebold, F.X.
and Vega, C. (2007), "Real-Time Price Discovery in Stock, Bond and Foreign Exchange
Markets," Journal of International Economics, 73, 251-277. Andersen, T.G., Bollerslev, T., Christoffersen, P.F., and Diebold, F.X. (2006), "Volatility and
Correlation Forecasting," in G. Elliott, C.W.J. Granger, and A. Timmermann (eds.), Handbook of Economic Forecasting. Amsterdam:
North-Holland, 778-878. Diebold, F.X., Rudebusch, G.D. and Aruoba,
B. (2006), "The Macroeconomy and the Yield
Curve: A Dynamic Latent Factor Approach," Journal of
Econometrics, 131, 309-338. Diebold, F.X. and Li, C. (2006), "Forecasting the Term Structure of Government Bond Yields," Journal of
Econometrics, 130, 337-364. Click here for data. Andersen, T.G., Bollerslev, T., Diebold,
F.X. and Wu, J. (2006), "Realized Beta: Persistence and Predictability," in
T. Fomby and D. Terrell (eds.) Advances in
Econometrics: Econometric Analysis of Economic and Financial Time Series in
Honor of R.F. Engle and C.W.J. Granger , Volume B, 1-40. (Appendix here.) Brandt, M.W. and Diebold, F.X. (2006),
"A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," Journal of
Business, 79, 61-74. Diebold, F.X. (2006), "On
Market Microstructure Noise and Realized Volatility," Journal of
Business and Economic Statistics, 24,181-183. Diebold, F.X., Ji, L. and Li, C. (2006),
"A Three-Factor Yield Curve Model: Non-Affine Structure,
Systematic Risk Sources, and Generalized Duration," in L.R. Klein
(ed.), Long-Run
Growth and Short-Run Stabilization: Essays in Memory of Albert Ando.
Cheltenham, U.K.: Edward Elgar, 240-274. Christoffersen, P.F. and
Diebold, F.X. (2006), "Financial Asset Returns, Direction-of-Change Forecasting, and
Volatility Dynamics," Management Science, 52, 1273-1287. Andersen, T.G., Bollerslev, T., Christoffersen, P.F. and Diebold, F.X. (2006),
"Practical Volatility and Correlation Modeling for Financial
Market Risk Management," in M. Carey and R. Stulz
(eds.), Risks
of Financial Institutions, University of Chicago Press for NBER,
513-548. Andersen, T.G., Bollerslev, T., Diebold,
F.X. and Wu, J. (2005), "A Framework for Exploring
the Macroeconomic Determinants of Systematic Risk," American
Economic Review, 95, 398-404. Diebold, F.X., Piazzesi, M. and Rudebusch,
G.D. (2005), "Modeling
Bond Yields in Finance and Macroeconomics," American
Economic Review, 95, 415-420. Campbell, S. and Diebold, F.X. (2005),
"Weather
Forecasting for Weather Derivatives," Journal of the American Statistical
Association, 100, 6-16. Diebold, F.X. (2005), "On Robust Monetary Policy with Structural Uncertainty,"
in J. Faust, A. Orphanedes and D. Reifschneider (eds.), Models and Monetary Policy: Research in the Tradition of Dale
Henderson, Richard Porter, and Peter Tinsley. Washington, DC:
Board of Governors of the Federal Reserve System, 82-86. Diebold, F.X. (2004), "The
Nobel Prize for Robert F. Engle," Scandinavian Journal of Economics, 106, 165-185, 2004. Andersen, T., Bollerslev, T., Diebold, F.X.
and Vega, C. (2003), "Micro Effects of Macro Announcements: Real-Time Price
Discovery in Foreign Exchange," American Economic Review, 93, 38-62. Diebold, F.X. (2003), "'Big Data' Dynamic Factor Models for Macroeconomic Measurement
and Forecasting" (Discussion of Reichlin
and Watson papers), in M. Dewatripont, L.P. Hansen
and S. Turnovsky (Eds.), Advances in
Economics and Econometrics, Eighth World Congress of the Econometric Society.
Cambridge: Cambridge University Press, 115-122. Diebold, F.X. (2003), "The ET Interview: Professor Robert F. Engle," Econometric
Theory, 19, 1159-1193. Alizadeh, S., Brandt, M. and Diebold, F.X. (2002),
"Range-Based Estimation of Stochastic Volatility Models,"
Journal of
Finance, 57, 1047-1092. Bangia, A. Diebold, F.X., Kronimus, A., Schagen, C., and Schuermann, T. (2002),
"Ratings Migration and the Business Cycle, with Application to
Credit Portfolio Stress Testing," Journal of Banking and Finance, 26, 445- 474. Andersen, T., Bollerslev, T., Diebold, F.X.
and Ebens, H. (2001),
"The Distribution of Realized Stock Return Volatility,"
Journal of
Financial Economics, 61, 43-76. (Appendix here.) Andersen, T. Bollerslev, T., Diebold, F.X.
and Labys, P. (2001),
"The Distribution of Realized Exchange Rate Volatility,"
Journal of the
American Statistical Association, 96, 42-55. Bangia, A., Diebold, F.X., Schuermann, T, and Stroughair,
J. (2001), "Modeling Liquidity Risk, With Implications for Traditional
Market Risk Measurement and Management," in S. Figlewski
and R. Levich (eds.), Risk Management: The State of the Art .
Amsterdam: Kluwer Academic Publishers, 2002, 1-13. Published in abridged form
as "Liquidity on the Outside," Risk, 12, 68-73, 1999. Diebold, F.X. and Inoue, A. (2001),
"Long Memory and Regime Switching,"
Journal of
Econometrics, 105, 131-159. Diebold, F.X. and Kilian, L. (2001),
"Measuring Predictability: Theory and Macroeconomic
Applications," Journal of Applied Econometrics, 16, 657-669. Andersen, T., Bollerslev, T., Diebold, F.X.
and Labys, P. (2000),
"Exchange Rate Returns Standardized by Realized Volatility are
(Nearly) Gaussian," Multinational Finance Journal, 4, 159-179. Diebold, F.X. and Kilian, L. (2000),
"Unit Root Tests are Useful for Selecting Forecasting Models,"
Journal of
Business and Economic Statistics, 18, 265-273. Diebold, F.X., Hahn, J. and Tay, A. (1999),
"Multivariate Density Forecast Evaluation and Calibration in
Financial Risk Management: High-Frequency Returns on Foreign Exchange,"
Review of
Economics and Statistics, 81, 661-673. Diebold, F.X., Tay, A. and Wallis, K. (1999),
"Evaluating Density Forecasts of Inflation: The Survey of
Professional Forecasters," in R. Engle and H. White (eds.), Festschrift in
Honor of C.W.J. Granger, 76-90. Oxford: Oxford University Press. Christoffersen, P. and
Diebold, F.X. (1998), "Cointegration and Long-Horizon Forecasting," Journal of Business
and Economic Statistics, 16, 450-458. Christoffersen, P., Diebold,
F.X., and Schuermann, T. (1998),
"Horizon Problems and Extreme Events in Financial Risk Management,"
Economic Policy
Review, Federal Reserve Bank of New York, October, 109-118. Diebold, F.X. (1998), "The Past, Present and Future of Macroeconomic Forecasting,"
Journal of
Economic Perspectives, 12, 175-192. Diebold, F.X., Gunther, T. and Tay, A.
(1998), "Evaluating Density Forecasts, with Applications to Financial
Risk Management," International Economic Review, 39, 863-883. Diebold, F.X. Hickman, A., Inoue, A. and Schuermann,
T. (1998), "Converting 1-Day Volatility to h-Day Volatility: Scaling by
Root-h is Worse than You Think," Wharton Financial Institutions
Center, Working Paper 97-34. Published in condensed form as "Scale
Models," Risk, 11, 104-107, 1998. Diebold, F.X., Ohanian, L. and Berkowitz, J. (1998),
"Dynamic Equilibrium Economies: A Framework for Comparing
Models and Data," Review of Economic Studies, 65, 433-452. Christoffersen, P. and
Diebold, F.X. (1997), "Optimal Prediction Under Asymmetric Loss," Econometric
Theory, 13, 808-817. Diebold, F.X., Neumark, D. and Polsky, D. (1997), "Job Stability in the
United States," Journal of Labor Economics, 15, 206-233. Diebold, F.X. and Chen, C. (1996),
"Testing Structural Stability
With Endogenous Break Point: A Size Comparison of Analytic and Bootstrap
Procedures," Journal of Econometrics, 70, 221-241. Diebold, F.X. and Lopez, J.A. (1996),
"Forecast
Evaluation and Combination," in G.S. Maddala
and C.R. Rao (eds.), Handbook of Statistics. Amsterdam: North-Holland, 241-268. Diebold, F.X. and Rudebusch (1991), "Is Consumption too
Smooth? Long Memory and the Deaton Paradox," Review of
Economics and Statistics, 73, 1-9. Diebold, F.X. and Rudebusch, G.D. (1989), "Long Memory and
Persistence in Aggregate Output," Journal of Monetary Economics, 24, 189-209. Diebold, F.X. (1989), "Random Walks vs. Fractional
Integration: Power Comparisons of Scalar and Joint Tests of the Variance-Time
Function," in Baldev Raj (ed.), Advances in
Econometrics and Modeling, 29-45. Advanced Studies in Theoretical and
Applied Econometrics, Volume 15. Boston: Kluwer Academic
Publishers. Diebold, F.X. (1988), "Serial Correlation and the
Combination of Forecasts," Journal of Business and
Economic Statistics, 6, 105-112. |