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Research Papers Bie, S., Diebold, F.X., He, J., and Li,
J. (2024), Machine Learning and the Yield Curve:
Tree-Based Macroeconomic Regime Switching, arXiv: 2408.12863, SSRN:4934442. Baillie, R.T., Diebold, F.X., Kapetanios, G., Kim K.H., and Mora A. (2025),
On Robust Inference in Time Series Regression," The Econometrics
Journal, 28, forthcoming. Replication files and latest working paper at arXiv:2203.04080. Diebold, F.X., et al. (2024), Predicting
September Arctic Sea Ice: A Multi-Model Seasonal Skill Comparison, Bulletin
of the American Meteorological Society, 105 (7), 1170-1203. Diebold, F.X. and Rudebusch, G.D.
(2023), Climate
Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions,
Energy Economics, 126, 107012. Replication files here. Diebold, F.X., Goebel, M., and Goulet
Coulombe, P. (2023), Assessing and
Comparing Fixed-Target Forecasts of Arctic Sea Ice: Glide Charts for Feature-Engineered
Linear Regression and Machine Learning Models, Energy Economics,
124, 106833. Replication files
included with working paper at arXiv
2206.10721. Diebold, F.X., Rudebusch, G.D.,
Goebel, M., Goulet Coulombe, P. and Zhang, B. (2023), When Will Arctic
Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume,"
Journal of Econometrics, 236, 105479. Replication files here. Diebold, F.X., Shin, M. and Zhang, B.
(2023), On the
Aggregation of Probability Assessments: Regularized Mixtures of Predictive
Densities for Eurozone Inflation and Real Interest Rates, Journal of
Econometrics, 237, 105321.
Replication files included with working paper at arXiv:2012.11649. Baillie, R.T., Diebold, F.X., Kapetanios, G. and Kim K.H. (2023), A New Test for
Market Efficiency and Uncovered Interest Parity, Journal of
International Money and Finance, 130, 102765. Working paper at arXiv:2211.01344. Diebold, F.X. and Rudebusch, G.D.
(2022), Probability
Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model
Projections, Journal of Econometrics, 231, 520-534. Replication
files included with working paper at arXiv:1912.10774. Diebold, F.X. (2022), Real-Time Real
Economic Activity: Entering and Exiting the Pandemic Recession of 2020,
in J.J. Dolado, L. Gambetti and C. Matthes (eds.), Essays
in Honor of Fabio Canova (Advances in Econometrics, Volume 44a),
Emerald Publishing, 5-24. Diebold, F.X. and Rudebusch, G.D.
(2022), On
the Evolution of U.S. Temperature Dynamics, in A. Chudek,
C. Hsiao and A Timmermann (eds.), Essays in Honor of M. Hashem Pesaran (Advances in Econometrics, Volume 43),
Emerald Publishing, 9-28. Online appendix here.
Replication files here. Diebold, F.X., Goulet Coulombe, P.,
Goebel, M., Rudebusch, G.D. and Zhang, B. (2021), Optimal
Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling
Approach," International
Journal of Forecasting, 37, 1509-1519. Replication files included with working paper at arXiv:2003.14276. Diebold, F.X. (2020), Real-Time Real
Economic Activity Entering the Pandemic Recession, Covid Economics,
62, 1-19. 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., Schorfheide, F. and Shin, M. (2017), "Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility," Journal of Econometrics, 201, 322-332. Replication files here. 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.) Aruoba, S.B., Diebold, F.X., Nalewaik, J. Schorfheide, F.
and Song, D. (2016), "Improving GDP Measurement:
A Measurement-Error Perspective," Journal of Econometrics, 191, 384-397. Diebold, F.X. and Yilmaz, K. (2016),
"Trans-Atlantic Equity
Volatility Connectedness: U.S. and European Financial Institutions, 2004-2014,"
Journal of
Financial Econometrics, 14, 81-127. Diebold, F.X. and Yilmaz, K. (2015), "Measuring the Dynamics of
Global Business Cycle Connectedness," in S.J. Koopman and N.
Shephard (eds.), Unobserved Components and Time Series Econometrics: Essays in Honor
of Andrew C. Harvey, Oxford University Press, 45-89. Diebold, F.X. and Shin, M. (2015),
"Assessing Point Forecast
Accuracy by Stochastic Loss Distance," Economics Letters, 128,
37-38. Diebold, F.X. (2015), "Comparing Predictive Accuracy,
Twenty Years Later: A Personal Perspective on the Use and Abuse of
Diebold-Mariano Tests," (with discussion) Journal of
Business and Economic Statistics, 33, 1-24. 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. 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. Data here. Diebold, F.X. and Li, C. (2006), "Forecasting the Term Structure of Government Bond Yields," Journal of
Econometrics, 130, 337-364. 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. Christoffersen, P.F. and Diebold, F.X. (2000),
"How
Relevant is Volatility Forecasting for Financial Risk Management?," Review of
Economics and Statistics, 82, 12-22. Diebold, F.X. and Schuermann (2000), "Exact Maximum Likelihood
Estimation of Observation-Driven Econometric Models," in R. Mariano,
M. Weeks and T. Schuermann (eds.), Simulation-Based Inference in Econometrics: Methods and Applications,
205-217, Cambridge University Press. Andersen, T., Bollerslev, T., Diebold, F.X. and Labys, P. (1999),
"(Understanding, Optimizing, Using and Forecasting) Realized
Volatility and Correlation," Manuscript, Northwestern University,
Duke University and University of Pennsylvania. Published in revised form as
"Great Realizations," Risk, March 2000, 105-108. 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. Berkowitz, J. and Diebold, F.X. (1998),
"Bootstrapping
Multivariate Spectra," Review of Economics and Statistics, 80, 664-666. Diebold, F.X., Schuermann, T. and Stroughair,
J. (1998), "Pitfalls and Opportunities in the Use of Extreme Value Theory
in Risk Management," in A.-P. N. Refenes, J.D. Moody and A.N.
Burgess (eds.), Advances in Computational Finance, 3-12. Amsterdam: Kluwer
Academic Publishers. Reprinted in Journal of Risk Finance, 1 (Winter 2000), 30-36. 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 Lamb, R. (1997), "Why are
Estimates of Agricultural Supply Response so Variable?,"
Journal of
Econometrics, 76, 357-373. Bomfim, A.N. and Diebold, F.X. (1997),
"Bounded
Rationality and Strategic Complementarity in a Macroeconomic Model: Policy
Effects, Persistence and Multipliers," Economic Journal, 107,
1358-1374. Diebold, F.X. and Rudebusch, G. (1996),
"Measuring Business Cycles: A Modern Perspective," Review of
Economics and Statistics, 78, 67-77. 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. Christoffersen, P.F. and Diebold, F.X. (1996),
"Further
Results on Forecasting and Model Selection Under Asymmetric Loss," Journal of
Applied Econometrics, 11, 561-571. Diebold, F.X. and Lindner, P. (1996), "Fractional Integration and Interval Prediction," Economics Letters, 50, 305-313. Diebold, F.X. and Senhadji, A. (1996), "The Uncertain Unit Root in
GNP: Comment," American Economic Review, 86, 1291-1298. Diebold, F.X. and Mariano, R. (1995), "Comparing Predictive
Accuracy," Journal of Business and Economic Statistics, 13, 253-265. Diebold, F.X. and Lopez, J.A. (1995),
"Modeling
Volatility Dynamics," in K. Hoover (ed.), Macroeconometrics: Developments,
Tensions, and Prospects, 427-472, Springer. Diebold, F.X., Lee, J.-H. and Weinbach, G. (1994), "Regime Switching with
Time-Varying Transition Probabilities," in C. Hargreaves (ed.), Nonstationary
Time Series Analysis and Cointegration. (Advanced Texts
in Econometrics, C.W.J. Granger and G. Mizon, eds.), 283-302.
Oxford: Oxford University Press. Cheung, Y.-W. and Diebold, F.X. (1994),
"On
Maximum-Likelihood Estimation of the Differencing Parameter of
Fractionally-Integrated Noise with Unknown Mean," Journal of
Econometrics, 62, 301-316. Diebold, F.X., Gareazabal, J. and Yilmaz, K.
(1994), "On Cointegration
and Exchange Rate Dynamics," Journal of Finance, 49, 727-735. Diebold, F.X., Rudebusch, G.D. and Sichel, D. (1993), "Further Evidence on
Business Cycle Duration Dependence" (with discussion), in J.H. Stock
and M.W. Watson (eds.), Business Cycles, Indicators and Forecasting, 255-284.
Chicago: University of Chicago Press for NBER. Diebold, F.X and Rudebusch, G.D. (1992), "Have Postwar Economic
Fluctuations Been Stabilized?," American
Economic Review, 82, 993-1005. Diebold, F.X. and Rudebusch, G.D. (1991), "Forecasting Output with the
Composite Leading Index: A Real-Time Analysis," Journal of the
American Statistical Association, 86, 603-610. 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. (1991),"Turning Point
Prediction with the Composite Leading Index: An Ex Ante Analysis,"
in K. Lahiri and G. Moore (eds.), Leading Economic Indicators: New Approaches and Forecasting Records,
231-256, Cambridge University Press. Diebold, F.X and Rudebusch, G.D. (1991), "On the Power of
Dickey-Fuller Tests Against Fractional Alternatives," Economics
Letters, 35, 155-160. Diebold, F.X. (1991), " A Note on Bayesian
Forecast Combination Procedures" in P. Hackl and A. Westlund (eds.),
Economic
Structural Change:Analysis
and Forecasting, 225-232, Springer-Verlag. Diebold, F.X. and Nason, J. (1990), "Nonparametric Exchange
Rate Prediction?," Journal of
International Economics, 28, 315-332. Diebold, F.X. and Sella, R.M. (1990), "Non-Parametric Prediction of
Asset Returns: Further Negative Results," Proceedings of
the American Statistical Association, Business and Economic Statistics
Section, 1989, 380-383, American Statistical Association. Diebold, F.X and Rudebusch, G.D. (1990), "A Nonparametric
Investigation of Duration Dependence in the American Business Cycle,"
Journal of
Political Economy, 90, 595-616. Diebold, F.X. and Pauly, P. (1990), "The Use of Prior Information
in Forecast Combination," International Journal of Forecasting, 6, 503-508. Diebold, F.X. and Sharpe, S.A. (1990), "Post-Deregulation
Deposit-Rate Princing: The Multivariate
Dynamics," Journal of Business and Economic Statistics, 8, 281-291. Diebold,. F.X. and Nerlove,
M. (1989), "The Dynamics
of Exchange Rate Volatility: A Multivariate Latent-Factor ARCH Model,"
Journal of
Applied Econometrics, 4, 1-22. 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 and Rudebusch, G.D. (1989), "Scoring the Leading
Indicators," Journal of Business, 62, 369-391. Diebold, F.X. (1989), "Forecast Combination and
Encompassing: Reconciling Two Divergent Literatures," International
Journal of Forecasting, 5, 589-592. 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. Diebold, F.X. (1988), "Testing for
Bubbles, Reflecting Barriers, and Other Anomalies," Journal of
Economic Dynamics and Control, 12, 63-70. Diebold, F.X. (1987), " Rational
Expectations, Random Walks, and Monetary Models of the Exchange Rate,"
Proceedings of
the American Statistical Association, Business and Economic Statistics
Section, 1986, 101-106. Washington, DC, American Statistical
Association. Diebold, F.X. (1987), "Testing for Serial
Correlation in the Presence of ARCH," Proceedings of the American
Statistical Association, Business and Economic Statistics Section, 1986,
323-328. Washington, DC, American Statistical Association. Diebold, F.X. and Pauly, P. (1987), Structural Change and the
Combination of Forecasts, Journal of Forecasting, 6, 21-40. Diebold, F.X and Rudebusch, G.D. (1987), "Stochastic Properties of
Revisions in the Index of Leading Indicators," Proceedings of
the American Statistical Association, Business and Economic Statistics
Section, 712-717, Washington, DC, American Statistical
Association, 1988. Diebold, F.X. (1986), "Modeling
the Persistence of Conditional Variances: A Comment," Econometric
Reviews, 5, 51-56. |