Research Papers

Baillie, R.T., Diebold, F.X., Kapetanios, G., Kim K.H., and Mora A. (revised 2023), “On Robust Inference in Time Series Regression," Working paper at arXiv:2203.04080.

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 Gobel, M. (2022), “A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting,” Economics Letters, 215, 110478. Replication files included with working paper at arXiv:2101.10359.

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. and Shin, M. (2019), "Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives," International Journal of Forecasting, 35, 1679-1691. Replication files here.

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., 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.

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 Labys, P. (2003), "Modeling and Forecasting Realized Volatility," Econometrica, 71, 529-626.

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.