Francis X Diebold

Job Stability in the United States

Year: 1994
Journal: Journal of Labor Economics
Authors: Francis X. Diebold; David Neumark; Daniel Poisky

Measuring Business Cycles: A Modern Perspective

Year: 1994
Journal: Review of Economics and Statistics
Authors: Francis X. Diebold; Glenn D. Rudebusch

Measuring Predictability: Theory and Macroeconomic Applications

Year: 2000
Journal: Journal of Applied Econometrics
Authors: Francis X. Diebold; Lutz Kilian

Micro Effects of Macro Announcements: Realtime Price Discovery in Foreign Exchange

Year: 2002
Journal: American Economic Review
Authors: Torben G. Andersen; Tim Bollerslev; Francis X. Diebold; Clara Vega

Forecasting the Term Structure of Government Bond Yields

Year: 2003
Journal: Journal of Econometrics
Authors: Francis X. Diebold; Canlin Li

Weather Forecasting for Weather Derivatives

Year: 2003
Journal: No Journal Matched
Authors: Sean D. Campbell; Francis X. Diebold

A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations

Year: 2003
Journal: No Journal Matched
Authors: Michael W. Brandt; Francis X. Diebold

Financial Asset Returns: Direction-of-Change Forecasting and Volatility Dynamics

Year: 2003
Journal: Management Science
Authors: Peter F. Christoffersen; Francis X. Diebold

The Nobel Memorial Prize for Robert F. Engle

Year: 2004
Journal: Scandinavian Journal of Economics
Authors: Francis X. Diebold

The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach

Year: 2004
Journal: Journal of Econometrics
Authors: Francis X. Diebold; Glenn D. Rudebusch; S. Boragan Aruoba

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Year: 2005
Journal: Risk Management
Authors: Torben G. Andersen; Tim Bollerslev; Peter F. Christoffersen; Francis X. Diebold

Modeling Bond Yields in Finance and Macroeconomics

Year: 2005
Journal: American Economic Review
Authors: Francis X. Diebold; Monika Piazzesi; Glenn D. Rudebusch

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

Year: 2005
Journal: American Economic Review
Authors: Torben G. Andersen; Tim Bollerslev; Francis X. Diebold; Jin Ginger Wu

Realtime Price Discovery in Stock, Bond, and Foreign Exchange Markets

Year: 2005
Journal: Journal of International Economics
Authors: Torben G. Andersen; Tim Bollerslev; Francis X. Diebold; Clara Vega

Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility

Year: 2005
Journal: Review of Economics and Statistics
Authors: Torben G. Andersen; Tim Bollerslev; Francis X. Diebold

Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence

Year: 2005
Journal: No Journal Matched
Authors: Sean D. Campbell; Francis X. Diebold

Volatility Forecasting

Year: 2005
Journal: No Journal Matched
Authors: Torben G. Andersen; Tim Bollerslev; Peter F. Christoffersen; Francis X. Diebold

Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach

Year: 2007
Journal: Journal of Econometrics
Authors: Francis X. Diebold; Canlin Li; Vivian Z. Yue

The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models

Year: 2007
Journal: Journal of Econometrics
Authors: Jens H. E. Christensen; Francis X. Diebold; Glenn D. Rudebusch

An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model

Year: 2008
Journal: Econometrics Journal
Authors: Jens He Christensen; Francis X Diebold; Glenn D Rudebusch

Realtime Measurement of Business Conditions

Year: 2008
Journal: No Journal Matched
Authors: S. Boragan Aruoba; Francis X. Diebold; Chiara Scotti

Measuring Financial Asset Return and Volatility Spillovers with Application to Global Equity Markets

Year: 2008
Journal: Economic Journal
Authors: Francis X. Diebold; Kamil Yilmaz

Macroeconomic Volatility and Stock Market Volatility Worldwide

Year: 2008
Journal: No Journal Matched
Authors: Francis X. Diebold; Kamil Yilmaz

Realtime Macroeconomic Monitoring: Real Activity, Inflation, and Interactions

Year: 2010
Journal: American Economic Review
Authors: S. Boragan Aruoba; Francis X. Diebold

On the Correlation Structure of Microstructure Noise: A Financial Economic Approach

Year: 2010
Journal: Review of Economic Studies
Authors: Francis X. Diebold; Georg Strasser

Globalization, the Business Cycle, and Macroeconomic Monitoring

Year: 2010
Journal: No Journal Matched
Authors: S. Boragan Aruoba; Francis X. Diebold; M. Ayhan Kose; Marco E. Terrones

Improving GDP Measurement: A Forecast Combination Perspective

Year: 2011
Journal: No Journal Matched
Authors: S. Boragan Aruoba; Francis X. Diebold; Jeremy Nalewaik; Frank Schorfheide; Dongho Song

On the Network Topology of Variance Decompositions Measuring the Connectedness of Financial Firms

Year: 2011
Journal: Journal of Econometrics
Authors: Francis X. Diebold; Kamil Yilmaz

A Markov-Switching Multifractal Intertrade Duration Model with Application to US Equities

Year: 2012
Journal: Journal of Econometrics
Authors: Fei Chen; Francis X. Diebold; Frank Schorfheide

Financial Risk Measurement for Financial Risk Management

Year: 2012
Journal: No Journal Matched
Authors: Torben G. Andersen; Tim Bollerslev; Peter F. Christoffersen; Francis X. Diebold

Comparing Predictive Accuracy Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests

Year: 2012
Journal: No Journal Matched
Authors: Francis X. Diebold

Improving GDP Measurement: A Measurement-Error Perspective

Year: 2013
Journal: Journal of Econometrics
Authors: S. Boraan Aruoba; Francis X. Diebold; Jeremy Nalewaik; Frank Schorfheide; Dongho Song

Assessing Point Forecast Accuracy by Stochastic Error Distance

Year: 2016
Journal: Econometric Reviews
Authors: Francis X. Diebold; Minchul Shin

Realtime Forecast Evaluation of DSGE Models with Stochastic Volatility

Year: 2016
Journal: Journal of Econometrics
Authors: Francis X. Diebold; Frank Schorfheide; Minchul Shin

Estimating Global Bank Network Connectedness

Year: 2017
Journal: Journal of Applied Econometrics
Authors: Mert Demirer; Francis X. Diebold; Laura Liu; Kamil Opd

Commodity Connectedness

Year: 2017
Journal: No Journal Matched
Authors: Francis X. Diebold; Laura Liu; Kamil Yilmaz

Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and Its Derivatives

Year: 2018
Journal: International Journal of Forecasting
Authors: Francis X. Diebold; Minchul Shin

Realtime Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession

Year: 2020
Journal: No Journal Matched
Authors: Francis X. Diebold

Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections

Year: 2020
Journal: Journal of Econometrics
Authors: Francis X. Diebold; Glenn D. Rudebusch

When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume

Year: 2022
Journal: Journal of Econometrics
Authors: Francis X. Diebold; Glenn D. Rudebusch; Maximilian Göbel; Philippe Goulet-Coulombe; Boyuan Zhang

On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates

Year: 2022
Journal: Journal of Econometrics
Authors: Francis X. Diebold; Minchul Shin; Boyuan Zhang

A New Test for Market Efficiency and Uncovered Interest Parity

Year: 2022
Journal: Journal of International Money and Finance
Authors: Richard T. Baillie; Francis X. Diebold; George Kapetanios; Kun Ho Kim