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Department of Economics
University of Pennsylvania
3718 Locust Walk
Philadelphia, PA 19104-6297
fdiebold@sas.upenn.edu
fdiebold@wharton.upenn.edu
http://www.ssc.upenn.edu/~fdiebold

Degrees

Ph.D., Economics, University of Pennsylvania, 1986
B.S. Economics, Wharton School, University of Pennsylvania, 1981

Current University Appointments

University of Pennsylvania:

Joseph M. Cohen Professor of Economics, School of Arts and Sciences, 2007-present
Co-Director, Financial Institutions Center, Wharton School, 2007-present
Professor of Finance, Wharton School, 2000-present
Professor of Statistics, Wharton School, 1996-present

Current Research Institute Appointments

National Bureau of Economic Research, Research Associate, 1999-present
Penn Institute for Economic Research, University of Pennsylvania, Fellow, 2000-present
Center for Financial Studies, Frankfurt am Main, Fellow, 2003-present
Annenberg Public Policy Center, University of Pennsylvania, Fellow, 2003-present
Euro Area Business Cycle Network, Fellow, 2003-present

Past Appointments

Executive Director, Morgan Stanley Investment Management, 2007-2008 (on leave from University of Pennsylvania)

University of Pennsylvania:

William P. Carey Professor of Economics, and Professor of Finance and Statistics, 2000-2007
Lawrence R. Klein Professor of Economics, and Professor of Statistics, 1999-2000
Director, Institute for Economic Research, 1999-2000
Professor of Economics, 1996-1999
Associate Professor of Economics (with tenure), 1992-1996
Assistant Professor of Economics, 1989-1992

NBER Faculty Research Fellow, 1993-1999

Board of Governors of the Federal Reserve System, Economist, 1986-1989

Past Visiting Appointments

New York University, Stern School of Business, Department of Finance, 1998-2000
Cambridge University, Trinity College and Faculty of Economics and Politics, summer 1998
Princeton University, Department of Economics, fall 1997
Johns Hopkins University, Department of Economics, fall 1995
University of Chicago, Graduate School of Business, Department of Finance, summer 1993
London School of Economics, Financial Markets Group, spring 1992
Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis, 1990

Selected Professional Honors and Awards

Honorary Fellow, European Society for Computational Methods in Sciences and Engineering, 2005
Fellow of the American Statistical Association, elected 2004
Alexander von Humboldt Award, Federal Republic of Germany, 2004
John Simon Guggenheim Foundation Fellow, 2003-2004
Fellow of the Econometric Society, elected 1998
Alfred P. Sloan Foundation Fellow, 1992-1993
Research paper, "Comparing Predictive Accuracy,” reprinted in E. Ghysels and A. Hall (eds.), Special Twentieth Anniversary Commemorative Issue of Journal of Business and Economic Statistics, 20, 134-144, 2002, containing the ten most influential papers published in the journal’s first twenty years
Geewax-Terker Award for Outstanding Financial Research, 2001, 2004
Best Paper of the Year Award, Multinational Finance Society, 2000

Teaching Awards
"Club Six” Teaching Distinction, Stern School of Business, New York University, 1999
Kravis Award for Outstanding Teaching, University of Pennsylvania, 1994, 1998

Named Lectures

Econometric Institute Lectures, Erasmus University Rotterdam, 2010
Hermann Otto Hirschfeld Lectures, Humboldt University, Berlin, 2005
Lawrence R. Klein Lecture, Project LINK World Meeting, Mexico City, 2005
Marshak Lecture, Australasian Meeting of the Econometric Society, Melbourne, 2004
Purvis Lecture, Canadian Economic Association Annual Meeting, Montreal, 2001

Invited Lectures

12th Annual Conference of the Central Bank of Chile, 2008 (forthcoming)
Royal Economic Society Annual Meeting, Warwick, England, 2008
Singapore Econometrics Study Group, Singapore 2007
50th Anniversary of the Econometrics Institute, Erasmus University Rotterdam, 2006
EC2 Conference on the Econometrics of Financial and Insurance Risks, Istanbul, 2005
Weather Risk 2002, New York, 2002
World Congress of the Econometric Society, Seattle, 2000
Computational Finance 2000, London
European Annual Meeting of the Econometric Society, Santiago, Spain, 1999
EC2 Conference on Forecasting in Econometrics, Stockholm, 1998
International Association of Financial Engineers, Annual Meeting, New York, 1998

Keynote and Plenary Addresses

Bundesbank / Free University of Berlin Conference on Macroeconomic and Financial Forecasting, 2008 (forthcoming)
EPGE / Vargas Foundation Conference on Forecasting, Rio de Janeiro, 2008
IMC/MRC Conference on Financial Time Series, Coimbra, Portugal, 2008
McGill / IFM^2 Conference on Financial Risk Management, Mont Tremblant, Quebec, 2006
Society for Nonlinear Dynamics and Econometrics Annual Meeting, New York University, 1998
Computational Finance 1997, London Business School, 1997
International Symposium on Forecasting, Barbados, 1997

Public Lectures / Panels

Society of Quantitative Analysts, New York, 2008 (forthcoming)
Wharton School 125th Anniversary Economic Summit, Philadelphia, 2007
New york City Junto, 2006
Alex G. McKenna Lecture, St. Vincent’s University, Latrobe, 2005
CIRANO-CIREQ Luncheon Address on New Directions in Forecasting in Macroeconomics and Finance, Montreal, 2005
Philadelphia Council of Business Economists Economic Outlook Lecture, 2005
Nobel Prize Luncheon Lecture in Honor of Robert Engle, American Economic Association Annual Meeting, Philadelphia, 2005
Oxford Economics USA World Outlook Conference, Washington DC, 2005
Joseph Wharton Scholars Lecture, 2004
First Annual Economic Forecasting Symposium, Rady School of Management, UCSD, 2004
Bank One / Arizona State University 40th Annual Economic Forecast Luncheon, Phoenix, 2003
Benedum Lecture, West Virginia University, 1992

Selected Research Funding

National Science Foundation:

2006-2009, "Generalized Bayesian Estimation, Forecasting, and Policy Analysis in DSGE Macroeconomic Models” (with F. Schorfheide)
2003-2006, “Econometric Volatility Measurement, Modeling, and Forecasting”
1998-2003, “Financial Econometrics and Forecasting”
1995-1998, “Forecasts and Forecasting Models: Prediction, Evaluation, Estimation and Selection Using the Relevant Loss Function”
1992-1994, “Modeling and Forecasting Economic Time Series”
1991-1992, “GARCH Models: Exact Maximum Likelihood Estimation and Temporal Aggregation”
1989-1992, “Econometric Analysis of Dynamic Economic Relations” (with M. Nerlove)

Sloan Foundation, 2008-20011, "The Future of Financial Services Regulation" (with F. Allen, R. Herring and C. Leisenring)
Sloan Foundation, 2003-2005, “The Known, the Unknown, and the Unknowable in Financial Institutions” (with N. Doherty and R. Herring)
BSI Gamma Foundation, 2003-2004, “Evolving Effects of News on Global Stock, Bond and Foreign Exchange Markets” (with T. Andersen, T. Bollerslev and C. Vega)
Pew Foundation, 1995-1996, “Economic Forecasting: Methods and Applications”

Academic Leadership

Econometric Society, Program Committee (Financial Econometrics), North American Summer Meeting, Boston, 2009
Founding Council, Society for Financial Econometrics, 2007
Econometric Society, Program Committee, Ninth World Congress, 2005
CIREQ and CIRANO Conference on Forecasting in Macroeconomics and Finance, Program Committee, 2004-2005
American Economic Association, Program Committee, 2004
Scientific Committee, International Conference on Forecasting and High-Frequency Data, Singapore, 2004
PIER-IGIER Conference on Macro- and Financial Econometrics, Milan, Co-Chairman, 2003
National Science Foundation / National Bureau of Economic Research Time Series Conference Chairman of the Organizing Committee, 2002
Econometric Society, Program Committee, 2003 North American Winter Meeting
American Finance Association, Nominating Committee, 2002
National Science Foundation / National Bureau of Economic Research Forecasting Seminar, Chairman, 1995-2001
National Bureau of Economic Research, Working Group on Empirical Methods in Macroeconomics and Finance, Co-Chairman, 1992-2001
Wharton Financial Institutions Center, Co-Organizer of annual Financial Risk Roundtable, 1998-present

1998: Market Risk Measurement and Management: VaR and Beyond (Philadelphia)
1999: Measurement and Management of Global Financial Risk: Crashes, Crises and Contagion (Philadelphia)
2000: The Quantification and Trading of Credit Risk (Philadelphia)
2001: Conglomeration, Consolidation and Convergence in the Financial Services Industry (Philadelphia)
2002: Assessing and Managing Operational Risk (Philadelphia)
2003: Measuring and Managing the Value of Financial Institutions: Integrating External and Internal Valuations (Philadelphia)
2004: Creating Value in the Life Insurance Industry (Philadelphia)
2005: The Known, the Unknown and the Unknowable in Financial Risk Management (Philadelphia)
2006: Innovation and Risk Management in Real Estate Markets (Philadelphia)
2007: Model Governance and Model Validation (Philadelphia), Valuing Financial Services Institutions: Challenges and Opportunities (London)
2008: Liquidity (Philadelphia), Killer Risks (London)

Computational Finance, Organizing Committee, 1999-2002
Macroeconomic Dynamics, Frank P. Ramsey Prize Selection Committee, 2000-present
National Science Foundation Economics Panel, 1998-2000
American Statistical Association, J. of Business and Economic Statistics Editorial Selection Committee, 2000
Econometric Society, Program Committee, 1999 North American Winter Meeting
National Center for the Educational Quality of the Workforce, Board of Senior Scholars, 1993-1995
American Statistical Association, Zellner Award Selection Committee, 1995
American Statistical Association, J. of Business and Economic StatisticsEditorial Selection Committee, 1994
American Statistical Association, Secretary/Treasurer, Business and Economic Statistics Section, 1994
Econometric Society, Program Committee, 1993 North American Summer Meeting
National Bureau of Economic Research, Working Group on Common Elements of Trends and Fluctuations, Co-Chairman, 1990-1991
American Statistical Association, Program Chair, Business and Economic Statistics Section, 1991 (Program Chair Elect, 1990)
Refereeing: Most major journals and foundations
Presentations: Hundreds of presentations at major Universities and meetings
Professional associations: American Economic Association, American Finance Association, Econometric Society (Elected Fellow, 1998), American Statistical Association (Elected Fellow, 2004)

Corporate and Policy Leadership

Oliver Wyman, New York, 1996-present: Founding member, Oliver Wyman Institute, and Co-Organizer of the Annual Wharton / Mercer Oliver Wyman Financial Risk Roundtable
Advisory Board, Wharton Financial Institutions Center, 2007-present
Risk Advisory Board, Paloma Partners, 2004-present
Business Conditions Indicators Advisory Panel, The Conference Board, 2003-present
Finance and Investment Committee, Religious of the Assumption, 2005-present
Elected Charter Member, Risk Who's Who, January 2008
Board of Directors, Carey Property Associates 16 – Global Incorporated, 2003-2004
Board of Directors, Carey Property Associates 15 Incorporated, 2002-2004
Board of Directors, Carey Institutional Properties Incorporated, 2002-2004
Board of Directors, Carey Property Associates 12 Incorporated, 2002-2003
Board of Academic Advisors, FinPortfolio.com, 1998-2002 (acquired by JP Morgan)
Profiled in: Who’s Who in the World, Who’s Who in America, Who’s Who in Finance and Business, Who’s Who in Science and Engineering, Who’s Who in American Education, Risk Who's Who, Who’s Who in Economics: A Biographical Dictionary of Major Economists, 1700-1995 (M. Blaug and S. James, eds., Edward Elgar, 3e 1999, 4e 2003)

Popular Press Reporting on My Work

Bloomberg Television Interview on Monetary Policy and Bank Regulation, May 2008, http://www.bloomberg.com/apps/news?pid=newsarchive&sid=aO4g3l1Z6XcM

Starting 2008, Diebold-Yilmaz Equity Return and Volatility Spillover Indexes updated and reported weekly by the Turkish Economic Research Forum at http://data.economicresearchforum.org/erf/SpillOverIndex.aspx?lang=en

McKinsey Risk Management Expert Interviews, 2007 (http://www.mckglobal.com/Risk_Experts, Password TAKEARISK)

Global Risks 2006, World Economic Forum, Davos, Switzerland. Reports on the risk typology developed by Diebold, Doherty and Herring, The Known, the Unknown and the Unknowable in Financial Risk Management.

Knowledge at Wharton, January 2006, "Don't Sweat the Inverted Yield Curve." Reports on my views on the bond market and inflation, based in part on my research on yield curve modeling.

Der Tagesspiegel (major daily newspaper, Berlin), October 2005, "Forschen Unter Erstclassigen Bedingungen." Reports on my H.O. Hirshfeld lectures at Humboldt University Berlin.

Financial Markets Group Review, London School of Economics, July 2003, “FMG Holds Fourth Empirical Finance Conference.” Reports on my work using high-frequency returns data to assess the stability of market betas.

Risk Magazine, March 2000, “Great Realizations.” Reports on the Andersen-Bollerslev-Diebold approach to measuring volatility and correlation of financial asset returns.

National Bureau of Economic Research Reporter, Winter 2000, “Forecasting and Empirical Methods in Finance and Macroeconomics.” Reports on my evolving research program.

The Economist, January 28, 1995, “Whistling While They Work.” Reports on the Diebold-Neumark-Polsky finding that typical employment durations have remained stable and draws implications for labor market policy.

Views From The Frontier: Commentary on the New World of Forecasting And Risk Management, 1995, Olsen and Associates, Zurich. Reports on new developments in quantitative finance and financial engineering, based on interviews with me and several others.

Newsweek, February 12, 1990, “Laying Odds on a Recession: How the Game is Played.” Reports on the use of the Diebold-Rudebusch recession probability forecasts for guiding U.S.economic policy by Alan Greenspan and the Federal Reserve Board.

Editorial Advisory Boards

Journal of Financial Econometrics, 2000-present
Journal of Portfolio Management, 2007-present
Federal Reserve Bank of New York Economic Policy Review, 1997-present
Journal of Risk Management in Financial Institutions, 2006-present
Macroeconomic Dynamics, 1996-present
Litigation Economics Review, 2001-present
Advances in Computational Management Science, 2002-present
Forecasting Letters, 2004-present
Econometrics Letters, 2005-present

Editorial Boards

International Journal of Central Banking, 2008-present
Journal of Forecasting, 1993-present
Emerging Markets Finance Journal, 2002-present
Eurasian Review of Econometrics, 2006-present

Past Editorial Boards

Journal of Business and Economic Statistics, 1993-2003
Econometrica, 1994-1997
Review of Economics and Statistics, 1993-2002
International Economic Review, 1993-2000
Journal of Applied Econometrics, 1991-1997
Journal of Empirical Finance, 1992-1995
Econometric Reviews, 1989-1992
Stata Technical Bulletin, 1993-2001

Books

Volatility: Practical Methods for Financial Applications. Princeton University Press, in progress. With T. Andersen, T.Bollerslev and P. Christoffersen.

The Known, the Unknown and the Unknowable in Financial Risk Management. Princeton: Princeton University Press, in progress. With N. Doherty and R. Herring.

Statistics for Business, Economics, and Finance. New Yok: W.W. Norton & Co., in progress. With N. Swanson.

Risk Management for Central Bank Foreign Reserves.Frankfurt: European Central Bank, 2004. With C. Bernadell, P. Cardon, J. Coche, and S. Manganelli.

Business Cycles: Durations, Dynamics, and Forecasting.Princeton: Princeton University Press, 1999. With G. Rudebusch. (Chapter 1 reprinted as “Five Questions About Business Cycles,” Economic Review, Federal Reserve Bank of San Francisco, 1-15, 2001.)

Elements of Forecasting.Cincinnati: South-Western, 1998. Spanish translation, Elementos de Pronosticos, 2000. Second edition, 2001. Third edition, 2004. Fourth edition, in press.

Empirical Modeling of Exchange Rate Dynamics. New York, Heidelberg and Tokyo: Springer-Verlag, 1988.

Edited Journal Issues and Symposia

The Econometrics of Macroeconomics, Finance, and the Interface, special issue of Journal of Econometrics, 131, 1-612, 2006. With R. Engle, C. Favero, G. Gallo, and F. Schorfheide.

New Directions in Financial Risk Management, special issue of Journal of Financial Econometrics, 3(1), 1-168, 2005. With R. Garcia, S. Mittnik and E. Renault.

Regulatory Capital and Operational Risk Management, special issue of Journal of Risk Finance, 4, 2002, 25-56. With J. Drzik, R. Herring and A. Kuritzkes.

Symposium on Forecasting Performance, special issue of IMF Staff Papers, 49, 1-64, 2002.

Forecasting and Empirical Methods in Finance and Macroeconomics, special issue of Journal of Econometrics, 105, 2001, 1- 308. With K. West.

Forecasting and Empirical Methods in Macroeconomics and Finance, special issue of Review of Economics and Statistics, 81, 1999, 553-673. With J. Stock and K. West.

Forecasting and Empirical Methods in Macroeconomics and Finance, special issue of International Economic Review, 39, 1998, 811-1144. With K. West.

Econometric Forecasting, special issue of Journal of Applied Econometrics, 11, 453-594, 1996. With M. Watson.

Articles

"Real-Time Measurement of Business Conditions," Journal of Business and Economic Statistics, in press. With S.B. Aruoba and C. Scotti.

"Macroeconomic Volatility and Stock Market Volatility, Worldwide," forthcoming 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. With K. Yilmaz.

"Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," Economic Journal, forthcoming. WIth K. Yilmaz.

"Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence," Journal of Business and Economic Statistics, forthcoming. With S. Campbell.

"Parametric and Nonparametric Volatility Measurement,” forthcoming in L.P. Hansen and Y. Ait-Sahalia (eds.), Handbook of Financial Econometrics. Amsterdam: North-Holland. With T.G. Andersen and T. Bollerslev, 2006, forthcoming, 66 pp.

"Global Yield Curve Dynamics and Interactions: A Generalized Nelson-Siegel Approach," Journal of Econometrics, 146, 351-363, 2008. With C. Li and V. Yue.

"Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," Review of Economics and Statistics, 89, 701-720, 2007. With T. Anderson and T. Bollerslev.

"Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence," Journal of Financial Forecasting, 1(2), 3-24, 2007. With P. Christoffersen, R. Mariano, A. Tay and Y.K. Tse.

"Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets," Journal of International Economics, 73, 251-277, 2007. With T. Andersen, T. Bollerslev and C. Vega.

"Time Series Analysis," in L. Blume and S. Durlauf (eds.), The New Palgrave Dictionary of Economics, Second Edition, forthcoming. London: Macmillan. With L. Kilian and M. Nerlove.

"Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," Management Science, 52, 1273-1287, 2006. With P. Christoffersen.

"The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach,” Journal of Econometrics, 131, 309-338, 2006. With G. Rudebusch and B. Aruoba.

(Winner of Geewax-Terker Award for Outstanding Research.)

"On Market Microstructure Noise and Realized Volatility," Journal of Business and Economic Statistics, 24, 181-183, 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, 240-274, 2006. Cheltenham, U.K.: Edward Elgar. With L. Ji and C. Li.

"Editors’ Introduction,” in F.X. Diebold, R.F. Engle, C. Favero, G. Gallo, and F. Schorfheide (eds.), The Econometrics of Macroeconomics, Finance, and the Interface, special issue of Journal of Econometrics, 131, 1-2, 2006. With R.F. Engle, C. Favero, G. Gallo, and F. Schorfheide.

"Realized Beta: Persistence and Predictability,” in T. Fomby and D. Terrell (eds.) Advances in Econometrics: Econometric Analysis of Economic and Financial Time Series, Volume B, 2006, 1-40. With T. Andersen, T. Bollerslev and G. Wu.

"Volatility and Correlation Forecasting,” in G. Elliott, C.W.J. Granger, and Allan Timmermann (eds.), Handbook of Economic Forecasting. Amsterdam: North-Holland, 2006, 778-878. With T. Andersen, T. Bollerslev and P. Christoffersen.

"Forecasting the Term Structure of Government Bond Yields,” Journal of Econometrics, 130, 337-364, 2006. With C. Li.

"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, 2006, 513-548. With T. Andersen, T. Bollerslev and P. Christoffersen.

"A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations,” Journal of Business, 79, 61-74, 2006. With M. Brandt.

"Weather Forecasting for Weather Derivatives,” Journal of the American Statistical Association, 100, 6-16, 2005. With S. Campbell.

(Lead article for the year.)

"A Framework for Exploring the Macroeconomic Determinants of Systematic Risk,” American Economic Review, 95, 398-404, 2005. With T. Andersen, T. Bollerslev and J. Wu.

"Modeling Bond Yields in Finance and Macroeconomics,” American Economic Review, 95, 415-420, 2005. With M. Piazzesi and G. Rudebusch.

"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, 2005, 82-86.

"The Nobel Memorial Prize for Robert F. Engle,” Scandinavian Journal of Economics, 106, 165-185, 2004.

"Modeling and Forecasting Realized Volatility,” Econometrica, 71, 579-626, 2003. With T. Andersen, T. Bollerslev and P. Labys.

"Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange,” American Economic Review, 93, 38-62, 2003. With T.G. Andersen, T. Bollerslev and C. Vega.

"The ET Interview: Professor Robert F. Engle,” Econometric Theory, 19, 1159-1193, 2003.

"‘Big Data’ Dynamic Factor Models for Macroeconomic Measurement and Forecasting,” in M. Dewatripont, L.P. Hansen, and S. Turnovsky (eds.), Advances in Economics and Econometrics: Theory and Applications, Eighth World Congress of the Econometric Society. Cambridge: Cambridge University Press, 2003, 115-122.

"Range-Based Estimation of Stochastic Volatility Models,” Journal of Finance, 57, 1047-1092, 2002 (lead article). With S. Alizadeh and M.W. Brandt. (Winner of Geewax-Terker Award for Outstanding Research, 2001.)

"Ratings Migration and the Business Cycle, with Application to Credit Portfolio Stress Testing,” Journal of Banking and Finance, 26, 445-474, 2002. With A. Bangia, A. Kronimus, C. Schagen, and T. Schuermann.

"Regulatory Capital and Operational Risk Management,” Journal of Risk Finance, 4 (fall), 2002, 2. With J. Drzik, R. Herring and A. Kuritzkes.

"Symposium on Forecasting Performance: An Introduction,” IMF Staff Papers, 49, 1-3, 2002.

"Measuring Predictability: Theory and Macroeconomic Applications,” Journal of Applied Econometrics, 16, 657-669, 2001. With L. Kilian.

"Long Memory and Regime Switching,” Journal of Econometrics, 105, 131-159, 2001. With A. Inoue.

"The Distribution of Realized Stock Return Volatility,” Journal of Financial Economics, 61, 43-76, 2001. With T. Andersen, T. Bollerslev and H. Ebens.

"The Distribution of Realized Exchange Rate Volatility,” Journal of the American Statistical Association, 96, 42-55, 2001. With T. Andersen, T. Bollerslev and P. Labys.

(Reprinted in N. Shephard (ed.), Stochastic Volatility: Selected Readings. Oxford: Oxford University Press, 2005.)

"Comment on O. Barndorff-Nielsen and N. Shephard: “Non-Gaussian Ornstein-Uhlenbeck-Based Models and Some of Their Uses in Financial Economics,” Journal of the Royal Statistical Society B, 63, 2001.

"Econometrics: Retrospect and Prospect,” Journal of Econometrics, 100, 73-75, 2001.

"Forecasting and Empirical Methods in Finance and Macroeconomics: Editors’ Introduction,” in F.X. Diebold and K.D. West (Eds.), Forecasting and Empirical Methods in Finance and Macroeconomics, Special issue of Journal of Econometrics, 105, 1-3, 2001. With K.D. West.

"Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian,” Multinational Finance Journal, 4, 159-179, 2000. With T. Andersen, T. Bollerslev and P. Labys.

(Winner of Best Paper of the Year Award, Multinational Finance Society, 2000.)

"Unit Root Tests are Useful for Selecting Forecasting Models,” Journal of Business and Economic Statistics, 18, 265-273, 2000. With L. Kilian.

"Great Realizations,” Risk, 13, 105-108, March 2000. With T. Andersen, T. Bollerslev and P. Labys. (Abridged version of "Understanding, Optimizing, Using and Forecasting Realized Volatility and Correlation,” Working Paper FIN-99-061, Department of Finance, Stern School of Business, New York University.)

(Reprinted in J. Danielsson, Ed., The Value-at-Risk Reference. London: Risk Publications, 2008.)

"How Relevant is Volatility Forecasting for Financial Risk Management?,” Review of Economics and Statistics, 82, 12-23, 2000. With P. Christoffersen.

"Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models,” in R.S. Mariano, M. Weeks and T. Schuermann (eds.), Simulation-Based Inference in Econometrics: Methods and Applications, 2000, 205-217. Cambridge: Cambridge University Press. With T. Schuermann.

"Comment on A. Harvey and C.-H. Chung: Estimating the Underlying Change in Unemployment in the UK,” Journal of the Royal Statistical Society A, 163, 303-309, 2000.

"Comment on J. Durbin and S. J. Koopman: Time Series Analysis of non-Gaussian Observations Based on State Space Models from both Classical and Bayesian Perspectives,” Journal of the Royal Statistical Society B, 62, 29-56, 2000.

"Multivariate Density Forecast Evaluation and Calibration in Financial Risk Management: High-Frequency Returns on Foreign Exchange,” Review of Economics and Statistics, 81, 661-673, 1999. With J. Hahn and A. Tay.

(Reprinted in Forecasting Financial Markets (T.C. Mills, ed.), part of the International Library of Critical Writings in Economics (M. Blaug, series ed.), Edward Elgar Publishing, 2002.)

"Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters,” in R. Engle and H. White (eds.), Cointegration, Causality, and Forecasting: A Festschrift in Honor of Clive W.J. Granger, 76-90, 1999. Oxford: Oxford University Press. With A. Tay and K. Wallis.

"Liquidity on the Outside,” Risk, 12, 68-73, 1999. With A. Bangia, T. Schuermann, and J. Stroughair.

(Reprinted in expanded form as “Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management,” in S. Figlewski and R.M. Levich (eds.), Risk Management: The State of the Art. Boston: Kluwer Academic Publishers, 2002, 1-13.)

"Managing Volatility,” Asia Risk, December 1999, 35-36. With A. Santomero.

"Dynamic Equilibrium Economies: A Framework for Comparing Models and Data,” Review of Economic Studies, 65, 433-452, 1998. With L. Ohanian and J. Berkowitz.

"Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management,” in A.-P. N. Refenes, A.N. Burgess and J.D. Moody (eds.), Decision Technologies for Computational Finance, 3-12. Amsterdam: Kluwer Academic Publishers, 1998. With T. Schuermann and J. Stroughair.

(Reprinted in Journal of Risk Finance, 1 (Winter 2000), 30-36. Reprinted in P. Embrechts (ed.), Extremes and Integrated Risk Management. London: Risk Publications, 2000.)

"Evaluating Density Forecasts, With Applications to Financial Risk Management,” International Economic Review, 39, 863-883, 1998. With T. Gunther and A. Tay.

"Cointegration and Long-Horizon Forecasting,” Journal of Business and Economic Statistics, 16, 450-458, 1998. With P. Christoffersen.

"The Past, Present and Future of Macroeconomic Forecasting,” Journal of Economic Perspectives, 12, 175-192, 1998.

"Bootstrapping Multivariate Spectra,” Review of Economics and Statistics, 80, 664-666, 1998. With J. Berkowitz.

"Scale Models,” Risk, 11, 104-107, 1998. With T. Schuermann, A. Hickman and A. Inoue. (Revised and abridged version of "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.)

(Reprinted in M. Broadie and P. Glasserman (eds.), Hedging with Trees: Advances in Pricing and Risk Managing Derivatives, 233-237, 1998. London: Risk Publications.)

(Reprinted in B. Warwick (ed.), The Handbook of Risk, 2003. New York: John Wiley and Sons.)

"Forecasting and Empirical Methods in Macroeconomics and Finance: Editors’ Introduction,” in F.X. Diebold and K.D. West (Eds.), Forecasting and Empirical Methods in Macroeconomics and Finance, Special Issue of International Economic Review, 39, 811-816, 1998. With K.D. West.

"Horizon Problems and Extreme Events in Financial Risk Management,” Economic Policy Review, Federal Reserve Bank of New York, October 1998, 109-118. With P. Christoffersen and T. Schuermann.

(Reprinted in R. Rieves and B. Warwick (eds.), Handbook of Risk Management. New York: John Wiley and Sons, 2003. Reprinted in ICFAI Journal of Financial Risk Management, 3, 7-18, 2004.)

"Optimal Prediction Under Asymmetric Loss,” Econometric Theory, 13, 808-817, 1997. With P. Christoffersen.

"Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers,” Economic Journal, 107, 1358-1375, 1997. With A. Bomfim.

"Job Stability in the United States,” Journal of Labor Economics, 15, 206-233, 1997. With D. Neumark and D. Polsky.

"Why are Estimates of Agricultural Supply Response so Variable?,” Journal of Econometrics, 76, 357-373, 1997. With R. Lamb.

"Forecast Evaluation and Combination,” in G.S. Maddala and C.R. Rao (eds.), Handbook of Statistics, 241-268, 1996. Amsterdam: North-Holland. With J. Lopez.

"Further Results on Forecasting and Model Selection Under Asymmetric Loss,” Journal of Applied Econometrics, 11, 561-572, 1996. With P. Christoffersen.

"Testing Structural Stability With Endogenous Break Point: A Size Comparison of Analytic and Bootstrap Procedures,” Journal of Econometrics, 70, 221-241, 1996. With C. Chen.

"Fractional Integration and Interval Prediction,” Economics Letters, 50, 305-313, 1996. With P. Lindner.

"Measuring Business Cycles: A Modern Perspective,” Review of Economics and Statistics, 78, 67-77, 1996. With G.D. Rudebusch.

(Reprinted in Long-Term Trends and Business Cycles (T.C. Mills, ed.), part of the International Library of Critical Writings in Economics (M. Blaug, series ed.), Edward Elgar Publishing, 2002.)

"The Uncertain Unit Root in Real GNP: Comment,” American Economic Review, 86, 1291-1298, 1996. With A. Senhadji.

"Is Job Stability Declining in the U.S. Economy?: Comment,” Industrial and Labor Relations Review, 49, 348-352, 1996. With D. Neumark and D. Polsky.

"Introduction: Econometric Forecasting,” in F.X. Diebold and M.W. Watson (eds.) Econometric Forecasting, Special issue of Journal of Applied Econometrics, 11, (September-October), 453-454, 1996. With M.W. Watson.

"Modeling Volatility Dynamics,” in Kevin Hoover (ed.), Macroeconometrics: Developments, Tensions and Prospects, 427-472, 1995. Boston: Kluwer Academic Press. With J. Lopez.

"Comparing Predictive Accuracy,” Journal of Business and Economic Statistics, 13, 253-265, 1995. With R.S. Mariano.

(Reprinted in Economic Forecasting (T.C. Mills, ed.), part of the International Library of Critical Writings in Economics (M. Blaug, series ed.), Edward Elgar Publishing, 1998.)

(Reprinted in E. Ghysels and A. Hall (eds.), Special Twentieth Anniversary Commemorative Issue of Journal of Business and Economic Statistics, 20, 134-144, 2002, containing the ten most influential papers published in the journal’s first twenty years.)

"On Asymmetry in Economic Time Series,” in M. Dutta (ed.), Economics, Econometrics and the Link: Essays in Honor of Lawrence R. Klein, 119-128, 1995. Amsterdam: North-Holland.

"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, 1994. Oxford: Oxford University Press. With J.-H. Lee and G. Weinbach.

"Maximum Likelihood Estimation of Fractionally Integrated Noise with Unknown Mean,” Journal of Econometrics, 62, 301-316, 1994. With Y.-W. Cheung.

"Cointegration and Exchange Rate Dynamics,” Journal of Finance, 49, 727-735, 1994. With J. Gardeazabal and K. Yilmaz.

"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, 1993. Chicago: University of Chicago Press for NBER. With G.D. Rudebusch and D.E. Sichel.

"A Note on Conditional Heteroskedasticity in the Market Model,” Journal of Accounting, Auditing and Finance, 8, 141-150, 1993. With J. Lee and S. Lim.

"The Effect of Seasonal Adjustment Filters on Tests for a Unit Root: Comment,” Journal of Econometrics, 55, 99-103, 1993.

"Modeling Asset Returns with Stable Distributions: Comment,” Econometric Reviews, 12, 339-342, 1993.

"On the Limitations of Comparing Mean Square Forecast Errors,” Journal of Forecasting, 12, 641-642, 1993.

"Are Long Expansions Followed by Short Contractions?,” Business Review, Federal Reserve Bank of Philadelphia, July-August, 3-11,1993.

"Have Postwar Economic Fluctuations Been Stabilized?,” American Economic Review, 82, 993-1005, 1992. With G. Rudebusch.

"Lawrence Klein's The Keynesian Revolution, Fifty years Later,” Proceedings of the 12th Annual Economics Day, Department of Economics, University of Pennsylvania, 1992.

"Real Exchange Rates Under the Gold Standard,” Journal of Political Economy, 99, 1252-1271, 1991. With S. Husted and M. Rush.

(Reprinted in New Developments in Exchange Rate Economics (L. Sarno and M.P Taylor, eds.), part of the International Library of Critical Writings in Economics (M. Blaug, series ed.), Edward Elgar Publishing, 2002.)

"Forecasting Output with the Composite Leading Index: An Ex Ante Analysis,” Journal of the American Statistical Association,
86, 603-610, 1991. With G. Rudebusch.

(Reprinted in Economic Forecasting (T.C. Mills, ed.), part of the International Library of Critical Writings in Economics (M. Blaug, series ed.), Edward Elgar Publishing, 1998.)

"On Bayesian Forecast Combination Procedures,” in Economic Structural Change: Analysis and Forecasting (A. Westlund and P. Hackl, eds.), 225-232, 1991. New York: Springer-Verlag.

"On the Power of Dickey-Fuller Tests Against Fractional Alternatives,” Economics Letters, 35, 155-160, 1991. With G. Rudebusch.

"Is Consumption too Smooth? Long Memory and the Deaton Paradox,” Review of Economics and Statistics, 73, 1-9, 1991 (lead article). With G. Rudebusch.

"Shorter Contractions and Longer Expansions,” Business Review, Federal Reserve Bank of Philadelphia, November-December, 13-20, 1991. With G.D. Rudebusch.

"The Use of Prior Information in Forecast Combination,” International Journal of Forecasting, 6, 503-508, 1990. With P. Pauly.

"Turning point Prediction with the Composite Leading Index: An Ex Ante Analysis,” in Leading Economic Indicators: New Approaches and Forecasting Records (Kajal Lahiri and Geoffrey H. Moore, eds.), 231-256, 1991. Cambridge: Cambridge University Press. With G. Rudebusch.

"Post-Deregulation Bank Deposit Rate Pricing: The Multivariate Dynamics,” Journal of Business and Economic Statistics, 8, 281-293, 1990. With S. Sharpe.

"Nonparametric Exchange Rate Prediction?,” Journal of International Economics, 28, 315-332, 1990. With J. Nason.

(Reprinted in Forecasting Financial Markets (T.C. Mills, ed.), part of the International Library of Critical Writings in Economics (M. Blaug, series ed.), Edward Elgar Publishing, 2002.)

(Reprinted in Financial Forecasting (R. Batchelor and P. Dua, eds.), part of the nternational Library of Critical Writings in Financial Economics (R. Roll, series ed.), Edward Elgar Publishing, 2003.)

"A Nonparametric Investigation of Duration Dependence in the American Business Cycle,” Journal of Political Economy, 98, 596-616, 1990. With G. Rudebusch.

(Reprinted in Long-Term Trends and Business Cycles (T.C. Mills, ed.), part of the International Library of Critical Writings in Economics (M. Blaug, series ed.), Edward Elgar Publishing, 2002.)

"Unit Roots in Economic Time Series: A Selective Survey,” in Advances in Econometrics: Co-Integration, Spurious Regressions, and Unit Roots, (Thomas B. Fomby and George F. Rhodes, eds.), 3-69, 1990. Greenwich, Connecticut: JAI Press. With M. Nerlove.

"Nonparametric Prediction of Asset Returns: Further Negative Results,” Proceedings of the American Statistical Association, Business and Economic Statistics Section, 1989, 380-383. Washington, DC: American Statistical Association, 1990. With R. Sella.

"On the Exact Distribution of Certain Test Statistics for the Random Walk Hypothesis,” Proceedings of the American Statistical Association, Business and Economic Statistics Section, 1989. Washington, DC: American Statistical Association, 1990, 226-230. With M. Chandrakantha, J. Mehta and P. Swamy.

"On 'Unit Root Econometrics': Discussion of Papers by Geweke, Sims, and DeJong and Whiteman,” Proceedings of the American Statistical Association, Business and Economic Statistics Section, 1989, 71-74. Washington, DC: American Statistical Association, 1990.

"Long Memory and Persistence in Aggregate Output,” Journal of Monetary Economics, 24, 189-209, 1989. With G. Rudebusch.

"Scoring the Leading Indicators,” Journal of Business, 62, 369-392, 1989. With G. Rudebusch.

"The Dynamics of Exchange Rate Volatility: A Multivariate Latent-Factor ARCH Model,” Journal of Applied Econometrics, 4, 1-22, 1989. With M. Nerlove.

(Reprinted in N. Shephard (ed.), Stochastic Volatility: Selected Readings. Oxford: Oxford University Press, 2005.)

"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, 1989. Advanced Studies in Theoretical and Applied Econometrics, Volume 15. Boston: Kluwer Academic Publishers.

"Small Sample Properties of Asymptotically Equivalent Tests for Autoregressive Conditional Heteroskedasticity,” Statistische Hefte, 30, 105-131, 1989. With P. Pauly.

"Forecasting in Situations of Structural Change: A General Approach,” in P. Hackl (ed.), Statistical Analysis and Forecasting of Economic Structural Change, 297-318, 1989. New York: Springer-Verlag. With P. Pauly.

"Intertemporal Consumer Behavior Under Structural Changes in Income: Comment,” Econometric Reviews, 8, 93-100, 1989.

"Forecast Combination and Encompassing: Reconciling Two Divergent Literatures,” International Journal of Forecasting, 5, 589-592, 1989.

"Has the EMS Reduced Member-Country Exchange Rate Volatility?,” Empirical Economics, 13, 81-102, 1988. With P. Pauly.

"Testing for Bubbles, Reflecting Barriers, and Other Anomalies,” Journal of Economic Dynamics and Control, 12, 63-70, 1988.

"Endogenous Risk in a Portfolio-Balance Rational-Expectations Model of the Deutschemark / Dollar Rate,” European Economic Review, 32, 27-54, 1988. With P. Pauly.

"Serial Correlation and the Combination of Forecasts,” Journal of Business and Economic Statistics, 6, 105-112, 1988.

"An Application of Operational-Subjective Statistical Methods to Rational Expectations: A Comment,” Journal of Business and Economic Statistics, 6, 470-472, 1988.

"Prediction, Extraction and Estimation in Unobserved Components Models: Solution,” Econometric Theory, 4, 356-359, 1988. With M. Nerlove.

"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. With G. Rudebusch.

"Structural Change and the Combination of Forecasts,” Journal of Forecasting, 6, 21-40, 1987. With P. Pauly.

"Prediction, Extraction and Estimation in Unobserved Components Models: Problem,” Econometric Theory, 3, 305, 1987. With M. Nerlove.

"Time-Series Analysis,” in J. Eatwell, M. Milgate, and P. Newman (eds.), The New Palgrave: A Dictionary of Economic Theory and Doctrine, Volume 4, 646-652, 1987. New York: McMillan & Co. With M. Nerlove.

(Reprinted in J. Eatwell, M. Milgate and P. Newman (eds.) The New Palgrave: Time Series and Statistics, 294-309, 1990. New York: McMillan & Co.)

"Estimation,” in J. Eatwell, M. Milgate, and P. Newman (eds.), The New Palgrave: A Dictionary of Economic Theory and Doctrine, Volume 2, 192-195, 1987. New York: McMillan & Co. With M. Nerlove.

(Reprinted in J. Eatwell, M. Milgate and P. Newman (eds.) The New Palgrave: Time Series and Statistics, 82-89, 1990. New York: McMillan & Co.)

"Autoregressive and Moving-Average Time-Series Processes,” in J. Eatwell, M. Milgate, and P. Newman (eds.), The New Palgrave: A Dictionary of Economic Theory and Doctrine, Volume 1, 153-158, 1987. New York: McMillan & Co. With M. Nerlove.

(Reprinted in J. Eatwell, M. Milgate, and P. Newman (eds.) The New Palgrave: Time Series and Statistics, 25-35, 1990. New York: McMillan & Co.)

(Reprinted in revised form in J. Eatwell, M. Milgate and P. Newman (eds.), The New Palgrave: Money and Finance, 1991. New York: McMillan & Co.)

"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, 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, 1987.

"The Combination of Forecasts,” Prevision et Analyse Economique, 7, 7-31, 1986. With P. Pauly.

"The Exact Initial Covariance Matrix of the State Vector of a General MA(q) Process,” Economics Letters, 22, 27-31, 1986.

"Exact Maximum-Likelihood Estimation of Autoregressive Models via the Kalman Filter,” Economics Letters, 22, 197-202, 1986.

"Modeling the Persistence of Conditional Variances: A Comment,” Econometric Reviews, 5, 51-56, 1986.

Book And Software Reviews

Modelling Extremal Events for Insurance and Finance, by P. Embrechts, C. Klüppelberg, and T. Mikosch, Risk, 12, 63, 1999.

STAMP 5.0, by A.C. Harvey et al., International Journal of Forecasting, 12, 309-315, 1996. With L. Giorgianni and A. Inoue.

State Space Modeling of Time Series (Second Edition), by M. Aoki, Journal of the American Statistical Association, 88, 1171, 1993.

State-Space Modeling of Time Series, by M. Aoki, Journal of Economic Dynamics and Control, 13, 597-612, 1989.

Forecasting, Structural Time Series Models and the Kalman Filter, by A.C. Harvey, Econometric Theory, 8, 293-299, 1992.

State Space Modeling of Time Series, by M. Aoki, Journal of the American Statistical Association, 84, 339-340, 1989.

Structural Time Series Analysis and Modeling Package, by A.C. Harvey et al., Journal of Applied Econometrics, 4, 195-204, 1989.

Primary Dissertation Supervision

Edith Liu (in progress)

Leonardo Melosi (in progress)

Jian Hua (in progress)

Georg Strasser (in progress, expected Summer 2008), "Essays in Applied Econometrics." (Went to Boston College. Other committee members Urban Jerman, Karen Lewis, Frank Schorfheide.)

Vivian Yue (2005), "Essays on Sovereign Default and Emerging Countries." (Went to New York University. Other committee members Urban Jerman, Dirk Krueger, Martin Uribe.)

Chiara Scotti (2005), “A Multivariate Bayesian Analysis of Policy Rates: Fed and ECB Timing and Level Decisions.” (Went to Board of Governors of the Federal Reserve System. Other committee members Jesus Fernandez-Villaverde, Frank Schorfheide.)

Ginger Wu (2005), "Essays on Financial Economics and Econometrics." (Went to University of Georgia, Department of FInance. Other committee members Gregory Kordas, Craig MacKinlay, Frank Schorfheide, Yihong Xia.)

Bill Lu (2005), "Forecasting Daily Stock Volatility Using Intra-Day High-Frequency Data." (Went to Lehman Brothers, then Hartford Investment Management. Other committee members Yuichi Kitamura, Frank Schorfheide.)

Lei Ji (2005), "Essays in Financial Economics and Econometrics." (Went to Lehman Brothers, then CitiGroup. Other committee members Gregory Kordas, Frank Schorfheide, Yihong Xia.)

Aruoba, Boragan (2004), “Data Uncertainty: Empirical Evidence, General Equilibrium Implications, and Hedging Strategies.” (Went to University of Maryland. Other committee members Jesus Fernandez-Villaverde, Dirk Krueger and Frank Schorfheide.)

Campbell, Sean (2002), “Regime Switching in Economics.” (Winner of the Hayes prize, awarded biennially for the best graduate student research contribution in a two-year interval. Went to Brown University, then Federal Reserve Board. Other committee members Frank Schorfheide, Bobby Mariano and Yuichi Kitamura.)

Vega, Clara (2002), “Public Information, Private Information and Microstructure Theory.” (Went to University of Rochester, then Federal Reserve Board. Other committee members Simone Gervais and Frank Schorfheide.)

Li, Canlin (2002), “Essays in Financial Economics and Econometrics.” (Went to University of California, Riverside. Other committee members Michael Brandt and Frank Schorfheide.)

Labys, Paul (2001), “Essays on Microstructure and the Use of Information in Limit Order Markets.” (Went to Charles River Associates. Other committee members Ken Kavajecz, Patrik Sandas, Frank Schorfheide.)

Cheng, Yingmei (2001), “Essays in Financial Economics and Applied Econometrics.” (Went to Florida State University. Other committee members Craig MacKinlay, Gary Gorton and Petra Todd.)

Alizadeh, Sassan (1998), “Essays in Financial Econometrics.” (Went to Bear, Sterns & Company, then Highview Highbridge Capital Management. Other committee members Michael Brandt and Sanford Grossman.)

Inoue, Atsushi (1998), “Three Essays in Time Series Econometrics.” (Winner of Carey Prize for best dissertation. Went to North Carolina State University, then University of British Columbia. Other committee members Valentina Corradi and Jinyong Hahn.)

Altissimo, Filippo (1997), “Essays in Macroeconometrics.” (Went to Bank of Italy, then ECB, then Brevan Howard Asset Management.)

Shapiro, Natalie (1997), “Civil and Political Liberties Over Space and Time: A Markov Model of Transition Dynamics.” (Went to Massachusetts Financial Services. Other committee members Valentina Corradi and Roberto Mariano.)

Tay, Anthony (1997), “Density Forecast Evaluation: Theory and Applications.” (Went to National University of Singapore, then Singapore Management University. Other committee members Valentina Corradi and Jinyong Hahn.)

Kilian, Lutz (1996), “Small Sample Confidence Intervals for Impulse Response Estimates.” (Went to University of Michigan. Other committee members Robert Stine and Lee Ohanian.)

Berkowitz, Jeremy (1996), “Estimating and Evaluating Economic Models Via Spectral Analysis.” (Went to Board of Governors of the Federal Reserve System, Division of Research and Statistics, then University of Houston.)

Christoffersen, Peter (1996), “Essays on Forecasting in Economics.” (Went to International Monetary Fund, then McGill University.)

Giorgianni, Lorenzo (1996), “On Expectations and Risk Premia in Foreign Exchange Markets: Evidence from Survey Data.” (Went to International Monetary Fund. Other committee members Albert Ando and Richard Marston.)

Binder, Michael (1995), “Essays in Empirical Macroeconomics.” (Went to University of Maryland, then University of Frankfurt. Other committee members Lee Ohanian and Victor Rios-Rull.)

Chauvet, Marcelle (1995), “An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching.” (Went to University of California, Riverside. Other Committee members Lee Ohanian, Roberto Mariano.)

Lopez, Jose (1995), “Evaluating Forecasts of Exchange Rate Volatility.” (Went to Federal Reserve Bank of New York, then Federal Reserve Bank of San Francisco. Other committee members Roberto Mariano and Lee Ohanian.)

Senhadji, Abdelhak (1994), “Adjustment of a Small Open Economy to External Shocks.” (Went to Washington University in St. Louis, School of Business, then IMF. Other committee members Bill Ethier, Jere Berhman, Lee Ohanian.)

Mor, Nachiket (1994), “Essays on Nonlinearity in Exchange Rates.” (Went to Corporation of India Limited (ICICI).)

Weinbach, Gretchen (1993), “Regime Switching with Time-Varying Transition Probabilities: Methodological Issues and Application to Exchange Rates.” (Went to Board of Governors of the Federal Reserve System, Division of Research and Statistics. Other committee members Alan Auerbach and Fumio Hayashi.)

Chen, Celia (1993), “Tests for Structural Change With Endogenous Break Point and Their Finite Sample Properties.” (Went to Regional Financial Associates, Philadelphia, now MoodysEconomy.com. Other committee members Fumio Hayashi and Roberto Mariano.)

Lindner, Peter (1991), “Interest Rates, Inflation and Risk: An Empirical Investigation.” (Went to Lehman Brothers, then State Street Global Advisors.)

Dissertation Committees

Christina Fuentes-Albero (in progress)

Max Kryshko (in progress)

Taeyoung Doh (2007), "Three essays on the estimation of dynamic macroeconomic models." (Went to Federal Reserve Bank of Kansas City. Other committee members F. Schorfheide, A. Yaron.)

Sungbae An (2006), "Essays on Bayesian Estimation of Dynamic Economies." (Went to Singapore Management University. Other committee members Frank Schorfheide, Jesus Fernandez-Villaverde.)

Jones, Christopher (1999), “Bayesian Investigation of Continuous Time Finance Models.” (Went to University of Rochester Business School, then the USC Marshall School of Business School. Other committee members Craig MacKinlay, Krishna Ramaswamy, Rob Stambaugh.)

Zhang, Jing (1998), “Model Selection and Some Extensions of Markov Switching Models.” (Went to Moody’s KMV.)

Gong, Faxiong (1995), “Essays on Several Contemporary Issues in Econometrics and Financial Economics.” (Went to Federal Reserve Bank of New York.)

Hodges, Scott (1994), “Business Cycles in Historical Perspective”

Schuermann, Til (1993), “Simulation-Based Econometrics.” (Went to Bell Labs, then Oliver Wyman, then Federal Reserve Bank of New York. Other committee members Marc Nerlove, Roberto Mariano.)

Fornari, Ilaria (1993), “Quasi-Rational and Fully-Rational Expectations: An Application to Modeling U.S. Beef Cattle Supply.” (Went to J.P. Morgan & Co., Milan.)

Ansotegui, Carmen (1993), “Stock Market and Real Activity Cointegration Analysis: Application to U.S. and Japan Markets.” (Went to E.S.A.D.E. Business School, Barcelona, Spain.)

Bomfim, Antulio (1992, University of Maryland), “Strategic Complementarities and Business Cycles: Essays in Dynamic
Macroeconomics.” (Went to Board of Governors of the Federal Reserve System, the Oppenheimer Funds. Other committee members John Haltiwanger, Allan Drazen, Martin Bailey, Martin Loeb, Michael Haliassos.)

Golub, John (1992), “The Equity Premium: Sensitivity to Consumption Misspecification and a Non- Expected Utility Resolution.” (Went to Federal Reserve Bank of Kansas City. Presently an Independent Professional. Other committee members Andrew Abel, Franklin Allen, Richard Kihlstrom.)

Bradley, Ralph (1992), “A Nonparametric Investigation Into the Health Care Crisis.” (Went to Bureau of Labor Statistics, Washington, DC.)

Tanizaki, Hisashi (1991), “Nonlinear Filters: Estimation and Applications.” (Went to Kobe University, Japan. Other committee members Roberto Mariano and Marc Nerlove.)

Lee, Joon-Haeng (1991), “Nonstationary Markov-Switching Models of Exchange Rates.” (Went to Korean Securities Research Institute, Seoul, Korea.)

Gardeazebal, Javier (1991), “The Monetary Model of Exchange Rate Determination in the Light of Cointegration.” (Went to University of the Basque Country, Spain, Department of Economics. Other committee members Roberto Mariano and Marc Nerlove.)

Regulez, Marta (1991), “Prediction With Cointegrated Systems: Theory and Applications.” (Went to University of the Basque Country, Spain, Department of Economics. Other committee members Marc Nerlove and Roberto Mariano.)

Shen, Qi (1991), “Essays on Transaction Costs and their Impact on Financial Decisions.” (Went to University of Michigan, Graduate School of Business.)

Lee, Jai-Seong (1990), “Transition of Economic Regime and Shift in Production Function: Estimation and Testing of Alternative Production Function Models on Nine Subsectors of Korean Industries, 1971-1987.”

Willson, Douglas (1990, “Essays in Macroeconometrics and Financial Econometrics.” (Went to Concordia University, then National Analysts )

Belessakos, Elias D. (1990), “Exchange Rate Target Zones and the European Monetary System.” (Went to Baruch College, City University of New York.)

Boldin, Michael (1990), “Business Cycles and Stock Market Volatility: Theory and Evidence of Animal Spirits.” (Went to Federal Reserve Bank of New York, then The Conference Board, then Wharton Research Data Systems. Other committee members F. Gerard Adams and Costas Azariadis.)

Cheung, Yin-Wong (1990), “Long Memory in Foreign Exchange Rates and Sampling Properties of Some Statistical Procedures Related to Long Memory Series.” (Went to University of California, Santa Cruz.)

Arvin-Rad, Hassan (1990), “Two Essays in Econometric Theory.” (Went to Florida State University. Other committee members Roberto Mariano, Peter Pauly.)

Feyzioglu, Tarhan (1989), “Analysis of Nonlinear, Nonnormal Economic Time Series and Applications.” (Went to at Georgetown University, then IMF.)

Hassett, Kevin (1989), “Essays in Applied Econometrics.” (Went to Columbia University, Graduate School of Business, then American Enterprise Institute. Other committee members Albert Ando and Alan Auerbach.)

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