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FRANCIS X. DIEBOLD

March 2014

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 of Pennsylvania Appointments

Paul F. Miller, Jr. and E. Warren Shafer Miller Professor of Social Sciences, and Professor of Economics, School of Arts and Sciences, 2008-present
Professor of Finance, Wharton School, 2000-present
Professor of Statistics, Wharton School, 1996-present

Current Research Institute Appointments

Warren Center for Network and Data Sciences, University of Pennsylvania, 2013-present (Inaugural Affiliate)
National Bureau of Economic Research, Cambridge, Mass., Research Associate, 1999-present
Federal Reserve Bank of Philadelphia, Real-Time Data Research Center, Fellow and Board Member, 2008-present
Penn Institute for Economic Research, University of Pennsylvania, Fellow, 2000-present
Centre for Financial Econometrics (CoFiE), Singapore Management University, Fellow, 2011-present
Center for Financial Studies, Frankfurt, Fellow, 2003-present
Volatility Institute, Stern School, New York University, Research Affiliate, 2009-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:
Co-Director, Financial Institutions Center, Wharton School, 2007-2013
Joseph M. Cohen Term Professor of Economics, and Professor of Finance and Statistics, 2007-2008
William P. Carey Term Professor of Economics, and Professor of Finance and Statistics, 2000-2007
Lawrence R. Klein Professor of Economics, and Professor of Statistics, 1999-2000
Director, Penn 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, summer 1990

Professional Honors and Awards

ISI "highly-cited researcher in economics," ongoing
RePEc top 100 cited economists globally (often in top 50), ongoing
Fellow, Society for Economic Measurement, elected 2014
Fellow of the Journal of Econometrics, awarded 2014
President, Society for Financial Econometrics, 2011-2013
Kulp-Wright Award (Best Book on the Economics of Risk), American Risk and Insurance Association, 2012
Honorary Fellow, International Institute of Forecasters, elected 2012
President Elect, Society for Financial Econometrics, 2010-2011
Winner of Elsevier's "Most Cited Articles, 2005-2009" award, July 2010, for "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.
Honorary Fellow, European Society for Computational Methods in Sciences and Engineering, elected 2005
Fellow, American Statistical Association, elected 2004
Alexander von Humboldt Award, Germany, 2004
Fellow, John Simon Guggenheim Foundation, 2003-2004
Fellow, Econometric Society, elected 1998
Fellow, Alfred P. Sloan Foundation, 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
Repeatedly 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, etc.

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

Journal of Business and Economic Statistics Invited Lecture, ASSA Meetings, Philadelphia, 2014
Society for Financial Econometrics, Presidential Address, Singapore, 2013
Journal of Applied Econometrics
Lecture, Toulouse School of Economics, 2012
Distinguished Scholar Lecture, CREATES, University of Aarhus, Denmark, 2012
Tinbergen / Econometric Institute Lectures, Erasmus University Rotterdam, 2010 (to be published by Princeton University Press)
W.A. Mackintosh Lecture, Queen's University, Kingston, Ontario, 2010
CASE Lecture, Humboldt University, Berlin, 2010
Hermann Otto Hirschfeld Lectures, Humboldt University, Berlin, 2005
Lawrence R. Klein Lecture, Project LINK, Mexico City, 2005
Marshak Lecture, Econometric Society, Melbourne, 2004
Purvis Lecture, Canadian Economic Association, Montreal, 2001

Keynote and Plenary Addresses

Society for Economic Measurement, Chicago, 2014
Presidential Address, Society for Financial Econometrics Annual Meeting, National University of Singapore and Singapore Management University, 2013
Federal Reserve Bank of San Francisco / International Institute of Forecasters Conference on Predicting Rare Events, 2012
Singapore Management University / ESSEC Symposium on Empirical Finance and Financial Econometrics, 2012
International Symposium on Forecasting, Prague, 2011
Annual Meeting of the Brazilain Finance Society, Porto Alegre, Brazil, 2009
Bundesbank / Free University of Berlin Conference on Macroeconomic and Financial Forecasting, 2009
Royal Economic Society Annual Meeting, Warwick, England, 2008
McGill / IFM^2 Conference on Financial Risk Management, Mont Tremblant, Quebec, 2006
European Meeting of the Econometric Society, Santiago de Compostela, Spain, 1999
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

Invited Lectures

Andrew Harvey Festschrift Conference, Oxford University, 2012
EC2 Conference on the Econometrics of Policy Analysis, European University Institute and University of Florence, 2011
Bank of Chile Lectures on Time-Series Econometrics, 2011
12th Annual Conference of the Central Bank of Chile, Santiago, 2008
EPGE / Vargas Foundation Conference on Forecasting, Rio de Janeiro, 2008
IMC/MRC Conference on Financial Time Series, Coimbra, Portugal, 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
Computational Finance 2000, London
EC2 Conference on Forecasting in Econometrics, Stockholm, 1998
International Association of Financial Engineers, Annual Meeting, New York, 1998
CIdE Lectures in Econometrics, Bertinoro, Italy, 1995

Public Lectures / Panels

University of Pennsylvania 60-Second Lecture, "Measurement vs. Theory in all the Sciences,"
Sury Initiative for Global Finance and International Risk Management, University of California, Santa Cruz, 2013
Gala Dinner address, Annual meeting of the Society for Financial Econometrics, Melbourne, 2010
24th Annual Spring Research Forum, Cornell University, Ithaca, NY, 2009
Wharton School 125th Anniversary Economic Summit, Philadelphia, 2007
New York City Junto, General Society, New York, 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 Address 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

Research Grants

National Science Foundation:

2006-2011, "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, 2008-2012, "The Future of Financial Services Regulation" (with F. Allen and R. Herring)
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”

Scientific Meetings Organized

Society for Financial Econometrics, Annual Conference, Program Committee

2010: University of Melbourne
2011: University of Chicago
2012: Oxford University
2013: National University of Singapore and Singapore Mangement University

Society for Financial Econometrics, Ad Hoc Conferences, Program Committee

2010: University of Aarhus
2012: University of Amsterdam
2102: New York University
2012: Queensland University of Technology, Brisbane, Australia
2012: Getulio Vargas Foundation, Rio de Janeiro
2013: University of Lugano, Switzerland

Wharton Financial Institutions Center, Annual Financial Risk Roundtable, Founder and Organizer, 1998-2012

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 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 (London)
2008: Liquidity (Philadelphia); Killer Risks (London)
2009: Re-Designing Financial Risk Management: Regulatory and Private-Sector Perspectives (Philadelphia);
2009: After the Deluge: The Future of Financial Services (London)
2010: Emerging Best-Practice Risk Management in the Private and Public Sectors (Philadelphia)
2011: Systemic Risk and Stress Testing (Philadelphia)
2012: Macroeconomic and Financial Volatility (Philadelphia)

Penn-Cambridge (now Penn-Cambridge-Tinbergen) Annual Conference on The Economics of Finance, Co-Founder and Organizer

2009: Queens' College Cambridge
2010: University of Pennsylvania
2011: Tinbergen Institute Amsterdam
2012: Queens' College Cambridge
2013: University of Pennsylvania

American Finance Association, Annual Meeting, Program Committee, 2010
Econometric Society, North American Summer Meeting, Program Committee, 2009
Econometric Society, Ninth World Congress, Program Committee, 2005
CIREQ/CIRANO, Conference on Forecasting in Macroeconomics and Finance, Program Committee, 2004-2005
American Economic Association, Annual Meeting, Program Committee, 2004
International Conference on Forecasting and High-Frequency Data, Scientific Committee, 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 and local host, 2002
Econometric Society, North American Winter Meeting, Program Committee, 2003
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
Computational Finance, Organizing Committee, 1999-2002
Econometric Society, North American Winter Meeting, Program Committee, 1999
Econometric Society, North American Summer Meeting, Program Committee, 1993

Scientific Leadership

Advisory Board, CSDA Annals of computational and Financial Econometrics, 2014-present
Advisory Board, CAFIN, University of California, Santa Cruz, 2013-present
Advisory Board, Center For Applied Financial Economics, University of Southern California, 2012-present
Scientific Advisory Board, Center for Applied Statistics and Economics (CASE), Humboldt University Berlin, 2010-present
Advisory Board, Real Time Data Research Center, Federal Reserve Bank of Philadelphia, 2009-present
Macroeconomic Dynamics, Frank P. Ramsey Prize Selection Committee, 2000-present
Co-Founder (and Inaugural Lecturer) of Oxford-Man Institute / Society for Financial Econometrics Summer School in Financial Econometrics, 2012
External Review Committee, Johns Hopkins University, Department of Economics, 2011
Founding Member, International Association of Applied Econometrics, 2011
Lamfalussy Fellows Selection Committee, European Central Bank, 2009
Founding Council, Society for Financial Econometrics, 2007
American Finance Association, Nominating Committee, 2002
National Science Foundation Economics Panel, 1998-2000
American Statistical Association, J. of Business and Economic Statistics Editorial Selection Committee, 2000
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 Statistics Editorial Selection Committee, 1994
American Statistical Association, Secretary/Treasurer, Business and Economic Statistics Section, 1994
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

Chairman, Model Validation Council, U.S. Federal Reserve System, 2012-2013
Founding member, Oliver Wyman Institute, Oliver Wyman, New York, 1996-2012
Advisory Board, Wharton Financial Institutions Center, 2007-2012
Risk Advisory Board, Paloma Partners, 2004-2012
Business Conditions Indicators Advisory Panel, The Conference Board, 2003-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)

Blog

No Hesitations, http://fxdiebold.blogspot.com/, 2013-present

Selected Popular Reporting on my Work

Aruoba-Diebold-Nalewaik-Schorfheide-Song (ADNSS) Improved U.S. GDP Measure, GDPplus,
Published by the Federal Reserve Bank of Philadelphia, November 2013-present.
- Federal Reserve web page.
- New York Times, "Is the Economy Growing Faster Than we Knew?", March 29, 2012.
- Bloomberg.com, "GDP: An Imperfect Measure of Progress," April 15, 2013.
- U.S. News and World Report, "Economists Plot a New Take on GDP," November 4, 2013
- VOX, "A Penny Spent is a Penny Earned (by Someone Else): Measuring GDP," VOX, 2013

New York Times, "The Origins of ‘Big Data’: An Etymological Detective Story," February 1, 2013. Reports on the origins of the term "Big Data," and my role in coining it.

Aruoba-Diebold-Scotti (ADS) Business Conditions Index,
Published in real time by the Federal Reserve Bank of Philadelphia, January 2009-present.
- Federal Reserve web page.
- Philadelphia Inquirer, "Philadelphia Fed Launches New Index to Measure Change in Business Conditions," January 15, 2009.
- Knowledge at Wharton, "The Economy -- Right Now," Oct. 16, 2009.
- FRB San Francisco Economic Letter, "Diagnosing Recessions," February 16, 2010.
- Annual Report, Federal Reserve Bank of Philadelphia, "Providing Reliable Information on the Economy.", 2009 (released July 2010)
- Wall Street Journal, "The Aruoba-Diebold-Scotti Business Conditions Index," April 2011.
- Wall Street Journal Guide to the 50 Economic Indicators that Really Matter, 2011. Chapter 33 devoted to ADS Index.
- Included in Bloomberg starting 2012

SeekingAlpha.com, "Looking for Clues in Volatility," reporting on Diebold-Yilmaz, "Macroeconomic Volatility and Stock Market Volatility, World-Wide," December 2008.

Bloomberg Television Interview on Monetary Policy and Bank Regulation, May 2008,

Starting 2008, Diebold-Yilmaz Equity Return and Volatility Spillover Indexes updated and reported weekly by the Turkish Economic Research Forum.

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

Editorial Boards

Co-Editor, Journal of Applied Econometrics, 2011-2014
Quantitative Finance, 2009-present
International Journal of Central Banking
, 2008-present
Journal of Forecasting, 1993-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

Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach. Princeton: Princeton University Press, 2013. With G. Rudebusch.

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. Second edition, 2001. Third edition, 2004. Fourth edition, 2007. (Spanish editions: Elementos de Pronosticos. Indian Editions: Forecasting: Applications and Methods.)

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

Edited Volumes

Financial Risk Measurement and Management (International Library of Critical Writings in Economics, Volume 267), Cheltenham, U.K. and Northampton, Mass.: Edward Elgar Publishing Ltd., 2012.

The Known, the Unknown and the Unknowable in Financial Risk Management. Princeton: Princeton University Press, 2010, with N. Doherty and R. Herring. (Finalist, Paul A. Samuelson Award (TIAA-CREF); Recipient, Kulp-Wright Award (American Risk and Insurance Association; ranked #9 on the "Quintessential Reading List for Finance Students").

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

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

"Measuring the Dynamics of Global Business Cycle Connectedness," PIER Working Paper No. 13-070. Prepared for S.J. Koopman and N. Shephard (eds.), Unobserved Components and Time Series Econometrics: Essays in Honor of Andrew C. Harvey, Oxford University Press. With K. Yilmaz.

"Financial Risk Measurement for Financial Risk Management," in G. Constantinedes, M. Harris and R. Stulz (eds.), Handbook of the Economics of Finance, Volume 2, Part B, Elsevier, 1127-1220, 2013. With T. Andersen, T. Bollerslev and P. Christoffersen.

"On the Correlation Structure of Microstructure Noise: A Financial Economic Approach," Review of Economic Studies, 80, 1304-1337, 2013. With G. Strasser.

"On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," Journal of Econometrics, 182, 119-134, 2014. With K. Yilmaz.

"A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities," Journal of Econometrics, 177, 2013, 320-342. With F. Chen and F. Schorfheide.

"Improving GDP Measurement: A Forecast Combination Perspective," in X. Chen and N. Swanson (eds.), Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis: Essays in Honor of Halbert L. White Jr., Springer, 1- 26, 2012. With B. Aruoba, J. Nalewaik, F. Schorfheide and D. Song,

"Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers" (with discussion), International Journal of Forecasting, 28, 57-66, 2012. With K. Yilmaz.

"Globalization, the Business Cycle, and Macroeconomic Monitoring" (with discussion), in R. Clarida and F.Giavazzi (eds.), NBER International Seminar on Macroeconomics. Chicago: University of Chicago Press, 2011, 245-302. With B. Aruoba, A. Kose and M. Terrones.

"The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models," Journal of Econometrics, 164, 4-20, 2011. With J. Christensen and G. Rudebusch.

"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, 2011. With K. Yilmaz.

(Spanish translation published as: "Efectos Errame en Los Mercados de Valores del Continente Americano," Revista Economía Chilena, 12, 55-65, 2009.)

"Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions," American Economic Review, 100, 20-24, 2010. With B. Aruoba.

"Parametric and Nonparametric Volatility Measurement,” in L.P. Hansen and Y. Ait-Sahalia (eds.), Handbook of Financial Econometrics. Amsterdam: North-Holland, 2010, 67-138. With T.G. Andersen and T. Bollerslev.

"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, 2010, 97-116. With K. Yilmaz.

"The Income- and Expenditure-Side Estimates of U.S. Output Growth: Discussion," Brookings Papers on Economic Activity, Spring 2010, 107-112.

"An Arbitrage-Free Generalized Nelson–Siegel Term Structure Model," Econometrics Journal, 12, 33-64, 2009. With J. Christensen and G.D. Rudebusch.

"Real-Time Measurement of Business Conditions," Journal of Business and Economic Statistics, 27, 417-427, 2009 (lead article). With S.B. Aruoba and C. Scotti.

"Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," Economic Journal, 119, 158-171, 2009. WIth K. Yilmaz.

"Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence," Journal of Business and Economic Statistics, 27, 266-278, 2009. With S. Campbell.

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

"Time Series Analysis," in L. Blume and S. Durlauf (eds.), The New Palgrave Dictionary of Economics, Second Edition. London: Macmillan, 2008, 284-298. With L. Kilian and M. Nerlove.

"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. (Winner of Elsevier's "Most Cited Articles, 2005-2009" award, July 2010.)

"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 (lead article for the year). With S. Campbell.

"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

In progress: Laura Liu, Minchul Shin, Lorenzo Braccini

Dongho Song (Co-Main Advisor) (2014). Went to Boston College.

Fei Chen (2011), "Multifractal Duration Modeling." (Went to Huazhong University of Science and Technology (HUST), China. Other committee members Frank Schorfheide, Aurio De Paula.) 

Leonardo Melosi (2010), "Essays on the Macroeconomics of Incomplete Information." (Went to London Business School. Other committee members Frank Schorfheide (co-chair), Jesus Fernandez-Villaverde and Dirk Krueger.)

Jian Hua (2010), "Essays in Financial Econometrics." (Went Baruch College, City University of New York. Other committee members David Musto and Aureo De Paula.)

Georg Strasser (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, then Federal Reserve Board. 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.)

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

Yansong (Bill) Lu (2005), "Modeling and Forecasting Daily Stock Return Volatility with Intra-day Price Fluctuation Information." (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, then Federal Reserve Board. 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, then NorthCarolina State University. Other committee members Valentina Corradi and Jinyong Hahn.)

Altissimo, Filippo (1997), “Essays in Macroeconometrics.” (Went to Bank of Italy, then European Central Bank, then Brevan Howard Asset Management. Other committee members Albert Ando and Valentina Corradi.)

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, then University of Toronto. Other committee members Roberto Mariano and Albert Ando.)

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). Other committee members are Karen Lewis and Sanford Grossman.)

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. Other committee members Roberto Mariano and Robert Stambaugh.)

Dissertation Committees

In progress: Molin Zhong

Mark Bognanni (2013) Research Economist, Federal Reserve Bank of Cleveland

Han Chen (2013), Economist, Federal Reserve Board, Washington, DC.

Dalibor Stevonovic (2011), "Factor Models, VARMA Processes and Parameter Instability with Applications in Macroeconomics." (Went to European University Institute and University of Quebec. Other committee members Jean-Marie Dufour (McGill), Jean Boivin (Bank of Canada), Benoît Perron (Montreal), Francisco Ruge-Murcia (Montreal).)

Ed Herbst (2011) Edward Herbst (2011), "Essays on Bayesian Macroeconometrics." (Went to Board of Governors of the Federal Reserve System. Other committee members Frank Schorfheide, Jesus Fernandez-Villaverde.)

Asyl Bakinova (2011), " Futures Volatility in the Crude Oil Market." (Other committee members Giovanni Barone-Adessi (Lugano) and Patrick Gagliardini (Lugano).)

Edith Liu (2010), "on International Finance and Risk Sharing." (Went to Cornell University. Other committee members Karen Lewis and Craig MacKinlay.)

Christina Fuentes-Albero (2010), "Essays on Financial Frictions, Propagation of Shocks, and Macroeconomic Volatility." (Went to Rutgers University. Other committee members Frank Schorfheide, Jesus Fernandez-Villaverde and Urban Jermann.)

Max Kryshko (2010), "Essays in Estimation of Dynamic Stochastic General Equilibrium Models." (Went to IMF. Other committee members Frank Schorfheide and Jesus Fernandez-Villaverde.)

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, Robert 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. Other committee members Roberto Mariano and Joseph Gyourko.)

Hodges, Scott (1994), “Business Cycles in Historical Perspective.” (Other committee members Daniel Raff and Christopher Hanes.)

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. Other committee members Roberto Mariano and Marc Nerlove.)

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. Other committee members Roberto Mariano and Craig MacKinlay.)

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, then 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. Other committee members Roberto Mariano and Peter Pauly.)

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. Other committee members Roberto Mariano and Sandy Grossman.)

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. Other committee members Roberto Mariano and Marc Nerlove.)

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. Other committee members Roberto Mariano and Marc Nerlove.)

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

Feyzioglu, Tarhan (1989), “Analysis of Nonlinear, Nonnormal Economic Time Series and Applications.” (Went to Georgetown University, then IMF. Other committee members Roberto Mariano and Marc Nerlove.)

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.)

Post-Doc and/or Visiting Scholar Supervision

Diego Edwardo Fresoli (2012) (From Universidad Carlos III de Madrid.)

Dalibor Stevonovic (2011), "Factor Models, VARMA Processes and Parameter Instability with Applications in Macroeconomics." (From University of Montreal; went to European University Institute and University of Quebec.)

Asyl Bakanova (2011), "Futures Volatility in the Crude Oil Market." (From University of Lugano.)

Bernd Schlusche (2008) (From University of Bonn; went to Berkeley post-doc, then to Board of Governors of the Federal Reserve System.)

Emanuel  Moench (2007) (From Humboldt University Berlin; went to Federal Reserve Bank of New York.)

Peter Lildolt (2001) (From University of Aarhus; went to Bank of England, then to A.P. Moller Maersk.)

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