Papers Demirer, M., Diebold, F.X.,
Liu, L. and Yilmaz, K. (revised 2017), "Estimating
Global Bank Network Connectedness". Diebold,
F.X. and Shin, M. (2017), "Assessing Point Forecast Accuracy
by Stochastic Error Distance," Econometric
Reviews (Special Issue in Honor of E Maasoumi,
edited by P.C.B. Phillips and A. Ullah), in press. Diebold,
F.X. and Yilmaz, K. (2014), "On the Network Topology
of Variance Decompositions: Measuring the Connectedness of Financial
Firms," Journal of
Econometrics, 182, 119-134. Chen,
F., Diebold, F.X. and Schorfheide, F. (2013), "A Markov-Switching Multi-Fractal Inter-Trade
Duration Model, with Application to U.S. Equities," Journal of Econometrics,
177, 320-342. Diebold,
F.X. and Strasser, G.H. (2013), "On the Correlation
Structure of Microstructure Noise: A Financial Economic Approach," Review of Economic Studies,
80, 1304-1337. Andersen,
T.G., Bollerslev, T., Christoffersen,
P.F. and Diebold, F.X. (2013),
"Financial Risk Measurement for Financial Risk Management," in
G. Constantinedes, M. Harris and Rene Stulz (eds.), Handbook
of the Economics of Finance, Volume 2, Part B, Elsevier,
1127-1220. Aruoba, S.B., Diebold,
F.X., Nalewaik, J. Schorfheide,
F. and Song, D. (2012), "Improving GDP
Measurement: A Forecast Combination Perspective," in X. Chen and N.
Swanson (eds.), Causality,
Prediction, and Specification Analysis: Recent Advances and Future
Directions, Essays in Honor of Halbert L. White Jr.,
1-26. Diebold,
F.X. (2012),
"100+ Years of Financial Risk
Measurement and Management," in F.X. Diebold (ed.), Financial
Risk Measurement and Management (ed.). Cheltenham, U.K. and
Northampton, Mass.: Edward Elgar Publishing Ltd. (International Library of Critical Writings in Economics). Diebold,
F.X. (2012),
"A Personal Perspective
on the Origin(s) and Development of 'Big Data': The Phenomenon, the Term, and
and the Discipline," Manuscript,
Department of Economics, University of Pennsylvania. Diebold,
F.X. and Yilmaz, K. (2012), "Better to Give
than to Receive: Predictive Directional Measurement of Volatility Spillovers
(with discussion),"
International Journal of Forecasting, 28, 57-66. Aruoba, S.B., Diebold,
F.X., Kose, M.A. and Terrones,
M.E. (2011), "Globalization, the Business Cycle,
and Macroeconomic Monitoring," in R. Clarida
and F.Giavazzi (eds.), NBER International Seminar on Macroeconomics.
Chicago: University of Chicago Press, 245-302. Christensen,
J.H.E., Diebold, F.X. and Rudebusch, G.D. (2011), "The Affine Arbitrage-Free
Class of Nelson-Siegel Term Structure Models," Journal of Econometrics,
164, 4-20. Diebold,
F.X. and Yilmaz, K. (2011), "Equity
Market Spillovers in the Americas," in R. Alfaro (ed.) Financial Stability, Monetary Policy,
and Central Banking. Santiago: Bank of Chile Central Banking
Series, Volume 15, 199-214. Aruoba, S.B. and Diebold,
F.X. (2010),
"Real-Time Macroeconomic
Monitoring: Real Activity, Inflation, and Interactions," American Economic Review,
100, 20-24. Andersen,
T.G., Bollerslev, T. and Diebold, F.X. (2010), "Parametric and Nonparametric Volatility Measurement,"
in L.P. Hansen and Y. Ait-Sahalia (eds.), Handbook of Financial Econometrics.
Amsterdam: North-Holland, 67-138. Diebold,
F.X. and Yilmaz, K. (2010), "Macroeconomic
Volatility and Stock Market Volatility, Worldwide," in T. Bollerslev, J. Russell and M. Watson (eds.), Volatility and Time Series Econometrics:
Essays in Honor of Robert F. Engle. Oxford: Oxford University
Press, 97-116. Diebold,
F.X. (2010),
"Discussion of Jeremy J.
Nalewaik: The Income- and Expenditure-Side
Estimates of U.S. Output Growth," Brookings
Papers on Economic Activity (spring), 107-112. Diebold,
F.X., Kilian, L. and Nerlove, M. (2009), "Time Series
Analysis," in L. Blume and S. Durlauf
(eds.), The New Palgrave Dictionary
of Economics, Second Edition. London: Macmillan, 284-298. Campbell,
S.D. and Diebold, F.X. (2009), "Stock Returns and Expected Business Conditions: Half a
Century of Direct Evidence," Journal
of Business and Economic Statistics, 27, 266-278. Christensen,
J.H.E., Diebold, F.X. and Rudebusch, G.D. (2009), "An Arbitrage-Free Generalized Nelson-Siegel
Term Structure Model," The
Econometrics Journal, 12, 33-64. Aruoba, S.B., Diebold, F.X.
and Scotti, C. (2009), "Real-Time Measurement of
Business Conditions," Journal
of Business and Economic Statistics, 27, 417-427 (lead article). Diebold,
F.X. and Yilmaz, K. (2009), "Measuring
Financial Asset Return and Volatility Spillovers, With Application to Global
Equity Markets," Economic
Journal, 119, 158-171. Diebold,
F.X., Li, C. and Yue, V. (2008), "Global Yield Curve Dynamics and Interactions: A
Generalized Nelson-Siegel Approach," Journal of Econometrics, 146, 351-363. Andersen,
T.G., Bollerslev, T. and Diebold, F.X. (2007), "Roughing It Up:
Including Jump Components in the Measurement, Modeling and Forecasting of
Return Volatility," Review
of Economics and Statistics, 89, 701-720. Christoffersen, P.F., Diebold,
F.X., Mariano, R.S., Tay, A.S. and Tse, Y.K. (2007), "Direction-of-Change Forecasts Based on Conditional
Variance, Skewness and Kurtosis Dynamics: International Evidence," Journal of Financial Forecasting,
1, 3-24. Andersen,
T., Bollerslev, T., Diebold, F.X. and Vega, C.
(2007),
"Real-Time Price Discovery in Stock, Bond and Foreign Exchange
Markets," Journal
of International Economics, 73, 251-277. Andersen,
T.G., Bollerslev, T., Christoffersen,
P.F., and Diebold, F.X. (2006), "Volatility and Correlation Forecasting," in G.
Elliott, C.W.J. Granger, and A. Timmermann (eds.), Handbook of Economic Forecasting.
Amsterdam: North-Holland, 778-878. Diebold,
F.X., Rudebusch, G.D. and Aruoba, B. (2006), The Macroeconomy and the Yield
Curve: A Dynamic Latent Factor Approach, Journal of Econometrics, 131, 309-338. Diebold,
F.X. and Li, C. (2006), Forecasting the Term Structure of Government Bond Yields, Journal of Econometrics, 130,
337-364. Click here for data. Andersen,
T.G., Bollerslev, T., Diebold, F.X. and Wu, J.
(2006),
"Realized Beta: Persistence and Predictability," in
T. Fomby and D. Terrell (eds.) Advances in Econometrics: Econometric
Analysis of Economic and Financial Time Series in Honor of R.F. Engle and
C.W.J. Granger ,
Volume B, 1-40. (Appendix here.) Brandt,
M.W. and Diebold, F.X. (2006), "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," Journal of Business, 79,
61-74. Diebold,
F.X. (2006),
"On
Market Microstructure Noise and Realized Volatility," Journal of Business and Economic
Statistics, 24,181-183. Diebold,
F.X., Ji, L. and Li, C. (2006), "A Three-Factor Yield Curve Model: Non-Affine Structure,
Systematic Risk Sources, and Generalized Duration," in L.R. Klein
(ed.), Long-Run Growth and
Short-Run Stabilization: Essays in Memory of Albert Ando.
Cheltenham, U.K.: Edward Elgar, 240-274. Christoffersen, P.F. and Diebold,
F.X. (2006),
"Financial Asset Returns, Direction-of-Change Forecasting, and
Volatility Dynamics," Management
Science, 52, 1273-1287. Andersen,
T.G., Bollerslev, T., Christoffersen,
P.F. and Diebold, F.X. (2006), "Practical Volatility and Correlation Modeling for Financial
Market Risk Management," in M. Carey and R. Stulz
(eds.), Risks of Financial
Institutions, University of Chicago Press for NBER, 513-548. Andersen,
T.G., Bollerslev, T., Diebold, F.X. and Wu, J.
(2005),
A Framework for
Exploring the Macroeconomic Determinants of Systematic Risk, American Economic Review,
95, 398-404. Diebold,
F.X., Piazzesi, M. and Rudebusch, G.D. (2005), "Modeling Bond
Yields in Finance and Macroeconomics," American Economic Review, 95, 415-420. Campbell,
S. and Diebold, F.X. (2005), "Weather Forecasting for Weather Derivatives," Journal of the American Statistical
Association, 100, 6-16. Diebold,
F.X. (2005),
On Robust Monetary Policy with Structural Uncertainty,
in J. Faust, A. Orphanedes and D. Reifschneider (eds.), Models
and Monetary Policy: Research in the Tradition of Dale Henderson, Richard
Porter, and Peter Tinsley. Washington, DC: Board of Governors of
the Federal Reserve System, 82-86. Diebold,
F.X. (2004),
"The
Nobel Prize for Robert F. Engle," Scandinavian
Journal of Economics, 106, 165-185, 2004. Andersen,
T., Bollerslev, T., Diebold, F.X. and Vega, C.
(2003),
"Micro Effects of Macro Announcements: Real-Time Price
Discovery in Foreign Exchange," American
Economic Review, 93, 38-62. Diebold,
F.X. (2003),
"'Big Data' Dynamic Factor Models for Macroeconomic Measurement
and Forecasting" (Discussion of Reichlin
and Watson papers), in M. Dewatripont, L.P. Hansen
and S. Turnovsky (Eds.), Advances in Economics and
Econometrics, Eighth World Congress of the Econometric Society.
Cambridge: Cambridge University Press, 115-122. Diebold,
F.X. (2003),
"The ET Interview: Professor Robert F. Engle," Econometric Theory, 19,
1159-1193. Alizadeh, S., Brandt, M. and
Diebold, F.X. (2002), "Range-Based Estimation of Stochastic Volatility Models,"
Journal of Finance,
57, 1047-1092. Bangia, A. Diebold, F.X., Kronimus, A., Schagen, C., and Schuermann, T. (2002), "Ratings Migration and the Business Cycle, with Application to
Credit Portfolio Stress Testing," Journal
of Banking and Finance, 26, 445- 474. Andersen,
T., Bollerslev, T., Diebold, F.X. and Ebens, H. (2001), "The Distribution of Realized Stock Return Volatility,"
Journal of Financial
Economics, 61, 43-76. (Appendix here.) Andersen,
T. Bollerslev, T., Diebold, F.X. and Labys, P. (2001), "The Distribution of Realized Exchange Rate Volatility,"
Journal of the American
Statistical Association, 96, 42-55. Bangia, A., Diebold, F.X., Schuermann, T, and Stroughair,
J. (2001),
"Modeling Liquidity Risk, With Implications for Traditional
Market Risk Measurement and Management," in S. Figlewski
and R. Levich (eds.), Risk Management: The State of the Art . Amsterdam: Kluwer
Academic Publishers, 2002, 1-13. Published in abridged form as
"Liquidity on the Outside," Risk,
12, 68-73, 1999. Diebold,
F.X. and Inoue, A. (2001), "Long
Memory and Regime Switching, Journal
of Econometrics, 105, 131-159. Diebold,
F.X. and Kilian, L. (2001), "Measuring Predictability: Theory and Macroeconomic
Applications," Journal
of Applied Econometrics, 16, 657-669. Andersen,
T., Bollerslev, T., Diebold, F.X. and Labys, P. (2000), "Exchange Rate Returns Standardized by Realized Volatility are
(Nearly) Gaussian," Multinational
Finance Journal, 4, 159-179. Diebold,
F.X. and Kilian, L. (2000), "Unit Root Tests are Useful for Selecting Forecasting Models,"
Journal of Business and
Economic Statistics, 18, 265-273. Diebold,
F.X., Hahn, J. and Tay, A. (1999), "Multivariate Density Forecast Evaluation and Calibration in
Financial Risk Management: High-Frequency Returns on Foreign Exchange,"
Review of Economics and
Statistics, 81, 661-673. Diebold,
F.X., Tay, A. and Wallis, K. (1999), "Evaluating Density Forecasts of Inflation: The Survey of
Professional Forecasters," in R. Engle and H. White (eds.), Festschrift in Honor of C.W.J. Granger,
76-90. Oxford: Oxford University Press. Christoffersen, P. and Diebold,
F.X. (1998),
"Cointegration and Long-Horizon Forecasting," Journal of Business and Economic
Statistics, 16, 450-458. Christoffersen, P., Diebold, F.X.,
and Schuermann, T. (1998), "Horizon Problems and Extreme Events in Financial Risk
Management," Economic
Policy Review, Federal Reserve Bank of New York, October,
109-118. Diebold,
F.X. (1998),
"The Past, Present and Future of Macroeconomic Forecasting,"
Journal of Economic
Perspectives, 12, 175-192. Diebold,
F.X., Gunther, T. and Tay, A. (1998), "Evaluating Density Forecasts, with Applications to Financial
Risk Management," International
Economic Review, 39, 863-883. Diebold,
F.X. Hickman, A., Inoue, A. and Schuermann, T.
(1998),
"Converting 1-Day Volatility to h-Day Volatility: Scaling by
Root-h is Worse than You Think," Wharton Financial Institutions
Center, Working Paper 97-34. Published in condensed form as "Scale
Models," Risk,
11, 104-107, 1998. Diebold,
F.X., Ohanian, L. and Berkowitz, J. (1998), "Dynamic Equilibrium Economies: A Framework for Comparing
Models and Data," Review
of Economic Studies, 65, 433-452. Christoffersen, P. and Diebold,
F.X. (1997),
"Optimal Prediction Under Asymmetric Loss," Econometric Theory, 13,
808-817. Diebold,
F.X., Neumark, D. and Polsky,
D. (1997),
"Job Stability in
the United States, Journal
of Labor Economics, 15, 206-233. Diebold,
F.X. and Chen, C. (1996), "Testing Structural Stability With
Endogenous Break Point: A Size Comparison of Analytic and Bootstrap
Procedures, Journal of
Econometrics, 70, 221-241. Diebold,
F.X. and Lopez, J.A. (1996), "Forecast Evaluation and
Combination," in G.S. Maddala and C.R. Rao
(eds.), Handbook of
Statistics. Amsterdam: North-Holland, 241-268. Diebold,
F.X. and Rudebusch (1991), "Is Consumption too
Smooth? Long Memory and the Deaton Paradox, Review of Economics and Statistics, 73, 1-9. Diebold,
F.X. and Rudebusch, G.D. (1989), "Long Memory and
Persistence in Aggregate Output, Journal
of Monetary Economics, 24, 189-209. Diebold,
F.X. (1989),
"Random Walks vs. Fractional
Integration: Power Comparisons of Scalar and Joint Tests of the Variance-Time
Function, in Baldev Raj (ed.), Advances in Econometrics and Modeling,
29-45. Advanced Studies in
Theoretical and Applied Econometrics, Volume 15. Boston: Kluwer
Academic Publishers. Diebold,
F.X. (1988), "Serial Correlation and the
Combination of Forecasts, Journal of Business and Economic Statistics,
6, 105-112. Return to
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