Papers Demirer, M., Diebold, F.X., Liu, L. and Yilmaz, K. (2015), "Estimating Global Bank Network Connectedness," Manuscript, MIT, University of Pennsylvania, and Koc University. 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, 119134. Chen, F., Diebold, F.X. and Schorfheide, F. (2013), "A MarkovSwitching MultiFractal InterTrade Duration Model, with Application to U.S. Equities," Journal of Econometrics, 177, 320342. Diebold, F.X. and Strasser, G.H. (2013), "On the Correlation Structure of Microstructure Noise: A Financial Economic Approach," Review of Economic Studies, 80, 13041337. 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, 11271220. 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., 126. 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, 5766. 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, 245302. Christensen, J.H.E., Diebold, F.X. and Rudebusch, G.D. (2011), "The Affine ArbitrageFree Class of NelsonSiegel Term Structure Models," Journal of Econometrics, 164, 420. 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, 199214. Aruoba, S.B. and Diebold, F.X. (2010), "RealTime Macroeconomic Monitoring: Real Activity, Inflation, and Interactions," American Economic Review, 100, 2024. Andersen, T.G., Bollerslev, T. and Diebold, F.X. (2010), "Parametric and Nonparametric Volatility Measurement," in L.P. Hansen and Y. AitSahalia (eds.), Handbook of Financial Econometrics. Amsterdam: NorthHolland, 67138. 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, 97116. Diebold, F.X. (2010), "Discussion of Jeremy J. Nalewaik: The Income and ExpenditureSide Estimates of U.S. Output Growth," Brookings Papers on Economic Activity (spring), 107112. 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, 284298. 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, 266278. Christensen, J.H.E., Diebold, F.X. and Rudebusch, G.D. (2009), "An ArbitrageFree Generalized NelsonSiegel Term Structure Model," The Econometrics Journal, 12, 3364. Aruoba, S.B., Diebold, F.X. and Scotti, C. (2009), "RealTime Measurement of Business Conditions," Journal of Business and Economic Statistics, 27, 417427 (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, 158171. Diebold, F.X., Li, C. and Yue, V. (2008), "Global Yield Curve Dynamics and Interactions: A Generalized NelsonSiegel Approach," Journal of Econometrics, 146, 351363. 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, 701720. Christoffersen, P.F., Diebold, F.X., Mariano, R.S., Tay, A.S. and Tse, Y.K. (2007), "DirectionofChange Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence," Journal of Financial Forecasting, 1, 324. Andersen, T., Bollerslev, T., Diebold, F.X. and Vega, C. (2007), "RealTime Price Discovery in Stock, Bond and Foreign Exchange Markets," Journal of International Economics, 73, 251277. 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: NorthHolland, 778878. 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, 309338. Diebold, F.X. and Li, C. (2006), “Forecasting the Term Structure of Government Bond Yields,” Journal of Econometrics, 130, 337364. 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, 140. (Appendix here.) Brandt, M.W. and Diebold, F.X. (2006), "A NoArbitrage Approach to RangeBased Estimation of Return Covariances and Correlations," Journal of Business, 79, 6174. Diebold, F.X. (2006), "On Market Microstructure Noise and Realized Volatility," Journal of Business and Economic Statistics, 24,181183. Diebold, F.X., Ji, L. and Li, C. (2006), "A ThreeFactor Yield Curve Model: NonAffine Structure, Systematic Risk Sources, and Generalized Duration," in L.R. Klein (ed.), LongRun Growth and ShortRun Stabilization: Essays in Memory of Albert Ando. Cheltenham, U.K.: Edward Elgar, 240274. Christoffersen, P.F. and Diebold, F.X. (2006), "Financial Asset Returns, DirectionofChange Forecasting, and Volatility Dynamics," Management Science, 52, 12731287. 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, 513548. 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, 398404. Diebold, F.X., Piazzesi, M. and Rudebusch, G.D. (2005), "Modeling Bond Yields in Finance and Macroeconomics," American Economic Review, 95, 415420. Campbell, S. and Diebold, F.X. (2005), "Weather Forecasting for Weather Derivatives," Journal of the American Statistical Association, 100, 616. 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, 8286. Diebold, F.X. (2004), "The
Nobel Prize for Robert F. Engle," Scandinavian Journal of
Economics, 106, 165185, 2004. Andersen, T., Bollerslev, T., Diebold, F.X. and Vega, C. (2003), "Micro Effects of Macro Announcements: RealTime Price Discovery in Foreign Exchange," American Economic Review, 93, 3862. 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, 115122. Diebold, F.X. (2003), "The ET Interview: Professor Robert F. Engle," Econometric Theory, 19, 11591193. Alizadeh, S., Brandt, M. and Diebold, F.X. (2002), "RangeBased Estimation of Stochastic Volatility Models," Journal of Finance, 57, 10471092. 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, 4376. (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, 4255. 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, 113. Published in abridged form as "Liquidity on the Outside," Risk, 12, 6873, 1999. Diebold, F.X. and Inoue, A. (2001), "Long Memory and Regime Switching,” Journal of Econometrics, 105, 131159. Diebold, F.X. and Kilian, L. (2001), "Measuring Predictability: Theory and Macroeconomic Applications," Journal of Applied Econometrics, 16, 657669. 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, 159179. Diebold, F.X. and Kilian, L. (2000), "Unit
Root Tests are Useful for Selecting Forecasting Models," Journal
of Business and Economic Statistics, 18, 265273. Diebold, F.X., Hahn, J. and Tay, A. (1999), "Multivariate Density Forecast Evaluation and Calibration in Financial Risk Management: HighFrequency Returns on Foreign Exchange," Review of Economics and Statistics, 81, 661673. 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, 7690. Oxford: Oxford University Press. Christoffersen, P. and Diebold, F.X. (1998), "Cointegration and LongHorizon Forecasting," Journal of Business and Economic Statistics, 16, 450458. 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, 109118. Diebold, F.X. (1998), "The Past, Present and Future of Macroeconomic Forecasting," Journal of Economic Perspectives, 12, 175192. Diebold, F.X., Gunther, T. and Tay, A. (1998), "Evaluating Density Forecasts, with Applications to Financial Risk Management," International Economic Review, 39, 863883. Diebold, F.X. Hickman, A., Inoue, A. and Schuermann, T. (1998), "Converting 1Day Volatility to hDay Volatility: Scaling by Rooth is Worse than You Think," Wharton Financial Institutions Center, Working Paper 9734. Published in condensed form as "Scale Models," Risk, 11, 104107, 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, 433452. Christoffersen, P. and Diebold, F.X. (1997), "Optimal Prediction Under Asymmetric Loss," Econometric Theory, 13, 808817. Diebold, F.X., Neumark, D. and Polsky, D. (1997), "Job Stability in the United States,” Journal of Labor Economics, 15, 206233. 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, 221241. 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: NorthHolland, 241268. Diebold, F.X. and Rudebusch (1991), "Is Consumption too Smooth? Long Memory and the Deaton Paradox,” Review of Economics and Statistics, 73, 19. Diebold, F.X. and Rudebusch, G.D. (1989), "Long Memory and Persistence in Aggregate Output,” Journal of Monetary Economics, 24, 189209. Diebold, F.X. (1989), "Random Walks vs. Fractional Integration: Power Comparisons of Scalar and Joint Tests of the VarianceTime Function,” in Baldev Raj (ed.), Advances in Econometrics and Modeling, 2945. 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, 105112.
