Francis Diebold
Francis Diebold
Professor of Economics, University of Pennsylvania
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Comparing predictive accuracy
FX Diebold, RS Mariano
Journal of Business & economic statistics 20 (1), 134-144, 2002
Modeling and forecasting realized volatility
TG Andersen, T Bollerslev, FX Diebold, P Labys
Econometrica 71 (2), 579-625, 2003
The distribution of realized exchange rate volatility
TG Andersen, T Bollerslev, FX Diebold, P Labys
Journal of the American statistical association 96 (453), 42-55, 2001
The distribution of realized stock return volatility
TG Andersen, T Bollerslev, FX Diebold, H Ebens
Journal of financial economics 61 (1), 43-76, 2001
Forecasting the term structure of government bond yields
FX Diebold, C Li
Journal of econometrics 130 (2), 337-364, 2006
Evaluating density forecasts with applications to financial risk management
FX Diebold, TA Gunther, AS Tay
International economic review, 863-883, 1998
Measuring financial asset return and volatility spillovers, with application to global equity markets
FX Diebold, K Yilmaz
The Economic Journal 119 (534), 158-171, 2009
Micro effects of macro announcements: Real-time price discovery in foreign exchange
TG Andersen, T Bollerslev, FX Diebold, C Vega
American Economic Review 93 (1), 38-62, 2003
Better to give than to receive: Predictive directional measurement of volatility spillovers
FX Diebold, K Yilmaz
International Journal of Forecasting 28 (1), 57-66, 2012
Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility
TG Andersen, T Bollerslev, FX Diebold
The review of economics and statistics 89 (4), 701-720, 2007
On the network topology of variance decompositions: Measuring the connectedness of financial firms
FX Diebold, K Yılmaz
Journal of Econometrics 182 (1), 119-134, 2014
Range‐based estimation of stochastic volatility models
S Alizadeh, MW Brandt, FX Diebold
The Journal of Finance 57 (3), 1047-1091, 2002
Long memory and regime switching
FX Diebold, A Inoue
Journal of econometrics 105 (1), 131-159, 2001
The macroeconomy and the yield curve: a dynamic latent factor approach
FX Diebold, GD Rudebusch, SB Aruoba
Journal of econometrics 131 (1-2), 309-338, 2006
Real-time price discovery in global stock, bond and foreign exchange markets
TG Andersen, T Bollerslev, FX Diebold, C Vega
Journal of international Economics 73 (2), 251-277, 2007
Elements of forecasting
FX Diebold
South-Western College Pub., 1998
25 years of time series forecasting
JG De Gooijer, RJ Hyndman
International journal of forecasting 22 (3), 443-473, 2006
The dynamics of exchange rate volatility: a multivariate latent factor ARCH model
FX Diebold, M Nerlove
Journal of Applied econometrics 4 (1), 1-21, 1989
Regime switching with time-varying transition probabilities
FX Diebold, JH Lee, GC Weinbach
Federal Reserve Bank of Philadelphia, Economic Research Division, 1993
Measuring business cycles: A modern perspective
FX Diebold, GD Rudebusch
National Bureau of Economic Research, 1994
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Artiklar 1–20