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Francis Diebold
Francis Diebold
Professor of Economics, University of Pennsylvania
Verified email at sas.upenn.edu - Homepage
Title
Cited by
Cited by
Year
Comparing predictive accuracy
FX Diebold, RS Mariano
Journal of Business & economic statistics 13, 253-265, 1995
11350*1995
Modeling and forecasting realized volatility
TG Andersen, T Bollerslev, FX Diebold, P Labys
Econometrica 71 (2), 579-625, 2003
48122003
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
43352012
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
36112014
The distribution of realized stock return volatility
TG Andersen, T Bollerslev, FX Diebold, H Ebens
Journal of financial economics 61 (1), 43-76, 2001
32612001
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
32252009
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
31612001
Forecasting the term structure of government bond yields
FX Diebold, C Li
Journal of econometrics 130 (2), 337-364, 2006
25032006
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
21312007
Evaluating density forecasts
FX Diebold, TA Gunther, A Tay
International economic review 39, 863-883, 1998
19531998
Micro effects of macro announcements: Real-time price discovery in foreign exchange
TG Anderson, T Bollerslev, FX Diebold, C Vega
American economic review 93 (1), 38-62, 2003
17972003
Range‐based estimation of stochastic volatility models
S Alizadeh, MW Brandt, FX Diebold
The Journal of Finance 57 (3), 1047-1091, 2002
15402002
Long memory and regime switching
FX Diebold, A Inoue
Journal of econometrics 105 (1), 131-159, 2001
14992001
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
14792007
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
14432006
Elements of forecasting
FX Diebold
South-Western, 2001
13352001
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
10291989
Real-time measurement of business conditions
SB Aruoba, FX Diebold, C Scotti
Journal of Business & Economic Statistics 27 (4), 417-427, 2009
10282009
Regime switching with time-varying transition probabilities
FX Diebold, JH Lee, GC Weinbach
Nonstationary Time Series Analysis and Cointegration, 283–302, 1993
9761993
Volatility and correlation forecasting
TG Andersen, T Bollerslev, PF Christoffersen, FX Diebold
Handbook of economic forecasting 1, 777-878, 2006
862*2006
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