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Francis X. Diebold · Study
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Author
Francis X. Diebold
178 works
· latest 2023
· 12 institutions
cluster: provisional
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177
Citations
70,974
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Most cited in this library
Better to give than to receive: Predictive directional measurement of volatility spillovers
2011 · 5,798 citations
Comparing Predictive Accuracy
1994 · 5,495 citations
Comparing Predictive Accuracy
1995 · 5,214 citations
On the network topology of variance decompositions: Measuring the connectedness of financial firms
2014 · 4,694 citations
Modeling and Forecasting Realized Volatility
2003 · 3,887 citations
Works
60 shown
On the past, present, and future of the Diebold–Yilmaz approach to dynamic network connectedness
Journal of Econometrics
·
2023
·
2 authors
91
citations
What's the Big Idea? “Big Data” and its Origins
Significance
·
2021
·
1 author
11
citations
Have Postwar Economic Fluctuations Been Stabilized?
Princeton University Press eBooks
·
2020
·
2 authors
·
chapter
114
citations
Further Evidence on Business Cycle Duration Dependence
Princeton University Press eBooks
·
2020
·
3 authors
·
chapter
·
Open access
107
citations
On the Power of Dickey-Fuller Tests against Fractional Alternatives
Princeton University Press eBooks
·
2020
·
2 authors
·
chapter
58
citations
Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession
National Bureau of Economic Research
·
2020
·
1 author
·
report
·
Open access
21
citations
Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives
International Journal of Forecasting
·
2018
·
2 authors
·
Open access
152
citations
On the Comparison of Interval Forecasts
Journal of Time Series Analysis
·
2018
·
3 authors
·
Open access
53
citations
Real-time forecast evaluation of DSGE models with stochastic volatility
Journal of Econometrics
·
2017
·
3 authors
·
Open access
50
citations
Commodity Connectedness
National Bureau of Economic Research
·
2017
·
3 authors
·
report
·
Open access
115
citations
Estimating global bank network connectedness
Journal of Applied Econometrics
·
2017
·
3 authors
637
citations
Estimating Global Bank Network Connectedness
National Bureau of Economic Research
·
2017
·
4 authors
·
report
·
Open access
55
citations
Improving GDP measurement: A measurement-error perspective
Journal of Econometrics
·
2015
·
5 authors
72
citations
Measuring the dynamics of global business cycle connectedness
·
2015
·
2 authors
·
chapter
·
Open access
71
citations
Financial and Macroeconomic Connectedness
Oxford University Press eBooks
·
2015
·
2 authors
·
book
171
citations
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold–Mariano Tests
Journal of Business and Economic Statistics
·
2015
·
1 author
494
citations
Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004-2014
Journal of Financial Econometrics
·
2015
·
2 authors
·
Open access
324
citations
On the network topology of variance decompositions: Measuring the connectedness of financial firms
Journal of Econometrics
·
2014
·
2 authors
4,694
citations
Yield Curve Modeling and Forecasting
Princeton University Press eBooks
·
2013
·
2 authors
·
book
66
citations
A Markov-switching multifractal inter-trade duration model, with application to US equities
Journal of Econometrics
·
2013
·
3 authors
51
citations
Improving GDP Measurement: A Measurement-Error Perspective
National Bureau of Economic Research
·
2013
·
5 authors
·
report
·
Open access
17
citations
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach
The Review of Economic Studies
·
2013
·
2 authors
52
citations
Yield Curve Modeling and Forecasting
Princeton University Press eBooks
·
2013
·
2 authors
·
book
50
citations
Financial Risk Measurement for Financial Risk Management
Handbook of the economics of finance
·
2013
·
4 authors
·
chapter
105
citations
A Personal Perspective on the Origin(s) and Development of 'Big Data': The Phenomenon, the Term, and the Discipline, Second Version
SSRN Electronic Journal
·
2013
·
1 author
·
preprint
·
Open access
93
citations
Improving GDP Measurement: A Measurement-Error Perspective
SSRN Electronic Journal
·
2013
·
5 authors
·
preprint
·
Open access
34
citations
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests
National Bureau of Economic Research
·
2012
·
1 author
·
report
·
Open access
84
citations
Financial Risk Measurement for Financial Risk Management
National Bureau of Economic Research
·
2012
·
4 authors
·
report
·
Open access
43
citations
On the Origin(s) and Development of the Term 'Big Data'
SSRN Electronic Journal
·
2012
·
1 author
·
preprint
·
Open access
148
citations
Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach
Economics Books
·
2012
·
2 authors
91
citations
A Personal Perspective on the Origin(s) and Development of \Big Data": The Phenomenon, the Term, and the Discipline
·
2012
·
1 author
33
citations
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
National Bureau of Economic Research
·
2011
·
2 authors
·
report
·
Open access
39
citations
Better to give than to receive: Predictive directional measurement of volatility spillovers
International Journal of Forecasting
·
2011
·
2 authors
·
Open access
5,798
citations
The affine arbitrage-free class of Nelson–Siegel term structure models
Journal of Econometrics
·
2011
·
3 authors
431
citations
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
SSRN Electronic Journal
·
2011
·
2 authors
·
preprint
·
Open access
596
citations
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
SSRN Electronic Journal
·
2011
·
2 authors
·
preprint
·
Open access
118
citations
Equity Market Spillovers in the Americas
RePEc: Research Papers in Economics
·
2011
·
2 authors
50
citations
Globalization, the Business Cycle, and Macroeconomic Monitoring
National Bureau of Economic Research
·
2010
·
4 authors
·
report
·
Open access
19
citations
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions
American Economic Review
·
2010
·
2 authors
99
citations
The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models
Federal Reserve Bank of San Francisco, Working Paper Series
·
2010
·
3 authors
·
Open access
34
citations
Parametric and Nonparametric Volatility Measurement
Elsevier eBooks
·
2010
·
3 authors
·
chapter
·
Open access
520
citations
An arbitrage‐free generalized Nelson–Siegel term structure model
Econometrics Journal
·
2009
·
3 authors
162
citations
Real-Time Measurement of Business Conditions
Journal of Business and Economic Statistics
·
2009
·
3 authors
916
citations
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
Journal of Business and Economic Statistics
·
2009
·
2 authors
152
citations
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
The Economic Journal
·
2008
·
2 authors
3,131
citations
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
National Bureau of Economic Research
·
2008
·
3 authors
·
report
·
Open access
45
citations
Real-Time Measurement of Business Conditions
National Bureau of Economic Research
·
2008
·
3 authors
·
report
·
Open access
31
citations
Global yield curve dynamics and interactions: A dynamic Nelson–Siegel approach
Journal of Econometrics
·
2008
·
3 authors
261
citations
Macroeconomic Volatility and Stock Market Volatility, Worldwide
National Bureau of Economic Research
·
2008
·
2 authors
·
report
·
Open access
100
citations
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
Federal Reserve Bank of San Francisco, Working Paper Series
·
2008
·
3 authors
·
Open access
57
citations
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets
National Bureau of Economic Research
·
2008
·
2 authors
·
report
·
Open access
245
citations
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
SSRN Electronic Journal
·
2008
·
3 authors
·
preprint
·
Open access
318
citations
Macroeconomic Volatility and Stock Market Volatility, World-Wide
SSRN Electronic Journal
·
2008
·
2 authors
·
preprint
·
Open access
76
citations
Real-Time Measurement of Business Conditions
SSRN Electronic Journal
·
2008
·
2 authors
·
preprint
·
Open access
46
citations
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets
SSRN Electronic Journal
·
2008
·
4 authors
·
preprint
·
Open access
35
citations
The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models
National Bureau of Economic Research
·
2007
·
2 authors
·
report
·
Open access
76
citations
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach
National Bureau of Economic Research
·
2007
·
3 authors
·
report
·
Open access
31
citations
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
The Review of Economics and Statistics
·
2007
·
3 authors
1,448
citations
Real-Time Measurement of Business Conditions
International Finance Discussion Paper
·
2007
·
3 authors
·
Open access
19
citations
Real-time price discovery in global stock, bond and foreign exchange markets
Journal of International Economics
·
2007
·
4 authors
1,127
citations