Research Papers Diebold, F.X. and Gobel, M. (2021), “Real-Time Fixed-Target Statistical Prediction
of Arctic Sea Ice Extent,” arXiv:2101.10359. Diebold, F.X., Shin, M. and Zhang, B.
(2021), “On the Aggregation of Probability
Assessments: Regularized Mixtures of Predictive Densities for Eurozone
Inflation and Real Interest Rates,” arXiv:2012.11649. Diebold, F.X. and Rudebusch, G.D.
(2022), “On the Evolution of U.S. Temperature Dynamics,” in A. Chudek, C. Hsiao and A Timmermann (eds.), Essays in
Honor of M. Hashem Pesaran (Advances in
Econometrics, Volume 43), 9-28, in press. arXiv:1907.06303. EViews code here.
Online appendix here. Diebold, F.X. and Rudebusch, G.D.
(2022), “Probability
Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model
Projections,” Journal of Econometrics, in press. Ancillary files (data and code) here. Diebold, F.X., Goulet Coulombe, P.,
Goebel, M., Rudebusch, G.D. and Zhang, B. (2021),
“Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor
Modeling Approach," International
Journal of Forecasting, 37, 1509-1519. arXiv:2003.14276. Diebold, F.X., Liu, L. and Yilmaz, K. (2018), "Commodity
Connectedness," in E.
Mendoza, D. Saravia and E. Pasten (eds.), Monetary
Policy and Global Spillovers: Mechanisms, Effects and Policy Measures.
Santiago: Bank of Chile Central Banking Series, Volume 25, 97-136. Full
published volume here. Demirer, M., Diebold, F.X., Liu, L. and Yilmaz, K. (2018),
"Estimating Global Bank Network
Connectedness", Journal of
Applied Econometrics, 33, 1-15. Diebold, F.X. and Shin, M. (2017),
"Assessing Point Forecast
Accuracy by Stochastic Error Distance," Econometric Reviews, 36,
588-598. (Special Issue in Honor of E. Maasoumi,
edited by P.C.B. Phillips and A. Ullah.) 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. 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. 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. |