×

zbMATH — the first resource for mathematics

Diebold, Francis X.

Compute Distance To:
Author ID: diebold.francis-x Recent zbMATH articles by "Diebold, Francis X."
Published as: Diebold, F. X.; Diebold, Francis X.
Documents Indexed: 37 Publications since 1986, including 5 Books

Publications by Year

Citations contained in zbMATH

31 Publications have been cited 1,052 times in 828 Documents Cited by Year
Modeling and forecasting realized volatility. Zbl 1142.91712
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul
266
2003
The distribution of realized exchange rate volatility. Zbl 1015.62107
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul
219
2001
Long memory and regime switching. Zbl 1040.62109
Diebold, Francis X.; Inoue, Atsushi
137
2001
Forecasting the term structure of government bond yields. Zbl 1337.62324
Diebold, Francis X.; Li, Canlin
88
2006
The dynamics of exchange rate volatility: a multivariate latent factor arch model. Zbl 1126.91365
Diebold, Francis X.; Nerlove, Marc
46
2005
The macroeconomy and the yield curve: a dynamic latent factor approach. Zbl 1337.62356
Diebold, Francis X.; Rudebusch, Glenn D.; Aruoba, S. Borağan
40
2006
Weather forecasting for weather derivatives. Zbl 1117.62305
Campbell, Sean D.; Diebold, Francis X.
34
2005
On the network topology of variance decompositions: measuring the connectedness of financial firms. Zbl 1311.91196
Diebold, Francis X.; Yılmaz, Kamil
31
2014
Empirical modeling of exchange rate dynamics. Zbl 0648.90002
Diebold, Francis X.
29
1988
The affine arbitrage-free class of Nelson-Siegel term structure models. Zbl 1441.62261
Christensen, Jens H. E.; Diebold, Francis X.; Rudebusch, Glenn D.
25
2011
Realized beta: persistence and predictability. Zbl 1190.91145
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Wu, Ginger
18
2006
Dynamic equilibrium economies: A framework for comparing models and data. Zbl 0910.90076
Diebold, Francis X.; Ohanian, Lee E.; Berkowitz, Jeremy
18
1998
Testing structural stability with endogenous breakpoint. A size comparison of analytic and bootstrap procedures. Zbl 0850.62896
Diebold, Francis X.; Chen, Celia
17
1996
The solution of dynamic linear rational expectations models. Zbl 0702.90008
Diebold, F. X.
13
1989
Yield curve modeling and forecasting. The dynamic Nelson-Siegel approach. Zbl 1279.91001
Diebold, Francis X.; Rudebusch, Glenn D.
12
2012
An arbitrage-free generalized Nelson-Siegel term structure model. Zbl 1179.91246
Christensen, Jens H. E.; Diebold, Francis X.; Rudebusch, Glenn D.
9
2009
The distribution of realized exchange rate volatility. Zbl 1126.91354
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul
8
2005
On the correlation structure of microstructure noise: a financial economic approach. Zbl 1405.91703
Diebold, Francis X.; Strasser, Georg
7
2013
The exact initial covariance matrix of the state vector of a general \(MA(q)\) process. Zbl 1328.62515
Diebold, Francis X.
7
1986
Exact maximum-likelihood estimation of autoregressive models via the Kalman filter. Zbl 1328.62542
Diebold, Francis X.
5
1986
Real-time forecast evaluation of DSGE models with stochastic volatility. Zbl 1377.62210
Diebold, Francis X.; Schorfheide, Frank; Shin, Minchul
4
2017
A Markov-switching multifractal inter-trade duration model, with application to US equities. Zbl 1288.91140
Chen, Fei; Diebold, Francis X.; Schorfheide, Frank
4
2013
Global yield curve dynamics and interactions: a dynamic Nelson-Siegel approach. Zbl 1429.62660
Diebold, Francis X.; Li, Canlin; Yue, Vivian Z.
3
2008
Exact maximum likelihood estimation of observation-driven econometric models. Zbl 1184.62205
Diebold, Francis X.; Schuermann, Til
3
2000
Improving GDP measurement: a measurement-error perspective. Zbl 1422.91580
Aruoba, S. Borağan; Diebold, Francis X.; Nalewaik, Jeremy; Schorfheide, Frank; Song, Dongho
2
2016
Assessing point forecast accuracy by stochastic loss distance. Zbl 1321.91103
Diebold, Francis X.; Shin, Minchul
2
2015
On the comparison of interval forecasts. Zbl 1402.62193
Askanazi, Ross; Diebold, Francis X.; Schorfheide, Frank; Shin, Minchul
1
2018
Financial and macroeconomic connectedness. A network approach to measurement and monitoring. Zbl 1418.91009
Diebold, Francis X.; Yilmaz, Kamil
1
2015
Econometrics: retrospect and prospect. Zbl 1099.62546
Diebold, Francis X.
1
2001
Fractional integration and interval prediction. Zbl 0875.62600
Diebold, Francis X.; Lindner, Peter
1
1996
State space modeling of time series: A review essay. Zbl 0709.62631
Diebold, Francis X.
1
1989
On the comparison of interval forecasts. Zbl 1402.62193
Askanazi, Ross; Diebold, Francis X.; Schorfheide, Frank; Shin, Minchul
1
2018
Real-time forecast evaluation of DSGE models with stochastic volatility. Zbl 1377.62210
Diebold, Francis X.; Schorfheide, Frank; Shin, Minchul
4
2017
Improving GDP measurement: a measurement-error perspective. Zbl 1422.91580
Aruoba, S. Borağan; Diebold, Francis X.; Nalewaik, Jeremy; Schorfheide, Frank; Song, Dongho
2
2016
Assessing point forecast accuracy by stochastic loss distance. Zbl 1321.91103
Diebold, Francis X.; Shin, Minchul
2
2015
Financial and macroeconomic connectedness. A network approach to measurement and monitoring. Zbl 1418.91009
Diebold, Francis X.; Yilmaz, Kamil
1
2015
On the network topology of variance decompositions: measuring the connectedness of financial firms. Zbl 1311.91196
Diebold, Francis X.; Yılmaz, Kamil
31
2014
On the correlation structure of microstructure noise: a financial economic approach. Zbl 1405.91703
Diebold, Francis X.; Strasser, Georg
7
2013
A Markov-switching multifractal inter-trade duration model, with application to US equities. Zbl 1288.91140
Chen, Fei; Diebold, Francis X.; Schorfheide, Frank
4
2013
Yield curve modeling and forecasting. The dynamic Nelson-Siegel approach. Zbl 1279.91001
Diebold, Francis X.; Rudebusch, Glenn D.
12
2012
The affine arbitrage-free class of Nelson-Siegel term structure models. Zbl 1441.62261
Christensen, Jens H. E.; Diebold, Francis X.; Rudebusch, Glenn D.
25
2011
An arbitrage-free generalized Nelson-Siegel term structure model. Zbl 1179.91246
Christensen, Jens H. E.; Diebold, Francis X.; Rudebusch, Glenn D.
9
2009
Global yield curve dynamics and interactions: a dynamic Nelson-Siegel approach. Zbl 1429.62660
Diebold, Francis X.; Li, Canlin; Yue, Vivian Z.
3
2008
Forecasting the term structure of government bond yields. Zbl 1337.62324
Diebold, Francis X.; Li, Canlin
88
2006
The macroeconomy and the yield curve: a dynamic latent factor approach. Zbl 1337.62356
Diebold, Francis X.; Rudebusch, Glenn D.; Aruoba, S. Borağan
40
2006
Realized beta: persistence and predictability. Zbl 1190.91145
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Wu, Ginger
18
2006
The dynamics of exchange rate volatility: a multivariate latent factor arch model. Zbl 1126.91365
Diebold, Francis X.; Nerlove, Marc
46
2005
Weather forecasting for weather derivatives. Zbl 1117.62305
Campbell, Sean D.; Diebold, Francis X.
34
2005
The distribution of realized exchange rate volatility. Zbl 1126.91354
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul
8
2005
Modeling and forecasting realized volatility. Zbl 1142.91712
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul
266
2003
The distribution of realized exchange rate volatility. Zbl 1015.62107
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul
219
2001
Long memory and regime switching. Zbl 1040.62109
Diebold, Francis X.; Inoue, Atsushi
137
2001
Econometrics: retrospect and prospect. Zbl 1099.62546
Diebold, Francis X.
1
2001
Exact maximum likelihood estimation of observation-driven econometric models. Zbl 1184.62205
Diebold, Francis X.; Schuermann, Til
3
2000
Dynamic equilibrium economies: A framework for comparing models and data. Zbl 0910.90076
Diebold, Francis X.; Ohanian, Lee E.; Berkowitz, Jeremy
18
1998
Testing structural stability with endogenous breakpoint. A size comparison of analytic and bootstrap procedures. Zbl 0850.62896
Diebold, Francis X.; Chen, Celia
17
1996
Fractional integration and interval prediction. Zbl 0875.62600
Diebold, Francis X.; Lindner, Peter
1
1996
The solution of dynamic linear rational expectations models. Zbl 0702.90008
Diebold, F. X.
13
1989
State space modeling of time series: A review essay. Zbl 0709.62631
Diebold, Francis X.
1
1989
Empirical modeling of exchange rate dynamics. Zbl 0648.90002
Diebold, Francis X.
29
1988
The exact initial covariance matrix of the state vector of a general \(MA(q)\) process. Zbl 1328.62515
Diebold, Francis X.
7
1986
Exact maximum-likelihood estimation of autoregressive models via the Kalman filter. Zbl 1328.62542
Diebold, Francis X.
5
1986
all top 5

Cited by 1,259 Authors

17 Bollerslev, Tim
13 Todorov, Viktor
12 Shephard, Neil
11 Diebold, Francis X.
11 Mykland, Per Aslak
10 Barndorff-Nielsen, Ole Eiler
9 Baek, Changryong
9 Gil-Alana, Luis Alberiko
9 Härdle, Wolfgang Karl
9 Meddahi, Nour
9 Tauchen, George E.
8 Podolskij, Mark
7 Andersen, Torben G.
7 McAleer, Michael
7 Nielsen, Morten Ørregaard
7 Patton, Andrew J.
6 Aït-Sahalia, Yacine
6 Corradi, Valentina
6 Corsi, Fulvio
6 Jacod, Jean
6 Kapetanios, George
6 Laurent, Sébastien-Yves
6 Lunde, Asger
6 Mancino, Maria Elvira
6 Renault, Eric
6 Renò, Roberto
6 Shin, Dongwan
6 Sibbertsen, Philipp
6 Swanson, Norman Rasmus
5 Benth, Fred Espen
5 Chen, Rong
5 Christensen, Bent Jesper
5 Christensen, Kim
5 Hansen, Peter Reinhard
5 Kim, Donggyu
5 Leipus, Remigijus
5 Linton, Oliver Bruce
5 Liu, Zhi
5 Medeiros, Marcelo C.
5 Mittnik, Stefan
5 Schorfheide, Frank
5 Wang, Yazhen
5 Zhang, Lan
4 Asai, Manabu
4 Baillie, Richard T.
4 Bandi, Federico M.
4 Barigozzi, Matteo
4 Chen, Ying
4 Christodoulakis, George A.
4 Gencay, Ramazan
4 Golosnoy, Vasyl
4 Hafner, Christian Matthias
4 Haldrup, Niels
4 Herwartz, Helmut
4 Horváth, Lajos
4 Iacone, Fabrizio
4 Jing, Bingyi
4 Kong, Xinbing
4 Li, Cuixia
4 Lux, Thomas
4 Oomen, Roel C. A.
4 Pipiras, Vladas
4 Rombouts, Jeroen V. K.
4 Rudebusch, Glenn D.
4 Surgailis, Donatas
4 van Dijk, Dick
4 Yu, Jun
3 Barunik, Jozef
3 Bi, Tao
3 Bisaglia, Luisa
3 Boswijk, H. Peter
3 Brownlees, Christian
3 Caporale, Guglielmo Maria
3 Christensen, Jens H. E.
3 Dellaportas, Petros
3 Deo, Rohit S.
3 Dobrev, Dobrislav
3 Dufrénot, Gilles
3 Engle, Robert Fry
3 Escobar, Marcos
3 Fernandes, Marcelo
3 Garcia, René
3 Gerolimetto, Margherita
3 Gonçalves, Sílvia
3 Gourieroux, Christian
3 Griffin, Jim E.
3 Guidolin, Massimo
3 Hayashi, Takaki
3 Hillebrand, Eric
3 Hong, Yongmiao
3 Hurvich, Clifford M.
3 Laurini, Márcio Poletti
3 Lee, Taewook
3 Leschinski, Christian
3 Li, Haitao
3 Li, Jia
3 Li, Yingying
3 Maheu, John M.
3 Martin, Gael M.
3 Monfort, Alain
...and 1,159 more Authors
all top 5

Cited in 123 Serials

245 Journal of Econometrics
57 Quantitative Finance
40 Journal of Economic Dynamics & Control
39 Economics Letters
39 Computational Statistics and Data Analysis
22 Econometric Theory
18 Econometric Reviews
16 Journal of Time Series Analysis
16 European Journal of Operational Research
14 Journal of Applied Statistics
13 The Econometrics Journal
11 Stochastic Processes and their Applications
10 International Journal of Theoretical and Applied Finance
9 The Annals of Statistics
9 Insurance Mathematics & Economics
9 Communications in Statistics. Simulation and Computation
8 Physica A
8 Journal of Multivariate Analysis
8 Journal of Statistical Planning and Inference
8 Annals of Operations Research
8 Applied Mathematical Finance
7 Mathematics and Computers in Simulation
7 Statistical Papers
6 Statistics & Probability Letters
6 Communications in Statistics. Theory and Methods
6 Journal of Statistical Computation and Simulation
6 Asia-Pacific Financial Markets
6 Statistical Methods and Applications
6 Journal of Forecasting
6 AStA. Advances in Statistical Analysis
6 Statistics and Computing
5 Applied Stochastic Models in Business and Industry
5 Journal of the Korean Statistical Society
5 Annals of Finance
4 Open Economies Review
4 Decisions in Economics and Finance
4 Computational Management Science
4 Electronic Journal of Statistics
4 The Annals of Applied Statistics
4 Journal of Time Series Econometrics
3 Computers & Mathematics with Applications
3 Scandinavian Journal of Statistics
3 Journal of the American Statistical Association
3 Computational Economics
3 Bernoulli
3 Mathematical Finance
3 Review of Derivatives Research
2 Advances in Applied Probability
2 Annals of the Institute of Statistical Mathematics
2 Journal of Applied Probability
2 Acta Mathematicae Applicatae Sinica. English Series
2 Computational Statistics
2 Applied Mathematics. Series B (English Edition)
2 Journal of Nonparametric Statistics
2 Finance and Stochastics
2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 Australian & New Zealand Journal of Statistics
2 Journal of the Royal Statistical Society. Series B. Statistical Methodology
2 Macroeconomic Dynamics
2 Statistical Inference for Stochastic Processes
2 Scandinavian Actuarial Journal
2 ASTIN Bulletin
1 The Canadian Journal of Statistics
1 International Journal of General Systems
1 International Journal of Systems Science
1 Journal of Fluid Mechanics
1 Lithuanian Mathematical Journal
1 Physics Letters. A
1 Chaos, Solitons and Fractals
1 ACM Transactions on Mathematical Software
1 Applied Mathematics and Optimization
1 Fuzzy Sets and Systems
1 Information Sciences
1 Journal of Computational and Applied Mathematics
1 Journal of Economic Theory
1 SIAM Journal on Control and Optimization
1 Statistica Neerlandica
1 Physica D
1 Statistics
1 Statistical Science
1 Mathematical and Computer Modelling
1 Neural Networks
1 Signal Processing
1 Japan Journal of Industrial and Applied Mathematics
1 The Annals of Applied Probability
1 International Journal of Computer Mathematics
1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
1 Computational Optimization and Applications
1 Fractals
1 Complexity
1 Abstract and Applied Analysis
1 Soft Computing
1 Studies in Nonlinear Dynamics and Econometrics
1 Discrete Dynamics in Nature and Society
1 Journal of Economic Growth
1 CEJOR. Central European Journal of Operations Research
1 Brazilian Journal of Probability and Statistics
1 Matematicheskoe Modelirovanie
1 Miscelánea Matemática
1 Journal of Systems Science and Complexity
...and 23 more Serials

Citations by Year