← All authors Francis X. Diebold University of Pennsylvania (from arXiv:2502.15458, 2025) · OpenAlex
132 papers in scope · 127 published · 14 on the econ.EM arXiv · 48,640 citations · h-index 64 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Francis Ludlow Daniele Girolimetto Michael J. Puma Julia Manso Akihiko Noda Koichiro Moriya Kamil Yılmaz Wei-Xing Zhou Yun-Shi Dai B. Cooper Boniece Peng-Fei Dai Pengfei Dai Kun Ho Kim Lajos Horváth Tianwei Zhou Stéphane Goutte Duc Khuong Nguyen Hendrik Plett Lorenzo Trapani James Mitchell Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (16 of 132)
published 2026 · Journal of Econometrics · 5 citations
working paper 2025 · arXiv
published 2024 · Econometrics Journal · 7 citations · first circulated 2016
working paper 2024 · arXiv · 1 citations
Predicting September Arctic Sea Ice: A Multimodel Seasonal Skill Comparison
published 2024 · Bulletin of the American Meteorological Society · 22 citations
published 2023 · Energy Economics · 10 citations
published 2023 · Journal of Econometrics · 24 citations · first circulated 2022
published 2023 · Energy Economics · 15 citations · first circulated 2022
published 2023 · Journal of Econometrics · 82 citations · first circulated 2022
published 2022 · Journal of International Money and Finance · 5 citations
published 2022 · Journal of Econometrics · 13 citations · first circulated 2020
published 2022 · Economics Letters · 4 citations · first circulated 2021
published 2021 · Journal of Econometrics · 38 citations · first circulated 2019
published 2020 · International Journal of Forecasting · 14 citations
working paper 2020 · arXiv
working paper 2020 · arXiv · 13 citations
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I)
published 2020 · Journal of Financial Econometrics · 2 citations
with René García, Kris Jacobs
Big data in dynamic predictive econometric modeling
published 2019 · Journal of Econometrics · 11 citations
Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives
published 2018 · International Journal of Forecasting · 153 citations
On the Comparison of Interval Forecasts
published 2018 · Journal of Time Series Analysis · 52 citations
Real-time forecast evaluation of DSGE models with stochastic volatility
published 2017 · Journal of Econometrics · 51 citations · first circulated 2015
Estimating global bank network connectedness
published 2017 · Journal of Applied Econometrics · 598 citations · first circulated 2015
Assessing point forecast accuracy by stochastic error distance
published 2017 · Econometric Reviews · 14 citations · first circulated 2014
Improving G D P measurement: A measurement-error perspective
published 2015 · Journal of Econometrics · 76 citations · first circulated 2013
Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014
published 2015 · Journal of Financial Econometrics · 204 citations
Assessing point forecast accuracy by stochastic loss distance
published 2015 · Economics Letters · 14 citations
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold–Mariano Tests
published 2015 · Journal of Business and Economic Statistics · 491 citations · first circulated 2012
Rejoinder
published 2015 · Journal of Business and Economic Statistics · 1 citations
CFEnetwork: The Annals of Computational and Financial Econometrics
published 2014 · Computational Statistics & Data Analysis
Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms
published 2014 · Journal of Econometrics · 4500 citations · first circulated 2011
A Markov-switching multifractal inter-trade duration model, with application to US equities
published 2013 · Journal of Econometrics · 50 citations
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach
published 2013 · The Review of Economic Studies · 53 citations · first circulated 2010
with Georg Strasser
Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach
published 2012 · Economics Books · 95 citations
Better to give than to receive: Predictive directional measurement of volatility spillovers
published 2011 · International Journal of Forecasting · 5586 citations · first circulated 2010
The affine arbitrage-free class of Nelson–Siegel term structure models
published 2011 · Journal of Econometrics · 438 citations · first circulated 2007
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions
published 2010 · American Economic Review · 102 citations
with S. Borağan Aruoba
Comments and Discussion
published 2010 · Brookings Papers on Economic Activity · 3 citations
with J. Steven Landefeld
The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice
published 2010 · Economics Books · 107 citations
An arbitrage‐free generalized Nelson–Siegel term structure model
published 2009 · Econometrics Journal · 160 citations · first circulated 2008
Real-Time Measurement of Business Conditions
published 2009 · Journal of Business and Economic Statistics · 922 citations · first circulated 2007
with S. Borağan Aruoba, Chiara Scotti
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
published 2009 · Journal of Business and Economic Statistics · 162 citations · first circulated 2005
with Sean D. Campbell
Efectos Derrame en los Mercados de Valores del Continente Americano
published 2009 · Economía chilena · 6 citations
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Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
published 2008 · The Economic Journal · 3045 citations
Global yield curve dynamics and interactions: A dynamic Nelson–Siegel approach
published 2008 · Journal of Econometrics · 264 citations · first circulated 2007
with Canlin Li, Vivian Z. Yue
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
published 2007 · The Review of Economics and Statistics · 1470 citations · first circulated 2005
Real-time price discovery in global stock, bond and foreign exchange markets
published 2007 · Journal of International Economics · 1183 citations · first circulated 2004
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
published 2006 · Management Science · 248 citations · first circulated 2003
with Peter Christoffersen
Comment
published 2006 · Journal of Business and Economic Statistics · 7 citations
A No‐Arbitrage Approach to Range‐Based Estimation of Return Covariances and Correlations*
published 2006 · The Journal of Business · 207 citations · first circulated 2002
with Michael W. Brandt
On Market Microstructure Noise and Realized Volatility 1
published 2006 · Plant Biotechnology Journal · 7 citations
Modeling Bond Yields in Finance and Macroeconomics
published 2005 · American Economic Review · 244 citations
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
published 2005 · American Economic Review · 179 citations
The econometrics of macroeconomics, finance, and the interface
published 2005 · Journal of Econometrics · 7 citations
The macroeconomy and the yield curve: a dynamic latent factor approach
published 2005 · Journal of Econometrics · 989 citations · first circulated 2004
Weather Forecasting for Weather Derivatives
published 2005 · Journal of the American Statistical Association · 421 citations · first circulated 2001
with Sean D. Campbell
The Nobel Memorial Prize for Robert F. Engle
published 2004 · Scandinavian Journal of Economics · 38 citations
Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics
published 2004 · Econometric Society 2004 Australasian Meetings
no link
Forecasting the Term Structure of Government Bond Yields
published 2003 · Journal of Econometrics · 439 citations · first circulated 2002
with Canlin Li
THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003
published 2003 · Econometric Theory · 15 citations
Modeling and Forecasting Realized Volatility
published 2003 · Econometrica · 3968 citations · first circulated 2001
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
published 2003 · American Economic Review · 1413 citations · first circulated 2002
Professor Robert F. Engle
published 2003 · Econometric Theory
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Range‐Based Estimation of Stochastic Volatility Models
published 2002 · The Journal of Finance · 1219 citations · first circulated 1999
with Sassan Alizadeh, Michael W. Brandt
Ratings migration and the business cycle, with application to credit portfolio stress testing
published 2002 · Journal of Banking & Finance · 148 citations · first circulated 2001
with Anil Bangia, André Kronimus, Christian Schagen, Til Schuermann
Measuring predictability: theory and macroeconomic applications
published 2001 · Journal of Applied Econometrics · 123 citations · first circulated 1997
Long memory and regime switching
published 2001 · Journal of Econometrics · 94 citations · first circulated 2000
Forecasting and empirical methods in finance and macroeconomics
published 2001 · Journal of Econometrics
with Kenneth D West
The distribution of realized stock return volatility
published 2001 · Journal of Financial Economics · 2362 citations · first circulated 2000
The Distribution of Realized Exchange Rate Volatility
published 2001 · Journal of the American Statistical Association · 2207 citations
Five questions about business cycles
published 2001 · Econometric Reviews · 19 citations
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Econometrics: Retrospect and prospect
published 2001 · Journal of Econometrics · 3 citations
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
published 2000 · Multinational Finance Journal · 178 citations
Elements of Forecasting
published 2000 · Technometrics · 421 citations · first circulated 1997
with Pradipta Sarkar
Unit-Root Tests Are Useful for Selecting Forecasting Models
published 2000 · Journal of Business and Economic Statistics · 155 citations · first circulated 1999
How Relevant is Volatility Forecasting for Financial Risk Management?
published 2000 · The Review of Economics and Statistics · 349 citations · first circulated 1998
with Peter Christoffersen
Multivariate Density Forecast Evaluation and Calibration In Financial Risk Management: High-Frequency Returns on Foreign Exchange
published 1999 · The Review of Economics and Statistics · 356 citations
Forecasting: Methods and Applications
published 1999 · Journal of the American Statistical Association · 627 citations
with William M. Briggs, Spyros Makridakis, Steven C. Wheelwright, Rob J. Hyndman
Evaluating Density Forecasts with Applications to Financial Risk Management
published 1998 · International Economic Review · 288 citations
with Todd A. Gunther, Anthony S. Tay
Bootstrapping Multivariate Spectra
published 1998 · The Review of Economics and Statistics · 38 citations · first circulated 1997
with Jeremy Berkowitz
Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors' Introduction
published 1998 · International Economic Review · 2 citations
with Kenneth D. West
Cointegration and Long-Horizon Forecasting
published 1998 · Journal of Business and Economic Statistics · 125 citations · first circulated 1997
with Peter Christoffersen
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data
published 1998 · The Review of Economic Studies · 160 citations · first circulated 1995
with Lee L. Ohanian, Jeremy Berkowitz, Lee E. Ohanian
The Past, Present, and Future of Macroeconomic Forecasting
published 1998 · The Journal of Economic Perspectives · 187 citations · first circulated 1997
Optimal Prediction Under Asymmetric Loss
published 1997 · Econometric Theory · 347 citations · first circulated 1994
with Peter Christoffersen
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers
published 1997 · The Economic Journal · 17 citations · first circulated 1996
with Antúlio N. Bomfim, Antulio Bomfim
Job Stability in the United States
published 1997 · Journal of Labor Economics · 170 citations · first circulated 1994
with David Neumark, Daniel Polsky
Why are estimates of agricultural supply response so variable?
published 1997 · Journal of Econometrics · 33 citations · first circulated 1996
with Russell L. Lamb
Further results on forecasting and model selection under asymmetric loss
published 1996 · Journal of Applied Econometrics · 176 citations
with Peter Christoffersen
Introduction: Econometric forecasting
published 1996 · Journal of Applied Econometrics · 7 citations
Software review
published 1996 · International Journal of Forecasting
Fractional integration and interval prediction
published 1996 · Economics Letters · 25 citations
with Peter Lindner
Measuring Business Cycles: A Modern Perspective
published 1996 · The Review of Economics and Statistics · 343 citations · first circulated 1994
Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures
published 1996 · Journal of Econometrics · 200 citations · first circulated 1993
with Celia Chen
Comment on Kenneth A. Swinnerton and Howard Wial, “Is Job Stability Declining in the U.S. Economy?”
published 1996 · Industrial and Labor Relations Review · 31 citations
with David Neumark, Daniel Polsky
Comparing Predictive Accuracy
published 1995 · Journal of Business and Economic Statistics · 5309 citations · first circulated 1994
with Roberto S. Mariano, Robert S. Mariano
On Cointegration and Exchange Rate Dynamics
published 1994 · The Journal of Finance · 194 citations
On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean
published 1994 · Journal of Econometrics · 140 citations
with Yin-Wong Cheung
On the limitations of comparing mean square forecast errors: Comment
published 1993 · Journal of Forecasting · 9 citations
On the limitations of comparing mean square forecast errors: Commentary
published 1993 · Journal of Forecasting · 5 citations
A Note on Conditional Heteroskedasticity in the Market Model
published 1993 · Journal of Accounting Auditing & Finance · 9 citations
with Steve C. Lim, C. Jevons Lee
Comment on modeling asset returns with alternative stable distributions
published 1993 · Econometric Reviews · 4 citations
Discussion
published 1993 · Journal of Econometrics · 32 citations
Forecasting, Structural Time Series Models and the Kalman Filter, Andrew C. Harvey Cambridge University Press, 1939 - Fore Casting, Structural Time Series Models and The Kalman FilterAdrew C. Harvey Cambridge University Press, 1989
published 1992 · Econometric Theory · 21 citations
Real Exchange Rates under the Gold Standard
published 1991 · Journal of Political Economy · 416 citations
with Steven Husted, Mark Rush
Forecasting Output with the Composite Leading Index: A Real-Time Analysis
published 1991 · Journal of the American Statistical Association · 356 citations
On the power of Dickey-Fuller tests against fractional alternatives
published 1991 · Economics Letters · 515 citations
Is Consumption Too Smooth? Long Memory and the Deaton Paradox
published 1991 · The Review of Economics and Statistics · 127 citations
The use of prior information in forecast combination
published 1990 · International Journal of Forecasting · 4 citations
with Peter Pauly
Post-Deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics
published 1990 · Journal of Business and Economic Statistics · 94 citations · first circulated 1988
with Steven A. Sharpe
A Nonparametric Investigation of Duration Dependence in the American Business Cycle
published 1990 · Journal of Political Economy · 232 citations
Nonparametric exchange rate prediction?
published 1990 · Journal of International Economics · 490 citations
with James A. Nason, James M. Nason
Small sample properties of asymptotically equivalent tests for autoregressive conditional heteroskedasticity
published 1989 · Statistical Papers · 12 citations
with Peter Pauly
Long memory and persistence in aggregate output
published 1989 · Journal of Monetary Economics · 552 citations
Structural time series analysis and modelling package: A review
published 1989 · Journal of Applied Econometrics · 11 citations
State Space Modeling of Time Series.
published 1989 · Journal of the American Statistical Association · 46 citations · first circulated 1988
with Masanao Aoki, Masano Aoki
The dynamics of exchange rate volatility: A multivariate latent factor ARCH model
published 1989 · Journal of Applied Econometrics · 736 citations
with Marc Nerlove
Scoring the Leading Indicators
published 1989 · The Journal of Business · 358 citations
Forecast combination and encompassing: Reconciling two divergent literatures
published 1989 · International Journal of Forecasting · 122 citations
Intertemporal consumer behavior under changes in income: a comment
published 1989 · Econometric Reviews
[An Application of Operational-Subjective Statistical Methods to Rational Expectations]: Comment
published 1988 · Journal of Business and Economic Statistics · 1 citations
Comment
published 1988 · Journal of Business and Economic Statistics
Has the EMS reduced member-country exchange rate volatility?
published 1988 · Empirical Economics · 19 citations
with Peter Pauly
Testing for bubbles, reflecting barriers and other anomalies
published 1988 · Journal of Economic Dynamics and Control · 6 citations
Serial Correlation and the Combination of Forecasts
published 1988 · Journal of Business and Economic Statistics · 74 citations
Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate
published 1988 · European Economic Review · 50 citations
with Peter Pauly
Prediction, Extraction, and Estimation in Unobserved Components Models
published 1987 · Econometric Theory
with Marc Nerlove
Structural change and the combination of forecasts
published 1987 · Journal of Forecasting · 4 citations
with Peter Pauly
Does the business cycle have duration memory
published 1987 · Special Studies Papers · 1 citations
no link
Temporal aggregation of ARCH processes and the distribution of asset returns
published 1986 · Special Studies Papers · 15 citations
no link
Exact maximum-likelihood estimation of autoregressive models via the Kalman filter
published 1986 · Economics Letters · 8 citations
The exact initial covariance matrix of the state vector of a general MA(q) process
published 1986 · Economics Letters · 10 citations
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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