Prof. Francis X. Diebold

Professor of Economics
University of Pennsylvania, United States
fdiebold(at)sas.upenn.edu

Web Link | SSRN Author Page

CFS Working Papers

No. Researcher Title Category Year Keywords
176 Sean D. Campbell, Francis X. Diebold Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence Risk Management 2005
116 Torben G. Andersen, Tim Bollerslev, Francis X. Diebold Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility Trading and Pricing in Financial Markets 2003
112 Francis X. Diebold, Glenn D. Rudebusch, S. Boragan Aruoba The Macroeconomy and the Yield Curve: A Nonstructural Analysis Central Banking & Monetary Economics 2003
224 Francis X. Diebold, Kamil Yilmaz Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets Risk Management 2007
288 Francis X. Diebold, Georg H. Strasser On the Correlation Structure of Microstructure Noise in Theory and Practice Risk Management 2008
282 Francis X. Diebold, Kamil Yilmaz Measuring Financial Asset Return and Volatilty Spillovers, with Application to Global Equity Markets Risk Management 2008
283 Francis X. Diebold, Canlin Li, Vivian Z. Yue Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach Risk Management 2008
575 Francis X. Diebold, Laura Liu, Kamil Yilmaz Commodity Connectedness Monetary Policy & Financial Stability 2017
576 Mert Demirer, Francis X. Diebold, Laura Liu, Kamil Yilmaz Estimating global bank network connectedness Monetary Policy & Financial Stability 2017
145 Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Jin Wu Realized Beta: Persistence and Predictability Trading and Pricing in Financial Markets 2004
140 Francis X. Diebold The Nobel Memorial Prize for Robert F. Engle Trading and Pricing in Financial Markets 2004
139 Sean D. Campbell, Francis X. Diebold Weather Forecasting for Weather Derivatives Trading and Pricing in Financial Markets 2004
162 Torben G. Andersen, Tim Bollerslev, Peter F. Christoffersen, Francis X. Diebold Volatility Forecasting Risk Management 2005
156 Torben G. Andersen, Tim Bollerslev, Peter F. Christoffersen, Francis X. Diebold Practical Volatility and Correlation Modeling for Financial Market Risk Management Risk Management 2005
157 Francis X. Diebold, Monika Piazzesi, Glenn D. Rudebusch Modeling Bond Yields in Finance and Macroeconomics Risk Management 2005
158 Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Ginger Wu A Framework for Exploring the Macroeconomic Determinants of Systematic Risk Risk Management 2005
148 Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Clara Vega Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets Trading and Pricing in Financial Markets 2004
136 Michael W. Brandt, Francis X. Diebold A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations Trading and Pricing in Financial Markets 2004
137 Peter F. Christoffersen, Francis X. Diebold Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics Trading and Pricing in Financial Markets 2004
138 Francis X. Diebold, Canlin Li Forecasting the Term Structure of Government Bond Yields International Economics 2004
577 Francis X. Diebold, Frank Schorfheide, Minchul Shin Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility Monetary Policy & Financial Stability 2017