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Forecasting and empirical methods in finance and macroeconomics

Diebold, F. X.; West, Kenneth D. - In: Journal of Econometrics 105 (2001) 1, pp. 1-3

Persistent link: https://www.econbiz.de/10005285420

On the network topology of variance decompositions: Measuring the connectedness of financial firms

Diebold, Francis X.; Yılmaz, Kamil - In: Journal of Econometrics 182 (2014) 1, pp. 119-134

We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness. We also show that variance decompositions define weighted, directed networks, so that our connectedness measures are intimately...

Persistent link: https://www.econbiz.de/10011052250

Forecasting the term structure of government bond yields

Diebold, Francis X.; Li, Canlin - In: Journal of Econometrics 130 (2006) 2, pp. 337-364

Persistent link: https://www.econbiz.de/10005052825

Why are estimates of agricultural supply response so variable?

Diebold, Francis X.; Lamb, Russell L. - In: Journal of Econometrics 76 (1997) 1-2, pp. 357-373

Persistent link: https://www.econbiz.de/10005122695

On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean

Cheung, Yin-Wong; Diebold, Francis X. - In: Journal of Econometrics 62 (1994) 2, pp. 301-316

Persistent link: https://www.econbiz.de/10005228680

Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures

Diebold, Francis X.; Chen, Celia - In: Journal of Econometrics 70 (1996) 1, pp. 221-241

Persistent link: https://www.econbiz.de/10005228755

The macroeconomy and the yield curve: a dynamic latent factor approach

Diebold, Francis X.; Rudebusch, Glenn D.; … - In: Journal of Econometrics 131 (2006) 1-2, pp. 309-338

Persistent link: https://www.econbiz.de/10005285365

Long memory and regime switching

Diebold, Francis X.; Inoue, Atsushi - In: Journal of Econometrics 105 (2001) 1, pp. 131-159

Persistent link: https://www.econbiz.de/10005239088

Econometrics: Retrospect and prospect

Diebold, Francis X. - In: Journal of Econometrics 100 (2001) 1, pp. 73-75

Persistent link: https://www.econbiz.de/10005192688

Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach

Diebold, Francis X.; Li, Canlin; Yue, Vivian Z. - In: Journal of Econometrics 146 (2008) 2, pp. 351-363

The popular Nelson-Siegel [Nelson, C.R., Siegel, A.F., 1987. Parsimonious modeling of yield curves. Journal of Business 60, 473-489] yield curve is routinely fit to cross sections of intra-country bond yields, and Diebold-Li [Diebold, F.X., Li, C., 2006. Forecasting the term structure of...

Persistent link: https://www.econbiz.de/10005192969