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Publications by Francis Diebold
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, With Application to U.S. Equities
Cointegration and Long-Horizon Forecasting
Macroeconomic Volatility and Stock Market Volatility, Worldwide
Parametric and Nonparametric Volatility Measurement
Practical Volatility and Correlation Modeling for Financial Market Risk Management
Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data
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