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Publications by Francis X. Diebold
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach
SSRN Electronic Journal
Real-Time Measurement of Business Conditions
SSRN Electronic Journal
A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration
SSRN Electronic Journal
Some Like It Smooth, and Some Like It Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
SSRN Electronic Journal
A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources and Generalized Duration
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Bayesian Inference Applied to Dynamic Nelson-Siegel Model With Stochastic Volatility
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Decomposing Global Yield Curve Co-Movement
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The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach
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