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Publications by Francis X. Diebold

Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach

SSRN Electronic Journal

English

Real-Time Measurement of Business Conditions

SSRN Electronic Journal

English

A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration

SSRN Electronic Journal

English

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

English

A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources and Generalized Duration

English