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Evaluating Density Forecasts. (1997). Tay, Anthony S ; Diebold, Francis ; Gunther, Todd A..
In: NBER Technical Working Papers.
RePEc:nbr:nberte:0215.

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  10. Risk Factor Evolution for Counterparty Credit Risk under a Hidden Markov Model. (2019). Kandhai, Drona ; Anagnostou, Ioannis.
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  11. Testing weighting approaches for forecasting in a Group Wisdom Support System environment. (2016). Prokesch, Tobias ; von der Gracht, Heiko A ; Hommel, Ulrich ; Wohlenberg, Holger .
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  12. The inflation expectations of firms: what do they look like, are they accurate, and do they matter?. (2015). Meyer, Brent ; Bryan, Michael F. ; Parker, Nicholas B..
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  19. Are survey-based inflation expections in the euro area informative?. (2007). Mestre, Ricardo.
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  22. HOW ACCURATE ARE THE SWEDISH FORECASTERS ON GDP-GROWTH,CPI- INFLATION AND UNEMPLOYMENT? (1993-2001). (2005). Barot, Bharat.
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  23. Comparing Density Forecsts via Weighted Likelihood Ratio Tests. (2005). Giacomini, Raffaella ; amisano, gianni.
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  31. Density Estimation and Combination under Model Ambiguity. (2004). D'Amico, Stefania.
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  69. Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange. (1998). Tay, Anthony S ; Hahn, Jinyong ; Diebold, Francis.
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  70. Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange. (1998). Tay, Anthony S ; Hahn, Jinyong ; Diebold, Francis.
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  17. The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach. (2003). Suleimann Lemand, Ryan.
    In: Econometrics.
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  18. Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models. (2003). Hillebrand, Eric.
    In: Econometrics.
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  21. Construction of Stationary Time Series via the Giggs Sampler with Application to Volatility Models.. (2001). Pitt, M. K. ; Walker, S. G..
    In: The Warwick Economics Research Paper Series (TWERPS).
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  22. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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  23. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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  24. Geography, Industrial Organization, and Agglomeration Heteroskedasticity Models with Estimates of the Variances of Foreign Exchange Rates. (2001). Kao, Chihwa.
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    In: Finance and Economics Discussion Series.
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  26. Efficient Estimation of Conditional Asset Pricing Models. (2001). Hodgson, Douglas ; Vorkink, Keith.
    In: Cahiers de recherche CREFE / CREFE Working Papers.
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    In: Working papers.
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  28. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. (2000). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: NBER Working Papers.
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  29. Stochastic volatility models: conditional normality versus heavy-tailed distributions. (2000). Jung, Robert ; Liesenfeld, Roman .
    In: Journal of Applied Econometrics.
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  30. An empirical analysis of alternative parametric ARCH models. (2000). Loudon, Geoffrey F. ; Watt, Wing H. ; Yadav, Pradeep K..
    In: Journal of Applied Econometrics.
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  31. Empirical Pricing Kernels. (2000). Rosenberg, Joshua ; Engle, Robert.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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  32. Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns. (2000). Wright, Jonathan.
    In: International Finance Discussion Papers.
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  33. Density Forecasting: A Survey. (2000). Wallis, Kenneth ; Tay, Anthony S.
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  34. Bayesian Model Estimation and Selection for the Weekly Colombian Exchange Rate. (2000). Rodríguez N., Norberto ; Rodriguez, Norberto .
    In: Borradores de Economia.
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  35. Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Center for Financial Institutions Working Papers.
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  36. (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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  37. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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  38. Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version). (1999). Issler, João.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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  39. A Test for Conditional Symmetry in Time Series Models. (1998). Ng, Serena ; Bai, Jushan.
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  41. Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts. (1997). Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
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  42. Evaluating Density Forecasts. (1997). Tay, Anthony S ; Diebold, Francis ; Gunther, Todd A..
    In: NBER Technical Working Papers.
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  43. Canadian Short-Term Interest Rates and the BAX Futures Markets: An Analysis of the Impact of Volatility on Hedging Activity and the Correlation of Returns Between Markets.. (1997). Watt, D. G. M., .
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  44. One-Factor-GARCH Models for German Stocks - Estimation and Forecasting -. (1996). Kaiser, Thomas .
    In: Econometrics.
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  45. Risk, Return and Regulation in Chinese Stock Markets. (1996). Su, Dongwei ; Fleisher, Belton.
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  46. Stochastic volatility: likelihood inference and comparison with ARCH models.. (1996). Shephard, Neil ; Chib, Siddhartha .
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  47. Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models. (1996). Schuermann, Til ; Diebold, Francis.
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  48. Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real of Imagined?. (1996). Vigfusson, Robert ; van Norden, Simon ; Murray, J..
    In: Technical Reports.
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  49. GARCH Gamma. (1995). Rosenberg, Joshua ; Engle, Robert.
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  50. Measuring Volatility Dynamics. (1995). Lopez, Jose ; Diebold, Francis.
    In: NBER Technical Working Papers.
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