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Author:Diebold, Francis X. 

Journal Article
Are long expansions followed by short contractions?

Business Review , Issue Jul , Pages 3-11

Working Paper
An application of operational-subjective statistical methods to rational expectations: comment

Finance and Economics Discussion Series , Paper 6

Discussion Paper
Does the business cycle have duration memory?

Special Studies Papers , Paper 223

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

Working Papers , Paper 93-5

Working Paper
State space modeling of time series: a review essay

Finance and Economics Discussion Series , Paper 9

Working Paper
Near-rationality and strategic complementarity in a macroeconomic model: policy effects, persistence and multipliers

Finance and Economics Discussion Series , Paper 205

Working Paper
On cointegration and exchange rate dynamics

Working Papers , Paper 93-2

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

The authors propose several connectedness measures built from pieces of variance decompositions, and they argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. The authors also show that variance decompositions define weighted, directed networks, so that their connectedness measures are intimately-related to key measures of connectedness used in the network literature. Building on these insights, the authors track both average and daily time-varying connectedness of major U.S. financial institutions' stock return volatilities ...
Working Papers , Paper 11-45

Working Paper
Real-time macroeconomic monitoring: real activity, inflation, and interactions

The authors sketch a framework for monitoring macroeconomic activity in real-time and push it in new directions. In particular, they focus not only on real activity, which has received most attention to date, but also on inflation and its interaction with real activity. As for the recent recession, the authors find that (1) it likely ended around July 2009; (2) its most extreme aspects concern a real activity decline that was unusually long but less unusually deep, and an inflation decline that was unusually deep but brief; and (3) its real activity and inflation interactions were strongly ...
Working Papers , Paper 10-5

Working Paper
Dynamic equilibrium economies: a framework for comparing models and data

The authors propose a constructive, multivariate framework for assessing agreement between (generally misspecified) dynamic equilibrium models and data, which enables a complete second-order comparison of the dynamic properties of models and data. They use bootstrap algorithms to evaluate the significance of deviations between models and data, and they use goodness-of-fit criteria to produce estimators that optimize economically relevant loss functions. The authors provide a detailed illustrative application to modeling the U.S. cattle cycle.
Working Papers , Paper 97-7


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