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The Nobel Memorial Prize for Robert F. Engle
Diebold, Francis X. - Center for Financial Studies - 2004
Engle’s footsteps range widely. His major contributions include early work on band-spectral regression, development and unification of the theory of model specification tests (particularly Lagrange multiplier tests), clarification of the meaning of econometric exogeneity and its relationship...
Persistent link: https://www.econbiz.de/10010958627
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The Nobel Memorial Prize for Robert F. Engle
Diebold, Francis X. - Department of Economics, University of Pennsylvania - 2004
Engle’s footsteps range widely. His major contributions include early work on band-spectral regression, development and unification of the theory of model specification tests (particularly Lagrange multiplier tests), clarification of the meaning of econometric exogeneity and its relationship...
Persistent link: https://www.econbiz.de/10005102120
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The Nobel Memorial Prize for Robert F. Engle
Diebold, Francis X. - Center for Financial Studies - 2004
Engle’s footsteps range widely. His major contributions include early work on band-spectral regression, development and unification of the theory of model specification tests (particularly Lagrange multiplier tests), clarification of the meaning of econometric exogeneity and its relationship...
Persistent link: https://www.econbiz.de/10005176460
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Modeling bond yields in finance and macroeconomics
Diebold, Francis X.; Piazzesi, Monika; Rudebusch, Glenn D. - Federal Reserve Bank of San Francisco - 2005
central bank. From a finance perspective, long rates are risk-adjusted averages of expected future short rates. Thus, as … illustrated by much recent research, a joint macro-finance modeling strategy will provide the most comprehensive understanding of …
Persistent link: https://www.econbiz.de/10005498398
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Comparing predictive accuracy I : an asymptotic test
Diebold, Francis X.; Mariano, Roberto S. - 1991
Persistent link: https://www.econbiz.de/10000824177
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Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange
Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. - 1998
Persistent link: https://www.econbiz.de/10000682409
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Evaluating density forecasts of inflation : the survey of professional forecasters
Diebold, Francis X.; Tay, Anthony S. A.; Wallis, … - 1997
Persistent link: https://www.econbiz.de/10000642829
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Comparing predictive accuracy
Diebold, Francis X.; Mariano, Roberto S. - 1991
Persistent link: https://www.econbiz.de/10000108981
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Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange
Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. A. - 1999
Persistent link: https://www.econbiz.de/10001426216
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Comparing predictive accuracy
Diebold, Francis X.; Mariano, Roberto S. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 1, pp. 134-144
Persistent link: https://www.econbiz.de/10001639892