| Publication | Date of Publication | Type |
|---|
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold–Mariano Tests
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Rejoinder
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Reprint of: When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume
Journal of Econometrics | 2024-03-06 | Paper |
On the aggregation of probability assessments: regularized mixtures of predictive densities for eurozone inflation and real interest rates
Journal of Econometrics | 2023-11-17 | Paper |
When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume
Journal of Econometrics | 2023-09-28 | Paper |
Reprint of: On the network topology of variance decompositions: measuring the connectedness of financial firms
Journal of Econometrics | 2023-04-14 | Paper |
On the past, present, and future of the Diebold-Yilmaz approach to dynamic network connectedness
Journal of Econometrics | 2023-04-14 | Paper |
Probability assessments of an ice-free Arctic: comparing statistical and climate model projections
Journal of Econometrics | 2022-12-14 | Paper |
A benchmark model for fixed-target Arctic sea ice forecasting
Economics Letters | 2022-07-26 | Paper |
Assessing point forecast accuracy by stochastic error distance
Econometric Reviews | 2022-06-08 | Paper |
| Financial and macroeconomic connectedness. A network approach to measurement and monitoring | 2019-08-14 | Paper |
On the correlation structure of microstructure noise: a financial economic approach
Review of Economic Studies | 2019-01-23 | Paper |
THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003
Econometric Theory | 2018-12-21 | Paper |
On the comparison of interval forecasts
Journal of Time Series Analysis | 2018-11-16 | Paper |
Real-time forecast evaluation of DSGE models with stochastic volatility
Journal of Econometrics | 2017-11-07 | Paper |
The affine arbitrage-free class of Nelson-Siegel term structure models
Journal of Econometrics | 2016-08-12 | Paper |
Global yield curve dynamics and interactions: a dynamic Nelson-Siegel approach
Journal of Econometrics | 2016-06-22 | Paper |
The macroeconomy and the yield curve: a dynamic latent factor approach
Journal of Econometrics | 2016-06-10 | Paper |
Forecasting the term structure of government bond yields
Journal of Econometrics | 2016-04-25 | Paper |
Improving GDP measurement: a measurement-error perspective
Journal of Econometrics | 2016-03-01 | Paper |
Exact maximum-likelihood estimation of autoregressive models via the Kalman filter
Economics Letters | 2016-01-01 | Paper |
The exact initial covariance matrix of the state vector of a general \(MA(q)\) process
Economics Letters | 2016-01-01 | Paper |
Assessing point forecast accuracy by stochastic loss distance
Economics Letters | 2015-10-05 | Paper |
A Markov-switching multifractal inter-trade duration model, with application to US equities
Journal of Econometrics | 2014-06-06 | Paper |
On the network topology of variance decompositions: measuring the connectedness of financial firms
Journal of Econometrics | 2014-06-04 | Paper |
| Yield curve modeling and forecasting. The dynamic Nelson-Siegel approach | 2013-01-28 | Paper |
Realized beta: persistence and predictability
Advances in Econometrics | 2010-06-30 | Paper |
An arbitrage‐free generalized Nelson–Siegel term structure model
Econometrics Journal | 2009-12-22 | Paper |
Weather Forecasting for Weather Derivatives
Journal of the American Statistical Association | 2007-08-20 | Paper |
Modeling and Forecasting Realized Volatility
Econometrica | 2006-06-19 | Paper |
| scientific article; zbMATH DE number 5010681 (Why is no real title available?) | 2006-03-09 | Paper |
| The distribution of realized exchange rate volatility | 2006-03-09 | Paper |
Forecasting the term structure of government bond yields
Journal of Econometrics | 2006-02-01 | Paper |
The Distribution of Realized Exchange Rate Volatility
Journal of the American Statistical Association | 2003-08-10 | Paper |
| scientific article; zbMATH DE number 1943898 (Why is no real title available?) | 2003-07-01 | Paper |
Long memory and regime switching
Journal of Econometrics | 2001-01-01 | Paper |
Econometrics: retrospect and prospect
Journal of Econometrics | 2001-01-01 | Paper |
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data
Review of Economic Studies | 1998-11-10 | Paper |
Fractional integration and interval prediction
Economics Letters | 1997-02-27 | Paper |
Testing structural stability with endogenous breakpoint. A size comparison of analytic and bootstrap procedures
Journal of Econometrics | 1996-03-11 | Paper |
Empirical modeling of exchange rate dynamics
Lecture Notes in Economics and Mathematical Systems | 1993-06-05 | Paper |
The solution of dynamic linear rational expectations models
Computers & Mathematics with Applications | 1989-01-01 | Paper |
State space modeling of time series: A review essay
Journal of Economic Dynamics and Control | 1989-01-01 | Paper |
