Search Results

SORT BY: PREVIOUS / NEXT
Author:Diebold, Francis X. 

Discussion Paper
Deviations from random-walk behavior: tests based on the variance-time function

Special Studies Papers , Paper 224

Working Paper
Nonparametric exchange rate prediction?

Finance and Economics Discussion Series , Paper 81

Discussion Paper
International evidence on business cycle duration dependence

We provide an investigation of duration dependence in prewar business expansions, contractions, and whole cycles for France, Germany, and Great Britain. Our results, obtained using both nonparametric and parametric procedures, generally indicate the presence of positive duration dependence in expansions and whole cycles but not in contractions. Our results corroborate those of our earlier studies of the United States.
Discussion Paper / Institute for Empirical Macroeconomics , Paper 31

Discussion Paper
Have postwar economic fluctuations been stabilized?

Previous investigations of whether the volatility of the U.S. economy diminished after World War II have been inconclusive because of questionable prewar macroeconomic aggregates. We examine, more broadly, the hypothesis of the stabilization of the postwar economy by focusing on the duration of business cycles, rather than their amplitude; in the process, we avoid the debate about the quality of prewar aggregates. Using distribution-free statistics, we find clear evidence of postwar duration stabilization in terms of a shift toward longer expansions and shorter contractions. Moreover, we find ...
Discussion Paper / Institute for Empirical Macroeconomics , Paper 33

Working Paper
Forecast combination and encompassing: reconciling two divergent literatures

Finance and Economics Discussion Series , Paper 80

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
Long memory and persistence in aggregate output

Finance and Economics Discussion Series , Paper 7

Working Paper
On the solution of dynamic linear rational expectations models

Finance and Economics Discussion Series , Paper 19

Discussion Paper
Does the business cycle have duration memory?

Special Studies Papers , Paper 223

Working Paper
Further evidence on business cycle duration dependence

Working Papers , Paper 91-11

FILTER BY year

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

C2 1 items

C22 1 items

C5 1 items

C53 1 items

C8 1 items

Q54 1 items

show more (1)

FILTER BY Keywords

PREVIOUS / NEXT