11 citations · 29 across the 9 of their papers we have counts for
5 papers · 1 filter
A New Test for Market Efficiency and Uncovered Interest Parity
Richard T. Baillie, Francis X. Diebold, George Kapetanios +1
We suggest a new single-equation test for Uncovered Interest Parity (UIP) based on a dynamic regression approach. The method provides consistent and asymptotically efficient parame…
On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness
Francis X. Diebold, Kamil Yilmaz
We offer retrospective and prospective assessments of the Diebold-Yilmaz connectedness research program, combined with personal recollections of its development. Its centerpiece in…
Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice: Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models
Francis X. Diebold, Maximilian Goebel, Philippe Goulet Coulombe
We use "glide charts" (plots of sequences of root mean squared forecast errors as the target date is approached) to evaluate and compare fixed-target forecasts of Arctic sea ice. W…
On Robust Inference in Time Series Regression
Richard T. Baillie, Francis X. Diebold, George Kapetanios +2
Least squares regression with heteroskedasticity consistent standard errors ("OLS-HC regression") has proved very useful in cross section environments. However, several major diffi…
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume
Francis X. Diebold, Glenn D. Rudebusch, Maximilian Goebel +2
Rapidly diminishing Arctic summer sea ice is a strong signal of the pace of global climate change. We provide point, interval, and density forecasts for four measures of Arctic sea…