Francis X. Diebold
| Francis X. Diebold | |
|---|---|
| Born |
November 12, 1959 Philadelphia, PA, USA |
| Nationality | American |
| Institution |
University of Pennsylvania NBER |
| Field |
Econometrics Financial economics Macroeconomics |
| Alma mater | University of Pennsylvania (B.S., Ph.D.) |
| Doctoral advisor | Marc Nerlove (Chair), Lawrence Klein, Peter Pauly |
| Contributions |
Diebold-Mariano test; Latent-factor ARCH model; Realized volatility modeling; Dynamic Nelson-Siegel yield-curve model; Network connectedness measurement and visualization |
| Awards |
Guggenheim Fellowship Sloan Fellowship Humboldt Prize |
Francis X. Diebold (born November 12, 1959) is an American economist known for his work in predictive econometric modeling, financial econometrics, and macroeconometrics. He earned both his B.S. and Ph.D. degrees at the University of Pennsylvania ("Penn"), where his doctoral committee included Marc Nerlove, Nobel Laureate Lawrence Klein, and Peter Pauly. He has spent most of his career at Penn, where he has mentored approximately 75 Ph.D. students.[1]. Presently he is Paul F. and Warren S. Miller Professor of Social Sciences and Professor of Economics at Penn’s School of Arts and Sciences, and Professor of Finance and Professor of Statistics at Penn’s Wharton School. He is also a Faculty Research Associate at the National Bureau of Economic Research in Cambridge, Mass., and author of the No Hesitations blog.
Earlier Diebold was President of the Society for Financial Econometrics (2011-2013), Chairman of the Federal Reserve System's Model Validation Council (2012-2013), Co-Director of the Wharton Financial Institutions Center (2007-2013), Executive Director of Morgan Stanley Investment Management (2007-2008), and research economist under Paul Volcker and Alan Greenspan at the Board of Governors of the Federal Reserve System (1986-1989).
Diebold is an elected Fellow of the Econometric Society, the American Statistical Association, and the International Institute of Forecasters, and the recipient of Sloan, Guggenheim, and Humboldt fellowships. He has served on the editorial boards of several journals including Econometrica, Review of Economics and Statistics, International Economic Review, Journal of Business and Economic Statistics, and Journal of Applied Econometrics. He has held visiting professorships at Princeton University, University of Chicago, Johns Hopkins University, and New York University.
Scientific Contributions
In predictive econometric modeling Diebold is best known for the "Diebold-Mariano test" for assessing point forecast accuracy[2], methods for assessing density forecast conditional calibration[3], and for his text, Elements of Forecasting[4].
In financial econometrics Diebold is best known for his contributions to volatility modeling, including the Diebold-Nerlove "latent-factor ARCH model"[5] and the Anderson-Bollerslev-Diebold extraction of "realized volatility" from high-frequency asset returns[6][7], as well as for the Diebold-Li "dynamic Nelson-Siegel" yield-curve model and its extensions[8][9], and for the Diebold-Yilmaz variance-decomposition approach to financial network connectedness measurement and visualization[10].
In macroeconometrics Diebold is best known for his work on the macro-finance interface[11][12], and his work on real-time macro monitoring[13].
External Links
References
- ↑ "Francis Diebold Personal Website".
- ↑ Diebold, Francis X.; Mariano, Robert S. (2002-01-01). "Comparing Predictive Accuracy". Journal of Business & Economic Statistics. 20 (1): 134–144. ISSN 0735-0015. doi:10.1198/073500102753410444.
- ↑ Diebold, Gunther, Tay (1998). "Evaluating density forecasts, with Applications to Financial Risk Management" (PDF). International Economic Review. 39: 863–883.
- ↑ 1959-, Diebold, Francis X., (2001). Elements of forecasting. South-Western. ISBN 9780324023930. OCLC 44493316.
- ↑ Diebold, Francis X.; Nerlove, Marc (1989-01-01). "The dynamics of exchange rate volatility: A multivariate latent factor ARCH model". Journal of Applied Econometrics. 4 (1): 1–21. ISSN 1099-1255. doi:10.1002/jae.3950040102.
- ↑ Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul (2003-03-01). "Modeling and Forecasting Realized Volatility". Econometrica. 71 (2): 579–625. ISSN 1468-0262. doi:10.1111/1468-0262.00418.
- ↑ Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul (2001-03-01). "The Distribution of Realized Exchange Rate Volatility". Journal of the American Statistical Association. 96 (453): 42–55. ISSN 0162-1459. doi:10.1198/016214501750332965.
- ↑ Christensen, Jens H. E.; Diebold, Francis X.; Rudebusch, Glenn D. (2011-09-01). "The affine arbitrage-free class of Nelson–Siegel term structure models". Journal of Econometrics. Annals Issue on Forecasting. 164 (1): 4–20. doi:10.1016/j.jeconom.2011.02.011.
- ↑ Diebold, Francis X.; Li, Canlin (2006-02-01). "Forecasting the term structure of government bond yields". Journal of Econometrics. 130 (2): 337–364. doi:10.1016/j.jeconom.2005.03.005.
- ↑ Diebold, Francis X.; Yilmaz, Kamil (2014-09-01). "On the network topology of variance decompositions: Measuring the connectedness of financial firms". Journal of Econometrics. Causality, Prediction, and Specification Analysis: Recent Advances and Future Directions. 182 (1): 119–134. doi:10.1016/j.jeconom.2014.04.012.
- ↑ Diebold, Francis X.; Rudebusch, Glenn D.; Borag?an Aruoba, S. (2006-03-01). "The macroeconomy and the yield curve: a dynamic latent factor approach". Journal of Econometrics. 131 (1): 309–338. doi:10.1016/j.jeconom.2005.01.011.
- ↑ Anderson, Torben G; Bollerslev, Tim; Diebold, Francis X; Vega, Clara (2003). "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange". American Economic Review. 93 (1): 38–62. ISSN 0002-8282. doi:10.1257/000282803321455151.
- ↑ Aruoba, S. Boragan; Diebold, Francis X.; Scotti, Chiara (2009-10-01). "Real-Time Measurement of Business Conditions". Journal of Business & Economic Statistics. 27 (4): 417–427. ISSN 0735-0015. doi:10.1198/jbes.2009.07205.