Francis X. Diebold | |
|---|---|
| Born | November 12, 1959 Philadelphia, PA, USA |
| Nationality | American |
| Academic career | |
| 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; Aruoba–Diebold–Scotti Index |
| Awards | Guggenheim Fellowship Sloan Fellowship Humboldt Fellowship |
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, where his doctoral committee included Marc Nerlove, 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, Massachusetts, and author of the No Hesitations blog.
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 Econometrica, Review of Economics and Statistics, and International Economic Review. He has held visiting professorships at Princeton University, University of Chicago, Johns Hopkins University, and New York University. He was President of the Society for Financial Econometrics (2011–2013)[2] and Chairman of the Federal Reserve System's inaugural Model Validation Council (2012–2013).[3]
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Transcription
Scientific contributions
In predictive econometric modeling Diebold is best known for the "Diebold–Mariano test" for assessing point forecast accuracy,[4] methods for assessing density forecast conditional calibration,[5] and for his text, Elements of Forecasting.[6]
In financial econometrics Diebold is best known for his contributions to volatility modeling, including the Diebold-Nerlove "latent-factor ARCH model"[7] and the Andersen-Bollerslev-Diebold extraction of "realized volatility" from high-frequency asset returns;[8][9]
In macroeconometrics Diebold is best known for his work on the macro-finance interface[10][11] and his work on real-time macroeconomic monitoring, particularly the Aruoba–Diebold–Scotti ("ADS") Business Conditions Index, now maintained by the Federal Reserve Bank of Philadelphia.[12][13]
Additional noteworthy contributions include the Diebold–Li "dynamic Nelson-Siegel" yield-curve model and its extensions;[14][15][16] and the Diebold–Yilmaz framework for dynamic network connectedness measurement and visualization.[17]
References
- ^ "Francis Diebold Personal Website".
- ^ "Past Presidents, Founding Council, and Founding Members". Society for Financial Econometrics.
- ^ "FRB: Model Validation Council". Board of Governors of the Federal Reserve System. 2012-04-30. Archived from the original on 2012-09-17.
- ^ Diebold, Francis X.; Mariano, Robert S. (2002-01-01). "Comparing Predictive Accuracy". Journal of Business & Economic Statistics. 20 (1): 134–144. CiteSeerX 10.1.1.352.9389. doi:10.1198/073500102753410444. ISSN 0735-0015. S2CID 12090811.
- ^ Diebold, Francis X.; Gunther, Todd A.; Tay, Anthony S. (1998). "Evaluating density forecasts, with Applications to Financial Risk Management" (PDF). International Economic Review. 39 (4): 863–883. doi:10.2307/2527342. JSTOR 2527342. S2CID 38907468.
- ^ 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. doi:10.1002/jae.3950040102. ISSN 1099-1255.
- ^ Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul (2003-03-01). "Modeling and Forecasting Realized Volatility". Econometrica. 71 (2): 579–625. CiteSeerX 10.1.1.200.1388. doi:10.1111/1468-0262.00418. ISSN 1468-0262. S2CID 10045723.
- ^ 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. CiteSeerX 10.1.1.199.9567. doi:10.1198/016214501750332965. ISSN 0162-1459. S2CID 5756201.
- ^ 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. CiteSeerX 10.1.1.232.9123. doi:10.1016/j.jeconom.2005.01.011.
- ^ Andersen, 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. CiteSeerX 10.1.1.201.3408. doi:10.1257/000282803321455151. ISSN 0002-8282.
- ^ "Aruoba-Diebold-Scotti Business Conditions Index".
- ^ 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. CiteSeerX 10.1.1.395.7519. doi:10.1198/jbes.2009.07205. ISSN 0735-0015. S2CID 219594039.
- ^ 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. CiteSeerX 10.1.1.524.355. doi:10.1016/j.jeconom.2011.02.011. S2CID 774960.
- ^ Diebold, Francis X.; Li, Canlin (2006-02-01). "Forecasting the term structure of government bond yields". Journal of Econometrics. 130 (2): 337–364. CiteSeerX 10.1.1.195.536. doi:10.1016/j.jeconom.2005.03.005.
- ^ Francis X. Diebold; Glenn D. Rudebusch (2013). Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach. Princeton University Press. ISBN 978-0-691-14680-5.
- ^ Diebold, Francis X.; Yilmaz, Kamil (2014-09-01). "On the network topology of variance decompositions: Measuring the connectedness of financial firms" (PDF). 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. hdl:10419/108574.
External links
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This page was last edited on 23 March 2023, at 01:19