Francis X. Diebold

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, 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.

Francis X. Diebold
Born (1959-11-12) November 12, 1959
Philadelphia, PA, USA
NationalityAmerican
InstitutionUniversity of Pennsylvania
NBER
FieldEconometrics
Financial economics
Macroeconomics
Alma materUniversity of Pennsylvania (B.S., Ph.D.)
Doctoral
advisor		Marc Nerlove (Chair), Lawrence Klein, Peter Pauly
ContributionsDiebold-Mariano test;
Latent-factor ARCH model;
Realized volatility modeling;
Dynamic Nelson-Siegel yield-curve model;
Network connectedness measurement and visualization
AwardsGuggenheim Fellowship
Sloan Fellowship
Humboldt Fellowship

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) and Chairman of the Federal Reserve System's Model Validation Council (2012-2013).

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 Andersen-Bollerslev-Diebold extraction of "realized volatility" from high-frequency asset returns;[6][7]

In macroeconometrics Diebold is best known for his work on the macro-finance interface,[8][9] 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.[10][11]

Additional noteworthy contributions include the Diebold-Li "dynamic Nelson-Siegel" yield-curve model and its extensions;[12][13][14] and the Diebold-Yilmaz framework for dynamic network connectedness measurement and visualization.[15]

Selected publications

Diebold, F.X., Ghysels, E., Mykland, P., and Zhang, L. (Eds.) (2019), Big Data in Dynamic Predictive Econometric Modeling, Introduction to Special Issue of Journal of Econometrics, in press.

Diebold, F.X. and Shin, M. (2019), "Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives," International Journal of Forecasting, in press.

Askanasi, R., Diebold, F.X., Schorfheide, F. and Shin, M. (2018), "On the Comparison of Interval Forecasts", Journal of Time Series Analysis, 39, 953-965.

Diebold, F.X., Liu, L. and Yilmaz, K. (2018), "Commodity Connectedness," in E. Mendoza, D. Saravia and E. Pasten (eds.), Monetary Policy and Global Spillovers: Mechanisms, Effects and Policy Measures. Santiago: Bank of Chile Central Banking Series, Volume 25, 97-136. Full published volume here.

Demirer, M., Diebold, F.X., Liu, L. and Yilmaz, K. (2018), "Estimating Global Bank Network Connectedness", Journal of Applied Econometrics, 33, 1-15.

Diebold, F.X., Schorfheide, F. and Shin, M. (2017), "Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility," Journal of Econometrics, 201, 322-332. Replication files here.

Diebold, F.X. and Shin, M. (2017), "Assessing Point Forecast Accuracy by Stochastic Error Distance," Econometric Reviews, 36, 588-598. (Special Issue in Honor of E. Maasoumi, edited by P.C.B. Phillips and A. Ullah.)

Aruoba, S.B., Diebold, F.X., Nalewaik, J. Schorfheide, F. and Song, D. (2016), "Improving GDP Measurement: A Measurement-Error Perspective," Journal of Econometrics, 191, 384-397.

Diebold, F.X. and Yilmaz, K. (2016), "Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004-2014," Journal of Financial Econometrics, 14, 81-127.

Diebold, F.X. and Yilmaz, K. (2015), "Measuring the Dynamics of Global Business Cycle Connectedness," in S.J. Koopman and N. Shephard (eds.), Unobserved Components and Time Series Econometrics: Essays in Honor of Andrew C. Harvey, Oxford University Press, 45-89.

Diebold, F.X. and Shin, M. (2015), "Assessing Point Forecast Accuracy by Stochastic Loss Distance," Economics Letters, 128, 37-38.

Diebold, F.X. (2015), "Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests," (with discussion) Journal of Business and Economic Statistics, 33, 1-24.

Diebold, F.X. and Yilmaz, K. (2014), "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," Journal of Econometrics, 182, 119-134.

Chen, F., Diebold, F.X. and Schorfheide, F. (2013), "A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities," Journal of Econometrics, 177, 320-342.

Diebold, F.X. and Strasser, G.H. (2013), "On the Correlation Structure of Microstructure Noise: A Financial Economic Approach," Review of Economic Studies, 80, 1304-1337.

Andersen, T.G., Bollerslev, T., Christoffersen, P.F. and Diebold, F.X. (2013), "Financial Risk Measurement for Financial Risk Management," in G. Constantinedes, M. Harris and Rene Stulz (eds.), Handbook of the Economics of Finance, Volume 2, Part B, Elsevier, 1127-1220.

Aruoba, S.B., Diebold, F.X., Nalewaik, J. Schorfheide, F. and Song, D. (2012), "Improving GDP Measurement: A Forecast Combination Perspective," in X. Chen and N. Swanson (eds.), Causality, Prediction, and Specification Analysis: Recent Advances and Future Directions, Essays in Honor of Halbert L. White Jr., 1-26.

Diebold, F.X. (2012), "100+ Years of Financial Risk Measurement and Management," in F.X. Diebold (ed.), Financial Risk Measurement and Management (ed.). Cheltenham, U.K. and Northampton, Mass.: Edward Elgar Publishing Ltd. (International Library of Critical Writings in Economics).

Diebold, F.X. (2012, revised 2018), "The Origin(s) and Development of 'Big Data': The Phenomenon, the Term, and the Discipline," Manuscript, Department of Economics, University of Pennsylvania.

Diebold, F.X. and Yilmaz, K. (2012), "Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers (with discussion)," International Journal of Forecasting, 28, 57-66.

Aruoba, S.B., Diebold, F.X., Kose, M.A. and Terrones, M.E. (2011), "Globalization, the Business Cycle, and Macroeconomic Monitoring," in R. Clarida and F.Giavazzi (eds.), NBER International Seminar on Macroeconomics. Chicago: University of Chicago Press, 245-302.

Christensen, J.H.E., Diebold, F.X. and Rudebusch, G.D. (2011), "The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models," Journal of Econometrics, 164, 4-20.

Diebold, F.X. and Yilmaz, K. (2011), "Equity Market Spillovers in the Americas," in R. Alfaro (ed.) Financial Stability, Monetary Policy, and Central Banking. Santiago: Bank of Chile Central Banking Series, Volume 15, 199-214.

Aruoba, S.B. and Diebold, F.X. (2010), "Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions," American Economic Review, 100, 20-24.

Andersen, T.G., Bollerslev, T. and Diebold, F.X. (2010), "Parametric and Nonparametric Volatility Measurement," in L.P. Hansen and Y. Ait-Sahalia (eds.), Handbook of Financial Econometrics. Amsterdam: North-Holland, 67-138.

Diebold, F.X. and Yilmaz, K. (2010), "Macroeconomic Volatility and Stock Market Volatility, Worldwide," in T. Bollerslev, J. Russell and M. Watson (eds.), Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle. Oxford: Oxford University Press, 97-116.

Diebold, F.X. (2010), "Discussion of Jeremy J. Nalewaik: The Income- and Expenditure-Side Estimates of U.S. Output Growth," Brookings Papers on Economic Activity (spring), 107-112.

Diebold, F.X., Kilian, L. and Nerlove, M. (2009), "Time Series Analysis," in L. Blume and S. Durlauf (eds.), The New Palgrave Dictionary of Economics, Second Edition. London: Macmillan, 284-298.

Campbell, S.D. and Diebold, F.X. (2009), "Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence," Journal of Business and Economic Statistics, 27, 266-278.

Christensen, J.H.E., Diebold, F.X. and Rudebusch, G.D. (2009), "An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model," The Econometrics Journal, 12, 33-64.

Aruoba, S.B., Diebold, F.X. and Scotti, C. (2009), "Real-Time Measurement of Business Conditions," Journal of Business and Economic Statistics, 27, 417-427 (lead article).

Diebold, F.X. and Yilmaz, K. (2009), "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," Economic Journal, 119, 158-171.

Diebold, F.X., Li, C. and Yue, V. (2008), "Global Yield Curve Dynamics and Interactions: A Generalized Nelson-Siegel Approach," Journal of Econometrics, 146, 351-363.

Andersen, T.G., Bollerslev, T. and Diebold, F.X. (2007), "Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," Review of Economics and Statistics, 89, 701-720.

Christoffersen, P.F., Diebold, F.X., Mariano, R.S., Tay, A.S. and Tse, Y.K. (2007), "Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence," Journal of Financial Forecasting, 1, 3-24.

Andersen, T., Bollerslev, T., Diebold, F.X. and Vega, C. (2007), "Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets," Journal of International Economics, 73, 251-277.

Andersen, T.G., Bollerslev, T., Christoffersen, P.F., and Diebold, F.X. (2006), "Volatility and Correlation Forecasting," in G. Elliott, C.W.J. Granger, and A. Timmermann (eds.), Handbook of Economic Forecasting. Amsterdam: North-Holland, 778-878.

Diebold, F.X., Rudebusch, G.D. and Aruoba, B. (2006), "The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach," Journal of Econometrics, 131, 309-338.

Diebold, F.X. and Li, C. (2006), "Forecasting the Term Structure of Government Bond Yields," Journal of Econometrics, 130, 337-364. Click here for data.

Andersen, T.G., Bollerslev, T., Diebold, F.X. and Wu, J. (2006), "Realized Beta: Persistence and Predictability," in T. Fomby and D. Terrell (eds.) Advances in Econometrics: Econometric Analysis of Economic and Financial Time Series in Honor of R.F. Engle and C.W.J. Granger , Volume B, 1-40. (Appendix here.)

Brandt, M.W. and Diebold, F.X. (2006), "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," Journal of Business, 79, 61-74.

Diebold, F.X. (2006), "On Market Microstructure Noise and Realized Volatility," Journal of Business and Economic Statistics, 24,181-183.

Diebold, F.X., Ji, L. and Li, C. (2006), "A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration," in L.R. Klein (ed.), Long-Run Growth and Short-Run Stabilization: Essays in Memory of Albert Ando. Cheltenham, U.K.: Edward Elgar, 240-274.

Christoffersen, P.F. and Diebold, F.X. (2006), "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," Management Science, 52, 1273-1287.

Andersen, T.G., Bollerslev, T., Christoffersen, P.F. and Diebold, F.X. (2006), "Practical Volatility and Correlation Modeling for Financial Market Risk Management," in M. Carey and R. Stulz (eds.), Risks of Financial Institutions, University of Chicago Press for NBER, 513-548.

Andersen, T.G., Bollerslev, T., Diebold, F.X. and Wu, J. (2005), "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," American Economic Review, 95, 398-404.

Diebold, F.X., Piazzesi, M. and Rudebusch, G.D. (2005), "Modeling Bond Yields in Finance and Macroeconomics," American Economic Review, 95, 415-420.

Campbell, S. and Diebold, F.X. (2005), "Weather Forecasting for Weather Derivatives," Journal of the American Statistical Association, 100, 6-16.

Diebold, F.X. (2005), "On Robust Monetary Policy with Structural Uncertainty," in J. Faust, A. Orphanedes and D. Reifschneider (eds.), Models and Monetary Policy: Research in the Tradition of Dale Henderson, Richard Porter, and Peter Tinsley. Washington, DC: Board of Governors of the Federal Reserve System, 82-86.

Diebold, F.X. (2004), "The Nobel Prize for Robert F. Engle," Scandinavian Journal of Economics, 106, 165-185, 2004.

Andersen, T., Bollerslev, T., Diebold, F.X. and Labys, P. (2003), "Modeling and Forecasting Realized Volatility," Econometrica, 71, 529-626.

Andersen, T., Bollerslev, T., Diebold, F.X. and Vega, C. (2003), "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," American Economic Review, 93, 38-62.

Diebold, F.X. (2003), "'Big Data' Dynamic Factor Models for Macroeconomic Measurement and Forecasting" (Discussion of Reichlin and Watson papers), in M. Dewatripont, L.P. Hansen and S. Turnovsky (Eds.), Advances in Economics and Econometrics, Eighth World Congress of the Econometric Society. Cambridge: Cambridge University Press, 115-122.

Diebold, F.X. (2003), "The ET Interview: Professor Robert F. Engle," Econometric Theory, 19, 1159-1193.

Alizadeh, S., Brandt, M. and Diebold, F.X. (2002), "Range-Based Estimation of Stochastic Volatility Models," Journal of Finance, 57, 1047-1092.

Bangia, A. Diebold, F.X., Kronimus, A., Schagen, C., and Schuermann, T. (2002), "Ratings Migration and the Business Cycle, with Application to Credit Portfolio Stress Testing," Journal of Banking and Finance, 26, 445- 474.

Andersen, T., Bollerslev, T., Diebold, F.X. and Ebens, H. (2001), "The Distribution of Realized Stock Return Volatility," Journal of Financial Economics, 61, 43-76. (Appendix here.)

Andersen, T. Bollerslev, T., Diebold, F.X. and Labys, P. (2001), "The Distribution of Realized Exchange Rate Volatility," Journal of the American Statistical Association, 96, 42-55.

Bangia, A., Diebold, F.X., Schuermann, T, and Stroughair, J. (2001), "Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management," in S. Figlewski and R. Levich (eds.), Risk Management: The State of the Art . Amsterdam: Kluwer Academic Publishers, 2002, 1-13. Published in abridged form as "Liquidity on the Outside," Risk, 12, 68-73, 1999.

Diebold, F.X. and Inoue, A. (2001), "Long Memory and Regime Switching," Journal of Econometrics, 105, 131-159.

Diebold, F.X. and Kilian, L. (2001), "Measuring Predictability: Theory and Macroeconomic Applications," Journal of Applied Econometrics, 16, 657-669.

Andersen, T., Bollerslev, T., Diebold, F.X. and Labys, P. (2000), "Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian," Multinational Finance Journal, 4, 159-179.

Diebold, F.X. and Kilian, L. (2000), "Unit Root Tests are Useful for Selecting Forecasting Models," Journal of Business and Economic Statistics, 18, 265-273.

Christoffersen, P.F. and Diebold, F.X. (2000), "How Relevant is Volatility Forecasting for Financial Risk Management?," Review of Economics and Statistics, 82, 12-22.

Diebold, F.X. and Schuermann (2000), "Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models," in R. Mariano, M. Weeks and T. Schuermann (eds.), Simulation-Based Inference in Econometrics: Methods and Applications, 205-217, Cambridge University Press.

Andersen, T., Bollerslev, T., Diebold, F.X. and Labys, P. (1999), "(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation," Manuscript, Northwestern University, Duke University and University of Pennsylvania. Published in revised form as "Great Realizations," Risk, March 2000, 105-108.

Diebold, F.X., Hahn, J. and Tay, A. (1999), "Multivariate Density Forecast Evaluation and Calibration in Financial Risk Management: High-Frequency Returns on Foreign Exchange," Review of Economics and Statistics, 81, 661-673.

Diebold, F.X., Tay, A. and Wallis, K. (1999), "Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters," in R. Engle and H. White (eds.), Festschrift in Honor of C.W.J. Granger, 76-90. Oxford: Oxford University Press.

Christoffersen, P. and Diebold, F.X. (1998), "Cointegration and Long-Horizon Forecasting," Journal of Business and Economic Statistics, 16, 450-458.

Christoffersen, P., Diebold, F.X., and Schuermann, T. (1998), "Horizon Problems and Extreme Events in Financial Risk Management," Economic Policy Review, Federal Reserve Bank of New York, October, 109-118.

Diebold, F.X. (1998), "The Past, Present and Future of Macroeconomic Forecasting," Journal of Economic Perspectives, 12, 175-192.

Diebold, F.X., Gunther, T. and Tay, A. (1998), "Evaluating Density Forecasts, with Applications to Financial Risk Management," International Economic Review, 39, 863-883.

Diebold, F.X., Ohanian, L. and Berkowitz, J. (1998), "Dynamic Equilibrium Economies: A Framework for Comparing Models and Data," Review of Economic Studies, 65, 433-452.

Christoffersen, P. and Diebold, F.X. (1997), "Optimal Prediction Under Asymmetric Loss," Econometric Theory, 13, 808-817.

Diebold, F.X. and Nason, J. (1990), "Nonparametric Exchange Rate Prediction?," Journal of International Economics, 28, 315-332.

Diebold,. F.X. and Nerlove, M. (1989), "The Dynamics of Exchange Rate Volatility: A Multivariate Latent-Factor ARCH Model," Journal of Applied Econometrics, 4, 1-22.

References
  1. "Francis Diebold Personal Website".
  2. 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.
  3. 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.
  4. Diebold, Francis X. (2001). Elements of forecasting. South-Western. ISBN 9780324023930. OCLC 44493316.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. https://www.philadelphiafed.org/research-and-data/real-time-center/business-conditions-index
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
This article is issued from Wikipedia. The text is licensed under Creative Commons - Attribution - Sharealike. Additional terms may apply for the media files.