Jump to content

Francis X. Diebold

From Wikipedia, the free encyclopedia
Francis X. Diebold
Born (1959-11-12) November 12, 1959 (age 65)
Philadelphia, PA, US
Academic career
FieldEconometrics
Financial economics
Macroeconomics
InstitutionUniversity of Pennsylvania
NBER
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 and forecasting;
Dynamic Nelson–Siegel yield-curve model;
Network connectedness measurement and visualization;
Aruoba–Diebold–Scotti Index
AwardsGuggenheim Fellowship
Sloan Fellowship
Humboldt Fellowship

Francis X. Diebold (born November 12, 1959) is an American economist known for his work in dynamic predictive econometric modeling, with emphasis on financial asset markets, macroeconomic fundamentals, and the interface. He has made well-known contributions to the measurement and modeling of asset-return volatility, business cycles, yield curves, and network connectedness, and his most recent work begins to integrate aspects of climate change. He has published more than 150 scientific papers and 8 books, and he is regularly ranked among globally most-cited economists.

Diebold 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, Professor of Economics, Professor of Statistics and Data Science, and Professor of Finance. He is also a Faculty Research Associate at the National Bureau of Economic Research in Cambridge, Massachusetts.

Diebold is an elected Fellow of the Econometric Society and the American Statistical Association, 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]

Scientific contributions

[edit]

In predictive econometric modeling Diebold is best known for the "Diebold–Mariano test" for comparing 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 in financial asset return volatility modeling, especially the Andersen-Bollerslev-Diebold analyses of "realized volatility" extracted from high-frequency asset returns,[7][8] for the Diebold–Li "dynamic Nelson-Siegel" yield-curve model and its extensions,[9][10][11] and for the Diebold-Nerlove latent-factor ARCH model.[12]

In macroeconometrics Diebold is best known for his work on the macro-finance interface,[13][14] for his work empirically integrating linear dynamic factor modeling with nonlinear regime switching,[15] and for 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.[16][17]

In network analysis, Diebold is best known for the Diebold–Yilmaz framework for dynamic network connectedness measurement and visualization.[18] [19]

References

[edit]
  1. ^ "Francis Diebold Personal Website".
  2. ^ "Past Presidents, Founding Council, and Founding Members". Society for Financial Econometrics.
  3. ^ "FRB: Model Validation Council". Board of Governors of the Federal Reserve System. 2012-04-30. Archived from the original on 2012-09-17.
  4. ^ 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.
  5. ^ 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.
  6. ^ Diebold, Francis X. (2001). Elements of Forecasting. South-Western. ISBN 9780324023930. OCLC 44493316.
  7. ^ 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.
  8. ^ 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.
  9. ^ 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.
  10. ^ 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.
  11. ^ 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.
  12. ^ Diebold, Francis X.; Nerlove, Marc (1989). "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. S2CID 153347317.
  13. ^ 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.
  14. ^ 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.
  15. ^ Diebold, Francis X.; Rudebusch, Glenn (1996). "Measuring Business Cycles: A Modern Perspective" (PDF). Review of Economics and Statistics. 78 (1): 67–77. doi:10.2307/2109848. JSTOR 2109848.
  16. ^ "Aruoba-Diebold-Scotti Business Conditions Index".
  17. ^ 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.
  18. ^ 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. 182 (1): 119–134. doi:10.1016/j.jeconom.2014.04.012. hdl:10419/108574.
  19. ^ Demirer, Mert; Diebold, Francis X.; Liu, Laura; Yilmaz, Kamil (2018). "Estimating Global Bank Network Connectedness". Journal of Applied Econometrics. 33 (1): 1–15. doi:10.1002/jae.2585. hdl:10419/129366. S2CID 36035680.
[edit]
Retrieved from "https://en.wikipedia.org/w/index.php?title=Francis_X._Diebold&oldid=1262066122"