Francis X. Diebold

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Francis X. Diebold
Born (1959-11-12) November 12, 1959 (age 64)
Humboldt Fellowship

Francis X. Diebold (born November 12, 1959) is an American

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

Federal Reserve System's inaugural Model Validation Council (2012–2013).[3]

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

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

  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. S2CID 12090811
    .
  5. S2CID 38907468
    .
  6. OCLC 44493316
    .
  7. ISSN 1099-1255
    .
  8. S2CID 10045723
    .
  9. S2CID 5756201
    .
  10. doi:10.1016/j.jeconom.2005.01.011
    .
  11. ISSN 0002-8282
    .
  12. ^ "Aruoba-Diebold-Scotti Business Conditions Index".
  13. S2CID 219594039
    .
  14. S2CID 774960
    .
  15. doi:10.1016/j.jeconom.2005.03.005
    .
  16. ISBN 978-0-691-14680-5
    .
  17. hdl:10419/108574
    .

External links
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