2004 - Fellow of the American Statistical Association (ASA)
2003 - Fellow of John Simon Guggenheim Memorial Foundation
1998 - Fellows of the Econometric Society
1992 - Fellow of Alfred P. Sloan Foundation
Fellow of the Financial Institutions Center (FIC)
Francis X. Diebold mainly investigates Econometrics, Volatility, Exchange rate, Realized variance and Financial economics. His research investigates the link between Econometrics and topics such as Statistics that cross with problems in Variation. His work deals with themes such as Capital asset pricing model and Actuarial science, which intersect with Volatility.
His Exchange rate research incorporates themes from Price discovery, Heteroscedasticity, Martingale and Autocorrelation. Francis X. Diebold has researched Realized variance in several fields, including Stock market index and Joint probability distribution. His study in Financial economics is interdisciplinary in nature, drawing from both Purchasing power parity, Relative purchasing power parity, Interest rate parity and International finance.
Francis X. Diebold mainly focuses on Econometrics, Volatility, Business cycle, Financial economics and Exchange rate. His biological study spans a wide range of topics, including Yield curve and Univariate, Multivariate statistics. His Implied volatility study in the realm of Volatility connects with subjects such as Financial econometrics.
His study explores the link between Implied volatility and topics such as Volatility smile that cross with problems in Volatility swap. His studies deal with areas such as Index and Recession as well as Business cycle. Francis X. Diebold is interested in Capital asset pricing model, which is a field of Financial economics.
Francis X. Diebold focuses on Econometrics, Social connectedness, Volatility, Model selection and Recession. His Stochastic volatility study in the realm of Econometrics interacts with subjects such as Perspective. While the research belongs to areas of Volatility, Francis X. Diebold spends his time largely on the problem of Linear model, intersecting his research to questions surrounding Range.
Francis X. Diebold works mostly in the field of Model selection, limiting it down to topics relating to Regularization and, in certain cases, Survey of Professional Forecasters. His research on Recession also deals with topics like
The scientist’s investigation covers issues in Econometrics, Social connectedness, Perspective, Systemic risk and Big data. His Econometrics research focuses on Volatility in particular. The study incorporates disciplines such as Market risk and Risk management in addition to Systemic risk.
The Financial risk management research Francis X. Diebold does as part of his general Risk management study is frequently linked to other disciplines of science, such as Financial econometrics, therefore creating a link between diverse domains of science. His Big data research is multidisciplinary, relying on both Management, Positive economics and Data science. He has researched Financial crisis in several fields, including Vector autoregression and Equity.
This overview was generated by a machine learning system which analysed the scientist’s body of work. If you have any feedback, you can contact us here.
Comparing Predictive Accuracy
Francis X. Diebold;Roberto S. Mariano.
Journal of Business & Economic Statistics (1995)
MODELING AND FORECASTING REALIZED VOLATILITY
Torben G. Andersen;Tim Bollerslev;Francis X. Diebold;Paul Labys.
The Distribution of Realized Exchange Rate Volatility
Torben G Andersen;Tim Bollerslev;Francis X Diebold;Paul Labys.
Journal of the American Statistical Association (2001)
The distribution of realized stock return volatility
Torben G. Andersen;Tim Bollerslev;Francis X. Diebold;Heiko Ebens.
Journal of Financial Economics (2001)
Forecasting the term structure of government bond yields
Francis X. Diebold;Canlin Li.
Journal of Econometrics (2006)
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets*
Francis X. Diebold;Kamil Yilmaz.
The Economic Journal (2008)
Evaluating density forecasts with applications to financial risk management
Francis X. Diebold;Todd A. Gunther;Anthony S. Tay.
International Economic Review (1998)
Evaluating Density Forecasts
Francis X. Diebold;Todd A. Gunther;Anthony S. Tay.
Research Papers in Economics (1997)
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
Torben Andersen;Tim Bollerslev;Francis Diebold.
The Review of Economics and Statistics (2007)
Better to give than to receive: Predictive directional measurement of volatility spillovers
Francis X. Diebold;Francis X. Diebold;Kamil Yilmaz.
International Journal of Forecasting (2012)
Profile was last updated on December 6th, 2021.
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