D-Index & Metrics Best Publications

D-Index & Metrics

Discipline name D-index D-index (Discipline H-index) only includes papers and citation values for an examined discipline in contrast to General H-index which accounts for publications across all disciplines. Citations Publications World Ranking National Ranking
Economics and Finance D-index 93 Citations 68,735 181 World Ranking 68 National Ranking 52

Research.com Recognitions

Awards & Achievements

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)

Overview

What is he best known for?

The fields of study he is best known for:

  • Statistics
  • Econometrics
  • Finance

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.

His most cited work include:

  • Comparing Predictive Accuracy (5344 citations)
  • MODELING AND FORECASTING REALIZED VOLATILITY (2478 citations)
  • The distribution of realized stock return volatility (1660 citations)

What are the main themes of his work throughout his whole career to date?

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.

He most often published in these fields:

  • Econometrics (75.44%)
  • Volatility (39.88%)
  • Business cycle (13.75%)

What were the highlights of his more recent work (between 2010-2021)?

  • Econometrics (75.44%)
  • Social connectedness (5.11%)
  • Volatility (39.88%)

In recent papers he was focusing on the following fields of study:

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

  • Index which is related to area like Keynesian economics and Monetary economics,
  • Business cycle that intertwine with fields like Globalization. The study incorporates disciplines such as Monetary policy and Debt in addition to Financial economics.

Between 2010 and 2021, his most popular works were:

  • Better to give than to receive: Predictive directional measurement of volatility spillovers (1077 citations)
  • Better to give than to receive: Predictive directional measurement of volatility spillovers (1077 citations)
  • On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (802 citations)

In his most recent research, the most cited papers focused on:

  • Statistics
  • Finance
  • Econometrics

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.

Best Publications

Comparing Predictive Accuracy

Francis X. Diebold;Roberto S. Mariano.
Journal of Business & Economic Statistics (1995)

8885 Citations

MODELING AND FORECASTING REALIZED VOLATILITY

Torben G. Andersen;Tim Bollerslev;Francis X. Diebold;Paul Labys.
Econometrica (2003)

4086 Citations

The Distribution of Realized Exchange Rate Volatility

Torben G Andersen;Tim Bollerslev;Francis X Diebold;Paul Labys.
Journal of the American Statistical Association (2001)

2796 Citations

The distribution of realized stock return volatility

Torben G. Andersen;Tim Bollerslev;Francis X. Diebold;Heiko Ebens.
Journal of Financial Economics (2001)

2742 Citations

Forecasting the term structure of government bond yields

Francis X. Diebold;Canlin Li.
Journal of Econometrics (2006)

2085 Citations

Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets*

Francis X. Diebold;Kamil Yilmaz.
The Economic Journal (2008)

1767 Citations

Evaluating density forecasts with applications to financial risk management

Francis X. Diebold;Todd A. Gunther;Anthony S. Tay.
International Economic Review (1998)

1766 Citations

Evaluating Density Forecasts

Francis X. Diebold;Todd A. Gunther;Anthony S. Tay.
Research Papers in Economics (1997)

1754 Citations

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)

1702 Citations

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)

1690 Citations

Best Scientists Citing Francis X. Diebold

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Peter Christoffersen

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Dick van Dijk

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Norman R. Swanson

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Robert F. Engle

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Michael P. Clements

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Wolfgang Karl Härdle

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Profile was last updated on December 6th, 2021.
Research.com Ranking is based on data retrieved from the Microsoft Academic Graph (MAG).
The ranking d-index is inferred from publications deemed to belong to the considered discipline.

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