Francis X. Diebold | |
---|---|
Born | Philadelphia, PA, US | November 12, 1959
Academic career | |
Institution | University of Pennsylvania NBER |
Field | Econometrics Financial economics Macroeconomics |
Alma mater | University of Pennsylvania (B.S., Ph.D.) |
Doctoral advisor | Marc Nerlove (Chair), Lawrence Klein, Peter Pauly |
Contributions | Diebold–Mariano test; Latent-factor ARCH model; Realized volatility modeling; Dynamic Nelson–Siegel yield-curve model; Network connectedness measurement and visualization; Aruoba–Diebold–Scotti Index |
Awards | Guggenheim Fellowship Sloan Fellowship Humboldt Fellowship |
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, 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.
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) [2] and Chairman of the Federal Reserve System's inaugural Model Validation Council (2012–2013). [3]
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 [10] [11] 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. [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]
Robert Fry Engle III is an American economist and statistician. He won the 2003 Nobel Memorial Prize in Economic Sciences, sharing the award with Clive Granger, "for methods of analyzing economic time series with time-varying volatility (ARCH)".
Econometric models involving data sampled at different frequencies are of general interest. Mixed-data sampling (MIDAS) is an econometric regression developed by Eric Ghysels with several co-authors. There is now a substantial literature on MIDAS regressions and their applications, including Ghysels, Santa-Clara and Valkanov (2006), Ghysels, Sinko and Valkanov, Andreou, Ghysels and Kourtellos (2010) and Andreou, Ghysels and Kourtellos (2013).
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Tim Peter Bollerslev is a Danish economist, currently the Juanita and Clifton Kreps Professor of Economics at Duke University. A fellow of the Econometric Society, Bollerslev is known for his ideas for measuring and forecasting financial market volatility and for the GARCH model.
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Marc Leon Nerlove is an American agricultural economist and econometrician and a distinguished university professor emeritus in agricultural and resource economics at the University of Maryland. He was awarded the John Bates Clark Medal from the American Economic Association (AEA) in 1969 and held appointments at eight different universities from 1958–2016. The Clark Medal is awarded to an economist under the age of 40 who “is judged to have made the most significant contribution to economic thought and knowledge”, and when the AEA appointed him as a distinguished fellow in 2012, they cited his development of widely used econometric methods across a range of subjects, including supply and demand, time series analysis, production functions, panel analysis, and family demography.
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Nowcasting in economics is the prediction of the very recent past, the present, and the very near future state of an economic indicator. The term is a portmanteau of "now" and "forecasting" and originates in meteorology. Typical measures used to assess the state of an economy, such as gross domestic product (GDP) or inflation, are only determined after a delay and are subject to revision. In these cases, nowcasting such indicators can provide an estimate of the variables before the true data are known. Nowcasting models have been applied most notably in Central Banks, who use the estimates to monitor the state of the economy in real-time as a proxy for official measures.
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