Francis X. Diebold | Academic Influence

Francis X. Diebold's AcademicInfluence.com Rankings

Francis X. Diebold

Economics

#1487

World Rank

#1715

Historical Rank

#654

USA Rank

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Economics

Francis X. Diebold's Degrees

PhD Economics University of Pennsylvania
Masters Economics University of Pennsylvania
Bachelors Economics University of Pennsylvania

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Why Is Francis X. Diebold Influential?

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According to Wikipedia, Francis X. Diebold 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. 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.

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Francis X. Diebold's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Comparing Predictive Accuracy (1994) (4249)
Modeling and Forecasting Realized Volatility (2001) (3373)
Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers (2010) (2423)
The distribution of realized stock return volatility (2001) (2081)
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011) (2038)
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008) (1986)
The Distribution of Realized Exchange Rate Volatility (2000) (1969)
Forecasting the Term Structure of Government Bond Yields (2002) (1725)
Evaluating Density Forecasts with Applications to Financial Risk Management (1998) (1432)
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2005) (1229)
Long Memory and Regime Switching (2000) (1170)
Range-Based Estimation of Stochastic Volatility Models (2001) (1149)
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets (2006) (1039)
The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach (2004) (978)
The dynamics of exchange rate volatility: a multivariate latent factor ARCH model (1986) (773)
Real-Time Measurement of Business Conditions (2007) (718)
Regime Switching with Time-Varying Transition Probabilities (1993) (652)
Forecast Evaluation and Combination (1996) (599)
The Distribution of Exchange Rate Volatility (1999) (598)
Elements of Forecasting (1997) (596)
Ratings Migration and the Business Cycle, with Application to Credit Portfolio Stress Testing (2000) (550)
Nonparametric exchange rate prediction (1990) (549)
The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models (2007) (487)
VOLATILITY AND CORRELATION FORECASTING (2006) (445)
Real Exchange Rates under the Gold Standard (1991) (398)
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold–Mariano Tests (2012) (388)
How Relevant is Volatility Forecasting for Financial Risk Management? (1997) (359)
Optimal Prediction Under Asymmetric Loss (1994) (330)
Multivariate Density Forecast Evaluation and Calibration In Financial Risk Management: High-Frequency Returns on Foreign Exchange (1999) (324)
Estimating Global Bank Network Connectedness (2015) (318)
Forecasting Output with the Composite Leading Index: A Real-Time Analysis (1991) (315)
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management (1998) (301)
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach (2007) (273)
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets (2004) (273)
Empirical modeling of exchange rate dynamics (1988) (255)
Structural change and the combination of forecasts (1986) (253)
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations (Second Version) (2002) (252)
Evaluating Density Forecasts (1997) (246)
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility (2007) (239)
On the Power of Dickey-Fuller Tests against Fractional Alternatives (1991) (238)
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics (2003) (235)
A Nonparametric Investigation of Duration Dependence in the American Business Cycle (1990) (223)
Long Memory and Persistence in Aggregate Output (1989) (223)
Realized Beta: Persistence and Predictability (2004) (222)
Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring (2015) (221)
Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures (1996) (208)
Job Stability in the United States (1994) (207)
Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 (2015) (206)
Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters (1997) (200)
Modeling Liquidity Risk with Implications for Traditional Market Risk Measurement and Management (2008) (194)
Cointegration and Long-Horizon Forecasting (1997) (186)
Unit-Root Tests Are Useful for Selecting Forecasting Models (1999) (184)
An Arbitrage-Free Generalized Nelson–Siegel Term Structure Model (2009) (177)
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data (1995) (172)
Chapter 15 Volatility and Correlation Forecasting (2006) (169)
Further results on forecasting and model selection under asymmetric loss (1996) (165)
Modeling Volatility Dynamics (1995) (164)
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk (2005) (162)
On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean (1994) (158)
The use of prior information in forecast combination (1990) (156)
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence (2005) (153)
Unit roots in economic time series: a selective survey (1988) (149)
On cointegration and exchange rate dynamics (1994) (147)
Measuring Predictability: Theory and Macroeconomic Applications (1997) (131)
On the Origin(s) and Development of the Term 'Big Data' (2012) (129)
Is consumption too smooth? Long memory and the Deaton paradox (1991) (128)
The Uncertain Unit Root in Real GNP: Comment (1996) (127)
Scoring the Leading Indicators (2020) (127)
Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach (2013) (127)
Further Evidence on Business Cycle Duration Dependence (1993) (126)
Macroeconomic Volatility and Stock Market Volatility, Worldwide (2008) (126)
Forecast combination and encompassing: Reconciling two divergent literatures (1989) (125)
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility (2003) (124)
The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice (2010) (115)
Horizon Problems and Extreme Events in Financial Risk Management (1998) (108)
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions (2010) (108)
A Personal Perspective on the Origin(s) and Development of 'Big Data': The Phenomenon, the Term, and the Discipline, Second Version (2012) (107)
Financial Risk Measurement for Financial Risk Management (2011) (105)
(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation * (1999) (101)
The Macroeconomy and the Yield Curve: A Nonstructural Analysis (2003) (99)
Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives (2018) (88)
The Past, Present, and Future of Macroeconomic Forecasting (1997) (86)
Business Cycles: Durations, Dynamics, and Forecasting (1999) (86)
Improving GDP Measurement: A Measurement-Error Perspective (2013) (85)
Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics (1990) (82)
Serial Correlation and the Combination of Forecasts (1988) (81)
A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration (2004) (77)
Have Postwar Economic Fluctuations Been Stabilized? (1990) (75)
Long Memory and Structural Change (1999) (70)
Measuring the Dynamics of Global Business Cycle Connectedness (2013) (66)
Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think (1997) (64)
Leading economic indicators: Turning point prediction with the composite leading index: An ex ante analysis (1991) (63)
Global Yield Curve Dynamics and Interactions : A Generalized Nelson-Siegel Approach (2006) (60)
Equity Market Spillovers in the Americas (2009) (56)
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence (2006) (55)
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach (2010) (52)
Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate (1988) (50)
Commodity Connectedness (2017) (50)
The Nobel Memorial Prize for Robert F. Engle (2004) (48)
Bootstrapping Multivariate Spectra (1997) (47)
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility (2015) (47)
A Markov-Switching Multifractal Inter-Trade Duration Model, with Application to US Equities (2013) (46)
Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting than You Think (1999) (43)
Globalization, the Business Cycle, and Macroeconomic Monitoring (2010) (39)
Advances in Economics and Econometrics: “Big Data” Dynamic Factor Models for Macroeconomic Measurement and Forecasting: A Discussion of the Papers by Lucrezia Reichlin and by Mark W. Watson (2003) (39)
Econometrics: Retrospect and prospect (2001) (38)
Forecasting output with the composite leading index: an ex ante analysis (1989) (38)
Why Are Estimates of Agricultural Supply Response So Variable (1996) (36)
Comment on "Is job stability declining in the U.S. economy?" by Kenneth A. Swinnerton and Howard Wial (48:2, Jan. 1995) (1996) (34)
On the Comparison of Interval Forecasts (2018) (33)
Comment on Kenneth A. Swinnerton and Howard Wial, “Is Job Stability Declining in the U.S. Economy?” (1996) (30)
A social network analysis of research collaboration in the economics community (2006) (30)
Mild vs. Wild Randomness: Focusing on those Risks that Matter (2007) (29)
Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function (1988) (28)
On the Correlation Structure of Microstructure Noise in Theory and Practice (2008) (27)
Temporal aggregation of ARCH processes and the distribution of asset returns (1986) (27)
Five questions about business cycles (2001) (24)
A Note on Bayesian Forecast Combination Procedures (1991) (23)
Has the EMS reduced member-country exchange rate volatility? (1988) (22)
Deterministic vs. Stochastic Trend in U.S. Gnp, Yet Again (1996) (22)
Fractional integration and interval prediction (1996) (22)
The Nobel Memorial Prize for (2004) (21)
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers (1996) (21)
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections (2019) (21)
Comparing predictive accuracy I: an asymptotic test (1991) (19)
On the limitations of comparing mean square forecast errors: Comment (1993) (19)
Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession (2020) (18)
Improving GDP Measurement: A Forecast Combination Perspective (2011) (18)
High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models (2001) (17)
Assessing point forecast accuracy by stochastic error distance (2014) (16)
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities (2012) (15)
Forecasting, Structural Time Series Models and the Kalman Filter, Andrew C. Harvey Cambridge University Press, 1939 (1992) (13)
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitorlng the Risk of High-Frequency Returns on Foreign Exchange (1998) (13)
Small sample properties of asymptotically equivalent tests for autoregressive conditional heteroskedasticity (1989) (12)
Parametric and Nonparametric Measurements of Volatility: Volume 1: Tools and Techniques (2010) (12)
Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models (1996) (12)
Long memoryand regime switching (2001) (11)
THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003 (2003) (10)
International evidence on business cycle duration dependence (1990) (10)
Measuring Volatility Dynamics (1995) (10)
A Note on Conditional Heteroskedasticity in the Market Model (1993) (10)
The exact initial covariance matrix of the state vector of a general MA(q) process (1986) (9)
Structural time series analysis and modelling package: A review (1989) (9)
On Market Microstructure Noise and Realized Volatility 1 (2006) (9)
State space modeling of time series: a review essay (1989) (9)
Discussion: The effect of seasonal adjustment filters on tests for a unit root (1993) (8)
Conditional heteroskedasticity in the market (1988) (8)
Forecasting and empirical methods in finance and macroeconomics (1999) (8)
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model (2008) (8)
Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004-2014 (2015) (8)
A Summary of the Conference on Real-Time Data Analysis (2002) (8)
Big data in dynamic predictive econometric modeling (2019) (7)
Exact maximum-likelihood estimation of autoregressive models via the Kalman filter (1986) (7)
Financial Risk Management in a Volatile Global Environment (1999) (7)
Exact maximum likelihood estimation of ARCH models (1993) (7)
Autoregressive and Moving-average Time-series Processes (1990) (7)
Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts (2017) (7)
Financial Risk Measurement and Management (2012) (7)
Priors from Frequency-Domain Dummy Observations (2008) (6)
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inﬂation and Real Interest Rates (2020) (6)
The time-series structure of exchange rate fluctuations (1986) (6)
Does the business cycle have duration memory (1987) (6)
Comment on modeling asset returns with alternative stable distributions (1993) (6)
100 + Years of Financial Risk Measurement and Management ∗ (2012) (5)
Shorter Recessions and Longer Expansions (1991) (5)
Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach (2020) (5)
Improving U . S . GDP Measurement : A Forecast Combination Perspective (2012) (5)
Testing for bubbles, reflecting barriers and other anomalies☆ (1988) (5)
Realized Beta: Persistence and Predictability: Advances in Econometrics, Volume 20 (2006) (5)
Real-Time Real Economic Activity Entering the Pandemic Recession (2020) (5)
On the Origin(s) and Development of "Big Data": The Phenomenon, the Term, and the Discipline (2020) (5)
The econometrics of macroeconomics, finance, and the interface (2006) (5)
Financial Institutions Center Parametric and Nonparametric Volatility Measurement (2002) (5)
Introduction: Econometric forecasting (1996) (5)
Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore (2004) (4)
Real Estate through the Ages: The Known, the Unknown and the Unknowable (2007) (4)
Forecasting and Model Selection Under Asymmetric Loss (1996) (3)
Weather Forecasting for Weather Derivatives ( revised January 2 , 2004 ) (2004) (3)
Representative yield curve shocks and stress testing (2008) (3)
Direction-of-change forecasts for Asian equity markets based on conditional variance, skewness and Kurtosis dynamics: International evidence (2007) (3)
CHAPTER 2 Parametric and Nonparametric Volatility Measurement (2011) (3)
On the Evolution of U.S. Temperature Dynamics (2019) (3)
ation and the Combination of Forecasts (1988) (2)
Are long expansions followed by short contractions (1993) (2)
CFEnetwork: The annals of computational and financial econometrics, 3rd issue (2014) (2)
Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors' Introduction (1998) (2)
On Robust Monetary Policy with Structural Uncertainty Discussion of John C . Williams ’ “ Robust Estimation and Monetary Policy with Unobserved Structural Change ” (2004) (2)
Are Investors Overconfident? (2004) (2)
Deviations from random-walk behavior: tests based on the variance-time function (1987) (2)
The solution of dynamic linear rational expectations models (1988) (2)
On Robust Inference in Time Series Regression (2022) (2)
Real Exchange Rate Movements (1988) (2)
A benchmark model for fixed-target Arctic sea ice forecasting (2021) (1)
Assessing Point Forecast Accuracy by Stochastic Divergence from Zero (2014) (1)
Ex ante turning point forecasting with the composite leading index (1988) (1)
Monthly Univariate Nominal Exchange Rate Fluctuations (1988) (1)
Conditional Heteroskedasticity in Economic Time Series (1988) (1)
Comment (2006) (1)
E¢ cient Predictive Regressions (2005) (1)
On the Origin(s) of the Term "Big Data" (2020) (1)
(Appendix to Realized Beta: Persistence and Predictability, by Andersen, Bollerslev, Diebold and Wu, 2004) Analysis of Monthly Realized Beta Based on High-Frequency Intraday Data* (2004) (1)
COMMON PERSISTENCE IN CONDITIONAL VARIANCES' BY TIM (2007) (1)
D Equilibrium Economies : A Framework for Comparing Models and Data (1997) (1)
Direction-of-Change Forecasting, and Volatility Dynamics (2003) (1)
Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 (preprint)/ en (2020) (1)
A New Test for Market Efficiency and Uncovered Interest Parity (2022) (1)
An Application of Operational-Subjective Statistical Methods to Rational Expectations: Comment (1988) (1)
Unit Root Tests are Useful for Selecting Forecasting Models (1999) (1)
MEASURING PREDICTABILITY : RY AND MACROECONOMIC APPLICATIONS (1996) (0)
On Asymmetry in Economic Time Series (1995) (0)
5. Macro-Finance (2013) (0)
Intertemporal consumer behavior under changes in income: a comment (1989) (0)
When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume (2022) (0)
Comparing Predictive Accuracy Author ( s ) : (0)
CAHIER 29-2001 (2002) (0)
Editors' Summary (2010) (0)
CFS Working Paper No . 2005 / 03 Modeling Bond Yields in Finance and Macroeconomics (2005) (0)
Issues in Value-at-Risk Modeling and Evaluation (1998) (0)
A New Test and Historical Perspectives on Tests for Market Efficiency and Rational Expectations in Financial Markets (2022) (0)
Forecasting in Situations of Structural Change: A General Approach (1989) (0)
Globalization , the Business Cycle , and Real-Time Macroeconomic Monitoring ∗ (2010) (0)
Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice: Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models (2022) (0)
Financial Institutions Center Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think (1999) (0)
Prediction, Extraction, and Estimation in Unobserved Components Model (1987) (0)
On the Evils of Hodrick-Prescott Detrending (2016) (0)
Advanced Monetary Economics 2.1 Preliminaries (2009) (0)
On comparing information in forecasts from econometric models: a comment on Fair and Shiller (1993) (0)
CFS Working Paper No . 2004 / 10 Weather Forecasting for Weather Derivatives (2004) (0)
Appendix C: The AFGNS Yield-Adjustment Term (2013) (0)
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) (2020) (0)
Egalitarian LASSO for Combining Economic Forecasts (2018) (0)
X Diebold Yield Curve Modeling And Forecasting The Dynamic (2021) (0)
Questions about Business Cycles (2020) (0)
Rejoinder (2015) (0)
An Arbitrage-Free Generalized Nelson-Siege Term Structure Model (2008) (0)
Time Series Analysis (2006) (0)
Real-Time Forecasting Evaluation of DSGE Models with Nonlinearities (2015) (0)
Job Stability in the United States. EQW Working Papers WP30. (1994) (0)
Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics (2004) (0)
Appendix A: Two-Factor AFNS Calculations (2013) (0)
YNAMIC EQUILIBRIUM ECONOMIES: WORK FOR COMPARING MODELS AND DATA (1997) (0)
THE SOLUTION OF DYNAMIC LINEAR RATIONAL EXPECTATIONS MODELS††Valuable comments from the referees are gratefully achnowledged. The views expressed herein are those of the author and are not necessarily shared by the Federal Reserve System or its staff. (1989) (0)
Working Paper No. 08-19 Real-time Measurement of Business Conditions Real-time Measurement of Business Conditions (2008) (0)
On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness (2022) (0)
Facts, Factors, and Questions (2012) (0)
Prediction, Extraction, and Estimation in Unobserved Components Models (1987) (0)
Appendix B: Details of AFNS Restrictions (2013) (0)

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What Schools Are Affiliated With Francis X. Diebold?

Francis X. Diebold is affiliated with the following schools:

University of Pennsylvania