Francis X. Diebold | |
|---|---|
| Born | November 12, 1959 Philadelphia, PA, US |
| Academic career | |
| Field | Econometrics Financial economics Macroeconomics |
| Institution | University of Pennsylvania NBER |
| 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 and forecasting; 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 dynamic predictive econometric modeling, with emphasis on financial asset markets, macroeconomic fundamentals, and the interface. He has made well-known contributions to the measurement and modeling of asset-return volatility, business cycles, yield curves, and network connectedness, and his most recent work begins to integrate aspects of climate change. He has published more than 150 scientific papers and 8 books, and he is regularly ranked among globally most-cited economists.
Diebold 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, Professor of Economics, Professor of Statistics and Data Science, and Professor of Finance. He is also a Faculty Research Associate at the National Bureau of Economic Research in Cambridge, Massachusetts.
Diebold is an elected Fellow of the Econometric Society and the American Statistical Association, 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]