Overview
Francis X. Diebold is an econometrician at the University of Pennsylvania. He has made broad contributions to forecasting methodology, forecast evaluation, realized volatility measurement, term structure modeling, and macro-financial linkages.
Key Contributions
- Realized volatility (with Andersen, Bollerslev, Labys 2001–2003): Co-developed the high-frequency realized variance framework; established distributional results for realized volatility and its forecasting via ARFIMA models.
- Andersen-Bollerslev-Christoffersen-Diebold (2004): Co-authored survey of practical risk management; critique of historical simulation and RiskMetrics; promotion of GARCH-based and realized-variance-based alternatives.
- Diebold-Mariano (1995): Test for equal predictive accuracy between competing forecasts under arbitrary loss — the standard benchmark test in macro forecasting. See Diebold-Mariano Test.
- Diebold-Inoue (2001): Analytical demonstration that stochastic regime switching mimics long memory, even asymptotically, under a small amount of switching. See Long Memory and Fractional Integration.
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