F
Francis X. Diebold
Researcher at University of Pennsylvania
Publications - 376
Citations - 82582
Francis X. Diebold is an academic researcher from University of Pennsylvania. The author has contributed to research in topics: Volatility (finance) & Exchange rate. The author has an hindex of 110, co-authored 368 publications receiving 74723 citations. Previous affiliations of Francis X. Diebold include International Monetary Fund & Duke University.
Papers
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How relevant is volatility forecasting for financial risk management
TL;DR: In this paper, the authors developed a model-free procedure for assessing volatility forecastability across horizons, and they found that volatility forecasting decays quickly with the horizon, and that the importance of short horizons for trading desk management may be much less important at longer horizons.
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Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests
TL;DR: The Diebold-Mariano (DM) test was originally designed for comparing forecasts; it has been, and remains, useful in that regard; however, much of the large subsequent literature uses DM-type tests for comparing models in (pseudo-) out-of-sample environments as mentioned in this paper.
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Estimating global bank network connectedness
TL;DR: In this article, the authors use LASSO methods to shrink, select, and estimate the high-dimensional network linking the publicly traded subset of the world's top 150 banks, 2003-2014.
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Structural change and the combination of forecasts
Francis X. Diebold,Peter Pauly +1 more
TL;DR: The authors proposed various extensions of the standard regression-based theory of forecast combination, such as rolling weighted least squares and time-varying parameter techniques, to improve the effect of risk spreading embodied in standard combination techniques.
Posted Content
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management
TL;DR: In this article, a disinterested assessment of EVT from the vantage point of financial risk management is presented, and the authors show how certain pitfalls can be avoided and sketch a number of explicit research directions that will help EVT to be realized.