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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Small sample properties of asymptotically equivalent tests for autoregressive conditional heteroskedasticity
Francis X. Diebold,Peter Pauly +1 more
TL;DR: In this paper, the authors evaluate the small sample properties of an exact Lagrange multiplier test for the presence of ARCH, and compare the power of this test with that of an asymptotically equivalent TR2 version.
Posted Content
International evidence on business cycle duration dependence
TL;DR: In this paper, the authors investigated the duration dependence in prewar business expansions, contractions, and whole cycles for France, Germany, and Great Britain, using both nonparametric and parametric procedures.
Journal ArticleDOI
The exact initial covariance matrix of the state vector of a general MA(q) process
TL;DR: In this paper, the state-space structure of moving-average processes is studied in statespace form, and its stochastic structure is exploited to derive a closed-form analytic expression for the covariance matrix of the initial state vector.
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Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters
TL;DR: In this article, the authors evaluate the adequacy of density forecasts using the framework of Diebold, Gunther and Tay (1997) and reveal several interesting features of the density forecasts in relation to realized inflation including several deficiencies of the forecasts.