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.
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The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach
TL;DR: In this paper, the authors estimate a model that summarizes the yield curve using latent factors (specifically, level, slope, and curvature) and also include observable macroeconomic variables (i.e., real activity, inflation, and monetary policy instrument).
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On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
TL;DR: In this article, the authors propose several connectedness measures built from pieces of variance decompositions, and argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities.
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Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
Torben G. Andersen,Torben G. Andersen,Torben G. Andersen,Clara Vega,Tim Bollerslev,Tim Bollerslev,Francis X. Diebold,Francis X. Diebold +7 more
TL;DR: In this article, a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic expectations, and macroeconomic realizations (announcements) was used to characterize the conditional means of U.S. dollar spot exchange rates versus German Mark, British Pound, Japanese Yen, Swiss Franc, and Euro.
Journal ArticleDOI
The macroeconomy and the yield curve: a dynamic latent factor approach
TL;DR: In this paper, the authors estimate a model that summarizes the yield curve using latent factors (specifically, level, slope, and curvature) and also include observable macroeconomic variables, such as real activity, inflation, and the monetary policy instrument.
Posted Content
The dynamics of exchange rate volatility: a multivariate latent factor ARCH model
Francis X. Diebold,Marc Nerlove +1 more
TL;DR: In this paper, the authors study temporal volatility patterns in seven nominal dollar spot exchange rates, all of which display strong evidence of autoregressive conditional heteroskedasticity (ARCH).