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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Improving GDP Measurement: A Forecast Combination Perspective
TL;DR: In this article, a "forecast combination" approach was proposed to combine two often-divergent U.S. GDP estimates, a widely-used expenditure side version, GDPE, and a much less widely used income-side version GDPI.
Forecasting and Model Selection Under Asymmetric Loss
TL;DR: A new technique for solving prediction problems under asymmetric loss using piecewise-linear approximations to the loss function is proposed, and the existence and uniqueness of the optimal predictor are established.
Posted Content
On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean
TL;DR: In this article, the authors show that the finite-sample efficiency of approximate frequency-domain ML relative to exact timedomain ML rises dramatically when the mean result is unknown and instead must be estimated.
Journal Article
Real–time measurement of business conditions
TL;DR: In this paper, the authors construct a framework for measuring economic activity at high frequency, potentially in real time, using a variety of stock and flow data observed at mixed frequencies (including very high frequencies), and use a dynamic factor model that permits exact filtering.