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
More filters
Posted Content
Scoring the leading indicators
TL;DR: In this article, the authors evaluate the ability of the composite index of leading indicators to predict business cycle turning points and apply formal probability-assessment scoring rules to turning point probabilities generated from the leading index via a Bayesian sequential probability recursion.
Posted Content
Practical Volatility and Correlation Modeling for Financial Market Risk Management
TL;DR: In this paper, a variety of practical approaches for high-dimensional covariance matrix modeling, along with what they see as some of the pitfalls and problems in current practice are discussed, and they encourage further dialog between the academic and practitioner communities, hopefully stimulating the development of improved market risk management technologies that draw on the best of both worlds.
Journal ArticleDOI
On the Evolution of U.S. Temperature Dynamics
TL;DR: In this paper, the authors compare the evolving time series dynamics of the average temperature level, AVG, and the diurnal temperature range, DTR (the difference between the daily maximum and minimum temperatures at a given location).
Posted Content
On the Origin(s) of the Term "Big Data".
TL;DR: The origin(s) of the term "Big Data," in industry and academics, and in computer science and econometrics is investigated, finding that it probably originated in lunch-table conversations at Silicon Graphics Inc. in the mid 1990s.
Posted Content
Unit roots in economic time series: a selective survey
Francis X. Diebold,Marc Nerlove +1 more