Francis X. Diebold

Paul F Miller Jr and E Warren Shafer Miller Professor of Social Sciences and Professor of Economics Finance and Statistics

Johns Hopkins University

Affiliations

Social Sciences

Department of Economics

Krieger School of Arts and Sciences

Social Sciences

Francis X. Diebold is currently serving as an Economics Paul F Miller Jr and E Warren Shafer Miller Professor of Social Sciences and Professor of Economics Finance and Statistics at Johns Hopkins University.

Honors

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Experiences

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Education

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Francis X. Diebold

Johns Hopkins University

Paul F Miller Jr and E Warren Shafer Miller Professor of Social Sciences and Professor of Economics Finance and Statistics

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economics econometrics finance forecasting statistics financial economics macroeconomics empirical finance financial econometrics economic analysis applied economics business time series economic modelling economic research mathematical finance international finance volatility modeling econometric models economic forecasting social science research term structure model financial risk management macroeconomic forecasting predictability econometric methods macroeconomic models financial modeling economic measure exchange rates forecasting methodology stochastic volatility models range-based estimation long memory yield curve predictive accuracy foreign exchange asymmetric loss fractional integration economic literature technological forecasting machine learning research management science international financial markets global finance structural optimization quantitative science studies statistical methodology theoretical economics income distribution psychometrics method validation latent variable models derivative pricing option pricing weather forecasting economic fluctuation business cycle analysis business forecasting financial forecast structural change yield optimization gaussian analysis liquidity dynamic economics bounded rationality financial asset return global equity markets volatility spillovers term structure government bond yields jump components return volatility regime switching

Notable Scholarly Works

Notable Federal Grants

Collaborators

On Robust Inference in Time-Series Regression. Econometrics Journal (2024)

Richard T BaillieFrancis X DieboldGeorge KapetaniosKun Ho KimAaron Mora

machine learningtime series regressiondata sciencerobust inference

Comparing Predictive Accuracy. Princeton University Press eBooks (2020)

FRANCIS X. DIEBOLDROBERTO S. MARIANO

predictive accuracymachine learningperformance comparisondata sciencemodel comparisonpredictability

On the Comparison of Interval Forecasts. Journal of Time Series Analysis (2018)

Ross AskanaziFrancis X. DieboldFrank SchorfheideMinchul Shin

interval forecaststime seriesstatistics

Assessing Point Forecast Accuracy by Stochastic Error Distance. Econometric Reviews (2017)

Francis X. DieboldMinchul Shin

point forecast accuracyeconomicsstochastic error distanceeconometricsfinancial econometrics

Beating the Simple Average: Egalitarian Lasso for Combining Economic Forecasts. RePEc: Research Papers in Economics (2017)

Francis X. DieboldMinchul Shin

economicsegalitarian lassoforecastingeconomic forecastingsimple average

Commodity Connectedness. National Bureau of Economic Research (2017)

Francis DieboldLaura LiuKamil Yilmaz

commodity connectednesssocial sciences

Estimating Global Bank Network Connectedness. Journal of Applied Econometrics (2017)

Mert DemirerFrancis X. DieboldLaura LiuKamil Yilmaz

network analysisfinanceeconomicseconomic analysisapplied economicsmacroeconomicsapplied mathematicseconometricsfinancial econometrics

Real-Time Forecast Evaluation of Dsge Models With Stochastic Volatility. Journal of Econometrics (2017)

Francis X. DieboldFrank SchorfheideMinchul Shin

economicsstochastic volatilityreal-time forecast evaluationdsge modelseconometricsfinancial econometrics

Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold–Mariano Tests. Journal of Business and Economic Statistics (2015)

Francis X. Diebold

predictive accuracystatisticsforecasting methodologybusiness analyticstime seriesdata scienceforecastingdiebold-mariano testspersonal perspectiveeconometricsbusinessbiometricseconomic researchmethod validationpredictability

Measuring the Dynamics of Global Business Cycle Connectedness. Oxford University Press eBooks (2015)

Francis X. DieboldKamil Yilmaz

business cycleseconomics