Francis X. Diebold

Francis X. Diebold
  • Paul F. Miller, Jr. and E. Warren Shafer Miller Professor of Social Sciences, and Professor of Economics
  • Professor of Finance
  • Professor of Statistics and Data Science

Contact Information

  • office Address:

    Perelman Center for Political Science and Economics
    133 South 36th
    Street Philadelphia, PA 19104

Research Interests: predictive modeling in economic and financial contexts, climate change, and the interface

Overview

Education

PhD, University of Pennsylvania, 1986; BS, University of Pennsylvania, 1981

Career and Recent Professional Awards; Teaching Awards

Richard Stone Prize in Applied Econometrics, 2020; Fellow, American Statistical Association, elected 2004; Alexander von Humboldt Award, 2004; Fellow, Econometric Society, elected 1998; John Simon Guggenheim Fellowship, 2003-2004; Alfred P. Sloan Foundation Research Fellowship, 1992-1994; Kravis Award for Outstanding Teaching, 1994, 1998

Academic Positions Held

Wharton: 1997-present. University of Pennsylvania: 1989-present. Visiting appointments: University of Chicago; Princeton University; New York University; Johns Hopkins University; Cambridge University

Professional Leadership

President, Society for Financial Econometrics, 2011-2013; Chairman, National Science Foundation/National Bureau of Economic Research Forecasting and Empirical Methods Seminars, 1992-2001; Co-Director, Wharton Financial Institutions Center, 2007-2013

Corporate and Public Sector Leadership

Chairman, Model Validation Council, U.S. Federal Reserve System, 2012-2013; Founding member, Oliver Wyman Institute, 1996-2012.

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Research

Francis X. Diebold is Paul F. Miller, Jr. and E. Warren Shafer Miller Professor of Social Sciences, and Professor of Economics, Finance, and Statistics, University of Pennsylvania. He has held visiting appointments at Princeton, Chicago, Johns Hopkins, and NYU.

His research focuses on predictive modeling of financial asset markets, macroeconomic fundamentals, climate change, and the interface. He has made well-known contributions to the measurement and modeling of asset-return volatility, business cycles, yield curves, and network connectedness. He has published more than 150 scientific papers and 8 books, and he is regularly ranked among globally most-cited economists.

He is Founding Fellow and Past President, Society for Financial Econometrics; NBER Faculty Research Associate; Fellow, Econometric Society, American Statistical Association, Guggenheim Foundation, Sloan Foundation, Humboldt Foundation, Journal of Econometrics; Founding Fellow, International Association for Applied Econometrics, Society for Economic Measurement; Honorary Fellow, International Institute of Forecasters; and Past Editorial Board Member, EconometricaReview of Economics and Statistics, and International Economic Review.

His academic “family” includes more than 75 Ph.D. students.

Teaching

Francis X. Diebold is Paul F. Miller, Jr. and E. Warren Shafer Miller Professor of Social Sciences, and Professor of Economics, Finance, and Statistics, University of Pennsylvania. He has held visiting appointments at Princeton, Chicago, Johns Hopkins, and NYU.

His research focuses on predictive modeling of financial asset markets, macroeconomic fundamentals, climate change, and the interface. He has made well-known contributions to the measurement and modeling of asset-return volatility, business cycles, yield curves, and network connectedness. He has published more than 150 scientific papers and 8 books, and he is regularly ranked among globally most-cited economists.

He is Founding Fellow and Past President, Society for Financial Econometrics; NBER Faculty Research Associate; Fellow, Econometric Society, American Statistical Association, Guggenheim Foundation, Sloan Foundation, Humboldt Foundation, Journal of Econometrics; Founding Fellow, International Association for Applied Econometrics, Society for Economic Measurement; Honorary Fellow, International Institute of Forecasters; and Past Editorial Board Member, EconometricaReview of Economics and Statistics, and International Economic Review.

His academic “family” includes more than 75 Ph.D. students.

All Courses

  • ECON2310 - Econometric Mthds/Models

    This course focuses on econometric techniques and their application in economic analysis and decision-making, building on ECON 2300 to incorporate the many regression complications that routinely occur in econometric environments. Micro-econometric complications include nonlinearity, non-normality, heteroskedasticity, limited dependent variables of various sorts, endogeneity and instrumental variables, and panel data. Macro-econometric topics include trend, seasonality, serial correlation, lagged dependent variables, structural change, dynamic heteroskedasticity, and optimal prediction. Students are required to perform several econometric analyses in a modern environment such as R.

  • ECON4310 - Macro-Econometrics

    This course provides a deeper treatment of time-series econometric methods used in macroeconomc and financial applications, such as nonstationarity, unit roots, and cointegration; structural evolution and breaks; point, interval and density forecasts; forecast evaluation and combination; vector autoregression including impulse-response estimation and analysis; dynamic factor models and dimensionality reduction; univariate and multivariate stochastic volatility models; and prediction markets.

  • ECON7310 - Econometrics II: Methods

    Analysis in time and frequency domains, state space representations, Kalman filtering, conditional heteroskedasticity, nonlinear and nonparametric methods for time series, integration, co-integration, numerical and simulation techniques.

  • ECON8320 - Econometrics IV: Adv

    Focuses on macro-econometrics. Topics include comparison of Bayesian and frequentist inference in nonstandard settings (e.g. time series models with persistent roots), Bayesian inference in VARS and DSGE models including modern computational tools such as Gibbs sampling, MCMC, Sequential Monte Carlo, particle filtering, etc., and tools for evaluating DSGE models.

Awards and Honors

Francis X. Diebold is Paul F. Miller, Jr. and E. Warren Shafer Miller Professor of Social Sciences, and Professor of Economics, Finance, and Statistics, University of Pennsylvania. He has held visiting appointments at Princeton, Chicago, Johns Hopkins, and NYU.

His research focuses on predictive modeling of financial asset markets, macroeconomic fundamentals, climate change, and the interface. He has made well-known contributions to the measurement and modeling of asset-return volatility, business cycles, yield curves, and network connectedness. He has published more than 150 scientific papers and 8 books, and he is regularly ranked among globally most-cited economists.

He is Founding Fellow and Past President, Society for Financial Econometrics; NBER Faculty Research Associate; Fellow, Econometric Society, American Statistical Association, Guggenheim Foundation, Sloan Foundation, Humboldt Foundation, Journal of Econometrics; Founding Fellow, International Association for Applied Econometrics, Society for Economic Measurement; Honorary Fellow, International Institute of Forecasters; and Past Editorial Board Member, EconometricaReview of Economics and Statistics, and International Economic Review.

His academic “family” includes more than 75 Ph.D. students.

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