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Profile
| Academic position | Full Professor |
|---|---|
| Research fields | Business Administration,Economic Theory,Mathematical and Applied Statistics |
| Keywords | Volatility and correlation, Financial markets, term structure of interest rates, financial econometrics, risk management, portfolio allocation, asset prici |
Current contact address
| Country | United States of America |
|---|---|
| City | Philadelphia |
| Institution | University of Pennsylvania (UPenn) |
| Institute | Department of Economics |
| Homepage | www.ssc.upenn.edu/~fdiebold |
Host during sponsorship
| Prof. Dr. Harald Uhlig | Institut für Wirtschaftspolitik, Humboldt-Universität zu Berlin, Berlin |
|---|---|
| Prof. Dr. Wolfgang Härdle | Institut für Statistik und Ökonometrie, Humboldt-Universität zu Berlin, Berlin |
| Start of initial sponsorship | 01/06/2005 |
Programme(s)
| 2004 | Humboldt Research Award Programme |
|---|
Nominator's project description
| Finance and stochastics are fields of research which only recently grew together. The outstanding scientific work of F.X. Diebold takes an important position in this merging process because it links theoretical results with his excellent knowledge in the practice of financial markets. Diebold's work includes different areas of stochastics, statistics, macroeconomics and microeconomics. He has written five books and over fifty papers published in outstanding scientific journals. A special emphasis in his work is put on the modelling and prediction of financial time series on different frequency levels. This treatment with dimension flexible and semiparametric procedures establishes a close connection to mathematical statistics. Recent work of Diebold on weather risks are already cited as landmark papers in this new field of research. His leading contributions make use of the toolbox of modern econometrics (unit root test, long memory, regime switching). His work is determining for the macroeconomic analysis of non insurable risks. The spectrum of Diebold's publications proves the whole extent of his econometric and statistical techniques. He handles with great diligence modern procedures of bootstrap and applies them to solve the most difficult questions in multivariate dynamics and macro time series. Diebold is a highly appreciated and much invited keynote speaker. He was honoured recently for his works in the field of research of nonparametric statistics of financial markets with the John-Simon Guggenheim fellowship. The theoretical contributions of Francis X. Diebold on nonparametric statistics are mainly the result of empirical observations. This has led the theoretical and empirical econometric literature to look at the phenomena of long memory and regime switching as independent lines of research. In a paper on long memory and regime switching Diebold proves that both phenomena cooperate in reality. In an analytical investigation he demonstrates that stochastic regime switching can easily be "mistaken" asymptotically with the phenomenon of long memory, as long as only small "contributions" of regime switching occur. With the observation of high-frequency FX data of the EUR and the JPY in comparison to the USD Diebold constructs a model for a multivariate estimator of density. They define the common distribution of the profit of exchange rates as conditional as well as unconditional and receive astonishingly precise principles of scaling laws for temporary applications. This outlined framework is continued in the observation of density forecasts. In contradiction to the "one point prediction" Diebold predicts the whole distribution of, per example, exchange rates. Francis X. Diebold will work during his stay as recipient of the Humboldt Research Award in Germany in cooperation with the C.A.S.E. Centre for Applied Statistics and Economics at the Humboldt-Universität zu Berlin in the field of semiparametric factor analysis in financial markets. |