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

Contact Information

  • office Address:

    3718 Locust Walk
    Philadelphia, PA 19104

Research Interests: empirical finance, empirical macroeconomics, financial econometrics and forecasting

Overview

Education

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

Career and Recent Professional Awards; Teaching Awards

Fellow, American Statistical Association, elected 2004; Alexander von Humboldt Award, Federal Republic of Germany, 2004 Fellow, Econometric Society, elected 1998; John Simon Guggenheim Fellowship, 2003-2004; Geewax-Terker Award for Outstanding Financial Research, Wharton School, 2001, 2004; Alfred P. Sloan Foundation Research Fellowship, 1992-1994; Kravis Award for Outstanding Teaching, University of Pennsylvania, 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 2005-2009

Chairman, National Science Foundation/National Bureau of Economic Research, Forecasting Seminar, 1994-present; Senior Fellow, Wharton Financial Institutions Center, 1997-present; Editorial Board, Econometrica, 1994-present; International Economic Review, 1993-present; Review of Economics and Statistics, 1993-present; Journal of Business and Economic Statistics, 1993-present; Journal of Forecasting, 1990-present

Corporate and Public Sector Leadership 2005-2009

Charter Member, Oliver Wyman Institute, 1997-present; National Science Foundation Economics Panel, 1998-2000; numerous corporate boards, advisory boards, and consulting engagements, worldwide.

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Research

Francis X. Diebold is Paul F. and Warren S. Miller Professor of Social Sciences, and Professor of Economics, Finance and Statistics, at the University of Pennsylvania. He has published widely in econometrics, forecasting, finance, and macroeconomics, and he has served on the editorial boards of leading journals including Econometrica, Review of Economics and Statistics, International Economic Review, Journal of Business and Economic Statistics, and Journal of Applied Econometrics. He is an NBER Faculty Research Associate, as well as an elected Fellow of the Econometric Society, the American Statistical Association, and the International Institute of Forecasters. He has been the recipient of Sloan, Guggenheim, and Humboldt fellowships, Co-Director of the Wharton Financial Institutions Center, and President of the Society for Financial Econometrics. He lectures widely and has held visiting professorships at Princeton, Chicago, Johns Hopkins, and NYU. He has received several awards for outstanding teaching, and his academic “family” includes more than 70 Ph.D. students. Diebold’s academic research is firmly linked to practical matters: During 1986-1989 he served as an economist under both Paul Volcker and Alan Greenspan at the Board of Governors of the Federal Reserve System, during 2007-2008 he served as an Executive Director of Morgan Stanley Investment Management, and during 2012-2013 he served as Chairman of the Federal Reserve System’s Model Validation Council.

Teaching

Francis X. Diebold is Paul F. and Warren S. Miller Professor of Social Sciences, and Professor of Economics, Finance and Statistics, at the University of Pennsylvania. He has published widely in econometrics, forecasting, finance, and macroeconomics, and he has served on the editorial boards of leading journals including Econometrica, Review of Economics and Statistics, International Economic Review, Journal of Business and Economic Statistics, andJournal of Applied Econometrics. He is an NBER Faculty Research Associate, as well as an elected Fellow of the Econometric Society, the American Statistical Association, and the International Institute of Forecasters. He has been the recipient of Sloan, Guggenheim, and Humboldt fellowships, Co-Director of the Wharton Financial Institutions Center, and President of the Society for Financial Econometrics. He lectures widely and has held visiting professorships at Princeton, Chicago, Johns Hopkins, and NYU. He has received several awards for outstanding teaching, and his academic “family” includes more than 70 Ph.D. students. Diebold’s academic research is firmly linked to practical matters: During 1986-1989 he served as an economist under both Paul Volcker and Alan Greenspan at the Board of Governors of the Federal Reserve System, during 2007-2008 he served as an Executive Director of Morgan Stanley Investment Management, and during 2012-2013 he served as Chairman of the Federal Reserve System’s Model Validation Council.

Past Courses

  • ECON104 - ECONOMETRIC MTHDS/MODELS

    This course focuses on econometric techniques and their application in economicanalysis and decision-making, building on ECON 103 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. One-term course offered both terms.

  • ECON199 - INDEPENDENT STUDY

    Individual study and research under the direction of a member of the Economics Department faculty. At a minimum, the student must write a major paper summarizing, unifying, and interpreting the results of the study. This is a one semester, one c.u. course. Please see the department for permission.

  • ECON221 - MACRO-ECONOMETRICS

    This course provides a deeper treatment of time-series econometric methods usedin 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. One-term course offered either term.

  • ECON705 - ECONOMETRICS I: FUND

    Violations of classical linear regresson assumptions, nonlinear regression models (including logit, probit, etc.), diagnostic testing, distributed lag models, panel data models, identification, linear simultaneous-equations model. Prerequisite: Meeting the Department's minimal mathematical requirements, ECON 897 Summer Math Program.

  • ECON706 - 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. Prerequisite: Meeting the department's minimal mathematical requirements; ECON 705, 897 Summer Math Program.

  • ECON712 - TOPICS IN ADV ECONOMICS

    Topics and prerequisites announced each year.

  • ECON722 - 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.

  • ECON729 - ECONOMETRICS WKSHOP

  • ECON999 - INDEPENDENT STUDY

    Independent Study

Awards and Honors

Francis X. Diebold is Paul F. and Warren S. Miller Professor of Social Sciences, and Professor of Economics, Finance and Statistics, at the University of Pennsylvania. He has published widely in econometrics, forecasting, finance, and macroeconomics, and he has served on the editorial boards of leading journals including Econometrica, Review of Economics and Statistics, International Economic Review, Journal of Business and Economic Statistics, andJournal of Applied Econometrics. He is an NBER Faculty Research Associate, as well as an elected Fellow of the Econometric Society, the American Statistical Association, and the International Institute of Forecasters. He has been the recipient of Sloan, Guggenheim, and Humboldt fellowships, Co-Director of the Wharton Financial Institutions Center, and President of the Society for Financial Econometrics. He lectures widely and has held visiting professorships at Princeton, Chicago, Johns Hopkins, and NYU. He has received several awards for outstanding teaching, and his academic “family” includes more than 70 Ph.D. students. Diebold’s academic research is firmly linked to practical matters: During 1986-1989 he served as an economist under both Paul Volcker and Alan Greenspan at the Board of Governors of the Federal Reserve System, during 2007-2008 he served as an Executive Director of Morgan Stanley Investment Management, and during 2012-2013 he served as Chairman of the Federal Reserve System’s Model Validation Council.

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