Background
Diebold, Francis X. was born on November 12, 1959.
(ELEMENTARY FORECASTING focuses on the core techniques of ...)
ELEMENTARY FORECASTING focuses on the core techniques of widest applicability. The author illustrates all methods with detailed real-world applications, many of them international in flavor, designed to mimic typical forecasting situations.
http://www.amazon.com/gp/product/0324359047/?tag=2022091-20
(ELEMENTS OF FORECASTING is a concise, modern survey of bu...)
ELEMENTS OF FORECASTING is a concise, modern survey of business and economics forecasting methods. Written by one of the world's leading experts on forecasting, it focuses on the core techniques of widest applicability and assumes only an elementary background in statistics. It is applications-oriented and illustrates all methods with detailed examples and case studies.
http://www.amazon.com/gp/product/9687529741/?tag=2022091-20
(Structural exchange rate modeling has proven extremely di...)
Structural exchange rate modeling has proven extremely difficult during the recent post-1973 float. The disappointment climaxed with the papers of Meese and Rogoff (1983a, 1983b), who showed that a "naive" random walk model distinctly dominated received theoretical models in terms of predictive performance for the major dollar spot rates. One purpose of this monograph is to seek the reasons for this failure by exploring the temporal behavior of seven major dollar exchange rates using nonstructural time-series methods. The Meese-Rogoff finding does not mean that exchange rates evolve as random walks; rather it simply means that the random walk is a better stochastic approximation than any of their other candidate models. In this monograph, we use optimal model specification techniques, including formal unit root tests which allow for trend, and find that all of the exchange rates studied do in fact evolve as random walks or random walks with drift (to a very close approximation). This result is consistent with efficient asset markets, and provides an explanation for the Meese-Rogoff results. Far more subtle forces are at work, however, which lead to interesting econometric problems and have implications for the measurement of exchange rate volatility and moment structure. It is shown that all exchange rates display substantial conditional heteroskedasticity. A particularly reasonable parameterization of this conditional heteroskedasticity, which captures the observed clustering of prediction error variances, is developed in Chapter 2.
http://www.amazon.com/gp/product/3540189661/?tag=2022091-20
Diebold, Francis X. was born on November 12, 1959.
Bachelor of Science in Financial and Economics, University Pennsylvania, 1981. Doctor of Philosophy in Economics, University Pennsylvania, 1986.
Research economist Federal Reserve Systems Board Governors, 1986—1989. Assistant professor economics, J.M. Cohen term chair University Pennsylvania, 1989—1992, associate professor, 1992—1996, professor, 1996—1999, professor statistics Wharton School, since 1996, director Institute Economic Research, Lawrence R. Klein professor economics, 1999—2000, professor finance Wharton School, since 2001, William Polk Carey professor economics, 2000—2007, Joseph M. Cohen professor economics, 2007—2008, co-director Finance Institutions Center, since 2007, Paul F. and Warren S. Miller professor economics, since 2008. Executive director Morgan Stanley Investment Management, 2007—2008.
Benedum lecturer West Virginia University, 1992. Faculty research fellow National Bureau Economic Research 1993-1999. Research associate since 1999.
Visiting professor University Minnesota, 1990, London School of Economics, 1992, University Chicago, 1993, Johns Hopkins University, 1995, Princeton University, 1997, Cambridge University, 1998. Charter member Oliver Wyman Institute, since 1996. Chairman forecasting seminar National Science Foundation, 1995-2000, member economics panel, 1998-2000.
Visiting professor finance, economic, statistics Stern School Business, New York University, 1998-2000. Member board economic advisors FinPortfolio.com, 1998-2002. Member organizing committee Computational Finance, 1999-2002.
Board directors Carey Property Associates, 2002-2004. Member business conditions indicators advisory panel The Conference Board, since 2003. Member risk advisory board Paloma Partners, since 2004.
Member advisory board Wharton Finance Institutions Center, since 2007. Member Lamfalussy fellows selection committee European Central Bank, 2009. Member science advisory board Humboldt University Center Applied Statistics and Economics, since 2010.
(Structural exchange rate modeling has proven extremely di...)
(ELEMENTS OF FORECASTING is a concise, modern survey of bu...)
(ELEMENTARY FORECASTING focuses on the core techniques of ...)
Member board senior scholars National Center for Educational Quality of Workforce, 1993-1995. Member finance and investment committee Religious of Assumption, 2005-2009. Fellow Econometric Society (program committee time-series econometrics 1993, program committee North America winter meeting 1999, 2003, program committee Ninth World Congress 2005, program committee North America summer meeting 2009), American Statistical Association (program chair business and economic statistics section 1991, secretary & treasurer business and economic statistics section 1994, member editorial selection committee Journal Business and Economic Statistics, 1994, 2000, Zellner award selection committee 1995).
Member American Finance Association (nominating committee 2002, annual meeting finance econometrics program committee 2010), American Economic Association (program committee 2004).
Married Susan S. Diebold. 3 children.