Miscellaneous
Home
Philly's best coffee (Ongoing)
Tennis match
dynamic graphics (Circa 201516)
Penn Conference: Big Data in Dynamic
Predictive Econometric Modeling (May 2017)
Diebold, F.X. (2014),
A
Tribute to Lawrence R. Klein, Remarks given at the Klein Legacy Dinner,
October 24, 2014, Lower Egyptian Gallery, University of Pennsylvania Museum
of Archaeology and Anthropology.
Diebold, F.X. (2013),
"A Penny Spent is a Penny Earned (by Someone Else): Measuring GDP,"
VOX, http://www.voxeu.org/article/newmeasureusgdp
(with S.B. Aruoba, J. Nalewaik, F. Schorfheide, and D. Song).
Diebold,
F.X. (2012)
"A Personal Perspective
on the Origin(s) and Development of 'Big Data': The Phenomenon, the Term, and
and the Discipline," Manuscript, Department of Economics, University
of Pennsylvania.
I investigate
Big Data, the phenomenon, the term, and the discipline, with emphasis on
origins of the term, in industry and academics, in computer science and
statistics/econometrics. Big Data the phenomenon continues unabated, Big Data
the term is now firmly entrenched, and Big Data the discipline is emerging.
Diebold, F.X. (2010), "The Known,
the Unknown, and the Unknowable in Financial Risk Management"
(Introduction to the book of the same title with R.J. Herring and N.J.
Doherty).
Statistical
issues emerge as central to risk measurement,
but economic
issues of incentives and strategic behavior emerge as central for risk management, as we
illustrate in a variety of contexts.
Diebold, F.X. (2009),
"The New Role of Risk Management: Rebuilding the Model, (with R.
Herring),"
Knowledge@Wharton Interview, June 24. Audio and related materials here.
DIebold,
F.X (2004), "The Nobel Prize for Robert F. Engle", Scandinavian
Journal of Economics, 106, 165185.
Understanding Rob Engle's 2003 Nobel Prize in Economics. Volatility and
correlation modeling in financial markets. What happened and why.
Diebold, F.X. (2001),
"Econometrics: Retrospect and Prospect," Journal
of Econometrics, 100, 7375.
Looking backward and forward on the twentyfifth anniversary of the founding
of the Journal of Econometrics.
Diebold,
F.X. (2000), "Great Realizations," Risk,
March, 105108 (with T. Andersen and T. Bollerslev).
Describes the potential of realized volatility methods, in conjunction with
modern highfrequency data, for measuring asset return volatilities and correlations.
Introduces the volatility signature plot for detecting and mitigating
the effects of microstructure noise.
Diebold, F.X. (1998),
"The Past, Present and Future of Macroeconomic
Forecasting," Journal of Economic Perspectives, 12, 175192.
General equilibrium models useful for forecasting?! Lots of
people think this article is naive, or just plain wrong. Time will
tell...
