Penn Conference: Big Data in Dynamic
Predictive Econometric Modeling (May 2017)
Introduction: Diebold, F.X., Ghysels, E., Mykland, P., and Zhang, L. (2019),
Big Data in Dynamic Predictive Econometric
Modeling, Special Issue of Journal
of Econometrics, in press.
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.
F.X. (2013), "A Penny Spent is a Penny Earned (by
Someone Else): Measuring GDP," VOX, http://www.voxeu.org/article/new-measure-us-gdp
(with S.B. Aruoba, J. Nalewaik, F. Schorfheide, and D. Song).
Diebold, F.X. (2012) "On the Origin(s) and Development
of 'Big Data': The Phenomenon, the Term, and and the Discipline,"
Manuscript, Department of Economics, University of Pennsylvania.
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).
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.
(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, 165-185.
Understanding Rob Engle's 2003 Nobel Prize in Economics. Volatility and
correlation modeling in financial markets. What happened and why.
F.X. (2001), "Econometrics: Retrospect and Prospect," Journal
of Econometrics, 100, 73-75.
Looking backward and forward on the twenty-fifth anniversary of the founding
of the Journal of Econometrics.
Diebold, F.X. (2000), "Great Realizations," Risk,
March, 105-108 (with T. Andersen and T. Bollerslev).
Describes the potential of realized volatility methods, in conjunction with
modern high-frequency data, for measuring asset return volatilities and
correlations. Introduces the volatility signature plot for detecting
and mitigating the effects of microstructure noise.
F.X. (1998), "The Past, Present and Future of Macroeconomic
Forecasting," Journal of Economic Perspectives, 12, 175-192.
General equilibrium models useful for forecasting?! Lots of
people think this article is naive, or just plain wrong. Time will
best coffee (Ongoing)
match dynamic graphics (Circa 2015-16)