(2021), “Measuring Real
Activity in Real Time: Exiting the Great Recession and Entering the Pandemic
Recession,” VoxEU.org, 22 January 2021.
Diebold, F.X. (2021), "Big Data and
its Origins" Significance, 19, 36-37. (Associated BBC Radio 4
Podcast 8/4/2020 here.)
I sketch aspects of 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. (2020), "Entering the Pandemic:
The Joint Progression of COVID-19 and
Economic Growth in the U.S.", Penn 60-Second Lecture, 9/30/2020. Well, it’s
actually 5 minutes…
Diebold, F.X., Garcia, R., and
Jacobs, K. (2020), “Editors’ Introduction”, in Predictive Modeling, Volatility, and Risk
Management in Financial Markets: In Memory of Peter F. Christoffersen
Part I, Special Issue of Journal of
Financial Econometrics, 18, 471-652. Part II to be published in 2021.
Diebold, F.X., Ghysels, E., Mykland, P., and Zhang, L. (2019), “Editors’
Introduction”, in Big
Data in Dynamic Predictive Econometric Modeling, Special Issue of Journal of Econometrics, 212, 1-358.
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.
Aruoba, B., Diebold, F.X., Nalewaik,
J., Schorfheide, F., and Song, D. (2013), "A Penny Spent is a
Penny Earned (by Someone Else): Measuring GDP", VOX EU / CEPR.
Diebold, F.X., Herring, R., and
Doherty, N. (2010), "The Known, the Unknown, and the Unknowable in
Financial Risk Management". Introduction to our
book with the same title.
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. and Herring, R. (2009), "The New Role of Risk
Management: Rebuilding the Model”, Knowledge@Wharton
Interview, June 24. Audio and related materials here.
Diebold, F.X., (2004),
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.
Diebold, F.X., (2001),
Retrospect and Prospect," Journal of Econometrics, 100,
Looking backward and forward on the twenty-fifth anniversary of the founding
of the Journal of Econometrics.
Andersen, T., Bollerslev,
T., and Diebold, F.X., (2000), "Great
Realizations," Risk, March, 105-108.
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.
Diebold, F.X., (1998),
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
Diebold, F.X., (Circa 2015-16) Tennis match dynamic graphics