Francis X. Diebold

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Using high-frequency data on deutschemark and yen returns against the dollar, we construct model-free estimates of daily exchange rate volatility and correlation that cover an entire decade. Our estimates, termed realized volatilities and correlations, are not only model-free, but also approximately free of measurement error under general conditions, which(More)
In the first half of this century, special attention was given to two features of the business cycle: the comovement of many individual economic series and the different behavior of the economy during expansions and contractions. Recent theoretical and empirical research has revived interest in each attribute separately, and we survey this work. Notable(More)
W e consider three sets of phenomena that feature prominently in the financial economics literature: (1) conditional mean dependence (or lack thereof) in asset returns, (2) dependence (and hence forecastability) in asset return signs, and (3) dependence (and hence forecastability) in asset return volatilities. We show that they are very much interrelated(More)
Current practice largely follows restrictive approaches to market risk measurement , such as historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit recent developments in financial econometrics and are likely to produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level(More)
  • David Menzie, Chinn, David Bowman, Leo Breiman Alessandra Casella, Francis X Diebold, Barry Eichengreen Jeffrey +4 others
  • 1991
After discussing the inconclusive results of linear structural models as applied to exchange rates, this paper assesses the possibilities of using a particular form of nonlinear estimation, called Alternating Conditional Expectations. as: (i) a diagnostic tool, and (ii) a forecasting method. It contrasts the forecast performance of various linear (in(More)
In this dissertation we study the dynamic and static probabilistic structure of the distribution of equity transaction times on financial markets. We propose dynamic, non-linear, non-Gaussian state space models to investigate both the structure of the associated inter-trade durations, and the properties of the number of transactions over a mesh of fixed(More)
In this dissertation, I propose a new model for the analysis of financial durations. The new model improves upon several limitations of the autoregressive conditional duration (ACD) model considered in Engle and Russell (Econometrica 66(5) (1998) 1127-1162). Instead of adopting the multiplicative error form assumed by the ACD model, I establish a mixture of(More)
  • Leonardo Melosi, Frank Schorfheide, Francis X Diebold, Dario Caldara, Matthieu Darracq Pariès, Marco Del Negro +7 others
  • 2014
In the first chapter, I develop and estimate a dynamic general equilibrium model with imperfectly informed firms in the sense of Woodford (2002). The model has two aggregate shocks: a monetary policy shock and a technology shock. Firms observe idiosyncratic noisy signals about these shocks and face strategic complementarities in price setting. In this(More)
In the first chapter, I estimate dynamic factors from the term structure of credit spreads and the term structure of equity option implied volatilities, and I provide a comprehensive characterization of the dynamic relationships among those credit spread factors and equity volatility factors. I find strong evidence that the volatility factors, especially(More)