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Details about Raffaella Giacomini

E-mail:
Homepage:http://raffaellagiacomini.wix.com/research
Workplace:Department of Economics, University College London (UCL), (more information at EDIRC)

Access statistics for papers by Raffaella Giacomini.

Last updated 2013-05-07. Update your information in the RePEc Author Service.

Short-id: pgi20


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Working Papers

2015

  1. Models, Inattention and Expectation Updates
    Discussion Papers, Centre for Macroeconomics (CFM) Downloads View citations (2)

2012

  1. A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (1)
  2. Incorporating theoretical restrictions into forecasting by projection methods
    2012 Meeting Papers, Society for Economic Dynamics Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) Downloads View citations (4)

2010

  1. Model Comparisons in Unstable Environments
    Working Papers, Duke University, Department of Economics Downloads View citations (9)
    Also in Working Papers, Duke University, Department of Economics (2009) Downloads View citations (4)

2009

  1. Model Selection in Unstable Environments
    2009 Meeting Papers, Society for Economic Dynamics

2008

  1. Forecast Comparisons in Unstable Environments
    Working Papers, Duke University, Department of Economics Downloads View citations (13)
    See also Journal Article in Journal of Applied Econometrics (2010)

2007

  1. Mixtures of t-distributions for Finance and Forecasting
    Economics Series, Institute for Advanced Studies Downloads
    See also Journal Article in Journal of Econometrics (2008)

2006

  1. Detecting and Predicting Forecast Breakdowns
    Working Papers, Duke University, Department of Economics Downloads View citations (2)
    Also in UCLA Economics Working Papers, UCLA Department of Economics (2005) Downloads View citations (8)

    See also Journal Article in Review of Economic Studies (2009)

2005

  1. Comparing Density Forecsts via Weighted Likelihood Ratio Tests
    Working Papers, University of Brescia, Department of Economics Downloads View citations (14)
    See also Journal Article in Journal of Business & Economic Statistics (2007)
  2. How Stable is the Forecasting Performance of the Yield Curve for Outpot Growth?
    Working Papers, Duke University, Department of Economics Downloads View citations (1)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2006)

2003

  1. Evaluation and Combination of Conditional Quantile Forecasts
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (6)
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2002) Downloads View citations (3)

    See also Journal Article in Journal of Business & Economic Statistics (2005)
  2. Tests of Conditional Predictive Ability
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (27)
    Also in Boston College Working Papers in Economics, Boston College Department of Economics (2003) Downloads View citations (31)
    Econometrics, EconWPA (2003) Downloads View citations (51)

    See also Journal Article in Econometrica (2006)

2002

  1. Aggregation of Space-Time Processes
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (2)
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2001) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2004)
  2. Comparing Density Forecasts via Weighted Likelihood Ratio Tests: Asymptotic and Bootstrap Methods
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (15)
    Also in Boston College Working Papers in Economics, Boston College Department of Economics (2002) Downloads View citations (16)
  3. Hypernormal Densities
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2002) Downloads
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2002) Downloads

Journal Articles

2011

  1. How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
    Journal of Econometrics, 2011, 164, (1), 21-34 Downloads View citations (18)

2010

  1. Forecast comparisons in unstable environments
    Journal of Applied Econometrics, 2010, 25, (4), 595-620 Downloads View citations (100)
    See also Working Paper (2008)

2009

  1. Detecting and Predicting Forecast Breakdowns
    Review of Economic Studies, 2009, 76, (2), 669-705 Downloads View citations (45)
    See also Working Paper (2006)

2008

  1. Mixtures of t-distributions for finance and forecasting
    Journal of Econometrics, 2008, 144, (1), 175-192 Downloads View citations (5)
    See also Working Paper (2007)

2007

  1. Comparing Density Forecasts via Weighted Likelihood Ratio Tests
    Journal of Business & Economic Statistics, 2007, 25, 177-190 Downloads View citations (241)
    See also Working Paper (2005)

2006

  1. How Stable is the Forecasting Performance of the Yield Curve for Output Growth?
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 783-795 Downloads View citations (44)
    See also Working Paper (2005)
  2. Tests of Conditional Predictive Ability
    Econometrica, 2006, 74, (6), 1545-1578 Downloads View citations (457)
    See also Working Paper (2003)

2005

  1. Evaluation and Combination of Conditional Quantile Forecasts
    Journal of Business & Economic Statistics, 2005, 23, 416-431 Downloads View citations (75)
    See also Working Paper (2003)

2004

  1. Aggregation of space-time processes
    Journal of Econometrics, 2004, 118, (1-2), 7-26 Downloads View citations (69)
    See also Working Paper (2002)
 
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