Details about Francesco Ravazzolo

Access statistics for papers by Francesco Ravazzolo.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pra286

Working Papers

2023

1. Forecasting consumer confidence through semantic network analysis of online news
   Papers, arXiv.org
2. Forecasting financial markets with semantic network analysis in the COVID-19 crisis
   Papers, arXiv.org View citations (4)
   Also in Working Papers, Center for Research in Economics and Statistics (2021)

2022

3. Are low frequency macroeconomic variables important for high frequency electricity prices?
   Papers, arXiv.org

2021

4. A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance
   Tinbergen Institute Discussion Papers, Tinbergen Institute
   Also in Working Paper series, Rimini Centre for Economic Analysis (2020) View citations (5)
5. Adaptive Importance Sampling for DSGE Models
   BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen
6. Combining Bayesian VARs with survey density forecasts: does it pay off?
   Working Paper Series, European Central Bank View citations (12)
7. Corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic: A Bayesian Markov switching model
   Working Paper series, Rimini Centre for Economic Analysis
8. Forecasting Energy Commodity Prices: A Large Global Dataset Sparse Approach
   BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen View citations (11)
   Also in Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2019) View citations (3)
   Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2019) View citations (3)
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2019) View citations (3)
   Working Papers, University of Tasmania, Tasmanian School of Business and Economics (2019) View citations (3)
9. Markov Switching Panel with Endogenous Synchronization Effects
   BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen View citations (4)
10. Oil and fiscal policy regimes
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
    Also in Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2020)

2020

11. Dynamic Bayesian forecasting of English Premier League match results with the Skellam distribution
    BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen
12. Large Time-Varying Volatility Models for Electricity Prices
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (4)
13. Proper scoring rules for evaluating asymmetry in density forecasting
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School
    Also in Papers, arXiv.org (2020)

2019

14. A New Economic Framework: A DSGE Model with Cryptocurrency
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (6)
15. Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration
    Papers, arXiv.org View citations (5)
    Also in Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2018) View citations (4)
    See also Journal Article Comparing the forecasting performances of linear models for electricity prices with high RES penetration, International Journal of Forecasting, Elsevier (2020) View citations (33) (2020)
16. Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach
    BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen View citations (2)
    Also in Working Papers, University of Pretoria, Department of Economics (2019) View citations (2)
    See also Journal Article Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach, The North American Journal of Economics and Finance, Elsevier (2021) View citations (11) (2021)
17. Density Forecasting
    BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen
18. Forecast density combinations with dynamic learning for large data sets in economics and finance
    Working Paper, Norges Bank View citations (1)
19. Forecasting daily electricity prices with monthly macroeconomic variables
    Working Paper Series, European Central Bank View citations (3)
20. Optimism in Financial Markets: Stock Market Returns and Investor Sentiments
    BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen View citations (12)
    See also Journal Article Optimism in Financial Markets: Stock Market Returns and Investor Sentiments, JRFM, MDPI (2019) View citations (10) (2019)

2018

21. A scoring rule for factor and autoregressive models under misspecification
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"
    See also Journal Article A Scoring Rule for Factor and Autoregressive Models Under Misspecification, Advances in Decision Sciences, Asia University, Taiwan (2020) (2020)
22. Forecasting Cryptocurrencies Financial Time Series
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (4)
23. Markov Switching Panel with Network Interaction Effects
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (2)
24. Predicting the Volatility of Cryptocurrency Time Series
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (11)
25. The Evolution of Forecast Density Combinations in Economics
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (15)

2017

26. Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns
    Staff Working Papers, Bank of Canada View citations (1)
    See also Journal Article Assessing the predictive ability of sovereign default risk on exchange rate returns, Journal of International Money and Finance, Elsevier (2018) View citations (8) (2018)
27. Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    Also in Working Paper, Norges Bank (2015) View citations (14)
28. The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    See also Journal Article The bank-sovereign nexus: Evidence from a non-bailout episode, Journal of Empirical Finance, Elsevier (2019) View citations (3) (2019)
29. Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
30. World steel production: A new monthly indicator of global real economic activity
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (3)
    Also in Working Papers, University of Tasmania, Tasmanian School of Business and Economics (2017) View citations (4)
    See also Journal Article World steel production: A new monthly indicator of global real economic activity, Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons (2020) View citations (22) (2020)

2016

31. Commodity Futures and Forecasting Commodity Currencies
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (2)
32. Forecasting GDP with global components. This time is different
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
    Also in Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2015) View citations (6)
    Working Paper, Norges Bank (2015) View citations (5)
    See also Journal Article Forecasting GDP with global components: This time is different, International Journal of Forecasting, Elsevier (2017) View citations (20) (2017)

2015

33. A New Monthly Indicator of Global Real Economic Activity
    Working Paper, Norges Bank View citations (17)
    Also in Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2015) View citations (17)
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics (2015) View citations (17)
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2015) View citations (9)
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2015) View citations (20)
34. Bayesian Nonparametric Calibration and Combination of Predictive Distributions
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (1)
    Also in Working Paper, Norges Bank (2015) View citations (1)
    See also Journal Article Bayesian Nonparametric Calibration and Combination of Predictive Distributions, Journal of the American Statistical Association, Taylor & Francis Journals (2018) View citations (28) (2018)
35. Forecasting commodity currencies: the role of fundamentals with short-lived predictive content
    Working Paper, Norges Bank View citations (8)
36. Identification and real-time forecasting of Norwegian business cycles
    Working Paper, Norges Bank View citations (1)
    See also Journal Article Identification and real-time forecasting of Norwegian business cycles, International Journal of Forecasting, Elsevier (2016) View citations (24) (2016)
37. Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) View citations (34) (2016)
38. Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (2)
    Also in Working Paper, Norges Bank (2013) View citations (1)
    See also Journal Article Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section, Journal of Business & Economic Statistics, Taylor & Francis Journals (2017) View citations (12) (2017)
39. Measuring sovereign contagion in Europe
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (17)
    Also in Working Paper, Norges Bank (2012) View citations (27)
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2012) View citations (40)
    NBER Working Papers, National Bureau of Economic Research, Inc (2013) View citations (88)
    See also Journal Article Measuring sovereign contagion in Europe, Journal of Financial Stability, Elsevier (2018) View citations (97) (2018)
40. Oil-Price Density Forecasts of U.S. GDP
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School
    See also Journal Article Oil-price density forecasts of US GDP, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2016) View citations (14) (2016)
41. Optimal Portfolio Choice under Decision-Based Model Combinations
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (1)
    Also in Working Paper, Norges Bank (2014)
    Working Papers, Brandeis University, Department of Economics and International Business School (2014)
    See also Journal Article Optimal Portfolio Choice Under Decision‐Based Model Combinations, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) View citations (36) (2016)
42. Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (23)
    Also in Working Paper, Norges Bank (2014) View citations (1)
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2013) View citations (6)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013) View citations (3)
    See also Journal Article Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox, Journal of Statistical Software, Foundation for Open Access Statistics (2015) View citations (23) (2015)
43. Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts
    Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (1)
    Also in Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2015) View citations (6)
    VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association (2015) View citations (6)
    See also Journal Article Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts, Journal of Business & Economic Statistics, Taylor & Francis Journals (2017) View citations (42) (2017)

2014

44. Combined Density Nowcasting in an Uncertain Economic Environment
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
    Also in Working Paper, Norges Bank (2014) View citations (2)
    See also Journal Article Combined Density Nowcasting in an Uncertain Economic Environment, Journal of Business & Economic Statistics, Taylor & Francis Journals (2018) View citations (40) (2018)
45. Density forecasts with MIDAS models
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (5)
    Also in Working Paper, Norges Bank (2014) View citations (5)
    See also Journal Article Density Forecasts With Midas Models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) View citations (17) (2017)
46. Forecasting recessions in real time
    Working Paper, Norges Bank View citations (4)
47. Forecasting the intraday market price of money
    DISCE - Working Papers del Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE) View citations (31)
    Also in Working Paper, Norges Bank (2011) View citations (3)
    See also Journal Article Forecasting the intraday market price of money, Journal of Empirical Finance, Elsevier (2014) View citations (30) (2014)
48. Identification of financial factors in economic fluctuations
    KOF Working papers, KOF Swiss Economic Institute, ETH Zurich View citations (18)
    Also in Working Paper, Norges Bank (2014) View citations (36)
    See also Journal Article Identification of Financial Factors in Economic Fluctuations, The Economic Journal, Royal Economic Society (2019) View citations (50) (2019)
49. Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
    Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2014) View citations (4)
    Working Paper, Norges Bank (2013) View citations (9)
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2014) View citations (5)

2013

50. Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad?
    Working Paper, Norges Bank View citations (1)
    See also Journal Article Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?, Journal of Financial Econometrics, Oxford University Press (2018) View citations (3) (2018)

2012

51. Combination schemes for turning point predictions
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (34)
    Also in Working Paper, Norges Bank (2012) View citations (34)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2011)
    See also Journal Article Combination schemes for turning point predictions, The Quarterly Review of Economics and Finance, Elsevier (2012) View citations (34) (2012)
52. Combining predictive densities using Bayesian filtering with applications to US economic data
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (2)
    Also in Working Paper, Norges Bank (2010) View citations (4)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) View citations (6)
53. Oil price density forecasts: Exploring the linkages with stock markets
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (12)
    Also in Working Paper, Norges Bank (2012) View citations (12)
54. The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
    Working Paper, Norges Bank View citations (17)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2012) View citations (6)
55. Time-varying Combinations of Predictive Densities using Nonlinear Filtering
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (10)
    See also Journal Article Time-varying combinations of predictive densities using nonlinear filtering, Journal of Econometrics, Elsevier (2013) View citations (105) (2013)

2011

56. A Bayesian multi-factor model of instability in prices and quantities of risk in U.S. financial markets
    Working Papers, Federal Reserve Bank of St. Louis View citations (4)
57. Backtesting Value-at-Risk using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
58. Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
59. Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
60. Forecasting macroeconomic variables using disaggregate survey data
    Working Paper, Norges Bank View citations (2)
    See also Journal Article Forecasting macroeconomic variables using disaggregate survey data, International Journal of Forecasting, Elsevier (2014) View citations (35) (2014)
61. Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate. Evidence from Multi-Factor Asset Pricing Models of REIT Returns
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
    Also in Working Paper, Norges Bank (2011)
62. Oil and US GDP: A Real-Time out-of Sample Examination
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School
    Also in Working Paper, Norges Bank (2010) View citations (16)
    See also Journal Article Oil and U.S. GDP: A Real-Time Out-of-Sample Examination, Journal of Money, Credit and Banking, Blackwell Publishing (2013) View citations (40) (2013)

2010

63. Forecast Densities for Economic Aggregates from Disaggregate Ensembles
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (2)
    Also in Working Paper, Norges Bank (2010) View citations (4)
    See also Journal Article Forecast densities for economic aggregates from disaggregate ensembles, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2014) View citations (44) (2014)
64. Term structure forecasting using macro factors and forecast combination
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (16)
    Also in Working Paper, Norges Bank (2010) View citations (23)
65. Why do people give less weight to advice the further it is from their initial opinion?
    Working Paper, Norges Bank

2009

66. Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (8)
    Also in Working Paper, Norges Bank (2009) View citations (4)
    See also Journal Article Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights, Journal of Forecasting, John Wiley & Sons, Ltd. (2010) View citations (41) (2010)
67. Macro modelling with many models
    Working Paper, Norges Bank View citations (14)
68. Real-Time Inflation Forecasting in a Changing World
    Working Paper, Norges Bank View citations (18)
    Also in Staff Reports, Federal Reserve Bank of New York (2009) View citations (22)
    See also Journal Article Real-Time Inflation Forecasting in a Changing World, Journal of Business & Economic Statistics, Taylor & Francis Journals (2013) View citations (123) (2013)

2008

69. Bayesian near-boundary analysis in basic macroeconomic time series models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (19)
70. Combining inflation density forecasts
    Working Paper, Norges Bank View citations (19)
    See also Journal Article Combining inflation density forecasts, Journal of Forecasting, John Wiley & Sons, Ltd. (2010) View citations (102) (2010)
71. The power of weather. Some empirical evidence on predicting day-ahead power prices through weather forecasts
    Working Paper, Norges Bank View citations (1)

2007

72. Evaluating real-time forecasts in real-time
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
73. Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (18)
    Also in MPRA Paper, University Library of Munich, Germany (2007) View citations (17)
74. Predictive gains from forecast combinations using time-varying model weights
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (13)
75. The Power of Weather: Some Empirical Evidence on Predicting Day-ahead Power Prices through Day-ahead Weather Forecasts
    Tinbergen Institute Discussion Papers, Tinbergen Institute

2006

76. Bayesian Model Averaging in the Presence of Structural Breaks
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (14)

Journal Articles

2023

1. A Bayesian DSGE Approach to Modelling Cryptocurrency"
   Review of Economic Dynamics, 2023, 51, 1012-1035

2021

2. Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach
   The North American Journal of Economics and Finance, 2021, 55, (C) View citations (11)
   See also Working Paper Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach, BEMPS - Bozen Economics & Management Paper Series (2019) View citations (2) (2019)

2020

3. A Scoring Rule for Factor and Autoregressive Models Under Misspecification
   Advances in Decision Sciences, 2020, 24, (2), 66-103
   See also Working Paper A scoring rule for factor and autoregressive models under misspecification, Working Papers (2018) (2018)
4. Bayesian Econometrics
   JRFM, 2020, 13, (11), 1-2
5. Comparing the forecasting performances of linear models for electricity prices with high RES penetration
   International Journal of Forecasting, 2020, 36, (3), 974-986 View citations (33)
   See also Working Paper Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration, Papers (2019) View citations (5) (2019)
6. World steel production: A new monthly indicator of global real economic activity
   Canadian Journal of Economics/Revue canadienne d'économique, 2020, 53, (2), 743-766 View citations (22)
   See also Working Paper World steel production: A new monthly indicator of global real economic activity, CAMA Working Papers (2017) View citations (3) (2017)

2019

7. Forecasting cryptocurrencies under model and parameter instability
   International Journal of Forecasting, 2019, 35, (2), 485-501 View citations (61)
8. Identification of Financial Factors in Economic Fluctuations
   The Economic Journal, 2019, 129, (617), 311-337 View citations (50)
   See also Working Paper Identification of financial factors in economic fluctuations, KOF Working papers (2014) View citations (18) (2014)
9. Optimism in Financial Markets: Stock Market Returns and Investor Sentiments
   JRFM, 2019, 12, (2), 1-14 View citations (10)
   See also Working Paper Optimism in Financial Markets: Stock Market Returns and Investor Sentiments, BEMPS - Bozen Economics & Management Paper Series (2019) View citations (12) (2019)
10. The bank-sovereign nexus: Evidence from a non-bailout episode
    Journal of Empirical Finance, 2019, 53, (C), 181-196 View citations (3)
    See also Working Paper The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode, CREATES Research Papers (2017) (2017)

2018

11. Assessing the predictive ability of sovereign default risk on exchange rate returns
    Journal of International Money and Finance, 2018, 81, (C), 242-264 View citations (8)
    See also Working Paper Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns, Staff Working Papers (2017) View citations (1) (2017)
12. Bayesian Nonparametric Calibration and Combination of Predictive Distributions
    Journal of the American Statistical Association, 2018, 113, (522), 675-685 View citations (28)
    See also Working Paper Bayesian Nonparametric Calibration and Combination of Predictive Distributions, Working Papers (2015) View citations (1) (2015)
13. Combined Density Nowcasting in an Uncertain Economic Environment
    Journal of Business & Economic Statistics, 2018, 36, (1), 131-145 View citations (40)
    See also Working Paper Combined Density Nowcasting in an Uncertain Economic Environment, Tinbergen Institute Discussion Papers (2014) View citations (2) (2014)
14. Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?
    Journal of Financial Econometrics, 2018, 16, (1), 34-62 View citations (3)
    See also Working Paper Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad?, Working Paper (2013) View citations (1) (2013)
15. Measuring sovereign contagion in Europe
    Journal of Financial Stability, 2018, 34, (C), 150-181 View citations (97)
    See also Working Paper Measuring sovereign contagion in Europe, SAFE Working Paper Series (2015) View citations (17) (2015)

2017

16. Density Forecasts With Midas Models
    Journal of Applied Econometrics, 2017, 32, (4), 783-801 View citations (17)
    See also Working Paper Density forecasts with MIDAS models, Working Papers (2014) View citations (5) (2014)
17. Forecasting GDP with global components: This time is different
    International Journal of Forecasting, 2017, 33, (1), 153-173 View citations (20)
    See also Working Paper Forecasting GDP with global components. This time is different, CAMA Working Papers (2016) (2016)
18. Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section
    Journal of Business & Economic Statistics, 2017, 35, (1), 110-129 View citations (12)
    See also Working Paper Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section, Working Papers (2015) View citations (2) (2015)
19. Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts
    Journal of Business & Economic Statistics, 2017, 35, (3), 470-485 View citations (42)
    See also Working Paper Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts, Working Papers (Old Series) (2015) View citations (1) (2015)

2016

20. Bayesian Calibration of Generalized Pools of Predictive Distributions
    Econometrics, 2016, 4, (1), 1-24 View citations (6)
21. Computational Complexity and Parallelization in Bayesian Econometric Analysis
    Econometrics, 2016, 4, (1), 1-3
22. Identification and real-time forecasting of Norwegian business cycles
    International Journal of Forecasting, 2016, 32, (2), 283-292 View citations (24)
    See also Working Paper Identification and real-time forecasting of Norwegian business cycles, Working Paper (2015) View citations (1) (2015)
23. Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model
    Journal of Applied Econometrics, 2016, 31, (7), 1352-1370 View citations (34)
    See also Working Paper Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode, Tinbergen Institute Discussion Papers (2015) (2015)
24. Oil-price density forecasts of US GDP
    Studies in Nonlinear Dynamics & Econometrics, 2016, 20, (4), 441-453 View citations (14)
    See also Working Paper Oil-Price Density Forecasts of U.S. GDP, Working Papers (2015) (2015)
25. On the correlation between commodity and equity returns: Implications for portfolio allocation
    Journal of Commodity Markets, 2016, 2, (1), 45-57 View citations (59)
26. Optimal Portfolio Choice Under Decision‐Based Model Combinations
    Journal of Applied Econometrics, 2016, 31, (7), 1312-1332 View citations (36)
    See also Working Paper Optimal Portfolio Choice under Decision-Based Model Combinations, Working Papers (2015) View citations (1) (2015)

2015

27. Macroeconomic Forecasting Performance under Alternative Specifications of Time‐Varying Volatility
    Journal of Applied Econometrics, 2015, 30, (4), 551-575 View citations (200)
28. Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox
    Journal of Statistical Software, 2015, 068, (i03) View citations (23)
    See also Working Paper Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox, Tinbergen Institute Discussion Papers (2015) View citations (23) (2015)

2014

29. Forecast densities for economic aggregates from disaggregate ensembles
    Studies in Nonlinear Dynamics & Econometrics, 2014, 18, (4), 367-381 View citations (44)
    See also Working Paper Forecast Densities for Economic Aggregates from Disaggregate Ensembles, CAMA Working Papers (2010) View citations (2) (2010)
30. Forecasting macroeconomic variables using disaggregate survey data
    International Journal of Forecasting, 2014, 30, (1), 65-77 View citations (35)
    See also Working Paper Forecasting macroeconomic variables using disaggregate survey data, Working Paper (2011) View citations (2) (2011)
31. Forecasting the intraday market price of money
    Journal of Empirical Finance, 2014, 29, (C), 304-315 View citations (30)
    See also Working Paper Forecasting the intraday market price of money, DISCE - Working Papers del Dipartimento di Economia e Finanza (2014) View citations (31) (2014)
32. Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate
    The Journal of Real Estate Finance and Economics, 2014, 49, (4), 477-523

2013

33. Alternative econometric implementations of multi-factor models of the U.S. financial markets
    The Quarterly Review of Economics and Finance, 2013, 53, (2), 87-111 View citations (4)
34. Oil and U.S. GDP: A Real-Time Out-of-Sample Examination
    Journal of Money, Credit and Banking, 2013, 45, (2-3), 449-463 View citations (40)
    Also in Journal of Money, Credit and Banking, 2013, 45, (2‐3), 449-463 (2013) View citations (13)
    See also Working Paper Oil and US GDP: A Real-Time out-of Sample Examination, Working Papers (2011) (2011)
35. Real-Time Inflation Forecasting in a Changing World
    Journal of Business & Economic Statistics, 2013, 31, (1), 29-44 View citations (123)
    See also Working Paper Real-Time Inflation Forecasting in a Changing World, Working Paper (2009) View citations (18) (2009)
36. Time-varying combinations of predictive densities using nonlinear filtering
    Journal of Econometrics, 2013, 177, (2), 213-232 View citations (105)
    See also Working Paper Time-varying Combinations of Predictive Densities using Nonlinear Filtering, Tinbergen Institute Discussion Papers (2012) View citations (10) (2012)

2012

37. Combination schemes for turning point predictions
    The Quarterly Review of Economics and Finance, 2012, 52, (4), 402-412 View citations (34)
    See also Working Paper Combination schemes for turning point predictions, Working Papers (2012) View citations (34) (2012)
38. The power of weather
    Computational Statistics & Data Analysis, 2012, 56, (11), 3793-3807 View citations (44)

2011

39. Comment
    Journal of Business & Economic Statistics, 2011, 30, (1), 30-33
40. Why do people place lower weight on advice far from their own initial opinion?
    Economics Letters, 2011, 112, (1), 63-66 View citations (4)

2010

41. Combining inflation density forecasts
    Journal of Forecasting, 2010, 29, (1-2), 231-250 View citations (102)
    See also Working Paper Combining inflation density forecasts, Working Paper (2008) View citations (19) (2008)
42. Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights
    Journal of Forecasting, 2010, 29, (1-2), 251-269 View citations (41)
    See also Working Paper Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights, Tinbergen Institute Discussion Papers (2009) View citations (8) (2009)

Chapters

2010

1. Measuring Core Inflation in Australia with Disaggregate Ensembles
   A chapter in Inflation in an Era of Relative Price Shocks, 2010 View citations (1)