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
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Working Papers
2023
- Forecasting consumer confidence through semantic network analysis of online news
Papers, arXiv.org
- 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
- Are low frequency macroeconomic variables important for high frequency electricity prices?
Papers, arXiv.org
2021
- 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)
- Adaptive Importance Sampling for DSGE Models
BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen
- Combining Bayesian VARs with survey density forecasts: does it pay off?
Working Paper Series, European Central Bank View citations (12)
- Corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic: A Bayesian Markov switching model
Working Paper series, Rimini Centre for Economic Analysis
- 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)
- 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)
- 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
- 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
- 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)
- 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
- 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)
- 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)
- 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)
- Density Forecasting
BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen
- Forecast density combinations with dynamic learning for large data sets in economics and finance
Working Paper, Norges Bank View citations (1)
- Forecasting daily electricity prices with monthly macroeconomic variables
Working Paper Series, European Central Bank View citations (3)
- 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
- 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)
- Forecasting Cryptocurrencies Financial Time Series
Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (4)
- Markov Switching Panel with Network Interaction Effects
Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (2)
- Predicting the Volatility of Cryptocurrency Time Series
Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (11)
- The Evolution of Forecast Density Combinations in Economics
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (15)
2017
- 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)
- 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)
- 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)
- Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model
CEPR Discussion Papers, C.E.P.R. Discussion Papers
- 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
- Commodity Futures and Forecasting Commodity Currencies
Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (2)
- 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
- 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)
- 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)
- Forecasting commodity currencies: the role of fundamentals with short-lived predictive content
Working Paper, Norges Bank View citations (8)
- 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)
- 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)
- 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)
- 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)
- 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)
- 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)
- 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)
- 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
- 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)
- 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)
- Forecasting recessions in real time
Working Paper, Norges Bank View citations (4)
- 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)
- 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)
- 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
- 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
- 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)
- 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)
- 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)
- 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)
- 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
- 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)
- 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)
- Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
- Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
- 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)
- 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)
- 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
- 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)
- 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)
- Why do people give less weight to advice the further it is from their initial opinion?
Working Paper, Norges Bank
2009
- 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)
- Macro modelling with many models
Working Paper, Norges Bank View citations (14)
- 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
- 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)
- 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)
- The power of weather. Some empirical evidence on predicting day-ahead power prices through weather forecasts
Working Paper, Norges Bank View citations (1)
2007
- Evaluating real-time forecasts in real-time
Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
- 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)
- 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)
- 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
- 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
- A Bayesian DSGE Approach to Modelling Cryptocurrency"
Review of Economic Dynamics, 2023, 51, 1012-1035
2021
- 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
- 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)
- Bayesian Econometrics
JRFM, 2020, 13, (11), 1-2
- 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)
- 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
- Forecasting cryptocurrencies under model and parameter instability
International Journal of Forecasting, 2019, 35, (2), 485-501 View citations (61)
- 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)
- 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)
- 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
- 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)
- 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)
- 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)
- 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)
- 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
- 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)
- 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)
- 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)
- 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
- Bayesian Calibration of Generalized Pools of Predictive Distributions
Econometrics, 2016, 4, (1), 1-24 View citations (6)
- Computational Complexity and Parallelization in Bayesian Econometric Analysis
Econometrics, 2016, 4, (1), 1-3
- 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)
- 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)
- 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)
- On the correlation between commodity and equity returns: Implications for portfolio allocation
Journal of Commodity Markets, 2016, 2, (1), 45-57 View citations (59)
- 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
- Macroeconomic Forecasting Performance under Alternative Specifications of Time‐Varying Volatility
Journal of Applied Econometrics, 2015, 30, (4), 551-575 View citations (200)
- 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
- 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)
- 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)
- 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)
- 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
- 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)
- 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)
- 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)
- 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
- 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)
- The power of weather
Computational Statistics & Data Analysis, 2012, 56, (11), 3793-3807 View citations (44)
2011
- Comment
Journal of Business & Economic Statistics, 2011, 30, (1), 30-33
- 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
- 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)
- 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
- Measuring Core Inflation in Australia with Disaggregate Ensembles
A chapter in Inflation in an Era of Relative Price Shocks, 2010 View citations (1)
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