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Details about Francesco Ravazzolo

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Homepage:http://www.francescoravazzolo.com/
Workplace:Facoltà di Economia / Wirtschaftswissenschaftliche Fakutät (Faculty of Economics), Libera Università di Bolzano / Freie Universität Bozen (Free University of Bozen-Bolzano), (more information at EDIRC)

Access statistics for papers by Francesco Ravazzolo.

Last updated 2018-01-30. Update your information in the RePEc Author Service.

Short-id: pra286


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Working Papers

2018

  1. Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration
    Papers, arXiv.org Downloads View citations (2)
    Also in Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2018) Downloads View citations (2)
  2. Forecasting Cryptocurrencies Financial Time Series
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School Downloads View citations (1)
  3. Markov Switching Panel with Network Interaction Effects
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School Downloads
  4. Predicting the Volatility of Cryptocurrency Time–Series
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School Downloads View citations (4)

2017

  1. Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns
    Staff Working Papers, Bank of Canada Downloads View citations (1)
    See also Journal Article in Journal of International Money and Finance (2018)
  2. Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
    Also in Working Paper, Norges Bank (2015) Downloads View citations (8)
  3. The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
  4. Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2016) Downloads View citations (2)
  5. 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 Downloads
    Also in Working Papers, University of Tasmania, Tasmanian School of Business and Economics (2017) Downloads

2016

  1. Commodity Futures and Forecasting Commodity Currencies
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School Downloads
  2. Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (1)
    Also in Working Paper, Norges Bank (2013) Downloads View citations (1)
  3. 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 Downloads
    Also in Working Paper, Norges Bank (2015) Downloads
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2015) Downloads

    See also Journal Article in International Journal of Forecasting (2017)

2015

  1. 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 Downloads View citations (12)
    Also in Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2015) Downloads View citations (8)
    Working Paper, Norges Bank (2015) Downloads View citations (8)
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2015) Downloads View citations (8)
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics (2015) Downloads View citations (8)
  2. Bayesian Nonparametric Calibration and Combination of Predictive Distributions
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (2)
    Also in Working Paper, Norges Bank (2015) Downloads View citations (2)
  3. Forecasting commodity currencies: the role of fundamentals with short-lived predictive content
    Working Paper, Norges Bank Downloads View citations (4)
  4. Identification and real-time forecasting of Norwegian business cycles
    Working Paper, Norges Bank Downloads
    See also Journal Article in International Journal of Forecasting (2016)
  5. Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Journal of Applied Econometrics (2016)
  6. 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 Downloads View citations (1)
    Also in Working Paper, Norges Bank (2013) Downloads View citations (1)

    See also Journal Article in Journal of Business & Economic Statistics (2017)
  7. Measuring sovereign contagion in Europe
    SAFE Working Paper Series, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt Downloads View citations (6)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) Downloads View citations (58)
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2012) Downloads View citations (24)
    Working Paper, Norges Bank (2012) Downloads View citations (12)
  8. Oil-Price Density Forecasts of U.S. GDP
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School Downloads
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2016)
  9. Optimal Portfolio Choice under Decision-Based Model Combinations
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School Downloads
    Also in Working Papers, Brandeis University, Department of Economics and International Businesss School (2014) Downloads
    Working Paper, Norges Bank (2014) Downloads

    See also Journal Article in Journal of Applied Econometrics (2016)
  10. Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (8)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013) Downloads
    Working Paper, Norges Bank (2014) Downloads
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2013) Downloads View citations (4)

    See also Journal Article in Journal of Statistical Software (2015)
  11. Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts
    Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association Downloads View citations (1)
    Also in Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2015) Downloads View citations (1)
    Working Papers (Old Series), Federal Reserve Bank of Cleveland (2015) Downloads View citations (1)

    See also Journal Article in Journal of Business & Economic Statistics (2017)

2014

  1. Combined Density Nowcasting in an Uncertain Economic Environment
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    Also in Working Paper, Norges Bank (2014) Downloads View citations (1)
  2. Density forecasts with MIDAS models
    Working Paper, Norges Bank Downloads View citations (4)
    Also in Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2014) Downloads View citations (4)

    See also Journal Article in Journal of Applied Econometrics (2017)
  3. Forecasting recessions in real time
    Working Paper, Norges Bank Downloads View citations (2)
  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) Downloads View citations (18)
    Also in Working Paper, Norges Bank (2011) Downloads View citations (3)

    See also Journal Article in Journal of Empirical Finance (2014)
  5. Identification of financial factors in economic fluctuations
    KOF Working papers, KOF Swiss Economic Institute, ETH Zurich Downloads View citations (8)
    Also in Working Paper, Norges Bank (2014) Downloads View citations (30)
  6. Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    Also in Working Paper, Norges Bank (2013) Downloads View citations (5)
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2014) Downloads View citations (3)
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2014) Downloads View citations (3)

2012

  1. Combination schemes for turning point predictions
    Working Paper, Norges Bank Downloads View citations (18)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) Downloads
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2012) Downloads View citations (20)

    See also Journal Article in The Quarterly Review of Economics and Finance (2012)
  2. Combining predictive densities using Bayesian filtering with applications to US economic data
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (1)
    Also in Working Paper, Norges Bank (2010) Downloads View citations (5)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) Downloads View citations (4)
  3. Oil price density forecasts: Exploring the linkages with stock markets
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School Downloads View citations (8)
    Also in Working Paper, Norges Bank (2012) Downloads View citations (9)
  4. Real-time inflation forecasting in a changing world
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (22)
    Also in Working Paper, Norges Bank (2009) Downloads View citations (11)

    See also Journal Article in Journal of Business & Economic Statistics (2013)
  5. The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
    Working Paper, Norges Bank Downloads View citations (13)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2012) Downloads View citations (5)
  6. Time-varying Combinations of Predictive Densities using Nonlinear Filtering
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (10)
    See also Journal Article in Journal of Econometrics (2013)

2011

  1. 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 Downloads View citations (4)
  2. 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 Downloads View citations (2)
  3. Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
  4. Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (4)
  5. Forecasting macroeconomic variables using disaggregate survey data
    Working Paper, Norges Bank Downloads
    See also Journal Article in International Journal of Forecasting (2014)
  6. 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 Downloads
    Also in Working Paper, Norges Bank (2011) Downloads
  7. 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 Downloads
    Also in Working Paper, Norges Bank (2010) Downloads View citations (15)

    See also Journal Article in Journal of Money, Credit and Banking (2013)

2010

  1. 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 Downloads View citations (1)
    Also in Working Paper, Norges Bank (2010) Downloads View citations (4)

    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2014)
  2. Term structure forecasting using macro factors and forecast combination
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (13)
    Also in Working Paper, Norges Bank (2010) Downloads View citations (9)
  3. The power of weather
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (2)
    See also Journal Article in Computational Statistics & Data Analysis (2012)
  4. Why do people give less weight to advice the further it is from their initial opinion?
    Working Paper, Norges Bank Downloads

2009

  1. Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    Also in Working Paper, Norges Bank (2009) Downloads

    See also Journal Article in Journal of Forecasting (2010)
  2. Macro modelling with many models
    Working Paper, Norges Bank Downloads View citations (10)

2008

  1. Bayesian near-boundary analysis in basic macroeconomic time series models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (19)
  2. Combining inflation density forecasts
    Working Paper, Norges Bank Downloads View citations (18)
    See also Journal Article in Journal of Forecasting (2010)
  3. The power of weather. Some empirical evidence on predicting day-ahead power prices through weather forecasts
    Working Paper, Norges Bank Downloads View citations (1)

2007

  1. Evaluating real-time forecasts in real-time
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
  2. Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (4)
    Also in MPRA Paper, University Library of Munich, Germany (2007) Downloads View citations (14)
  3. Predictive gains from forecast combinations using time-varying model weights
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (9)
  4. The Power of Weather: Some Empirical Evidence on Predicting Day-ahead Power Prices through Day-ahead Weather Forecasts
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

2006

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

Journal Articles

2018

  1. Assessing the predictive ability of sovereign default risk on exchange rate returns
    Journal of International Money and Finance, 2018, 81, (C), 242-264 Downloads View citations (1)
    See also Working Paper (2017)

2017

  1. Density Forecasts With Midas Models
    Journal of Applied Econometrics, 2017, 32, (4), 783-801 Downloads View citations (4)
    See also Working Paper (2014)
  2. Forecasting GDP with global components: This time is different
    International Journal of Forecasting, 2017, 33, (1), 153-173 Downloads View citations (4)
    See also Working Paper (2016)
  3. 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 Downloads View citations (3)
    See also Working Paper (2015)
  4. Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts
    Journal of Business & Economic Statistics, 2017, 35, (3), 470-485 Downloads View citations (3)
    See also Working Paper (2015)

2016

  1. Bayesian Calibration of Generalized Pools of Predictive Distributions
    Econometrics, 2016, 4, (1), 1-24 Downloads
  2. Computational Complexity and Parallelization in Bayesian Econometric Analysis
    Econometrics, 2016, 4, (1), 1-3 Downloads
  3. Identification and real-time forecasting of Norwegian business cycles
    International Journal of Forecasting, 2016, 32, (2), 283-292 Downloads View citations (8)
    See also Working Paper (2015)
  4. 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 Downloads View citations (11)
    See also Working Paper (2015)
  5. Oil-price density forecasts of US GDP
    Studies in Nonlinear Dynamics & Econometrics, 2016, 20, (4), 441-453 Downloads View citations (4)
    See also Working Paper (2015)
  6. On the correlation between commodity and equity returns: Implications for portfolio allocation
    Journal of Commodity Markets, 2016, 2, (1), 45-57 Downloads View citations (13)
  7. Optimal Portfolio Choice Under Decision‐Based Model Combinations
    Journal of Applied Econometrics, 2016, 31, (7), 1312-1332 Downloads View citations (8)
    See also Working Paper (2015)

2015

  1. Macroeconomic Forecasting Performance under Alternative Specifications of Time‐Varying Volatility
    Journal of Applied Econometrics, 2015, 30, (4), 551-575 Downloads View citations (71)
  2. Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox
    Journal of Statistical Software, 2015, 068, (i03) Downloads View citations (8)
    See also Working Paper (2015)

2014

  1. Forecast densities for economic aggregates from disaggregate ensembles
    Studies in Nonlinear Dynamics & Econometrics, 2014, 18, (4), 15 Downloads View citations (28)
    See also Working Paper (2010)
  2. Forecasting macroeconomic variables using disaggregate survey data
    International Journal of Forecasting, 2014, 30, (1), 65-77 Downloads View citations (22)
    See also Working Paper (2011)
  3. Forecasting the intraday market price of money
    Journal of Empirical Finance, 2014, 29, (C), 304-315 Downloads View citations (23)
    See also Working Paper (2014)
  4. 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 Downloads

2013

  1. 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 Downloads View citations (4)
  2. Oil and U.S. GDP: A Real‐Time Out‐of‐Sample Examination
    Journal of Money, Credit and Banking, 2013, 45, (2-3), 449-463 Downloads View citations (17)
    See also Working Paper (2011)
  3. Real-Time Inflation Forecasting in a Changing World
    Journal of Business & Economic Statistics, 2013, 31, (1), 29-44 Downloads View citations (73)
    See also Working Paper (2012)
  4. Time-varying combinations of predictive densities using nonlinear filtering
    Journal of Econometrics, 2013, 177, (2), 213-232 Downloads View citations (57)
    See also Working Paper (2012)

2012

  1. Combination schemes for turning point predictions
    The Quarterly Review of Economics and Finance, 2012, 52, (4), 402-412 Downloads View citations (20)
    See also Working Paper (2012)
  2. The power of weather
    Computational Statistics & Data Analysis, 2012, 56, (11), 3793-3807 Downloads View citations (22)
    See also Working Paper (2010)

2011

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

2010

  1. Combining inflation density forecasts
    Journal of Forecasting, 2010, 29, (1-2), 231-250 Downloads View citations (79)
    See also Working Paper (2008)
  2. Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights
    Journal of Forecasting, 2010, 29, (1-2), 251-269 Downloads View citations (25)
    See also Working Paper (2009)

Chapters

2010

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