Francesco Ravazzolo



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Working Papers

Commodity Futures and Forecasting Commodity Currencies, Ravazzolo, F., T. Sveen and S. K. Zahiri (2016).

Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model, Casarin, R., C. Foroni, M. Marcellino and F. Ravazzolo (2016).

Forecasting Commodity Currencies: the Role of Fundamentals with Short-lived Predictive Content, Foroni, C., F. Ravazzolo and P. J. Ribeiro (2015).

Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance, Casarin, R., S. Grassi, F. Ravazzolo and H.K. van Dijk (2015).

A New Monthly Indicator of Global Real Economic Activity, Ravazzolo, F. and J.L. Vespignani (2015).

Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?, Bianchi, D., M. Guidolin and F. Ravazzolo (2013).

Measuring Sovereign Contagion in Europe, Caporin, M., L. Pelizzon, F. Ravazzolo and R. Rigobon (2013).

Term Structure Forecasting using Macro Factors and Forecast Combination, De Pooter, M., F. Ravazzolo and D. van Dijk (2010).

Predicting the Term Structure of Interest Rates, De Pooter M., F. Ravazzolo and D. van Dijk (2007).

Evaluating Real-Time Forecasts in Real-Time, Van Dijk, D., P.H. Franses and F. Ravazzolo (2007).

Journal Articles

Identification of financial factors in economic fluctuations, Furlanetto, F., F. Ravazzolo and S. Sarferaz (2017), Economic Journal, forthcoming. Working paper version.

Forecaster's Dilemma: Extreme Events and Forecast Evaluation, Lerch, S., T. Thorarinsdottir, F. Ravazzolo and T. Gneiting (2017), Statistical Science, 32(1), 106-127. Working paper version.

Forecasting GDP with Global Components. This time is different, Bjørnland, H.C., F. Ravazzolo and L.A. Thorusrud (2017), International Journal of Forecasting, 33(1), 153-173. Working paper version.

Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section, Bianchi, D., M. Guidolin and F. Ravazzolo (2017), Journal of Business and Economic Statistics, 35(1), 110-129. Working paper version. Link to programs

Bayesian Nonparametric Calibration and Combination of Predictive Distributions, Bassetti, F., R. Casarin and F. Ravazzolo (2016), Journal of American Statistical Association, forthcoming. Working paper version.

Density forecasts with MIDAS models, Aastveit, K.A., C. Foroni and F. Ravazzolo (2016), Journal of Applied Econometrics, forthcoming. Working paper version.

On the Correlation between Commodity and Equity Returns: Implications for Portfolio Allocation, Lombardi, M. and F. Ravazzolo (2016), Journal of Commodity markets, 2(1), 45-57. Working paper version. Sample of press coverage: WSJ, FT, Reuters, The Telegraph. Link to programs.

Oil-price Density Forecasts of US GDP, Ravazzolo, F. and P. Rothman (2016), Studies of Nonlinear Dynamics and Econometrics, 20(4), 441-453. Working paper version.

A discussion on: Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations, and Forecast Ranking, by W. Ehm, T. Gneiting, A. Jordan, and A. Krueger, Casarin, R. and Ravazzolo, F., (2016), Journal of the Royal Statistical Society, Series B, 78(3), 538-539.

Bayesian Calibration of Generalized Pools of Predictive Distributions, Casarin, R., G. Mantoan and F. Ravazzolo (2016), Econometrics, 4(1), 17.

Identification and real-time forecasting of Norwegian business cycles, Aastveit, K.A., A.S. Jore and F. Ravazzolo (2016), International Journal of Forecasting, 32, 283-292. Working paper version.

Optimal Portfolio Choice under Decision-Based Model Combinations, Pettenuzzo, D. and F. Ravazzolo (2016), Journal of Applied Econometrics, 31(7), 1312-1332. Working paper version.

Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model, Billio, M., R. Casarin, F. Ravazzolo and H.K. van Dijk (2016), Journal of Applied Econometrics, 31(7), 1352-1370. Working paper version.

Combined Density Nowcasting in an Uncertain Economic Environment, Aastveit, K.A., F. Ravazzolo and H.K. van Dijk (2015), Journal of Business and Economic Statistics, forthcoming. Working paper version.

Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts, Kruger, F., T. Clark and F. Ravazzolo (2015), Journal of Business and Economic Statistics, forthcoming. Working paper version.

Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox, Casarin, R., S. Grassi, F. Ravazzolo and H.K. van Dijk (2015), Journal of Statistical Software, 68(3). Working paper version. Link to DeCo webpage

The Macroeconomic Forecasting Performance of Autoregressive Models with Alternative Specifications of Time-Varying Volatility , T. Clark and F. Ravazzolo (2015), Journal of Applied Econometrics, 30(4), 551-575. Working paper version.

Forecasting the Intraday Market Price of Money, A. Monticini and F. Ravazzolo (2014), Journal of Empirical Finance, 39, 304-315. Working paper version.

Forecasting Macroeconomic Variables using Disaggregate Survey Data, Martinsen K., F. Ravazzolo and F. Wulfsberg (2014), International Journal of Forecasting, 30(1), 65–77. Working paper version.

Forecast Densities for Economic Aggregates from Disaggregate Ensembles, Ravazzolo, F. and S. P. Vahey (2014), Studies of Nonlinear Dynamics and Econometrics, 18(4), 367–381. Working paper version.

Time-varying Combinations of Predictive Densities using Nonlinear Filtering, Monica Billio, Roberto Casarin, Francesco Ravazzolo and Herman van Dijk (2013), Journal of Econometrics, 177(2), 213–232. Working paper version.

Alternative Econometric Implementations of Multi-Factor Models of the US Financial Markets, Guidolin M., F. Ravazzolo and A. Donato Tortora (2013), Quarterly Review of Economics and Finance, 53(2), 87-111.

Real-Time Inflation Forecasting in a Changing World, Groen, J.J.J., R. Paap and F. Ravazzolo (2013), Journal of Business and Economic Statistics, 31(1), 29-44. Online appendix. Working paper version.

Myths and Facts about the Alleged Over-Pricing of U.S.Real Estate: Evidence from Multi-Factor Asset Pricing Models of REIT Returns, Guidolin M., F. Ravazzolo and A. Donato Tortora (2013), Journal of Real Estate Finance and Economics. Working paper version.

Combination Schemes for Turning Point Predictions, Billio, M., R. Casarin, F. Ravazzolo F. and H.K. van Dijk (2012), Quarterly Review of Economics and Finance, 52(4), 402-412. Working paper version.

Oil and U.S. GDP: A Real-Time Out-of-Sample Examination, Ravazzolo F. and P. Rothman (2012), Journal of Money, Credit and Banking, 45(2-3), 449-463. Working paper version.

Backtesting Value-at-Risk Using Forecasts for Multiple Horizons - a Comment on the "Forecast Rationality Tests Based on Multi-horizon Bounds" by A.J. patton and A. Timmermann, Hoogerheide L., F. Ravazzolo, H.K. van Dijk (2012), Journal of Business and Economic Statistics, 30(1). Working paper version.

The power of Weather, Huurman C., F. Ravazzolo and C. Zhou (2012), Computational Statistics & Data Analysis, 56, 3793-3807.

Why Do People Place Lower Weight on Advice Far from Their Own Initial Opinion?, Ravazzolo F. and Ø. Røisland (2011), Economics Letters, 112(1), 63-66.

Combining Inflation Density Forecasts, Kascha C. and F. Ravazzolo (2010), Journal of Forecasting, 29, 231-250. Working paper version. Link to programs.

Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time-varying Weights, Hoogerheide L., R. Kelijn, F. Ravazzolo, H.K. van Dijk and M. Verbeek (2010), Journal of Forecasting, 29, 251-269. Working paper version. Ravazzolo F., H. K. van Dijk and M. Verbeek (2007) working paper.

Bayesian Near-boundary Analysis in Basic Macroeconomic Time-series Models, De Pooter M., F. Ravazzolo, R. Segers and H.K. van Dijk (2008), Advances in Econometrics, 23, 331-432. Working paper version. Link to programs.

Book contributions

Macro Modeling with Many Models, Bache, I. W., J. Mitchell, F. Ravazzolo, and S. P. Vahey (2010), in D. Cobham, Ø. Eitrheim, S. Gerlach, and J. Qvigstad (Eds.), Twenty Years of Inflation Targeting: Lessons Learned and Future Prospects, Cambridge University Press, 398-418. Working paper version.

Bayesian model averaging in the presence of structural breaks, Ravazzolo F., R. Paap, D. van Dijk and P.H. Franses (2008), in M. Wohar and D. Rapach (eds.), Forecasting in the Presence of Structural Breaks and Model Uncertainty - Frontiers of Economics and Globalization Series Vol. 3, Emerald Publishing Group, 561-594. Working paper version.

Proceedings and Other Publications

Probabilistic Calibration of Predictive Distributions, Casarin, R., Gneiting T. and Ravazzolo, F., (2014), in Proceedings of the XLVII Scientific Meeting of the Italian Statistical Society, Cagliari, CUEC.

Bayesian combinations of stock price predictions with an application to the Amsterdam Exchange index, Billio, M., R. Casarin, F. Ravazzolo and H.K. van Dijk (2011), Medium for Econometric Applications. Working paper version.

Measuring Core Inflation in Australia with Disaggregate Ensembles, Ravazzolo F. and S. P. Vahey (2009), Proceedings of RBA 2009 Conference, 178-195.

Books

Forecasting Financial Time Series Using Model Averaging, Ravazzolo F., Tinbergen Institute Research Series 415.