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Ravazzolo, Francesco's
Scholarly Papers
Click on the title of any column to sort the table by that
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Aggregate Statistics |
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Total
Downloads
2,543 |
Total
Citations
45 |
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1.
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De Pooter, Michiel
Federal Reserve Board Ravazzolo, Francesco
Norges Bank van Dijk, Dick J. C.
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
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04 Mar 07
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Last Revised:
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04 May 10
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642
(18,314)
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5
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Term structure of interest rates, Nelson-Siegel model, Affine term structure model, forecast combination, Bayesian analysis
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2.
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Ravazzolo, Francesco
Norges Bank Verbeek, Marno
Erasmus University - Rotterdam School of Management van Dijk, H. K.
Tinbergen Institute
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243
(61,686)
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4
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Stock return predictability, time varying weight combination, forecast combination, Bayesian model averaging
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3.
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Ravazzolo, Francesco
Norges Bank van Dijk, Dick J. C.
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute Franses, Philip Hans
Erasmus University Rotterdam (EUR) - Department of Econometrics
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237
(63,395)
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8
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Stock return predictability, model uncertainty, Bayesian model averaging, structural breaks, portfolio selection
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4.
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De Pooter, Michiel
Federal Reserve Board Ravazzolo, Francesco
Norges Bank van Dijk, Dick J. C.
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
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127
(113,968)
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2
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Term structure of interest rates, Nelson-Siegel model, affine term structure model, macro factors, forecast combination, model confidence set
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5.
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Hoogerheide, Lennart F.
Vrije Universiteit Amsterdam - Dept. of Econometrics Kleijn, Richard
affiliation not provided to SSRN Ravazzolo, Francesco
Norges Bank van Dijk, H. K.
Tinbergen Institute Verbeek, Marno
Erasmus University - Rotterdam School of Management
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122
(117,736)
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6
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forecast combination, Bayesian model averaging, time varying model weights, portfolio optimization, business cycle
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6.
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Guidolin, Massimo
Bocconi University - Department of Finance Ravazzolo, Francesco
Norges Bank Tortora, Andrea Donato
Bocconi University
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116
(122,550)
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Bayesian Estimation, Latent Jumps, Stochastic Volatility, Linear Factor Models
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7.
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Ravazzolo, Francesco
Norges Bank Franses, Philip Hans
Erasmus University Rotterdam (EUR) - Department of Econometrics van Dijk, Dick J. C.
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
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90
(146,640)
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Data revision, forecast evaluation, parameter uncertainty, Bayesian estimation, structural breaks
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8.
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Hoogerheide, Lennart F.
Vrije Universiteit Amsterdam - Dept. of Econometrics Ravazzolo, Francesco
Norges Bank van Dijk, H. K.
Tinbergen Institute
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79
(159,204)
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value-at-Risk, backtest, optimal revision, forecast rationality
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9.
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Groen, Jan J. J.
Federal Reserve Bank of New York Paap, Richard
Erasmus University Rotterdam (EUR) - Department of Econometrics Ravazzolo, Francesco
Norges Bank
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03 Sep 09
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Last Revised:
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30 May 12
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73
(166,936)
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11
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inflation forecasting, Phillips correlations, real-time data, structural breaks, model uncertainty, Bayesian model averaging
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10.
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The Power of Weather
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Show Abstracts |
Hide Abstracts |
Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Huurman, Christian
Financial Engineering Associates Ravazzolo, Francesco
Norges Bank Zhou, Chen
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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Posted:
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13 Feb 09
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Last Revised:
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20 Oct 11
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69
(172,449)
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Huurman, Christian
Financial Engineering Associates Ravazzolo, Francesco
Norges Bank Zhou, Chen
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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8
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Electricity prices, weather forecasts, point and density forecasts, GARCH models
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Ravazzolo, Francesco
Norges Bank Huurman, Christian
Financial Engineering Associates Zhou, Chen
De Nederlandsche Bank
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61
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Electricity prices, GARCH models, weather forecasts, point and density forecasts
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11.
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Billio, Monica
Ca Foscari University of Venice - Department of Economics Casarin, Roberto
University of Brescia - Department of Economics Ravazzolo, Francesco
Norges Bank van Dijk, H. K.
Tinbergen Institute
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68
(173,824)
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Density forecast combination, stock data
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12.
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Oil and US GDP: A Real-Time Out-of-Sample Examination
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Show Abstracts |
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Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Ravazzolo, Francesco
Norges Bank Rothman, Philip
East Carolina University
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Posted:
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21 Sep 10
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Last Revised:
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21 Nov 10
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68
(173,824)
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1
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Ravazzolo, Francesco
Norges Bank Rothman, Philip
East Carolina University
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37
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1
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Ravazzolo, Francesco
Norges Bank Rothman, Philip
East Carolina University
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31
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1
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Oil prices, GDP, Granger causality, Forecasting
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13.
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The Macroeconomic Forecasting Performance of Autoregressive Models with Alternative Specifications of Time-Varying Volatility
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Show Abstracts |
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Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Clark, Todd E.
Federal Reserve Bank of Cleveland Ravazzolo, Francesco
Norges Bank
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Posted:
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20 Sep 12
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Last Revised:
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07 May 13
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65
(179,599)
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Clark, Todd E.
Federal Reserve Bank of Cleveland Ravazzolo, Francesco
Norges Bank
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8
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Stochastic volatility, GARCH, forecasting
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Clark, Todd E.
Federal Reserve Bank of Cleveland Ravazzolo, Francesco
Norges Bank
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57
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Stochastic volatility, GARCH, forecasting
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14.
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Billio, Monica
Ca Foscari University of Venice - Department of Economics Casarin, Roberto
University of Brescia - Department of Economics Ravazzolo, Francesco
Norges Bank van Dijk, H. K.
Tinbergen Institute
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62
(182,593)
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2
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Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo
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15.
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Guidolin, Massimo
Bocconi University - Department of Finance Ravazzolo, Francesco
Norges Bank Tortora, Andrea Donato
Bocconi University
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61
(184,125)
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Bayesian estimation, Latent jumps, Stochastic volatility, Linear factor models
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16.
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Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox
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Versions (2)
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Casarin, Roberto
University of Brescia - Department of Economics Grassi, Stefano
University of Aarhus - CREATES Ravazzolo, Francesco
Norges Bank van Dijk, H. K.
Tinbergen Institute
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Posted:
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09 Apr 13
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Last Revised:
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27 Apr 13
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60
(187,234)
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Casarin, Roberto
University of Brescia - Department of Economics Grassi, Stefano
University of Aarhus - CREATES Ravazzolo, Francesco
Norges Bank van Dijk, H. K.
Tinbergen Institute
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6
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Density Forecast Combination, Sequential Monte Carlo, Parallel Computing, GPU, Matlab
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Casarin, Roberto
University of Brescia - Department of Economics Grassi, Stefano
University of Aarhus - CREATES Ravazzolo, Francesco
Norges Bank van Dijk, H. K.
Tinbergen Institute
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54
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Density Forecast Combination, Sequential Monte Carlo, Parallel Computing, GPU, Matlab
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17.
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Billio, Monica
Ca Foscari University of Venice - Department of Economics Casarin, Roberto
University of Brescia - Department of Economics Ravazzolo, Francesco
Norges Bank van Dijk, H. K.
Tinbergen Institute
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57
(190,554)
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Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo
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18.
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Combination Schemes for Turning Point Predictions
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Versions (3)
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Billio, Monica
Ca Foscari University of Venice - Department of Economics Casarin, Roberto
University of Brescia - Department of Economics Ravazzolo, Francesco
Norges Bank van Dijk, H. K.
Tinbergen Institute
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Posted:
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22 Aug 11
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Last Revised:
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07 May 13
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51
(200,707)
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Billio, Monica
Ca Foscari University of Venice - Department of Economics Casarin, Roberto
University of Brescia - Department of Economics Ravazzolo, Francesco
Norges Bank van Dijk, H. K.
Tinbergen Institute
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5
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Turning Points, Markov-switching, Forecast Combination, Bayesian Model Averaging
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Billio, Monica
Ca Foscari University of Venice - Department of Economics Casarin, Roberto
University of Brescia - Department of Economics Ravazzolo, Francesco
Norges Bank van Dijk, H. K.
Tinbergen Institute
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15
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C11, C15, C53, E37
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Billio, Monica
Ca Foscari University of Venice - Department of Economics Casarin, Roberto
University of Brescia - Department of Economics Ravazzolo, Francesco
Norges Bank van Dijk, H. K.
Tinbergen Institute
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31
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turning points, Markov-switching, forecast combination, Bayesian model averaging
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19.
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Forecasting Macroeconomic Variables Using Disaggregate Survey Data
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Versions (2)
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hide multiple versions |
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Martinsen, Kjetil
Norges Bank Ravazzolo, Francesco
Norges Bank Wulfsberg, Fredrik
Norges Bank
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Posted:
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28 May 11
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Last Revised:
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13 Apr 13
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47
(208,021)
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Martinsen, Kjetil
Norges Bank Ravazzolo, Francesco
Norges Bank Wulfsberg, Fredrik
Norges Bank
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34
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factor models, macroeconomic forecasting, qualitative survey data
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Wulfsberg, Fredrik
Norges Bank Ravazzolo, Francesco
Norges Bank Martinsen, Kjetil
Norges Bank
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28 May 11
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Last Revised:
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13 Apr 13
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13
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Factor models, macroeconomic forecasting, qualitative survey data
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20.
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Billio, Monica
Ca Foscari University of Venice - Department of Economics Casarin, Roberto
University of Brescia - Department of Economics Ravazzolo, Francesco
Norges Bank van Dijk, H. K.
Tinbergen Institute
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| Posted: |
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28 Jul 12
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Last Revised:
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03 Oct 12
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44
(217,965)
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Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo
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21.
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Forecast Densities for Economic Aggregates from Disaggregate Ensembles
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Versions (2)
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hide multiple versions |
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Ravazzolo, Francesco
Norges Bank Vahey, Shaun P.
Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
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Posted:
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10 May 10
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Last Revised:
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31 Aug 10
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38
(226,378)
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3
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Ravazzolo, Francesco
Norges Bank Vahey, Shaun P.
Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
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16
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3
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Ensemble forecasting, disaggregates
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Ravazzolo, Francesco
Norges Bank Vahey, Shaun P.
Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
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22
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3
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Ensemble forecasting, disaggregates
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22.
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Ravazzolo, Francesco
Norges Bank Guidolin, Massimo
Bocconi University - Department of Finance Tortora, Andrea Donato
Bocconi University
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31
(243,031)
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REIT returns, Bayesian estimation, Structural instability, Stochastic volatility, Linear factor models
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23.
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Billio, Monica
Ca Foscari University of Venice - Department of Economics Casarin, Roberto
University of Brescia - Department of Economics Ravazzolo, Francesco
Norges Bank van Dijk, H. K.
Tinbergen Institute
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25
(260,729)
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1
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density forecast combination, survey forecast, nonlinear filtering, sequential Monte Carlo
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24.
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Ravazzolo, Francesco
Norges Bank Røisland, Øistein
Central Bank of Norway - Department of Economics
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25
(260,729)
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Distance Effect, Policy Decision Making, Signal Extraction, Uncertainty
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25.
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Monticini, Andrea
Catholic University of the Sacred Heart of Milan - Institute of Economy and Finance Ravazzolo, Francesco
Norges Bank
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24
(264,046)
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Interbank market, intraday interest rate, forecasting, density forecasting, policy
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26.
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Lombardi, Marco Jacopo
European Central Bank (ECB) - Directorate General Economics Ravazzolo, Francesco
Norges Bank
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16
(292,280)
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Oil price, stock price, density forecasting, correlation, Bayesian DCC
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27.
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Caporin, Massimiliano
University of Padova - Department of Economics and Management "Marco Fanno" Pelizzon, Loriana
Ca Foscari University of Venice - Department of Economics Ravazzolo, Francesco
Norges Bank Rigobon, Roberto
Massachusetts Institute of Technology (MIT) - Sloan School of Management
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| Posted: |
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17 Mar 12
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Last Revised:
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14 May 13
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3
(334,279)
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2
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Sovereign Risk, Contagion
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