Raffaella Giacomini

University College London - Department of Economics

Gower Street

London WC1E 6BT, WC1E 6BT

United Kingdom

University of California, Los Angeles - Department of Economics

Assistant Professor

405 Hilgard Avenue

Box 951361

Los Angeles, CA 90095-1361

United States

  • University College London - Department of Economics

  • University of California, Los Angeles - Department of Economics

SCHOLARLY PAPERS

19

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1,238

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111

CROSSREF CITATIONS

84

Scholarly Papers (19)

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1.

Aggregation of Space-Time Processes

UCSD Economics Discussion Paper No. 2001-07
Number of pages: 30 Posted: 15 Jul 2001
Raffaella Giacomini and Clive W. J. Granger
University College London - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 208 (243,436)
Citation 6

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Spatial Correlation, Aggregation, Forecast Efficiency, Space-Time Models

2.

Comparing Density Forecasts Via Weighted Likelihood Ratio Tests: Asymptotic and Bootstrap Methods

UCSD, Economics Working Paper No. 2002-12
Number of pages: 37 Posted: 10 Nov 2002
Raffaella Giacomini
University College London - Department of Economics
Downloads 196 (256,954)
Citation 17

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Density Forecasting, Scoring Rules, Predictive Ability, Forecast Comparision

3.

Detecting and Predicting Forecast Breakdowns

ECB Working Paper No. 638
Number of pages: 49 Posted: 11 Jul 2006
Raffaella Giacomini and Barbara Rossi
University College London - Department of Economics and Universitat Pompeu Fabra - Centre de Recerca en Economia Internacional (CREI)
Downloads 172 (288,427)
Citation 13

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Structural change, Forecast evaluation, Forecast rationality testing, In-sample evaluation, Out-of-sample evaluation

4.

Evaluation and Combination of Conditional Quantile Forecasts

UCSD, Economics Discussion Paper No. 2002-11
Number of pages: 30 Posted: 30 Jul 2002
Raffaella Giacomini and Ivana Komunjer
University College London - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 165 (298,765)
Citation 40

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Encompassing, Forecast Combination, Loss Function, GMM, Value-at-Risk

5.

Hypernormal Densities

UCSD, Economics Working Paper No. 2002-14, Universitat Pompeu Fabra Working Paper No
Number of pages: 42 Posted: 17 Dec 2002
Raffaella Giacomini, Andreas Gottschling, Christian Haefke and Halbert L. White Jr.
University College London - Department of Economics, Banking Consultants and Systems GmbH, Institute for Advanced Studies (IHS) and University of California, San Diego (UCSD) - Department of Economics
Downloads 121 (381,975)
Citation 3

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ARMA-GARCH models, Neutral Networks, Nonparametric Density Estimation, Forecast Accuracy

6.

Anchoring the Yield Curve Using Survey Expectations

Downloads 93 (459,187)
Citation 6

Anchoring the Yield Curve Using Survey Expectations

ECB Working Paper No. 1632
Number of pages: 31 Posted: 11 Feb 2014
Carlo Altavilla, Raffaella Giacomini and Giuseppe Ragusa
European Central Bank (ECB), University College London - Department of Economics and University of Pisa - Department of Economics and Management
Downloads 93 (462,895)

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term structure models; exponential tilting; blue chip analysts survey; forecast performance; monetary policy forward guidance; macroeconomic factors

Anchoring the Yield Curve Using Survey Expectations

CEPR Discussion Paper No. DP9738
Posted: 19 Nov 2013
Carlo Altavilla, Raffaella Giacomini and Giuseppe Ragusa
European Central Bank (ECB), University College London - Department of Economics and University of Pisa - Department of Economics and Management
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Citation 3
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blue chip analysts survey, exponential tilting, forecast performance, macroeconomic factors, monetary policy forward guidance, term structure models

7.

Model Comparisons in Unstable Environments

Economic Research Initiatives at Duke (ERID) Working Paper No. 30
Number of pages: 45 Posted: 13 Nov 2009
Barbara Rossi and Raffaella Giacomini
Universitat Pompeu Fabra - Centre de Recerca en Economia Internacional (CREI) and University College London - Department of Economics
Downloads 92 (462,403)
Citation 10

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Model Selection Tests, Misspecification, Structural Change, Kullback-Leibler Information Criterion

8.

Forecasted Treatment Effects

FRB of Chicago Working Paper No. 2023-32
Number of pages: 54 Posted: 01 Sep 2023
Irene Botosaru, Raffaella Giacomini and Martin Weidner
Simon Fraser university, University College London - Department of Economics and University of Oxford
Downloads 74 (530,625)

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Polynomial regressions; Forecast unbiasedness; Counterfactuals; Misspecification; Heterogeneous treatment effects

9.

Narrative Restrictions and Proxies

FRB of Chicago Working Paper No. 2022-10
Number of pages: 31 Posted: 08 Apr 2022
Raffaella Giacomini, Toru Kitagawa and Matthew Read
University College London - Department of Economics, Brown University and University College London - Department of Economics
Downloads 47 (656,559)

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weak instruments, sign restrictions, impulse-response analysis, prior sensitivity

10.

A Robust Method for Microforecasting and Estimation of Random Effects

FRB of Chicago Working Paper No. 2023-26
Number of pages: 46 Posted: 04 Aug 2023
Raffaella Giacomini, Sokbae Lee and Silvia Sarpietro
University College London - Department of Economics, Columbia University and University of Bologna
Downloads 32 (755,717)

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Minimax-Regret; Shrinkage; Forecast Combination; Robustness

11.

Robust Bayesian Analysis for Econometrics

Downloads 26 (802,753)

Robust Bayesian Analysis for Econometrics

FRB of Chicago Working Paper No. WP-2021-11
Number of pages: 42 Posted: 02 Sep 2021
Raffaella Giacomini, Toru Kitagawa and Matthew Read
University College London - Department of Economics, University College London and University College London - Department of Economics
Downloads 26 (827,521)

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ambiguity, Bayesian robustness, statistical decision theory, identifying restrictions, multiple priors, structural vector autoregression

Robust Bayesian Analysis for Econometrics

CEPR Discussion Paper No. DP16488
Number of pages: 44 Posted: 27 Sep 2021
Raffaella Giacomini, Toru Kitagawa and Matthew Read
University College London - Department of Economics, University College London and University College London - Department of Economics
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12.

Incorporating Theoretical Restrictions into Forecasting by Projection Methods

CEPR Discussion Paper No. DP8604
Number of pages: 28 Posted: 01 Nov 2011
Raffaella Giacomini and Giuseppe Ragusa
University College London - Department of Economics and University of Pisa - Department of Economics and Management
Downloads 6 (986,994)
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Bayesian VAR, Euler conditions, Exponential tilting, Forecast comparisons

13.

Microforecasting Inflation

Economic Perspectives, No. 3, 2023
Number of pages: 13 Posted: 07 Sep 2023
Raffaella Giacomini and Yaakov Levin
University College London - Department of Economics and Federal Reserve Bank of Chicago
Downloads 5 (994,887)

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forecast combination; time varying parameters; heterogeneity; aggregation; Econometric and Statistical Methods and Methodology: General; Panel Data Models; Spatio-temporal Models; Forecasting and Prediction Methods; Simulation Methods;

14.

Inference About Non-Identified SVARs

CEPR Discussion Paper No. DP10287
Number of pages: 45 Posted: 08 Dec 2014
Raffaella Giacomini and Toru Kitagawa
University College London - Department of Economics and University College London
Downloads 1 (1,023,918)
Citation 1
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ambiguous beliefs, credible region, partial causal ordering, posterior bounds

15.

Robust Bayesian Inference in Proxy Svars

CEPR Discussion Paper No. DP14626
Number of pages: 45 Posted: 08 May 2020
Raffaella Giacomini, Toru Kitagawa and Matthew Read
University College London - Department of Economics, University College London and University College London - Department of Economics
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Citation 10
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16.

Incentive-Driven Inattention

CEPR Discussion Paper No. DP13619
Number of pages: 43 Posted: 01 Apr 2019
Wagner Piazza Gaglianone, Raffaella Giacomini, João Issler and Vasiliki Skreta
Central Bank of Brazil - Research Department, University College London - Department of Economics, Getulio Vargas Foundation (FGV) and University of Texas at Austin - Department of Economics
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Contest, incentives, rational inattention, structural estimation, Survey Design

17.

Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models

Annual Review of Economics, Vol. 7, pp. 207-229, 2015
Posted: 07 Aug 2015
Raffaella Giacomini and Barbara Rossi
University College London - Department of Economics and Universitat Pompeu Fabra - Centre de Recerca en Economia Internacional (CREI)

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18.

Economic Theory and Forecasting: Lessons from the Literature

CEPR Discussion Paper No. DP10201
Number of pages: 35 Posted: 14 Oct 2014
Raffaella Giacomini
University College London - Department of Economics
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Citation 1
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Bayesian methods, DSGE models, exponential tilting

19.

Generalized Method of Moments with Latent Variables

CEPR Discussion Paper No. DP9692
Number of pages: 45 Posted: 22 Oct 2013
A. Ronald Gallant, Raffaella Giacomini and Giuseppe Ragusa
Duke University, University College London - Department of Economics and University of Pisa - Department of Economics and Management
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particle filter, Structural models