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

SCHOLARLY PAPERS

15

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CITATIONS
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71

Scholarly Papers (15)

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 167 (176,290)
Citation 27

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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 161 (181,804)
Citation 15

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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 127 (220,487)
Citation 29

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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 127 (220,487)
Citation 43

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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
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 98 (265,285)

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

6.
Downloads 70 (325,073)
Citation 4

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 70 (328,804)

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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
Downloads 0
Citation 3
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blue chip analysts survey, exponential tilting, forecast performance, macroeconomic factors, monetary policy forward guidance, term structure models

7.
Downloads 67 (332,858)
Citation 34

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 66 (339,628)
Citation 70

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

Model Comparisons in Unstable Environments

International Economic Review, Vol. 57, Issue 2, pp. 369-392, 2016
Number of pages: 24 Posted: 29 Apr 2016
Raffaella Giacomini and Barbara Rossi
University College London - Department of Economics and Universitat Pompeu Fabra - Centre de Recerca en Economia Internacional (CREI)
Downloads 1 (675,099)
Citation 8
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8.

How Stable is the Forecasting Performance of the Yield Curve for Output Growth?

Oxford Bulletin of Economics and Statistics, Vol. 68, No. S1, pp. 783-795, December 2006
Number of pages: 13 Posted: 24 Nov 2006
Raffaella Giacomini and Barbara Rossi
University College London - Department of Economics and Universitat Pompeu Fabra - Centre de Recerca en Economia Internacional (CREI)
Downloads 10 (574,046)
Citation 19
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9.

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 (599,161)
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Bayesian VAR, Euler conditions, Exponential tilting, Forecast comparisons

10.

Economic Theory and Forecasting: Lessons from the Literature

The Econometrics Journal, Vol. 18, Issue 2, pp. C22-C41, 2015
Number of pages: 20 Posted: 15 Jul 2015
Raffaella Giacomini
University College London - Department of Economics
Downloads 1 (643,078)
Citation 5
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Aggregation, DSGE models, Instability, Out‐of‐sample forecasting, Parameter restrictions

11.

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 (643,078)
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ambiguous beliefs, credible region, partial causal ordering, posterior bounds

12.

Incentive-Driven Inattention

CEPR Discussion Paper No. DP13619
Number of pages: 43 Posted: 01 Apr 2019
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

13.

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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14.

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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Bayesian methods, DSGE models, exponential tilting

15.

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
Downloads 0 (661,222)
Citation 3
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particle filter, Structural models