Francesco Ravazzolo

Free University of Bolzano

Professor

Bolzano

Italy

SCHOLARLY PAPERS

46

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CITATIONS
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185

Scholarly Papers (46)

1.

Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information

Number of pages: 52 Posted: 04 Mar 2007 Last Revised: 04 May 2010
Michiel De Pooter, Francesco Ravazzolo and Dick J. C. van Dijk
Board of Governors of the Federal Reserve System, Free University of Bolzano and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 825 (28,310)
Citation 8

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Term structure of interest rates, Nelson-Siegel model, Affine term structure model, forecast combination, Bayesian analysis

Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox

Tinbergen Institute Discussion Paper 13-055/III
Number of pages: 28 Posted: 04 May 2015
Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and H. K. van Dijk
University Ca' Foscari of Venice - Department of Economics, Aarhus University - CREATES, Free University of Bolzano and Tinbergen Institute
Downloads 424 (66,726)
Citation 2

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Density Forecast Combination, Sequential Monte Carlo, Parallel Computing, GPU, Matlab

Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 08/WP/2013
Number of pages: 30 Posted: 27 Apr 2013
Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and H. K. van Dijk
University Ca' Foscari of Venice - Department of Economics, Aarhus University - CREATES, Free University of Bolzano and Tinbergen Institute
Downloads 25 (505,048)
Citation 2

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Density Forecast Combination, Sequential Monte Carlo, Parallel Computing, GPU, Matlab

Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox

Norges Bank Working Paper 11 | 2014
Number of pages: 27 Posted: 04 May 2015
Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and H. K. van Dijk
University Ca' Foscari of Venice - Department of Economics, University of Kent - Canterbury Campus, Free University of Bolzano and Tinbergen Institute
Downloads 25 (505,048)
Citation 2

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Density forecast combination, sequential Monte Carlo, parallel computing, GPU, MATLAB

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, Forthcoming
Number of pages: 44 Posted: 12 Nov 2013 Last Revised: 11 Jun 2015
Daniele Bianchi, Massimo Guidolin and Francesco Ravazzolo
School of Economics and Finance, Queen Mary University of London, Bocconi University - Department of Finance and Free University of Bolzano
Downloads 354 (83,268)
Citation 2

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Structural breaks, Change-point model, Stochastic volatility, Multi-factor linear models, Asset pricing

4.

Bayesian Model Averaging in the Presence of Structural Breaks

Number of pages: 43 Posted: 01 Apr 2007
Francesco Ravazzolo, Dick J. C. van Dijk and Philip Hans Franses
Free University of Bolzano, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 290 (103,894)
Citation 7

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Stock return predictability, model uncertainty, Bayesian model averaging, structural breaks, portfolio selection

5.

Predictive Gains from Forecast Combinations Using Time Varying Model Weights

Number of pages: 41 Posted: 11 Sep 2007
Francesco Ravazzolo, Marno Verbeek and H. K. van Dijk
Free University of Bolzano, Erasmus University - Rotterdam School of Management and Tinbergen Institute
Downloads 287 (105,059)
Citation 4

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Stock return predictability, time varying weight combination, forecast combination, Bayesian model averaging

6.

Term Structure Forecasting Using Macro Factors and Forecast Combination

FRB International Finance Discussion Paper No. 993, Norges Bank Working Paper 2010/01
Number of pages: 54 Posted: 07 Apr 2010
Michiel De Pooter, Francesco Ravazzolo and Dick J. C. van Dijk
Board of Governors of the Federal Reserve System, Free University of Bolzano and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 256 (118,450)
Citation 11

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Term structure of interest rates, Nelson-Siegel model, affine term structure model, macro factors, forecast combination, model confidence set

7.
Downloads 250 (121,359)
Citation 6

Measuring Sovereign Contagion in Europe

SAFE Working Paper No. 103
Number of pages: 92 Posted: 15 May 2015
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration, Free University of Bolzano and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 130 (218,727)
Citation 3

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Sovereign Risk, Contagion, Disintegration

Measuring Sovereign Contagion in Europe

Number of pages: 246 Posted: 17 Mar 2012 Last Revised: 13 Mar 2014
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration, Free University of Bolzano and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 120 (232,550)
Citation 3

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Sovereign Risk, Contagion

The Macroeconomic Forecasting Performance of Autoregressive Models with Alternative Specifications of Time-Varying Volatility

FRB of Cleveland Working Paper No. 12-18
Number of pages: 46 Posted: 20 Sep 2012
Todd E. Clark and Francesco Ravazzolo
Federal Reserve Bank of Cleveland and Free University of Bolzano
Downloads 206 (146,418)

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Stochastic volatility, GARCH, forecasting

The Macroeconomic Forecasting Performance of Autoregressive Models with Alternative Specifications of Time-Varying Volatility

Norges Bank Working Paper 2012/09
Number of pages: 46 Posted: 07 May 2013
Todd E. Clark and Francesco Ravazzolo
Federal Reserve Bank of Cleveland and Free University of Bolzano
Downloads 43 (418,619)
Citation 16

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Stochastic volatility, GARCH, forecasting

9.

On the Correlation between Commodity and Equity Returns: Implications for Portfolio Allocation

BIS Working Paper No. 420
Number of pages: 34 Posted: 27 Feb 2014
Marco J. Lombardi and Francesco Ravazzolo
Bank for International Settlements (BIS) - Monetary and Economic Department and Free University of Bolzano
Downloads 220 (137,834)

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Commodity prices, equity prices, density forecasting, correlation, Bayesian DCC

Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance

Tinbergen Institute Discussion Paper 15-084/III
Number of pages: 73 Posted: 21 Jul 2015 Last Revised: 06 Mar 2017
Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and H. K. van Dijk
University Ca' Foscari of Venice - Department of Economics, University of Kent - Canterbury Campus, Free University of Bolzano and Tinbergen Institute
Downloads 156 (188,226)
Citation 4

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Density Combination, Large Set of Predictive Densities, Compositional Factor Models, Nonlinear State Space, Bayesian Inference, GPU Computing

Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance

Norges Bank Working Paper No. 12/2015
Number of pages: 58 Posted: 08 Aug 2015
Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and H. K. van Dijk
University Ca' Foscari of Venice - Department of Economics, University of Kent - Canterbury Campus, Free University of Bolzano and Tinbergen Institute
Downloads 24 (511,207)
Citation 5

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Density Combination, Large Set of Predictive Densities, Compositional Factor Models, Nonlinear State Space, Bayesian Inference, GPU Computing

Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model

Tinbergen Institute Discussion Paper 13-142/III
Number of pages: 61 Posted: 16 Sep 2013 Last Revised: 07 Nov 2014
Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 90 (284,226)
Citation 3

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Bayesian Modelling, Panel VAR, Markov-switching, International Business Cycles, Interaction Mechanism

Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 17/WP/2013
Number of pages: 50 Posted: 05 Sep 2013
Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 38 (439,356)
Citation 3

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Bayesian Model, Panel VAR, Markov-switching, International Business Cycles, Interaction mechanisms

Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model

Norges Bank Working Paper 20
Number of pages: 49 Posted: 12 Nov 2013
Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 34 (457,037)
Citation 3

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Bayesian Model, Panel VAR, Markov-switching, International Business Cycles, Interaction mechanisms

12.

A Bayesian Multi-Factor Model of Instability in Prices and Quantities of Risk in U.S. Financial Markets

Federal Reserve Bank of Saint Louis Working Paper No. 2011-003A
Number of pages: 51 Posted: 20 Jan 2011
Massimo Guidolin, Francesco Ravazzolo and Andrea Donato Tortora
Bocconi University - Department of Finance, Free University of Bolzano and Bocconi University
Downloads 160 (183,964)

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Bayesian Estimation, Latent Jumps, Stochastic Volatility, Linear Factor Models

13.

Optimal Portfolio Choice under Decision-Based Model Combinations

Number of pages: 30 Posted: 01 Nov 2014 Last Revised: 05 Nov 2015
Davide Pettenuzzo and Francesco Ravazzolo
Brandeis University - International Business School and Free University of Bolzano
Downloads 156 (187,933)
Citation 5

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Bayesian econometrics, Time-varying parameters, Model combinations, Portfolio choice

14.

Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?

Number of pages: 40 Posted: 12 Nov 2013 Last Revised: 06 Nov 2016
Daniele Bianchi, Massimo Guidolin and Francesco Ravazzolo
School of Economics and Finance, Queen Mary University of London, Bocconi University - Department of Finance and Free University of Bolzano
Downloads 154 (190,015)

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I-CAPM, Mispricing, REIT, Model Uncertainty, Stochastic Breaks, Bayesian Econometrics

15.

Time-Varying Combinations of Predictive Densities Using Nonlinear Filtering

Tinbergen Institute Discussion Paper 12-118/III
Number of pages: 54 Posted: 08 Nov 2012
Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 154 (190,015)
Citation 8

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Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo

16.

Forecast Accuracy and Economic Gains from Bayesian Model Averaging Using Time Varying Weights

Tinbergen Institute Discussion Paper 09-061/4
Number of pages: 28 Posted: 17 Jul 2009
VU University Amsterdam, affiliation not provided to SSRN, Free University of Bolzano, Tinbergen Institute and Erasmus University - Rotterdam School of Management
Downloads 139 (206,595)
Citation 14

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forecast combination, Bayesian model averaging, time varying model weights, portfolio optimization, business cycle

17.

Identification of Financial Factors in Economic Fluctuations

KOF Working Paper No. 364, Norges Bank Working Paper 09 | 2014
Number of pages: 57 Posted: 14 Aug 2014
Francesco Furlanetto, Francesco Ravazzolo and Samad Sarferaz
Norges Bank, Free University of Bolzano and ETH Zürich - CER-ETH - Center of Economic Research at ETH Zurich
Downloads 137 (209,054)
Citation 12

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VAR, sign restrictions, financial shocks, external finance premium, housing, uncertainty

Forecasting Macroeconomic Variables Using Disaggregate Survey Data

Number of pages: 28 Posted: 13 Mar 2012
Kjetil Martinsen, Francesco Ravazzolo and Fredrik Wulfsberg
Norges Bank, Free University of Bolzano and Oslo Business School
Downloads 100 (265,143)

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factor models, macroeconomic forecasting, qualitative survey data

Forecasting Macroeconomic Variables Using Disaggregate Survey Data

Norges Bank Working Paper 2011/04
Number of pages: 37 Posted: 28 May 2011 Last Revised: 13 Apr 2013
Fredrik Wulfsberg, Francesco Ravazzolo and Kjetil Martinsen
Oslo Business School, Free University of Bolzano and Norges Bank
Downloads 25 (505,048)

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Factor models, macroeconomic forecasting, qualitative survey data

19.

Forecasting Commodity Currencies: The Role of Fundamentals with Short-Lived Predictive Content

Norges Bank Working Paper 14/2015
Number of pages: 50 Posted: 07 Nov 2015 Last Revised: 15 Feb 2016
Claudia Foroni, Francesco Ravazzolo and Pinho Ribeiro
Norges Bank, Free University of Bolzano and University of Glasgow - Adam Smith Business School
Downloads 122 (228,765)

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Exchange rate point and density forecasting, Commodity prices, MIDAS model, Bayesian model averaging, Metropolis-Hastings algorithm

20.

Evaluating Real-Time Forecasts in Real-Time

Number of pages: 25 Posted: 11 Sep 2007
Francesco Ravazzolo, Philip Hans Franses and Dick J. C. van Dijk
Free University of Bolzano, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 122 (228,765)

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Data revision, forecast evaluation, parameter uncertainty, Bayesian estimation, structural breaks

Bayesian Nonparametric Calibration and Combination of Predictive Distributions

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 04/WP/2015
Number of pages: 47 Posted: 18 Feb 2015 Last Revised: 10 Mar 2015
Federico Bassetti, Roberto Casarin and Francesco Ravazzolo
University of Pavia, University Ca' Foscari of Venice - Department of Economics and Free University of Bolzano
Downloads 85 (294,919)
Citation 2

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Forecast calibration, Forecast combination, Density forecast, Beta mixtures, Bayesian nonparametrics, Slice sampling

Bayesian Nonparametric Calibration and Combination of Predictive Distributions

Norges Bank Working Paper 3 | 2015
Number of pages: 47 Posted: 04 May 2015
Federico Bassetti, Roberto Casarin and Francesco Ravazzolo
University of Pavia, University Ca' Foscari of Venice - Department of Economics and Free University of Bolzano
Downloads 31 (471,644)
Citation 1

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Forecast calibration, Forecast combination, Density forecast, Beta mixtures, Bayesian nonparametrics, Slice sampling

22.

Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index

Tinbergen Institute Discussion Paper No. 2011-082/4
Number of pages: 18 Posted: 24 May 2011
Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 110 (246,606)
Citation 2

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Density forecast combination, stock data

A New Monthly Indicator of Global Real Economic Activity

CAMA Working Paper No. 13/2015
Number of pages: 40 Posted: 24 Apr 2015 Last Revised: 27 Apr 2015
Francesco Ravazzolo and Joaquin Vespignani
Free University of Bolzano and University of Tasmania - School of Economics and Finance
Downloads 58 (365,633)
Citation 1

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Global real economic activity, World steel production, Forecasting

A New Monthly Indicator of Global Real Economic Activity

Norges Bank Working Paper 6 | 2015
Number of pages: 40 Posted: 04 May 2015
Francesco Ravazzolo and Joaquin Vespignani
Free University of Bolzano and University of Tasmania - School of Economics and Finance
Downloads 30 (476,810)
Citation 1

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Global real economic activity, World steel production, Forecasting

A New Monthly Indicator of Global Real Economic Activity

Globalization and Monetary Policy Institute Working Paper No. 244
Number of pages: 26 Posted: 17 Aug 2015
Francesco Ravazzolo and Joaquin Vespignani
Free University of Bolzano and University of Tasmania - School of Economics and Finance
Downloads 20 (536,566)

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24.

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 Paper 11-131/4
Number of pages: 17 Posted: 20 Sep 2011
Lennart F. Hoogerheide, Francesco Ravazzolo and H. K. van Dijk
VU University Amsterdam, Free University of Bolzano and Tinbergen Institute
Downloads 103 (258,217)
Citation 2

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value-at-Risk, backtest, optimal revision, forecast rationality

25.
Downloads 100 (263,419)
Citation 4

Combination Schemes for Turning Point Predictions

Tinbergen Institute Discussion Paper No. 11-123/4
Number of pages: 23 Posted: 22 Aug 2011
Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 50 (392,470)

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turning points, Markov-switching, forecast combination, Bayesian model averaging

Combination Schemes for Turning Point Predictions

Norges Bank Working Paper 2012/04
Number of pages: 32 Posted: 07 May 2013
Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 27 (493,136)
Citation 3

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Turning Points, Markov-switching, Forecast Combination, Bayesian Model Averaging

Combination Schemes for Turning Point Predictions

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 15/WP/2012
Number of pages: 31 Posted: 28 Jul 2012
Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 23 (517,320)

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C11, C15, C53, E37

26.
Downloads 100 (263,419)

The Power of Weather

Number of pages: 27 Posted: 13 Feb 2009
Francesco Ravazzolo, Christian Huurman and Chen Zhou
Free University of Bolzano, Financial Engineering Associates and De Nederlandsche Bank
Downloads 74 (320,671)

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Electricity prices, GARCH models, weather forecasts, point and density forecasts

The Power of Weather

De Nederlandsche Bank Working Paper No. 236
Number of pages: 34 Posted: 20 Oct 2011
Christian Huurman, Francesco Ravazzolo and Chen Zhou
Financial Engineering Associates, Free University of Bolzano and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 26 (499,020)

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Electricity prices, weather forecasts, point and density forecasts, GARCH models

27.

Real-Time Inflation Forecasting in a Changing World

FRB of New York Staff Report No. 388
Number of pages: 59 Posted: 03 Sep 2009 Last Revised: 30 May 2012
Jan J. J. Groen, Richard Paap and Francesco Ravazzolo
Federal Reserve Bank of New York, Erasmus University Rotterdam (EUR) - Department of Econometrics and Free University of Bolzano
Downloads 98 (266,966)
Citation 19

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inflation forecasting, Phillips correlations, real-time data, structural breaks, model uncertainty, Bayesian model averaging

28.

Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts

FRB of Cleveland Working Paper No. 14-39
Number of pages: 41 Posted: 24 Dec 2014
Fabian Krueger, Todd E. Clark and Francesco Ravazzolo
Heidelberg Institute for Theoretical Studies (HITS) gGmbH, Federal Reserve Bank of Cleveland and Free University of Bolzano
Downloads 96 (270,510)

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Forecasting, Prediction, Bayesian Analysis

29.

Bayesian Multi-Factor Model of Instability in Prices and Quantities of Risk in U.S. Financial Markets

Manchester Business School Research Paper No. 619, Bocconi Legal Studies Research Paper No. 1980190
Number of pages: 51 Posted: 06 Jan 2012
Massimo Guidolin, Francesco Ravazzolo and Andrea Donato Tortora
Bocconi University - Department of Finance, Free University of Bolzano and Bocconi University
Downloads 96 (270,510)

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Bayesian estimation, Latent jumps, Stochastic volatility, Linear factor models

30.
Downloads 95 (272,415)
Citation 11

Oil and US GDP: A Real-Time Out-of-Sample Examination

Norges Bank Working Paper 2010-18
Number of pages: 28 Posted: 14 Nov 2010
Francesco Ravazzolo and Philip Rothman
Free University of Bolzano and East Carolina University
Downloads 59 (362,440)

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Oil and US GDP: A Real-Time Out-of-Sample Examination

Number of pages: 26 Posted: 21 Sep 2010
Francesco Ravazzolo and Philip Rothman
Free University of Bolzano and East Carolina University
Downloads 36 (448,072)
Citation 4

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Oil prices, GDP, Granger causality, Forecasting

Myths and Facts About the Alleged Over-Pricing of U.S. Real Estate. Evidence from Multi-Factor Asset Pricing Models of REIT Returns

Number of pages: 45 Posted: 24 Apr 2013
Francesco Ravazzolo, Massimo Guidolin and Andrea Donato Tortora
Free University of Bolzano, Bocconi University - Department of Finance and Bocconi University
Downloads 94 (276,319)

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REIT returns, Bayesian estimation, Structural instability, Stochastic volatility, Linear factor models

Myths and Facts About the Alleged Over-Pricing of U.S. Real Estate: Evidence from Multi-Factor Asset Pricing Models of REIT Returns

Journal of Real Estate Finance and Economics, Vol. 49, No. 4, 2014
Posted: 31 Oct 2014
Francesco Ravazzolo, Massimo Guidolin and Andrea Donato Tortora
Free University of Bolzano, Bocconi University - Department of Finance and Bocconi University

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REIT returns; Bayesian estimation; Structural instability; Stochastic volatility; Linear factor models

32.

Combining Predictive Densities Using Bayesian Filtering with Applications to US Economic Data

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 16/WP/2012
Number of pages: 40 Posted: 28 Jul 2012 Last Revised: 03 Oct 2012
Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 77 (310,133)

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Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo

33.

Combining Predictive Densities Using Bayesian Filtering with Applications to US Economics Data

Norges Bank Working Paper No. 2010/29
Number of pages: 41 Posted: 09 Jan 2011
Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 76 (312,517)
Citation 2

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Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo

Forecast Densities for Economic Aggregates from Disaggregate Ensembles

Norges Bank Working Paper 2010/02
Number of pages: 32 Posted: 10 May 2010
Francesco Ravazzolo and Shaun P. Vahey
Free University of Bolzano and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 33 (461,708)
Citation 2

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Ensemble forecasting, disaggregates

Forecast Densities for Economic Aggregates from Disaggregate Ensembles

CAMA Working Paper No. 10/2010
Posted: 31 Aug 2010
Francesco Ravazzolo and Shaun P. Vahey
Free University of Bolzano and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 23 (517,320)
Citation 4

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Ensemble forecasting, disaggregates

35.

Oil Price Density Forecasts: Exploring the Linkages with Stock Markets

Norges Bank Working Paper 2012-24
Number of pages: 31 Posted: 25 May 2013
Marco J. Lombardi and Francesco Ravazzolo
Bank for International Settlements (BIS) - Monetary and Economic Department and Free University of Bolzano
Downloads 52 (379,310)
Citation 2

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Oil price, stock price, density forecasting, correlation, Bayesian DCC

36.

Forecasting the Intraday Market Price of Money

Norges Bank Working Paper No. 2011/06
Number of pages: 28 Posted: 30 Sep 2011
Andrea Monticini and Francesco Ravazzolo
Catholic University of the Sacred Heart of Milan - Institute of Economy and Finance and Free University of Bolzano
Downloads 44 (406,812)
Citation 2

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Interbank market, intraday interest rate, forecasting, density forecasting, policy

Forecasting GDP with Global Components. This Time is Different

Norges Bank Working Paper 5 | 2015
Number of pages: 41 Posted: 04 May 2015
Hilde C. Bjørnland, Francesco Ravazzolo and Leif Anders Thorsrud
Norwegian School of Management (BI), Free University of Bolzano and Norges Bank
Downloads 29 (482,015)

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Bayesian Dynamic Factor Model (BDFM), forecasting, model uncertainty and global factors

Forecasting GDP with Global Components. This Time is Different

CAMA Working Paper No. 24/2016
Number of pages: 36 Posted: 11 May 2016
Hilde C. Bjørnland, Francesco Ravazzolo and Leif Anders Thorsrud
Norwegian School of Management (BI), Free University of Bolzano and Norges Bank
Downloads 13 (582,250)

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Bayesian Dynamic Factor Model (BDFM), forecasting, model uncertainty and global factors

38.

Density Forecasts with MIDAS Models

Norges Bank Working Paper 10 | 2014
Number of pages: 46 Posted: 04 May 2015 Last Revised: 28 Nov 2015
Knut Aastveit, Claudia Foroni and Francesco Ravazzolo
Norges Bank, Norges Bank and Free University of Bolzano
Downloads 42 (414,208)
Citation 2

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C11, C53, E37

39.

Why Do People Give Less Weight to Advice the Further it is from Their Initial Opinion?

Norges Bank Working Paper No. 2010/04
Number of pages: 19 Posted: 20 May 2010
Francesco Ravazzolo and Øistein Røisland
Free University of Bolzano and Norges Bank - Department of Economics
Downloads 40 (421,813)

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Distance Effect, Policy Decision Making, Signal Extraction, Uncertainty

40.

Forecasting Recessions in Real Time

Norges Bank Working Paper 2014 | 02
Number of pages: 31 Posted: 05 Jun 2014
Knut Aastveit, Anne Sofie Jore and Francesco Ravazzolo
Norges Bank, Norges Bank and Free University of Bolzano
Downloads 39 (425,772)

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Forecast densities; Turning Points; Real-time data

41.

Combining Predictive Densities Using Nonlinear Filtering with Applications to US Economics Data

Tinbergen Institute Discussion Paper No. 11-172/4
Number of pages: 55 Posted: 05 Dec 2011
Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 39 (425,772)
Citation 4

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density forecast combination, survey forecast, nonlinear filtering, sequential Monte Carlo

42.

World Steel Production: A New Monthly Indicator of Global Real Economic Activity

CAMA Working Paper No. 42/2017
Number of pages: 29 Posted: 27 Jun 2017
Francesco Ravazzolo and Joaquin Vespignani
Free University of Bolzano and University of Tasmania - School of Economics and Finance
Downloads 38 (429,916)

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Global real economic activity, World steel production, Forecasting

43.

Interconnections between Eurozone and US Booms and Busts Using a Bayesian Panel Markov-Switching VAR Mode

Tinbergen Institute Discussion Paper 15-111/III
Number of pages: 63 Posted: 15 Sep 2015 Last Revised: 23 Sep 2015
Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
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Bayesian Modelling, Panel VAR, Markov-switching, International Business Cycles, Interaction mechanisms

Combined Density Nowcasting in an Uncertain Economic Environment

Norges Bank Working Paper 17 | 2014
Number of pages: 38 Posted: 04 May 2015
Knut Aastveit, Francesco Ravazzolo and H. K. van Dijk
Norges Bank, Free University of Bolzano and Tinbergen Institute
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Density forecast combination; Survey forecast; Bayesian filtering; Sequential Monte Carlo Nowcasting; Real-time data

Combined Density Nowcasting in an Uncertain Economic Environment

Tinbergen Institute Discussion Paper 14-152/III
Number of pages: 38 Posted: 12 Dec 2014
Knut Aastveit, Francesco Ravazzolo and H. K. van Dijk
Norges Bank, Free University of Bolzano and Tinbergen Institute
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Density forecast combination; Survey forecast; Bayesian Filtering; Sequential Monte Carlo Nowcasting, Real-time Data

45.

Identification and Real-Time Forecasting of Norwegian Business Cycles

Norges Bank Working Paper 09 | 2015
Number of pages: 37 Posted: 10 Jun 2015
Knut Aastveit, Anne Sofie Jore and Francesco Ravazzolo
Norges Bank, Norges Bank and Free University of Bolzano
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Business cycle; Dating rules; Turning Points; Real-time data

46.

Uncertainty Through the Lenses of a Mixed-Frequency Bayesian Panel Markov Switching Model

CEPR Discussion Paper No. DP12339
Number of pages: 79 Posted: 04 Oct 2017 Last Revised: 09 Oct 2017
University Ca' Foscari of Venice - Department of Economics, Deutsche Bundesbank, European University Institute and Free University of Bolzano
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Bayesian inference, dynamic panel model, Markov switching, MCMC, mixed-frequency