Francesco Ravazzolo

Free University of Bozen-Bolzano - Faculty of Economics and Management

Via Sernesi 1

39100 Bozen-Bolzano (BZ), Bozen 39100

Italy

BI Norwegian Business School

Professor

Nydalsveien 37

Oslo, 0442

Norway

http://www.francescoravazzolo.com/

  • Free University of Bozen-Bolzano - Faculty of Economics and Management

  • BI Norwegian Business School

SCHOLARLY PAPERS

52

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463

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184

Scholarly Papers (52)

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1.

A New Monthly Indicator of Global Real Economic Activity

Downloads 2,568 ( 9,514)
Citation 4

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 Bozen-Bolzano - Faculty of Economics and Management and University of Tasmania - School of Economics and Finance
Downloads 1,655 (18,806)
Citation 2

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Global real economic activity, World steel production, Forecasting

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 Bozen-Bolzano - Faculty of Economics and Management and University of Tasmania - School of Economics and Finance
Downloads 478 (103,220)
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 Bozen-Bolzano - Faculty of Economics and Management and University of Tasmania - School of Economics and Finance
Downloads 435 (115,603)
Citation 2

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2.

Forecasting Energy Commodity Prices: A Large Global Dataset Sparse Approach

Downloads 419 (32,520)
Citation 5

Forecasting Energy Commodity Prices: A Large Global Dataset Sparse Approach

CAMA Working Paper No. 90/2019
Number of pages: 25 Posted: 20 Dec 2019
Davide Ferrari, Francesco Ravazzolo and Joaquin Vespignani
Free University of Bozen-Bolzano, Faculty of Economics and Management, Free University of Bozen-Bolzano - Faculty of Economics and Management and University of Tasmania - School of Economics and Finance
Downloads 419 (121,257)
Citation 2

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Energy Prices, Forecasting, Dynamic Factor model, Sparse Estimation, Penalized Maximum Likelihood

3.

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
Amazon Web Services, Inc., Free University of Bozen-Bolzano - Faculty of Economics and Management and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 940 (43,561)
Citation 10

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

4.

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

Downloads 607 (77,609)
Citation 6

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 Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 501 (97,426)
Citation 3

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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 Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 63 (602,584)
Citation 4

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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 Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 43 (720,893)
Citation 2

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

5.

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, WBS Finance Group Research Paper No. 209
Number of pages: 44 Posted: 12 Nov 2013 Last Revised: 26 Dec 2019
Daniele Bianchi, Massimo Guidolin and Francesco Ravazzolo
School of Economics and Finance, Queen Mary University of London, Bocconi University, Dept. of Finance and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 487 (101,970)
Citation 7

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

6.

Measuring Sovereign Contagion in Europe

Downloads 328 (143,182)
Citation 34

Measuring Sovereign Contagion in Europe

SAFE Working Paper No. 103
Number of pages: 92 Posted: 15 May 2015
Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo and Roberto Rigobon
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration, Free University of Bozen-Bolzano - Faculty of Economics and Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 179 (287,442)
Citation 16

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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
Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo and Roberto Rigobon
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration, Free University of Bozen-Bolzano - Faculty of Economics and Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 149 (336,633)
Citation 4

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Sovereign Risk, Contagion

7.

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

Downloads 350 (148,969)
Citation 65

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 Bozen-Bolzano - Faculty of Economics and Management
Downloads 268 (196,008)

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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 Bozen-Bolzano - Faculty of Economics and Management
Downloads 82 (518,469)
Citation 47

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Stochastic volatility, GARCH, forecasting

8.

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
Amazon Web Services, Inc., Free University of Bozen-Bolzano - Faculty of Economics and Management and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 350 (148,969)
Citation 13

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

9.

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 Bozen-Bolzano - Faculty of Economics and Management, Erasmus University - Rotterdam School of Management and Tinbergen Institute
Downloads 348 (149,854)
Citation 5

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

10.

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 Bozen-Bolzano - Faculty of Economics and Management, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 341 (153,180)
Citation 11

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

11.

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 Bozen-Bolzano - Faculty of Economics and Management
Downloads 274 (192,720)
Citation 5

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

12.

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

Downloads 267 (197,794)
Citation 10

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 Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 221 (237,120)
Citation 6

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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 Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 46 (700,713)
Citation 7

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

13.

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

Downloads 252 (209,408)
Citation 7

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, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 137 (360,097)
Citation 5

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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

Norges Bank Working Paper 20
Number of pages: 49 Posted: 12 Nov 2013
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 58 (629,010)
Citation 5

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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

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, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 57 (634,518)
Citation 3

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

14.

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 Bozen-Bolzano - Faculty of Economics and Management and ETH Zurich
Downloads 217 (241,851)
Citation 30

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

15.

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

WBS Finance Group Research Paper No. 210
Number of pages: 40 Posted: 12 Nov 2013 Last Revised: 26 Dec 2019
Daniele Bianchi, Massimo Guidolin and Francesco Ravazzolo
School of Economics and Finance, Queen Mary University of London, Bocconi University, Dept. of Finance and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 210 (249,422)

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

16.

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, Dept. of Finance, Free University of Bozen-Bolzano - Faculty of Economics and Management and Bocconi University
Downloads 200 (260,727)

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

17.

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 Bozen-Bolzano - Faculty of Economics and Management
Downloads 195 (266,653)
Citation 15

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

18.

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, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 189 (274,315)
Citation 39

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

19.

Combination Schemes for Turning Point Predictions

Downloads 183 (283,549)
Citation 8

Combination Schemes for Turning Point Predictions

Tinbergen Institute Discussion Paper No. 11-123/4
Number of pages: 23 Posted: 22 Aug 2011
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 94 (475,267)
Citation 1

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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, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 45 (707,439)
Citation 6

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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, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 44 (720,893)

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C11, C15, C53, E37

20.

Bayesian Nonparametric Calibration and Combination of Predictive Distributions

Downloads 178 (289,178)
Citation 6

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
Politecnico di Milano, University Ca' Foscari of Venice - Department of Economics and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 107 (434,125)
Citation 3

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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
Politecnico di Milano, University Ca' Foscari of Venice - Department of Economics and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 71 (564,626)
Citation 2

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

21.

Forecasting Macroeconomic Variables Using Disaggregate Survey Data

Downloads 166 (307,019)
Citation 5

Forecasting Macroeconomic Variables Using Disaggregate Survey Data

Number of pages: 28 Posted: 13 Mar 2012
Kjetil Martinsen, Francesco Ravazzolo, Fredrik Wulfsberg and Fredrik Wulfsberg
Norges Bank, Free University of Bozen-Bolzano - Faculty of Economics and Management and Oslo Business SchoolOslo Business School
Downloads 115 (411,616)

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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, Fredrik Wulfsberg, Francesco Ravazzolo and Kjetil Martinsen
Oslo Business SchoolOslo Business School, Free University of Bozen-Bolzano - Faculty of Economics and Management and Norges Bank
Downloads 51 (669,331)
Citation 5

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Factor models, macroeconomic forecasting, qualitative survey data

22.

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 Bozen-Bolzano - Faculty of Economics and Management and University of Glasgow - Adam Smith Business School
Downloads 165 (308,613)

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

23.

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
Lennart F. Hoogerheide, Richard Kleijn, Francesco Ravazzolo, H. K. van Dijk and Marno Verbeek
VU University Amsterdam, affiliation not provided to SSRN, Free University of Bozen-Bolzano - Faculty of Economics and Management, Tinbergen Institute and Erasmus University - Rotterdam School of Management
Downloads 165 (308,613)
Citation 18

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

24.

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

Downloads 149 (336,157)
Citation 16

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 Bozen-Bolzano - Faculty of Economics and Management and East Carolina University
Downloads 85 (507,056)
Citation 6

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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 Bozen-Bolzano - Faculty of Economics and Management and East Carolina University
Downloads 64 (597,674)
Citation 5

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Oil prices, GDP, Granger causality, Forecasting

25.

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 Bozen-Bolzano - Faculty of Economics and Management, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 146 (341,679)

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

26.

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, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 143 (347,380)
Citation 2

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Density forecast combination, stock data

27.

The Power of Weather

Downloads 138 (357,192)
Citation 6

The Power of Weather

Number of pages: 27 Posted: 13 Feb 2009
Francesco Ravazzolo, Christian Huurman and Chen Zhou
Free University of Bozen-Bolzano - Faculty of Economics and Management, Financial Engineering Associates and De Nederlandsche Bank
Downloads 91 (485,465)

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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 Bozen-Bolzano - Faculty of Economics and Management and Erasmus University Rotterdam (EUR)
Downloads 47 (694,184)
Citation 6

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

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 Bozen-Bolzano - Faculty of Economics and Management
Downloads 128 (378,329)
Citation 1

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Forecasting, Prediction, Bayesian Analysis

29.

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 Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 128 (378,329)
Citation 2

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

30.

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 Bozen-Bolzano - Faculty of Economics and Management and University of Tasmania - School of Economics and Finance
Downloads 126 (382,913)
Citation 8

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Global real economic activity, World steel production, Forecasting

31.

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. Groen, Richard Paap and Francesco Ravazzolo
Federal Reserve Bank of New York, Erasmus University Rotterdam (EUR) - Department of Econometrics and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 120 (397,106)
Citation 28

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

32.

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

Downloads 117 (404,510)

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 Bozen-Bolzano - Faculty of Economics and Management, Bocconi University, Dept. of Finance and Bocconi University
Downloads 117 (406,358)

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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 Bozen-Bolzano - Faculty of Economics and Management, Bocconi University, Dept. of Finance and Bocconi University

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

33.

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, Dept. of Finance, Free University of Bozen-Bolzano - Faculty of Economics and Management and Bocconi University
Downloads 111 (420,365)

Abstract:

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

34.

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, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 101 (449,734)

Abstract:

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

35.

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, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
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Citation 2

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

36.

Forecasting GDP with Global Components. This Time is Different

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Citation 7

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 Bozen-Bolzano - Faculty of Economics and Management and Norges Bank
Downloads 67 (583,224)
Citation 1

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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 Bozen-Bolzano - Faculty of Economics and Management and Norges Bank
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Citation 6

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

37.

Forecast Densities for Economic Aggregates from Disaggregate Ensembles

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Citation 7

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 Bozen-Bolzano - Faculty of Economics and Management and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 52 (663,340)
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 Bozen-Bolzano - Faculty of Economics and Management and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 40 (742,468)
Citation 7

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Ensemble forecasting, disaggregates

38.

Combining Bayesian VARs with Survey Density Forecasts: Does it Pay Off?

ECB Working Paper No. 2021/2543
Number of pages: 57 Posted: 04 May 2021
Marta Banbura, Federica Brenna, Joan Paredes and Francesco Ravazzolo
European Central Bank, KU Leuven - Department of Economics, European Central Bank and Free University of Bozen-Bolzano - Faculty of Economics and Management
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Citation 5

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39.

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 Bozen-Bolzano - Faculty of Economics and Management
Downloads 79 (524,483)
Citation 4

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

40.

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 Bozen-Bolzano - Faculty of Economics and Management
Downloads 75 (540,482)
Citation 3

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

41.

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 Are Aastveit, Claudia Foroni and Francesco Ravazzolo
Norges Bank, Norges Bank and Free University of Bozen-Bolzano - Faculty of Economics and Management
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Citation 5

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C11, C53, E37

42.

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, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
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Citation 11

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

43.

Combined Density Nowcasting in an Uncertain Economic Environment

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Citation 9

Combined Density Nowcasting in an Uncertain Economic Environment

Norges Bank Working Paper 17 | 2014
Number of pages: 38 Posted: 04 May 2015
Knut Are Aastveit, Francesco Ravazzolo and H. K. van Dijk
Norges Bank, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
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Citation 9

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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 Are Aastveit, Francesco Ravazzolo and H. K. van Dijk
Norges Bank, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 30 (821,505)

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Density forecast combination; Survey forecast; Bayesian Filtering; Sequential Monte Carlo Nowcasting, Real-time Data

44.

Forecasting Recessions in Real Time

Norges Bank Working Paper 2014 | 02
Number of pages: 31 Posted: 05 Jun 2014
Knut Are Aastveit, Anne Sofie Jore and Francesco Ravazzolo
Norges Bank, Norges Bank and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 64 (588,395)

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Forecast densities; Turning Points; 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 Are Aastveit, Anne Sofie Jore and Francesco Ravazzolo
Norges Bank, Norges Bank and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 60 (607,640)
Citation 4

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Business cycle; Dating rules; Turning Points; Real-time data

46.

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, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 57 (623,089)
Citation 4

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

47.

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 Bozen-Bolzano - Faculty of Economics and Management and Norges Bank - Department of Economics
Downloads 54 (638,968)

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Distance Effect, Policy Decision Making, Signal Extraction, Uncertainty

48.

Identification of Labour Market Shocks

Number of pages: 54 Posted: 20 Dec 2021
Francesco Ravazzolo and Josué Diwambuena
Free University of Bozen-Bolzano - Faculty of Economics and Management and affiliation not provided to SSRN
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Labour market shocks, SVAR, Sign restriction

49.

Is the Price Cap for Gas Useful? Evidence from European Countries

FEEM Working Paper No. 23
Number of pages: 48 Posted: 31 Oct 2023
Francesco Ravazzolo and Luca Rossini
Free University of Bozen-Bolzano - Faculty of Economics and Management and University of Milan
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Bayesian time series, Forecasted error variance decomposition, Gas price cap, Impulse response function, Mixture representation

50.

Proper Scoring Rules for Evaluating Asymmetry in Density Forecasting

Number of pages: 23 Posted: 15 Jul 2020
Matteo Iacopini, Francesco Ravazzolo and Luca Rossini
Queen Mary University of London, Free University of Bozen-Bolzano - Faculty of Economics and Management and University of Milan
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51.

Fiscal Policy Regimes in Resource-Rich Economies

Number of pages: 36 Posted: 06 Dec 2023
Hilde C. Bjørnland, Roberto Casarin, Marco Lorusso and Francesco Ravazzolo
Norwegian School of Management (BI), University Ca' Foscari of Venice - Department of Economics, University of Newcastle - Newcastle University Business School and Free University of Bozen-Bolzano - Faculty of Economics and Management
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Dynamic Panel Model, Markov Switching, Bayesian Inference, Fiscal policy, Oil-Rich Countries, Oil prices

52.

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
Roberto Casarin, Claudia Foroni, Massimiliano Giuseppe Marcellino and Francesco Ravazzolo
University Ca' Foscari of Venice - Department of Economics, Deutsche Bundesbank, Bocconi University - Department of Economics and Free University of Bozen-Bolzano - Faculty of Economics and Management
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Citation 7
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Bayesian inference, dynamic panel model, Markov switching, MCMC, mixed-frequency