Raffaella Giacomini : Citation Profile


Are you Raffaella Giacomini?

University College London (UCL)

16

H index

18

i10 index

2323

Citations

RESEARCH PRODUCTION:

19

Articles

61

Papers

1

Chapters

RESEARCH ACTIVITY:

   20 years (2001 - 2021). See details.
   Cites by year: 116
   Journals where Raffaella Giacomini has often published
   Relations with other researchers
   Recent citing documents: 284.    Total self citations: 27 (1.15 %)

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   Permalink: http://citec.repec.org/pgi20
   Updated: 2022-11-19    RAS profile: 2021-08-24    
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Relations with other researchers


Works with:

Skreta, Vasiliki (5)

Read, Matthew (4)

Gaglianone, Wagner (3)

Issler, João (3)

Turen, Javier (2)

Ferrara, Laurent (2)

Chinn, Menzie (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Raffaella Giacomini.

Is cited by:

Rossi, Barbara (62)

Ravazzolo, Francesco (55)

Clark, Todd (45)

van Dijk, Dick (41)

Mitchell, James (37)

Marcellino, Massimiliano (34)

Clements, Michael (31)

Swanson, Norman (29)

Pincheira, Pablo (29)

Perron, Pierre (28)

McCracken, Michael (28)

Cites to:

Schorfheide, Frank (30)

West, Kenneth (21)

Rossi, Barbara (19)

Watson, Mark (18)

Reichlin, Lucrezia (17)

Kilian, Lutz (16)

Diebold, Francis (15)

White, Halbert (15)

McCracken, Michael (15)

Del Negro, Marco (15)

Smets, Frank (14)

Main data


Where Raffaella Giacomini has published?


Journals with more than one article published# docs
Journal of Econometrics5
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies15
CEPR Discussion Papers / C.E.P.R. Discussion Papers8
Working Papers / Duke University, Department of Economics5
University of California at San Diego, Economics Working Paper Series / Department of Economics, UC San Diego5
Boston College Working Papers in Economics / Boston College Department of Economics5
Post-Print / HAL3
Working Papers / Barcelona School of Economics2
Working Paper Series / European Central Bank2

Recent works citing Raffaella Giacomini (2022 and 2021)


YearTitle of citing document
2022.

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2021Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Parameter-rich models estimated via the LASSO. (2021). Weron, Rafał ; Marcjasz, Grzegorz ; Jędrzejewski, Arkadiusz. In: WORking papers in Management Science (WORMS). RePEc:ahh:wpaper:worms2104.

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2021Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx. (2021). Weron, Rafał ; Marcjasz, Grzegorz ; Dubrawski, Artur ; Challu, Cristian ; Olivares, Kin G. In: WORking papers in Management Science (WORMS). RePEc:ahh:wpaper:worms2107.

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2022Should we care about ECB inflation expectations?. (2022). Candelon, Bertrand ; Roccazzella, Francesco. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022004.

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2021Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective. (2018). Liu, Laura. In: Papers. RePEc:arx:papers:1805.04178.

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2022Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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2021Predictive properties of forecast combination, ensemble methods, and Bayesian predictive synthesis. (2019). McAlinn, Kenichiro ; Takanashi, Kosaku. In: Papers. RePEc:arx:papers:1911.08662.

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2022Equal Predictive Ability Tests for Panel Data with an Application to OECD and IMF Forecasts. (2020). Yang, Zhenlin ; Urga, Giovanni ; Pirotte, Alain ; Akgun, Oguzhan. In: Papers. RePEc:arx:papers:2003.02803.

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2021Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles. (2020). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2005.04868.

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2021Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.01714.

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2022The Efficiency Gap. (2020). Fissler, Tobias ; Dimitriadis, Timo ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:2010.14146.

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2021Machine Learning Advances for Time Series Forecasting. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:2012.12802.

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2021Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules. (2021). Alexander, Carol ; Coulon, Michael ; Han, Yang ; Meng, Xiaochun. In: Papers. RePEc:arx:papers:2101.12693.

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2021A note on global identification in structural vector autoregressions. (2021). Kitagawa, Toru ; Bacchiocchi, Emanuele. In: Papers. RePEc:arx:papers:2102.04048.

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2021Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings. (2021). Perron, Pierre ; Grassi, Stefano ; Catania, Leopoldo ; Casini, Alessandro ; Belotti, Federico. In: Papers. RePEc:arx:papers:2103.00060.

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2021Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference. (2021). Perron, Pierre ; Deng, Taosong ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.01604.

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2021Minimax MSE Bounds and Nonlinear VAR Prewhitening for Long-Run Variance Estimation Under Nonstationarity. (2021). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02235.

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2021Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models. (2021). Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02981.

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2021Tail forecasts of inflation using time-varying parameter quantile regressions. (2021). Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:2103.03632.

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2021Identification at the Zero Lower Bound. (2021). Mavroeidis, Sophocles. In: Papers. RePEc:arx:papers:2103.12779.

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2021Modelling uncertainty in financial tail risk: a forecasting combination and weighted quantile approach. (2021). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2104.04918.

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2022Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. (2021). Fissler, Tobias ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2104.10673.

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2021A Simple Model of Monetary Policy under Phillips-Curve Causal Disagreements. (2021). spiegler, ran. In: Papers. RePEc:arx:papers:2105.08988.

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2021Specification tests for GARCH processes. (2021). Rahbek, Anders ; Perera, Indeewara ; Cavaliere, Giuseppe. In: Papers. RePEc:arx:papers:2105.14081.

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2021On Testing Equal Conditional Predictive Ability Under Measurement Error. (2021). Dimitriadis, Timo ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2106.11104.

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2021Emotions in Macroeconomic News and their Impact on the European Bond Market. (2021). Tosetti, Elisa ; Pezzoli, Luca Tiozzo ; Consoli, Sergio. In: Papers. RePEc:arx:papers:2106.15698.

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2022Feasible Weighted Projected Principal Component Analysis for Factor Models with an Application to Bond Risk Premia. (2021). Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2108.10250.

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2022Algorithms for Inference in SVARs Identified with Sign and Zero Restrictions. (2021). Read, Matthew. In: Papers. RePEc:arx:papers:2109.10676.

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2021Stochastic volatility model with range-based correction and leverage. (2021). Kurose, Yuta. In: Papers. RePEc:arx:papers:2110.00039.

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2022Confidence Intervals of Treatment Effects in Panel Data Models with Interactive Fixed Effects. (2022). Li, Xingyu ; Zhou, Qiankun ; Shen, Yan. In: Papers. RePEc:arx:papers:2202.12078.

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2022Forecasting US Inflation Using Bayesian Nonparametric Models. (2022). Marcellino, Massimiliano ; Koop, Gary ; Huber, Florian ; Clark, Todd. In: Papers. RePEc:arx:papers:2202.13793.

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2022Encompassing Tests for Nonparametric Regressions. (2022). Lapenta, Elia ; Lavergne, Pascal. In: Papers. RePEc:arx:papers:2203.06685.

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2022Predicting Value at Risk for Cryptocurrencies Using Generalized Random Forests. (2022). Gorgen, Konstantin ; Schienle, Melanie ; Meirer, Jonas. In: Papers. RePEc:arx:papers:2203.08224.

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2022Forecasting Electricity Prices. (2022). Weron, Rafał ; Uniejewski, Bartosz ; Maciejowska, Katarzyna. In: Papers. RePEc:arx:papers:2204.11735.

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2022LASSO Principal Component Averaging -- a fully automated approach for point forecast pooling. (2022). Maciejowska, Katarzyna ; Uniejewski, Bartosz. In: Papers. RePEc:arx:papers:2207.04794.

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2022Instrumental variable quantile regression under random right censoring. (2022). van Keilegom, Ingrid ; VanKeilegom, Ingrid ; Tedesco, Lorenzo ; Beyhum, Jad. In: Papers. RePEc:arx:papers:2209.01429.

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2022Fast Estimation of Bayesian State Space Models Using Amortized Simulation-Based Inference. (2022). Seleznev, Sergei ; Khabibullin, Ramis. In: Papers. RePEc:arx:papers:2210.07154.

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2021Forecasting with VAR-teXt and DFM-teXt Models:exploring the predictive power of central bank communication. (2021). Ferreira, Leonardo. In: Working Papers Series. RePEc:bcb:wpaper:559.

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2021Do inflation expectations improve model-based inflation Forecasts?. (2021). Menz, Jan-Oliver ; Leiva-Leon, Danilo ; Babura, Marta. In: Working Papers. RePEc:bde:wpaper:2138.

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2021The power of text-based indicators in forecasting the Italian economic activity. (2021). Monteforte, Libero ; Marcucci, Juri ; aprigliano, valentina ; Luciani, Andrea ; Guaitoli, Gabriele ; Emiliozzi, Simone. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1321_21.

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2022Financial Conditions and Macroeconomic Downside Risks in the Euro Area. (2022). Lhuissier, Stéphane. In: Working papers. RePEc:bfr:banfra:863.

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2021Evaluating Forecast Performance with State Dependence. (2021). Sekhposyan, Tatevik ; Rossi, Barbara ; Odendahl, Florens. In: Working Papers. RePEc:bge:wpaper:1295.

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2022Forward guidance and expectation formation: A narrative approach. (2022). Sutherland, Christopher S. In: BIS Working Papers. RePEc:bis:biswps:1024.

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2021Belief-Dependent Pricing Decisions. (2021). Frache, Serafin ; Turen, Javier ; Lluberas, Rodrigo. In: Documentos de trabajo. RePEc:bku:doctra:2021007.

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2021Bootstrap tests for structural breaks when the regressors and the serially correlated error term are unstable. (2021). Lee, Dongjin. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:2:p:212-229.

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2021Predictive Inference Based on Markov Chain Monte Carlo Output. (2021). Gneiting, Tilmann ; Thorarinsdottir, Thordis ; Lerch, Sebastian ; Kruger, Fabian. In: International Statistical Review. RePEc:bla:istatr:v:89:y:2021:i:2:p:274-301.

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2021Learning From Disagreement in the U.S. Treasury Bond Market. (2021). Singleton, Kenneth J ; Laursen, Kristoffer T ; Giacoletti, Marco. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:1:p:395-441.

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2022Luck versus Skill in the Cross Section of Mutual Fund Returns: Reexamining the Evidence. (2022). Liu, Yan ; Harvey, Campbell R. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:3:p:1921-1966.

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2022Modelling clusters of corporate defaults: Regime?switching models significantly reduce the contagion source. (2022). Maruotti, Antonello ; Bulla, Jan ; Berentsen, Geir D ; Stove, Brd. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:71:y:2022:i:3:p:698-722.

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2021Identifiability of structural singular vector autoregressive models. (2021). Braumann, Alexander ; Funovits, Bernd. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:4:p:431-441.

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2021Accurate Confidence Regions for Principal Components Factors. (2021). Ruiz, Esther ; Maldonado, Javier. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:6:p:1432-1453.

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2022Econometric Analysis of Switching Expectations in UK Inflation. (2022). Madeira, Joao ; Corneamadeira, Adriana. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:3:p:651-673.

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2021Nowcasting South African gross domestic product using a suite of statistical models. (2021). Steenkamp, Daan ; Botha, Byron ; van Jaarsveld, Rossouw ; Reid, Geordie ; Olds, Tim. In: South African Journal of Economics. RePEc:bla:sajeco:v:89:y:2021:i:4:p:526-554.

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2021Quantifying time-varying forecast uncertainty and risk for the real price of oil. (2021). Cross, Jamie L ; Aastveit, Knut Are ; van Dijk, Herman K. In: Working Paper. RePEc:bno:worpap:2021_3.

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2021Quantifying time-varying forecast uncertainty and risk for the real price of oil. (2021). Djik, Herman K ; Cross, Jamie ; Aastveit, Knut Are. In: Working Papers. RePEc:bny:wpaper:0099.

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2022The Term Structure of Inflation at Risk: A Panel Quantile Regression Approach. (2022). Norimasa, Yoshihiko ; Makabe, Yoshibumi . In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp22e04.

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2021On the elicitability of range value at risk. (2021). Johanna, Ziegel ; Tobias, Fissler. In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:38:y:2021:i:1-2:p:25-46:n:3.

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2022A Markov-Switching Model of the Unemployment Rate: Working Paper 2022-05. (2022). Office, Congressional Budget. In: Working Papers. RePEc:cbo:wpaper:57582.

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2021Optimal Out-of-Sample Forecast Evaluation under Stationarity. (2021). Stanek, Filip. In: CERGE-EI Working Papers. RePEc:cer:papers:wp712.

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2021Bayesian Estimation of Epidemiological Models: Methods, Causality, and Policy Trade-Offs. (2021). Fernandez-Villaverde, Jesus ; Shin, Minchul ; Rubio-Ramirez, Juan F ; Arias, Jonas E. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8977.

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2021Measuring Market Expectations. (2021). Baumeister, Christiane. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9305.

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2021Searching for the Best Inflation Forecasters within a Consumer Perceptions Survey: Microdata Evidence from Chile. (2021). Medel, Carlos A.. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:899.

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2021Forecasting Brazilian Inflation with the Hybrid New Keynesian Phillips Curve: Assessing the Predictive Role of Trading Partners. (2021). Medel, Carlos A.. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:900.

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2021Moment tests of independent components. (2021). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2021_2102.

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2021Conditional Rotation Between Forecasting Models. (2021). Zhu, Yinchu ; Timmermann, Allan. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15917.

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2021Bayesian Estimation of Epidemiological Models: Methods, Causality, and Policy Trade-Offs. (2021). Shin, Minchul ; Fernandez-Villaverde, Jesus ; Rubio-Ramirez, Juan Francisco ; Arias, Jonas . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15951.

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2022Inference on Multiplicative Component GARCH without any Small-Order Moment. (2022). Zakoian, Jean-Michel ; Kandji, Baye Matar ; Francq, Christian. In: Working Papers. RePEc:crs:wpaper:2022-09.

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2021Estimating Fed’s unconventional policy shocks. (2021). Jarociski, Marek. In: Working Paper Series. RePEc:ecb:ecbwps:20210.

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2021Combining Bayesian VARs with survey density forecasts: does it pay off?. (2021). Ravazzolo, Francesco ; Paredes, Joan ; Brenna, Federica ; Babura, Marta. In: Working Paper Series. RePEc:ecb:ecbwps:20212543.

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2021Estimating Fed’s unconventional policy shocks. (2021). Jarociński, Marek ; Jarociski, Marek. In: Working Paper Series. RePEc:ecb:ecbwps:20212585.

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2021Do inflation expectations improve model-based inflation forecasts?. (2021). Menz, Jan-Oliver ; Leiva-Leon, Danilo ; Banbura, Marta ; Babura, Marta. In: Working Paper Series. RePEc:ecb:ecbwps:20212604.

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2021Global risk and the dollar. (2021). Müller, Gernot ; Georgiadis, Georgios ; Schumann, Ben. In: Working Paper Series. RePEc:ecb:ecbwps:20212628.

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2021Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark. (2021). Weron, Rafał ; de Schutter, Bart ; Marcjasz, Grzegorz ; Lago, Jesus. In: Applied Energy. RePEc:eee:appene:v:293:y:2021:i:c:s0306261921004529.

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2022Analyzing and forecasting Thai macroeconomic data using mixed-frequency approach. (2022). Wichitaksorn, Nuttanan. In: Journal of Asian Economics. RePEc:eee:asieco:v:78:y:2022:i:c:s1049007821001494.

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2022Kernel-based hidden Markov conditional densities. (2022). Gooijer, Jan G. ; Yuan, AO ; Henter, Gustav Eje ; de Gooijer, Jan G. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:169:y:2022:i:c:s0167947322000111.

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2021Long-term inflation expectations and the transmission of monetary policy shocks: Evidence from a SVAR analysis. (2021). Nautz, Dieter ; Diegel, Max. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:130:y:2021:i:c:s0165188921001275.

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2022A neural network ensemble approach for GDP forecasting. (2022). Rungi, Armando ; Riccaboni, Massimo ; Longo, Luigi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s016518892100213x.

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2022Proxy SVAR identification of monetary policy shocks - Monte Carlo evidence and insights for the US. (2022). Rohloff, Hannes ; Herwartz, Helmut ; Wang, Shu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001622.

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2021Social media sentiment, model uncertainty, and volatility forecasting. (2021). Lehrer, Steven ; Zhang, Xinyu ; Xie, Tian. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001450.

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2021Correlation regimes in international equity and bond returns. (2021). Martinez, Oscar ; Aslanidis, Nektarios. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:397-410.

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2022Extreme risk transmission channels between the stock index futures and spot markets: Evidence from China. (2022). Zhu, Zhican ; Li, Xupei ; Jian, Zhihong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002242.

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2021On the serial correlation in multi-horizon predictive quantile regression. (2021). Xu, Ke-Li. In: Economics Letters. RePEc:eee:ecolet:v:200:y:2021:i:c:s0165176521000136.

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2021On a diversity of perspectives and world views: Learning under Bayesian vis-á-vis DeGroot updating. (2021). Khan, M. ; Ghosh, Aniruddha. In: Economics Letters. RePEc:eee:ecolet:v:202:y:2021:i:c:s0165176521001166.

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2021Forecasting Bitcoin realized volatility by measuring the spillover effect among cryptocurrencies. (2021). Xie, Tian ; Qiu, Yue ; Wang, Yifan. In: Economics Letters. RePEc:eee:ecolet:v:208:y:2021:i:c:s0165176521003694.

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2021Bootstrap based probability forecasting in multiplicative error models. (2021). Silvapulle, Mervyn J ; Perera, Indeewara . In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:1-24.

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2021New testing approaches for mean–variance predictability. (2021). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:516-538.

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2021(Machine) learning parameter regions. (2021). Nesbit, James ; Montiel, Jose Luis. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:716-744.

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2021Inference in Bayesian Proxy-SVARs. (2021). Waggoner, Daniel ; Rubio-Ramirez, Juan F ; Arias, Jonas E. In: Journal of Econometrics. RePEc:eee:econom:v:225:y:2021:i:1:p:88-106.

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2022Robust Bayesian inference in proxy SVARs. (2022). Read, Matthew ; Kitagawa, Toru ; Giacomini, Raffaella. In: Journal of Econometrics. RePEc:eee:econom:v:228:y:2022:i:1:p:107-126.

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2022An explainable attention network for fraud detection in claims management. (2022). Spindler, Martin ; Low, Leander ; Farbmacher, Helmut. In: Journal of Econometrics. RePEc:eee:econom:v:228:y:2022:i:2:p:244-258.

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2021Model risk management: Valuation and governance of pseudo-models. (2021). Monfort, Alain ; Gourieroux, C. In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:1-22.

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2022A nonparametric copula approach to conditional Value-at-Risk. (2022). Dunn, Richard ; Geenens, Gery. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:19-37.

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2022Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility. (2022). Oglend, Atle ; Moura, Guilherme Valle ; Liesenfeld, Roman ; Kleppe, Tore Selland. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:105-127.

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2022Heterogeneity of beliefs and information rigidity in the crude oil market: Evidence from survey data. (2022). Czudaj, Robert. In: European Economic Review. RePEc:eee:eecrev:v:143:y:2022:i:c:s0014292122000071.

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2022Financial conditions and macroeconomic downside risks in the euro area. (2022). Lhuissier, Stephane. In: European Economic Review. RePEc:eee:eecrev:v:143:y:2022:i:c:s0014292122000101.

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2021Option valuation under no-arbitrage constraints with neural networks. (2021). Zhai, Jia ; Liu, Xiaoquan ; Cao, YI. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:1:p:361-374.

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2022Fat tails, serial dependence, and implied volatility index connections. (2022). Ellington, Michael. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:2:p:768-779.

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2021Modeling the cross-section of stock returns using sensible models in a model pool. (2021). Zhou, Qing ; Liao, Yin ; Chiang, I-Hsuan Ethan ; I-Hsuan Ethan Chiang, . In: Journal of Empirical Finance. RePEc:eee:empfin:v:60:y:2021:i:c:p:56-73.

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2021Forecasting volatility using double shrinkage methods. (2021). Cheng, Mingmian ; Yang, Xiye ; Swanson, Norman R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:46-61.

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2021Trading the foreign exchange market with technical analysis and Bayesian Statistics. (2021). Stasinakis, Charalampos ; Sermpinis, Georgios ; Hassanniakalager, Arman. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:230-251.

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2021Forecasting stock returns with large dimensional factor models. (2021). Soccorsi, Stefano ; Massacci, Daniele ; Giovannelli, Alessandro. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:252-269.

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More than 100 citations found, this list is not complete...

Works by Raffaella Giacomini:


YearTitleTypeCited
2020Heterogeneity, Inattention, and Bayesian Updates In: American Economic Journal: Macroeconomics.
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2015Forecasting in Nonstationary Environments: What Works and What Doesnt in Reduced-Form and Structural Models In: Annual Review of Economics.
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2014Forecasting in Nonstationary Environments: What Works and What Doesnt in Reduced-Form and Structural Models.(2014) In: Working Papers.
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2014Forecasting in nonstationary environments: What works and what doesnt in reduced-form and structural models.(2014) In: Economics Working Papers.
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2021Identification and Inference Under Narrative Restrictions In: Papers.
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2018Incentive-driven Inattention In: Working Papers Series.
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2019Incentive-driven Inattention.(2019) In: CEPR Discussion Papers.
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2019Incentive-driven Inattention.(2019) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2005Evaluation and Combination of Conditional Quantile Forecasts In: Journal of Business & Economic Statistics.
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article144
2003Evaluation and Combination of Conditional Quantile Forecasts.(2003) In: Boston College Working Papers in Economics.
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2002Evaluation and Combination of Conditional Quantile Forecasts.(2002) In: University of California at San Diego, Economics Working Paper Series.
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2007Comparing Density Forecasts via Weighted Likelihood Ratio Tests In: Journal of Business & Economic Statistics.
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article398
2005Comparing Density Forecsts via Weighted Likelihood Ratio Tests.(2005) In: Working Papers.
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2014Model Comparisons in Unstable Environments In: Working Papers.
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paper19
2009Model Comparisons in Unstable Environments.(2009) In: Working Papers.
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2010Model Comparisons in Unstable Environments.(2010) In: Working Papers.
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2012Model comparisons in unstable environments.(2012) In: CeMMAP working papers.
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2015Model comparisons in unstable environments.(2015) In: Economics Working Papers.
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2016MODEL COMPARISONS IN UNSTABLE ENVIRONMENTS.(2016) In: International Economic Review.
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2006How Stable is the Forecasting Performance of the Yield Curve for Output Growth?* In: Oxford Bulletin of Economics and Statistics.
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article71
2005How Stable is the Forecasting Performance of the Yield Curve for Outpot Growth?.(2005) In: Working Papers.
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2003Tests of conditional predictive ability In: Boston College Working Papers in Economics.
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paper827
2003Tests of Conditional Predictive Ability.(2003) In: University of California at San Diego, Economics Working Paper Series.
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2006Tests of Conditional Predictive Ability.(2006) In: Econometrica.
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2003Tests of Conditional Predictive Ability.(2003) In: Econometrics.
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2002Aggregation of Space-Time Processes In: Boston College Working Papers in Economics.
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paper92
2001Aggregationn of Space-Time Processes.(2001) In: University of California at San Diego, Economics Working Paper Series.
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2004Aggregation of space-time processes.(2004) In: Journal of Econometrics.
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2002Comparing Density Forecasts via Weighted Likelihood Ratio Tests: Asymptotic and Bootstrap Methods In: Boston College Working Papers in Economics.
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paper18
2002Comparing Density Forecasts via Weighted Likelihood Ratio Tests: Asymptotic and Bootstrap Methods.(2002) In: University of California at San Diego, Economics Working Paper Series.
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2002Hypernormal Densities In: Boston College Working Papers in Economics.
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2002Hypernormal Densities.(2002) In: University of California at San Diego, Economics Working Paper Series.
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2002Hypernormal densities.(2002) In: Economics Working Papers.
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2015Models, Inattention and Expectation Updates In: Discussion Papers.
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2015Models, Inattention and Expectation Updates.(2015) In: CEPR Discussion Papers.
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2016Models, inattention and expectation updates.(2016) In: LSE Research Online Documents on Economics.
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2005Detecting and Predicting Forecast Breakdowns* In: UCLA Economics Working Papers.
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paper112
2006Detecting and Predicting Forecast Breakdowns.(2006) In: Working Papers.
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2006Detecting and predicting forecast breakdowns.(2006) In: Working Paper Series.
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2009Detecting and Predicting Forecast Breakdowns.(2009) In: Review of Economic Studies.
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2014Economic theory and forecasting: lessons from the literature In: CEPR Discussion Papers.
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2014Economic theory and forecasting: lessons from the literature.(2014) In: CeMMAP working papers.
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2015Economic theory and forecasting: lessons from the literature.(2015) In: Econometrics Journal.
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2014Inference about Non-Identified SVARs In: CEPR Discussion Papers.
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2014Inference about Non-Identi?ed SVARs.(2014) In: CeMMAP working papers.
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2020Robust Bayesian Inference in Proxy SVARs In: CEPR Discussion Papers.
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2020Robust Bayesian inference in proxy SVARs.(2020) In: CeMMAP working papers.
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2019Robust Bayesian Inference in Proxy SVARs.(2019) In: CeMMAP working papers.
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2011Incorporating theoretical restrictions into forecasting by projection methods In: CEPR Discussion Papers.
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2012Incorporating theoretical restrictions into forecasting by projection methods.(2012) In: 2012 Meeting Papers.
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2013Generalized Method of Moments with Latent Variables In: CEPR Discussion Papers.
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2013Generalized method of moments with latent variables.(2013) In: CeMMAP working papers.
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2013Anchoring the Yield Curve Using Survey Expectations In: CEPR Discussion Papers.
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2014Anchoring the yield curve using survey expectations.(2014) In: Working Paper Series.
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2013Anchoring the yield curve using survey expectations.(2013) In: CeMMAP working papers.
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2017Anchoring the yield curve using survey expectations.(2017) In: Journal of Applied Econometrics.
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2013A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS In: Econometric Theory.
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2012A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators.(2012) In: CeMMAP working papers.
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2008Forecast Comparisons in Unstable Environments In: Working Papers.
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2010Forecast comparisons in unstable environments.(2010) In: Journal of Applied Econometrics.
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2008Mixtures of t-distributions for finance and forecasting In: Journal of Econometrics.
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article7
2007Mixtures of t-distributions for Finance and Forecasting.(2007) In: Economics Series.
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2011How useful are no-arbitrage restrictions for forecasting the term structure of interest rates? In: Journal of Econometrics.
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2011How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?.(2011) In: Post-Print.
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2014Theory-coherent forecasting In: Journal of Econometrics.
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article21
2017Bayesian estimation of state space models using moment conditions In: Journal of Econometrics.
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article8
2013Forecasting in macroeconomics In: Chapters.
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chapter3
2016Stress Testing with Misspecified Models In: Working Paper Series.
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paper7
2018Impact of uncertainty shocks on the global economy In: Post-Print.
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paper5
2017Impact of uncertainty shocks on the global economy.(2017) In: Post-Print.
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2020Robust Bayesian inference for set-identified models In: CeMMAP working papers.
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paper35
2018Robust Bayesian inference for set-identified models.(2018) In: CeMMAP working papers.
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2021Robust Bayesian Inference for Set?Identified Models.(2021) In: Econometrica.
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2017Uncertain identification In: CeMMAP working papers.
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2020Uncertain Identification.(2020) In: CeMMAP working papers.
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2013Bond returns and market expectations In: CeMMAP working papers.
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paper14
2014Bond Returns and Market Expectations.(2014) In: The Journal of Financial Econometrics.
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2013The relationship between DSGE and VAR models In: CeMMAP working papers.
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paper40
2019Estimation Under Ambiguity In: CeMMAP working papers.
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paper5
2018Models, Inattention and Bayesian Updates In: Documentos de Trabajo.
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2009Model Selection in Unstable Environments In: 2009 Meeting Papers.
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