Francesco Ravazzolo : Citation Profile


Are you Francesco Ravazzolo?

Libera Università di Bolzano / Freie Universität Bozen

18

H index

31

i10 index

1188

Citations

RESEARCH PRODUCTION:

43

Articles

128

Papers

1

Chapters

RESEARCH ACTIVITY:

   15 years (2006 - 2021). See details.
   Cites by year: 79
   Journals where Francesco Ravazzolo has often published
   Relations with other researchers
   Recent citing documents: 241.    Total self citations: 93 (7.26 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pra286
   Updated: 2022-01-23    RAS profile: 2021-06-14    
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Relations with other researchers


Works with:

Casarin, Roberto (10)

Rossini, Luca (9)

Vespignani, Joaquin (8)

van Dijk, Herman (7)

Foroni, Claudia (7)

Caporin, Massimiliano (6)

Gianfreda, Angelica (4)

Lorusso, Marco (4)

Aastveit, Knut Are (4)

Bjørnland, Hilde (4)

Grassi, Stefano (3)

Bianchi, Daniele (3)

Billio, Monica (3)

Sartore, Domenico (3)

Guidolin, Massimo (3)

GUPTA, RANGAN (3)

Marcellino, Massimiliano (2)

Natvik, Gisle (2)

Santucci de Magistris, Paolo (2)

Violante, Francesco (2)

Wong, Wing-Keung (2)

Thorsrud, Leif (2)

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

Is cited by:

van Dijk, Herman (49)

Rossi, Barbara (43)

Cross, Jamie (29)

Mitchell, James (26)

GUPTA, RANGAN (22)

Korobilis, Dimitris (20)

Vahey, Shaun (20)

Casarin, Roberto (19)

Marcellino, Massimiliano (18)

Baştürk, Nalan (17)

Huber, Florian (17)

Cites to:

van Dijk, Herman (87)

Watson, Mark (69)

Casarin, Roberto (62)

Mitchell, James (59)

Koop, Gary (51)

Diebold, Francis (49)

Billio, Monica (44)

Korobilis, Dimitris (43)

Clark, Todd (41)

amisano, gianni (38)

Vahey, Shaun (36)

Main data


Where Francesco Ravazzolo has published?


Journals with more than one article published# docs
Journal of Business & Economic Statistics5
International Journal of Forecasting5
Journal of Applied Econometrics4
Journal of Forecasting2
Journal of Empirical Finance2
The Quarterly Review of Economics and Finance2
JRFM2
Studies in Nonlinear Dynamics & Econometrics2
Econometrics2

Working Papers Series with more than one paper published# docs
Working Papers / Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School20
Tinbergen Institute Discussion Papers / Tinbergen Institute16
BEMPS - Bozen Economics & Management Paper Series / Faculty of Economics and Management at the Free University of Bozen7
Working Papers / Department of Economics, University of Venice "Ca' Foscari"6
Papers / arXiv.org5
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute4
Working Papers / University of Tasmania, Tasmanian School of Business and Economics3
Working Papers (Old Series) / Federal Reserve Bank of Cleveland2
Working Paper Series / European Central Bank2
Globalization Institute Working Papers / Federal Reserve Bank of Dallas2
Working Paper series / Rimini Centre for Economic Analysis2

Recent works citing Francesco Ravazzolo (2021 and 2020)


YearTitle of citing document
2020Optimal Asset Allocation for Commodity Sovereign Wealth Funds. (2020). Parra-Alvarez, Juan ; Ma, Lin ; Irarrazabal, Alfonso A. In: CREATES Research Papers. RePEc:aah:create:2020-10.

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2020Model Averaging and Its Use in Economics. (2020). , Mark. In: Journal of Economic Literature. RePEc:aea:jeclit:v:58:y:2020:i:3:p:644-719.

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2021A Peek into the Unobservable: Hidden States and Bayesian Inference for the Bitcoin and Ether Price Series. (2019). Piliouras, Georgios ; Leonardos, Stefanos ; Koki, Constandina. In: Papers. RePEc:arx:papers:1909.10957.

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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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2020High-dimensional macroeconomic forecasting using message passing algorithms. (2020). Korobilis, Dimitris. In: Papers. RePEc:arx:papers:2004.11485.

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2020Asset Prices and Capital Share Risks: Theory and Evidence. (2020). Ibrahim, Boulis M ; Byrne, Joseph P ; Zong, Xiaoyu. In: Papers. RePEc:arx:papers:2006.14023.

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2021Inference in Bayesian Additive Vector Autoregressive Tree Models. (2020). Huber, Florian ; Rossini, Luca. In: Papers. RePEc:arx:papers:2006.16333.

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2020Estimating TVP-VAR models with time invariant long-run multipliers. (2020). Polbin, Andrey ; Krymova, Ekaterina ; Belomestny, Denis. In: Papers. RePEc:arx:papers:2008.00718.

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2020Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark. (2020). Weron, Rafał ; Marcjasz, Grzegorz ; de Schutter, Bart ; Lago, Jesus. In: Papers. RePEc:arx:papers:2008.08004.

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2021Deep Distributional Time Series Models and the Probabilistic Forecasting of Intraday Electricity Prices. (2020). Nott, David J ; Smith, Michael Stanley ; Klein, Nadja. In: Papers. RePEc:arx:papers:2010.01844.

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2020Forecasting With Factor-Augmented Quantile Autoregressions: A Model Averaging Approach. (2020). Phella, Anthoulla. In: Papers. RePEc:arx:papers:2010.12263.

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2020Exploring the Predictability of Cryptocurrencies via Bayesian Hidden Markov Models. (2020). Leonardos, Stefanos ; Koki, Constandina ; Piliouras, Georgios. In: Papers. RePEc:arx:papers:2011.03741.

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2020Sparse time-varying parameter VECMs with an application to modeling electricity prices. (2020). Pfarrhofer, Michael ; Hauzenberger, Niko ; Rossini, Luca. In: Papers. RePEc:arx:papers:2011.04577.

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2021Real-time Inflation Forecasting Using Non-linear Dimension Reduction Techniques. (2020). Huber, Florian ; Hauzenberger, Niko ; Klieber, Karin. In: Papers. RePEc:arx:papers:2012.08155.

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2021Long-term prediction intervals with many covariates. (2020). Chudy, Marek ; Karmakar, Sayar ; Wu, Wei Biao. In: Papers. RePEc:arx:papers:2012.08223.

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2020The impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach. (2020). Billio, Monica ; Mistry, Malcolm ; de Cian, Enrica ; DeCian, Enrica ; Casarin, Roberto ; Osuntuyi, Anthony. In: Papers. RePEc:arx:papers:2012.14693.

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2021Dynamic Ordering Learning in Multivariate Forecasting. (2021). Lopes, Hedibert F ; Bruno, . In: Papers. RePEc:arx:papers:2101.04164.

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2021Loss-Based Variational Bayes Prediction. (2021). Frazier, David T ; Koo, Bonsoo ; Martin, Gael M ; Loaiza-Maya, Ruben. In: Papers. RePEc:arx:papers:2104.14054.

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2021Vector autoregression models with skewness and heavy tails. (2021). Karlsson, Sune ; Nguyen, Hoang ; Mazur, Stepan. In: Papers. RePEc:arx:papers:2105.11182.

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2021Output, Employment, and Price Effects of U.S. Narrative Tax Changes: A Factor-Augmented Vector Autoregression Approach. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2106.10844.

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2021Heterogeneous Responses to the U.S. Narrative Tax Changes: Evidence from the U.S. States. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2107.13678.

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2021Bayesian forecast combination using time-varying features. (2021). Li, Feng ; Kang, Yanfei. In: Papers. RePEc:arx:papers:2108.02082.

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2020Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or HiddenMarkov Models?. (2020). Pedio, Manuela ; Guidolin, Massimo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20140.

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2020Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets. (2020). Pedio, Manuela ; Guidolin, Massimo ; Bianchi, Daniele. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20143.

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2020The Effect of Oil Price Shocks on Asset Markets: Evidence from Oil Inventory News. (2020). Jin, Jianjian ; Ellwanger, Reinhard ; Alquist, Ron. In: Staff Working Papers. RePEc:bca:bocawp:20-8.

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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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2020The economic drivers of volatility and uncertainty. (2020). Marcellino, Massimiliano ; Corsello, Francesco ; Carriero, Andrea. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1285_20.

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2020Parallel Digital Currencies and Sticky Prices. (2020). Xie, Taojun ; Uhlig, Harald. In: Working Papers. RePEc:bfi:wpaper:2020-188.

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2021Structural Estimation of Time-Varying Spillovers: An Application to International Credit Risk Transmission. (2021). Arthur, Stalla-Bourdillon ; Lukas, Boeckelmann. In: Working papers. RePEc:bfr:banfra:798.

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2020From Fixed-Event to Fixed-Horizon Density Forecasts: Obtaining Measures of Multi-Horizon Uncertainty from Survey Density Forecasts. (2020). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely. In: Working Papers. RePEc:bge:wpaper:1142.

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2020Trend Fundamentals and Exchange Rate Dynamics. (2020). Kaufmann, Daniel ; Huber, Florian. In: Economica. RePEc:bla:econom:v:87:y:2020:i:348:p:1016-1036.

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2020Moving markets? Government bond investors and microeconomic policy changes. (2020). Wibbels, Erik ; Paniagua, Victoria ; Mosley, Layna. In: Economics and Politics. RePEc:bla:ecopol:v:32:y:2020:i:2:p:197-249.

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2020Modelling Financial Contagion Using High Frequency Data. (2020). Yao, Wenying ; Alexeev, Vitali ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:314-330.

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2020Jump Risk in the US Financial Sector. (2020). Yao, Wenying ; Gajurel, Dinesh ; Jeyasreedharan, Nagaratnam ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:331-349.

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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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2020Norges Bank Output Gap Estimates: Forecasting Properties, Reliability and Cyclical Sensitivity. (2020). Furlanetto, Francesco ; Robstad, Orjan ; Hansen, Frank ; Hagelund, Kre. In: Working Paper. RePEc:bno:worpap:2020_07.

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2020Nowcasting Norwegian household consumption with debit card transaction data. (2020). Fastb, Tuva Marie ; Aastveit, Knut Are ; Torstensen, Kjersti Nss ; Paulsen, Kenneth Sterhagen ; Granziera, Eleonora. In: Working Paper. RePEc:bno:worpap:2020_17.

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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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2021Macroeconomic Forecasting with Large Stochastic Volatility in Mean VARs. (2021). Koop, Gary ; Hou, Chenghan ; Cross, Jamie L. In: Working Papers. RePEc:bny:wpaper:0100.

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2020Populism, Political Risk and the Economy: Lessons from Italy. (2019). Schiantarelli, Fabio ; Brianti, Marco ; Brancati, Emanuele ; Balduzzi, Pierluigi. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:989.

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2020Identification of structural vector autoregressions by stochastic volatility. (2020). Braun, Robin ; Bertsche, Dominik. In: Bank of England working papers. RePEc:boe:boeewp:0869.

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2020Time-frequency forecast of the equity premium. (2020). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_006.

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2021Unconventional Monetary Policy in the Euro Area: A Tale of Three Shocks. (2021). Marsi, Antonio ; Fanelli, Luca. In: Working Papers. RePEc:bol:bodewp:wp1164.

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2021Stochastic model specification in Markov switching vector error correction models. (2021). Huber, Florian ; Niko, Hauzenberger ; Thomas, Zorner ; Michael, Pfarrhofer ; Florian, Huber. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:2:p:17:n:7.

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2021Macroeconomic uncertainty and forecasting macroeconomic aggregates. (2021). Magnus, Reif. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:2:p:20:n:5.

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2020A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model. (2020). Ge, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:20114.

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2020Real-Time Forecasting Using Mixed-Frequency VARS with Time-Varying Parameters. (2020). Reif, Magnus ; Heinrich, Markus. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8054.

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2020Energy Markets and Global Economic Conditions. (2020). Korobilis, Dimitris ; Baumeister, Christiane ; Lee, Thomas K. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8282.

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2020A Comparison of Monthly Global Indicators for Forecasting Growth. (2020). Guérin, Pierre ; Baumeister, Christiane. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8656.

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

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2020Macroeconomics, Nonlinearities, and the Business Cycle. (2020). Reif, Magnus. In: ifo Beiträge zur Wirtschaftsforschung. RePEc:ces:ifobei:87.

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2020From Fixed-event to Fixed-horizon Density Forecasts: Obtaining Measures of Multi-horizon Uncertainty from Survey Density Forecasts. (2020). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14267.

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2020Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2020). Rossi, Barbara. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14472.

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2020Tastes for Discrimination Monopsonistic in Labour Markets.. (2020). Fanfani, Bernardo. In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def094.

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2021Italy: immigration and the evolution of populism.. (2021). Pieroni, Luca ; Salmasi, Luca ; Roig, Melcior Rossello. In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def098.

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2021PUBLIC SECTOR JOBS: Working in the public sector in Europe and the US.. (2021). Lucifora, Claudio ; Fenizia, Alessandra ; Checchi, Daniele. In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def107.

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2021Impatience and crime. Evidence from the NLSY97. (2021). Turati, Gilberto ; Foresta, Alessandra ; Basiglio, Stefania. In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def111.

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2020Adaptative predictability of stock market returns. (2020). Veiga, Helena ; Lopes, Maria Helena ; Casas, Maria Isabel ; Mao, Xiuping. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:31648.

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2021Expecting the unexpected: economic growth under stress. (2021). Gonzalezrivera, Gloria ; Rodriguez, Carlos Vladimir ; Ortega, Esther Ruiz. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:32148.

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2020Are Member States’ Budgetary Policies Adhering to the EU Fiscal Rules?. (2020). Cronin, David. In: Applied Economics Quarterly (formerly: Konjunkturpolitik). RePEc:dah:aeqaeq:v66_y2020_i1_q1_p_47-64.

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2021Multi-Day-Ahead Electricity Price Forecasting: A Comparison of fundamental, econometric and hybrid Models. (2021). Vogler, Arne ; Beran, Philip. In: EWL Working Papers. RePEc:dui:wpaper:2102.

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2021Inflation expectations and their role in Eurosystem forecasting. (2021). Tagliabracci, Alex ; Pönkä, Harri ; Meyler, Aidan ; Menz, Jan-Oliver ; Leiva-Leon, Danilo ; Krasnopjorovs, Olegs ; Kearney, Ide ; DARRACQ PARIES, Matthieu ; Colavecchio, Roberta ; BOBEICA, Elena ; Paredes, Joan ; Robert, Pierre-Antoine ; Iskrev, Nikolay ; Jonckheere, Jana ; Speck, Christian ; Jorgensen, Casper ; Stockhammar, Par ; Bessonovs, Andrejs ; Trezzi, Riccardo ; Hutchinson, John ; Vilmi, Lauri ; Stanisawska, Ewa ; Fritzer, Friedrich ; Schupp, Fabian ; Yziak, Tomasz ; Boninghausen, Benjamin ; Hartwig, Benny ; Galati, Gabriele ; Ponka, Harri ; Tengely, Veronika ; Maletic, Matjaz ; Brazdik, Frantiek ; Kasimati, Evangelia ; Charalampakis, Evangelos ; Paloviita, Maritta ; Tirpak, Marcel ; Riggi, Marianna ; Hartmann, Matthias ; Dam
2021Climate change and monetary policy in the euro area. (2021). Röhe, Oke ; Popov, Alexander ; Petroulakis, Filippos ; Papadopoulou, Niki ; Parker, Miles ; Mistretta, Alessandro ; Lozej, Matija ; Grüning, Patrick ; Giovannini, Alessandro ; Garcia Sanchez, Pablo ; DARRACQ PARIES, Matthieu ; Breitenfellner, Andreas ; Bun, Maurice ; Manzanares, Andres ; Diez-Caballero, Arturo ; Prammer, Doris ; Cruz, Lia Vaz ; Weber, Pierre-Franois ; Gruning, Patrick ; Stracca, Livio ; Farkas, Matyas ; Roos, Madelaine ; Aubrechtova, Jana ; Kapp, Daniel ; Osiewicz, Malgorzata ; Holthausen, Cornelia ; Bua, Giovanna ; Manninen, Otso ; di Nino, Virginia ; van den End, Jan Willem ; Moench, Emanuel ; Sotomayor, Beatriz ; Faiella, Ivan ; Rohe, Oke ; Dinino, Virginia ; Isgro, Lorenzo ; Nerlich, Carolin ; Drudi, Francesco ; Garcia-Sanche
2020Density forecast combinations: the real-time dimension. (2020). Warne, Anders ; McAdam, Peter. In: Working Paper Series. RePEc:ecb:ecbwps:20202378.

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2020Does the Phillips curve help to forecast euro area inflation?. (2020). BOBEICA, Elena ; Babura, Marta. In: Working Paper Series. RePEc:ecb:ecbwps:20202471.

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2020Financial drivers of the euro area business cycle: a DSGE-based approach. (2020). Krustev, Georgi ; Hirschbühl, Dominik ; Stoevsky, Grigor ; Hirschbuhl, Dominik. In: Working Paper Series. RePEc:ecb:ecbwps:20202475.

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2020Weigh(t)ing the basket: aggregate and component-based inflation forecasts for the euro area. (2020). Sokol, Andrej ; Chalmoviansk, Jakub ; Porqueddu, Mario. In: Working Paper Series. RePEc:ecb:ecbwps:20202501.

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

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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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2020Bayesian variable selection in non-homogeneous hidden Markov models through an evolutionary Monte Carlo method. (2020). Spezia, Luigi. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:143:y:2020:i:c:s0167947319301951.

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2020Sequential Bayesian inference for vector autoregressions with stochastic volatility. (2020). Zito, John ; Bognanni, Mark. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s016518892030021x.

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2021Bayesian TVP-VARX models with time invariant long-run multipliers. (2021). Polbin, Andrey ; Belomestny, Denis ; Krymova, Ekaterina. In: Economic Modelling. RePEc:eee:ecmode:v:101:y:2021:i:c:s0264999321001206.

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2021Returns, volatility and the cryptocurrency bubble of 2017–18. (2021). Cross, Jamie ; Trinh, Kelly ; Hou, Chenghan. In: Economic Modelling. RePEc:eee:ecmode:v:104:y:2021:i:c:s0264999321002327.

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2021Forecasting natural gas prices using highly flexible time-varying parameter models. (2021). Nguyen, Bao H ; Hou, Chenghan ; Gao, Shen. In: Economic Modelling. RePEc:eee:ecmode:v:105:y:2021:i:c:s0264999321002418.

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2020Inflation forecasting using the New Keynesian Phillips Curve with a time-varying trend. (2020). Rumler, Fabio ; Mihailov, Alexander ; McKnight, Stephen. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:383-393.

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2020Macro-uncertainty and financial stress spillovers in the Eurozone. (2020). Mikaliunaite, Ieva ; Cipollini, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:89:y:2020:i:c:p:546-558.

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2020Forecasting the Consumer Confidence Index with tree-based MIDAS regressions. (2020). Qiu, Yue. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:247-256.

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2020Economic forecasting with evolved confidence indicators. (2020). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:576-585.

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2020Price effects of steel commodities on worldwide stock market returns. (2020). Vianna, Andre ; Gutierrez, Juan P. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818301451.

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2020Contagion effects and risk transmission channels in the housing, stock, interest rate and currency markets: An Empirical Study in China and the U.S.. (2020). Zong, LU ; Wang, Peiwan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940819302864.

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2020Identification of triggers of U.S. yield curve movements. (2020). Kučera, Adam ; Kuera, Adam. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301789.

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2020Crude oil price volatility and short-term predictability of the real U.S. GDP growth rate. (2020). Nonejad, Nima. In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519302514.

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2020Global economic activity indexes revisited. (2020). Funashima, Yoshito. In: Economics Letters. RePEc:eee:ecolet:v:193:y:2020:i:c:s0165176520301828.

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2021Boosting high dimensional predictive regressions with time varying parameters. (2021). Ng, Serena ; Yousuf, Kashif. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:60-87.

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2021Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty. (2021). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea. In: Journal of Econometrics. RePEc:eee:econom:v:225:y:2021:i:1:p:47-73.

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2020On generalized bivariate student-t Gegenbauer long memory stochastic volatility models with leverage: Bayesian forecasting of cryptocurrencies with a focus on Bitcoin. (2020). Peiris, Shelton ; Chan, Jennifer ; Phillip, Andrew. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:69-90.

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2021Simulation smoothing for nowcasting with large mixed-frequency VARs. (2021). Ankargren, Sebastian ; Joneus, Paulina. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:97-113.

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2021Flexible Mixture Priors for Large Time-varying Parameter Models. (2021). Hauzenberger, Niko. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:87-108.

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2021Financial uncertainty and real activity: The good, the bad, and the ugly. (2021). Kima, Richard ; Delrio, Silvia ; Castelnuovo, Efrem ; Caggiano, Giovanni. In: European Economic Review. RePEc:eee:eecrev:v:136:y:2021:i:c:s0014292121001033.

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2021Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty. (2021). Xie, Tian ; Qiu, Yue ; Wang, Zongrun ; Zhang, Xinyu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:179-201.

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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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2021The effect of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns. (2021). Uddin, Gazi ; Makkonen, Adam ; Cardia, Michel Ferreira ; Rahman, Md Lutfur ; Vallstrom, Daniel. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002802.

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2021Application of bagging in day-ahead electricity price forecasting and factor augmentation. (2021). Yildirim, Dilem ; Ozen, Kadir. In: Energy Economics. RePEc:eee:eneeco:v:103:y:2021:i:c:s0140988321004448.

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2020Systemic risk spillovers between crude oil and stock index returns of G7 economies: Conditional value-at-risk and marginal expected shortfall approaches. (2020). Tiwari, Aviral ; Raheem, Ibrahim ; Trabelsi, Nader ; Alqahtani, Faisal. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304438.

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2020Global economic activity, crude oil price and production, stock market behaviour and the Nigeria-US exchange rate. (2020). Tiwari, Aviral ; Olayeni, Olaolu ; Wohar, Mark E. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302784.

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2021Volatility transmissions across international oil market, commodity futures and stock markets: Empirical evidence from China. (2021). Huo, Rui ; Ahmed, Abdullahi D. In: Energy Economics. RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988320300803.

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2021Forecasting energy commodity prices: A large global dataset sparse approach. (2021). Vespignani, Joaquin ; Ravazzolo, Francesco ; Ferrari, Davide. In: Energy Economics. RePEc:eee:eneeco:v:98:y:2021:i:c:s0140988321001730.

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2021Enhancing load, wind and solar generation for day-ahead forecasting of electricity prices. (2021). Weron, Tomasz ; Nitka, Weronika ; Maciejowska, Katarzyna. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s014098832100178x.

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2020Theyre back! Post-financialization diversification benefits of commodities. (2020). Manseau, Guillaume ; Gagnon, Marie-Helene ; Power, Gabriel J. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301599.

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2020Crude oil price volatility and equity return predictability: A comparative out-of-sample study. (2020). Nonejad, Nima. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301654.

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

Works by Francesco Ravazzolo:


YearTitleTypeCited
2020A Scoring Rule for Factor and Autoregressive Models Under Misspecification In: Advances in Decision Sciences.
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2018A scoring rule for factor and autoregressive models under misspecification.(2018) In: Working Papers.
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2013Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox In: CREATES Research Papers.
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2014Parallel sequential Monte Carlo for efficient density combination: The DeCo MATLAB toolbox.(2014) In: Working Paper.
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paper
2015Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox.(2015) In: Journal of Statistical Software.
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article
2015Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox.(2015) In: Tinbergen Institute Discussion Papers.
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paper
2013Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox.(2013) In: Working Papers.
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paper
2017The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode In: CREATES Research Papers.
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paper1
2019The bank-sovereign nexus: Evidence from a non-bailout episode.(2019) In: Journal of Empirical Finance.
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2020A Scoring Rule for Factor and Autoregressive Models Under Misspecification In: International Association of Decision Sciences.
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2019Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration In: Papers.
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paper9
2018Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration.(2018) In: Working Papers.
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paper
2020Comparing the forecasting performances of linear models for electricity prices with high RES penetration.(2020) In: International Journal of Forecasting.
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article
2020Proper scoring rules for evaluating asymmetry in density forecasting In: Papers.
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2020Proper scoring rules for evaluating asymmetry in density forecasting.(2020) In: Working Papers.
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2020Are low frequency macroeconomic variables important for high frequency electricity prices? In: Papers.
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paper0
2020Forecasting financial markets with semantic network analysis in the COVID-19 crisis In: Papers.
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2021Forecasting financial markets with semantic network analysis in the COVID—19 crisis.(2021) In: Working Papers.
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paper
2021Exploring the Antecedents of Consumer Confidence through Semantic Network Analysis of Online News In: Papers.
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2017Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns In: Staff Working Papers.
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paper5
2018Assessing the predictive ability of sovereign default risk on exchange rate returns.(2018) In: Journal of International Money and Finance.
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article
2008The power of weather. Some empirical evidence on predicting day-ahead power prices through weather forecasts In: Working Paper.
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paper1
2008Combining inflation density forecasts In: Working Paper.
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paper76
2010Combining inflation density forecasts.(2010) In: Journal of Forecasting.
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article
2009Forecast accuracy and economic gains from Bayesian model averaging using time varying weight In: Working Paper.
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paper22
2010Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights.(2010) In: Journal of Forecasting.
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article
2009Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights.(2009) In: Tinbergen Institute Discussion Papers.
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paper
2009Macro modelling with many models In: Working Paper.
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paper12
2009Real-Time Inflation Forecasting in a Changing World In: Working Paper.
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paper96
2009Real-time inflation forecasting in a changing world.(2009) In: Staff Reports.
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2013Real-Time Inflation Forecasting in a Changing World.(2013) In: Journal of Business & Economic Statistics.
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article
2010Term structure forecasting using macro factors and forecast combination In: Working Paper.
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2010Term structure forecasting using macro factors and forecast combination.(2010) In: International Finance Discussion Papers.
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2010Forecast densities for economic aggregates from disaggregate ensembles In: Working Paper.
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2014Forecast densities for economic aggregates from disaggregate ensembles.(2014) In: Studies in Nonlinear Dynamics & Econometrics.
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2010Forecast Densities for Economic Aggregates from Disaggregate Ensembles.(2010) In: CAMA Working Papers.
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2010Why do people give less weight to advice the further it is from their initial opinion? In: Working Paper.
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2010Oil and US GDP: A real-time out-of-sample examination In: Working Paper.
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paper47
2011Oil and US GDP: A Real-Time out-of Sample Examination.(2011) In: Working Papers.
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paper
2013Oil and U.S. GDP: A Real-Time Out-of-Sample Examination.(2013) In: Journal of Money, Credit and Banking.
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article
2013Oil and U.S. GDP: A Real‐Time Out‐of‐Sample Examination.(2013) In: Journal of Money, Credit and Banking.
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article
2010Combining predictive densities using Bayesian filtering with applications to US economics data In: Working Paper.
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paper9
2011Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data.(2011) In: Tinbergen Institute Discussion Papers.
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paper
2012Combining predictive densities using Bayesian filtering with applications to US economic data.(2012) In: Working Papers.
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paper
2011Forecasting macroeconomic variables using disaggregate survey data In: Working Paper.
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paper24
2014Forecasting macroeconomic variables using disaggregate survey data.(2014) In: International Journal of Forecasting.
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article
2011Forecasting the intraday market price of money In: Working Paper.
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paper29
2014Forecasting the intraday market price of money.(2014) In: DISCE - Working Papers del Dipartimento di Economia e Finanza.
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2014Forecasting the intraday market price of money.(2014) In: Journal of Empirical Finance.
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article
2011Myths and facts about the alleged over-pricing of U.S. real estate. Evidence from multi-factor asset pricing models of REIT returns In: Working Paper.
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2011Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate. Evidence from Multi-Factor Asset Pricing Models of REIT Returns.(2011) In: Working Papers.
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2012Combination schemes for turning point predictions In: Working Paper.
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paper17
2012Combination schemes for turning point predictions.(2012) In: The Quarterly Review of Economics and Finance.
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2011Combination Schemes for Turning Point Predictions.(2011) In: Tinbergen Institute Discussion Papers.
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2012Combination schemes for turning point predictions.(2012) In: Working Papers.
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2012Measuring sovereign contagion in Europe In: Working Paper.
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paper152
2012Measuring Sovereign Contagion in Europe.(2012) In: Working Papers.
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paper
2018Measuring sovereign contagion in Europe.(2018) In: Journal of Financial Stability.
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article
2013Measuring Sovereign Contagion in Europe.(2013) In: NBER Working Papers.
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paper
2015Measuring sovereign contagion in Europe.(2015) In: SAFE Working Paper Series.
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paper
2012The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility In: Working Paper.
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paper7
2012The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility.(2012) In: Working Papers (Old Series).
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paper
2012Oil price density forecasts: exploring the linkages with stock markets In: Working Paper.
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paper10
2012Oil price density forecasts: Exploring the linkages with stock markets.(2012) In: Working Papers.
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paper
2013Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section In: Working Paper.
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paper8
2015Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section.(2015) In: Working Papers.
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2017Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section.(2017) In: Journal of Business & Economic Statistics.
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2013Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model In: Working Paper.
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2014Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model.(2014) In: Working Papers.
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2014Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model.(2014) In: Tinbergen Institute Discussion Papers.
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2014Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model.(2014) In: Working Papers.
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paper
2013Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad? In: Working Paper.
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paper2
2016Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?.(2016) In: Working Papers.
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2018Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?.(2018) In: Journal of Financial Econometrics.
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2014Forecasting recessions in real time In: Working Paper.
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paper2
2014Identification of financial factors in economic fluctuations In: Working Paper.
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paper43
2014Identification of financial factors in economic fluctuations.(2014) In: KOF Working papers.
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paper
2019Identification of Financial Factors in Economic Fluctuations.(2019) In: Economic Journal.
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article
2014Density forecasts with MIDAS models In: Working Paper.
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paper18
2014Density forecasts with MIDAS models.(2014) In: Working Papers.
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paper
2017Density Forecasts With Midas Models.(2017) In: Journal of Applied Econometrics.
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article
2014Optimal portfolio choice under decision-based model combinations In: Working Paper.
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paper21
2015Optimal Portfolio Choice under Decision-Based Model Combinations.(2015) In: Working Papers.
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paper
2014Optimal Portfolio Choice under Decision-Based Model Combinations.(2014) In: Working Papers.
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paper
2016Optimal Portfolio Choice Under Decision‐Based Model Combinations.(2016) In: Journal of Applied Econometrics.
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article
2014Combined Density Nowcasting in an uncertain economic environment In: Working Paper.
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paper12
2018Combined Density Nowcasting in an Uncertain Economic Environment.(2018) In: Journal of Business & Economic Statistics.
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article
2014Combined Density Nowcasting in an Uncertain Economic Environment.(2014) In: Tinbergen Institute Discussion Papers.
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paper
2015Bayesian nonparametric calibration and combination of predictive distributions In: Working Paper.
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paper12
2018Bayesian Nonparametric Calibration and Combination of Predictive Distributions.(2018) In: Journal of the American Statistical Association.
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2015Bayesian Nonparametric Calibration and Combination of Predictive Distributions.(2015) In: Working Papers.
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2015Forecasting GDP with global components. This time is different In: Working Paper.
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paper16
2015Forecasting GDP with global components. This time is different.(2015) In: Working Papers.
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2017Forecasting GDP with global components: This time is different.(2017) In: International Journal of Forecasting.
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2016Forecasting GDP with global components. This time is different.(2016) In: CAMA Working Papers.
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2015A New Monthly Indicator of Global Real Economic Activity In: Working Paper.
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2015A New Monthly Indicator of Global Real Economic Activity.(2015) In: Working Papers.
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2015A New Monthly Indicator of Global Real Economic Activity.(2015) In: CAMA Working Papers.
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2015A new monthly indicator of global real economic activity.(2015) In: Globalization Institute Working Papers.
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2015A new monthly indicator of global real economic activity.(2015) In: Working Papers.
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2016Identification and real-time forecasting of Norwegian business cycles.(2016) In: International Journal of Forecasting.
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2017Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance.(2017) In: Tinbergen Institute Discussion Papers.
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2015Forecasting commodity currencies: the role of fundamentals with short-lived predictive content In: Working Paper.
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2015Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts.(2015) In: Working Papers (Old Series).
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2017Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts.(2017) In: Journal of Business & Economic Statistics.
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2015Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts.(2015) In: VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
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2015Oil-Price Density Forecasts of U.S. GDP In: Working Papers.
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2016Oil-price density forecasts of US GDP.(2016) In: Studies in Nonlinear Dynamics & Econometrics.
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2016Commodity Futures and Forecasting Commodity Currencies In: Working Papers.
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2018Markov Switching Panel with Network Interaction Effects In: Working Papers.
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2018Predicting the Volatility of Cryptocurrency Time–Series In: Working Papers.
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2018Forecasting Cryptocurrencies Financial Time Series In: Working Papers.
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2019A New Economic Framework: A DSGE Model with Cryptocurrency In: Working Papers.
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2019Forecasting Energy Commodity Prices: A Large Global Dataset Sparse Approach In: Working Papers.
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2021Forecasting Energy Commodity Prices: A Large Global Dataset Sparse Approach.(2021) In: BEMPS - Bozen Economics & Management Paper Series.
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2019Forecasting energy commodity prices: A large global dataset sparse approach.(2019) In: CAMA Working Papers.
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2019Forecasting Energy Commodity Prices: A Large Global Dataset Sparse Approach.(2019) In: Globalization Institute Working Papers.
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2019Forecasting energy commodity prices: a large global dataset sparse approach.(2019) In: Working Papers.
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2020Large Time-Varying Volatility Models for Electricity Prices In: Working Papers.
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2020Oil and Fiscal Policy Regimes In: Working Papers.
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2019Optimism in Financial Markets: Stock Market Returns and Investor Sentiments In: BEMPS - Bozen Economics & Management Paper Series.
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2019Optimism in Financial Markets: Stock Market Returns and Investor Sentiments.(2019) In: JRFM.
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2019Density Forecasting In: BEMPS - Bozen Economics & Management Paper Series.
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2019Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach In: BEMPS - Bozen Economics & Management Paper Series.
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2021Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach.(2021) In: The North American Journal of Economics and Finance.
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2017Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model In: CEPR Discussion Papers.
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2016Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model.(2016) In: Working Papers.
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2012The power of weather.(2012) In: Computational Statistics & Data Analysis.
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2021Combining Bayesian VARs with survey density forecasts: does it pay off? In: Working Paper Series.
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2011Why do people place lower weight on advice far from their own initial opinion? In: Economics Letters.
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2013Time-varying combinations of predictive densities using nonlinear filtering In: Journal of Econometrics.
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