Raffaella Giacomini : Citation Profile


Are you Raffaella Giacomini?

University College London (UCL)

18

H index

22

i10 index

2559

Citations

RESEARCH PRODUCTION:

19

Articles

61

Papers

1

Chapters

RESEARCH ACTIVITY:

   20 years (2001 - 2021). See details.
   Cites by year: 127
   Journals where Raffaella Giacomini has often published
   Relations with other researchers
   Recent citing documents: 134.    Total self citations: 28 (1.08 %)

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   Permalink: http://citec.repec.org/pgi20
   Updated: 2024-01-16    RAS profile: 2021-08-24    
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Relations with other researchers


Works with:

Read, Matthew (4)

Skreta, Vasiliki (3)

Gaglianone, Wagner (2)

Issler, João (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 (50)

van Dijk, Dick (41)

Marcellino, Massimiliano (40)

Mitchell, James (40)

Clements, Michael (31)

McCracken, Michael (30)

Pincheira, Pablo (29)

Swanson, Norman (29)

Perron, Pierre (28)

Cites to:

Schorfheide, Frank (30)

West, Kenneth (21)

Rossi, Barbara (19)

Reichlin, Lucrezia (18)

Watson, Mark (18)

Kilian, Lutz (16)

Wouters, Raf (15)

Diebold, Francis (15)

McCracken, Michael (15)

Smets, Frank (15)

Del Negro, Marco (15)

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
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
Working Papers / Duke University, Department of Economics5
Post-Print / HAL3
Working Paper Series / European Central Bank2
Working Papers / Barcelona School of Economics2

Recent works citing Raffaella Giacomini (2024 and 2023)


YearTitle of citing document
2023Disentangling COVID-19, Economic Mobility, and Containment Policy Shocks. (2023). Rieth, Malte ; Camehl, Annika. In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:15:y:2023:i:4:p:217-48.

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2023Bounds on a Slope from Size Restrictions on Economic Shocks. (2023). Petterson, Marco Stenborg ; Shapiro, Jesse M ; Seim, David. In: American Economic Journal: Microeconomics. RePEc:aea:aejmic:v:15:y:2023:i:3:p:552-72.

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2023Predictive 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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2023Equal 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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2023A Novel Approach to Predictive Accuracy Testing in Nested Environments. (2020). Pitarakis, Jean-Yves. In: Papers. RePEc:arx:papers:2008.08387.

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2023Encompassing Tests for Nonparametric Regressions. (2022). Lapenta, Elia ; Lavergne, Pascal. In: Papers. RePEc:arx:papers:2203.06685.

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2023Instrumental 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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2023Enhanced Bayesian Neural Networks for Macroeconomics and Finance. (2022). Marcellino, Massimiliano ; Klieber, Karin ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2211.04752.

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2023Double Robust Bayesian Inference on Average Treatment Effects. (2022). Yu, Zhengfei ; Liu, Ruixuan ; Breunig, Christoph. In: Papers. RePEc:arx:papers:2211.16298.

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2023Score-based calibration testing for multivariate forecast distributions. (2022). Pohle, Marc-Oliver ; Kruger, Fabian ; Knuppel, Malte. In: Papers. RePEc:arx:papers:2211.16362.

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2023Partly Linear Instrumental Variables Regressions without Smoothing on the Instruments. (2022). Lapenta, Elia ; Florens, Jean-Pierre. In: Papers. RePEc:arx:papers:2212.11012.

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2023A Bootstrap Specification Test for Semiparametric Models with Generated Regressors. (2022). Lapenta, Elia. In: Papers. RePEc:arx:papers:2212.11112.

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2023Smoothing Quantile Regression Averaging: A new approach to probabilistic forecasting of electricity prices. (2023). Uniejewski, Bartosz. In: Papers. RePEc:arx:papers:2302.00411.

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2023Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747.

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2023A tale of two tails: 130 years of growth-at-risk. (2023). Huber, Florian ; Hasler, Elias ; Gachter, Martin. In: Papers. RePEc:arx:papers:2302.08920.

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2023Estimating the Effects of Fiscal Policy using a Novel Proxy Shrinkage Prior. (2023). Pruser, Jan ; Klein, Mathias ; Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2302.13066.

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2023Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651.

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2023Fast Forecasting of Unstable Data Streams for On-Demand Service Platforms. (2023). Wilms, Ines ; Rombouts, Jeroen ; Hu, Yu Jeffrey. In: Papers. RePEc:arx:papers:2303.01887.

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2023Deep Neural Network Estimation in Panel Data Models. (2023). Raftapostolos, Aristeidis ; Mitchell, James ; Kapetanios, George ; Chrysikou, Katerina ; Chronopoulos, Ilias. In: Papers. RePEc:arx:papers:2305.19921.

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2023A Nonparametric Test of $m$th-degree Inverse Stochastic Dominance. (2023). Sun, Zhenting ; Jiang, Hongyi ; Hu, Shiyun. In: Papers. RePEc:arx:papers:2306.12271.

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2023Instrumental variable estimation of the proportional hazards model by presmoothing. (2023). van Keilegom, Ingrid ; Beyhum, Jad ; Tedesco, Lorenzo. In: Papers. RePEc:arx:papers:2309.02183.

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2023From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks. (2023). Klieber, Karin ; Frenette, Mikael ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2311.16333.

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2023.

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2023Anchoring Long-term VAR Forecasts Based On Survey Data and State-space Models. (2023). Gaglianone, Wagner ; Moreira, Marta Baltar. In: Working Papers Series. RePEc:bcb:wpaper:574.

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2023.

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2023A tool to nowcast tourist overnight stays with payment data and complementary indicators. (2023). Mariani, Vincenzo ; Crispino, Marta. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_746_23.

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2023Forecasting models for the Chinese macroeconomy in a data?rich environment: Evidence from large dimensional approximate factor models with mixed?frequency data. (2023). Xu, Hao ; Ni, HE ; Zhang, Qin. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:1:p:719-767.

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2023The closer we get, the better we are?. (2023). Zilberfarb, Ben Zion ; Goldstein, Nathan. In: Economic Inquiry. RePEc:bla:ecinqu:v:61:y:2023:i:2:p:364-376.

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2023.

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2023BAYESIAN STATE SPACE MODELS IN MACROECONOMETRICS. (2023). Strachan, Rodney. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:58-75.

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2023Machine learning advances for time series forecasting. (2023). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:76-111.

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2023Productivity and Performance: A GMM approach. (2023). Kumbhakar, Subal C ; Tsionas, Mike G. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:2:p:331-344.

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2023.

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2023How to Deal With Missing Observations in Surveys of Professional Forecasters. (2023). Burgi, Constantin. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10203.

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2023ROC and PRC Approaches to Evaluate Recession Forecasts. (2023). Lahiri, Kajal ; Yang, Cheng. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10449.

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2023Disentangling Demand and Supply Inflation Shocks from Chilean Electronic Payment Data. (2023). Hernandez-Roman, L G ; Eterovic, Nicolas ; Carlomagno, Guillermo. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:986.

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2023A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523.

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2023Multi-horizon uniform superior predictive ability revisited: A size-exploiting and consistent test. (2023). Wilfling, Bernd ; Trede, Mark ; Monschang, Verena. In: CQE Working Papers. RePEc:cqe:wpaper:10623.

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2023The Energy-Price Channel of (European) Monetary Policy. (2023). Schumann, Ben ; Kurcz, Frederik ; Kriwoluzky, Alexander ; Ider, Gokhan. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2033.

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2023DSGE model forecasting: rational expectations vs. adaptive learning. (2023). Warne, Anders. In: Working Paper Series. RePEc:ecb:ecbwps:20232768.

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2023Medium-term growth-at-risk in the euro area. (2023). Greiwe, Moritz ; Rusnak, Marek ; Lang, Jan Hannes. In: Working Paper Series. RePEc:ecb:ecbwps:20232808.

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2023Density forecasts of inflation: a quantile regression forest approach. (2023). Paredes, Joan ; Moutachaker, Ines ; Lenza, Michele. In: Working Paper Series. RePEc:ecb:ecbwps:20232830.

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2023Can we estimate macroforecasters’ mis-behavior?. (2023). Chini, Emilio Zanetti. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:149:y:2023:i:c:s0165188923000386.

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2023Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles. (2023). Wang, Shu ; Herwartz, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:151:y:2023:i:c:s0165188923000362.

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2023Nowcasting Chinese GDP in a data-rich environment: Lessons from machine learning algorithms. (2023). Xu, Hao ; Ni, HE ; Zhang, Qin. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000160.

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2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

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2023Diligent forecasters can make accurate predictions despite disagreeing with the consensus. (2023). Zheng, Xinye ; An, Zidong. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001840.

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2023Who speaks louder, financial instruments or credit rating agencies? Analyzing the effects of different sovereign risk measures on interest rates in Brazil. (2023). Neves, Joo Pedro ; Montes, Gabriel Caldas. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000566.

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2023Conditional asymmetry in Power ARCH(?) models. (2023). Royer, Julien. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:178-204.

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2023Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models. (2023). Shin, Minchul ; Rubio-Ramirez, Juan F ; Arias, Jonas E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1054-1086.

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2023Distinguishing incentive from selection effects in auction-determined contracts. (2023). visser, michael ; Lamy, Laurent ; Patnam, Manasa. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1172-1202.

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2023Penalized time-varying model averaging. (2023). Hong, Yongmiao ; Zhang, Xinyu ; Wang, Shouyang ; Sun, Yuying. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1355-1377.

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2023The distribution of rolling regression estimators. (2023). Juhl, Ted ; Cai, Zongwu. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1447-1463.

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2023Refining set-identification in VARs through independence. (2023). Wright, Jonathan H ; Drautzburg, Thorsten. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1827-1847.

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2023Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models. (2023). Casini, Alessandro. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:372-392.

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2023Global robust Bayesian analysis in large models. (2023). Ho, Paul. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:608-642.

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2023Bootstrap specification tests for dynamic conditional distribution models. (2023). Silvapulle, Mervyn J ; Perera, Indeewara. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:949-971.

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2023Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk. (2023). Gutknecht, Daniel ; Fosten, Jack ; Corradi, Valentina. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623002063.

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2023Bayesian Artificial Neural Networks for frontier efficiency analysis. (2023). Zelenyuk, Valentin ; Parmeter, Christopher F ; Tsionas, Mike. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623002075.

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2023The contribution of jump signs and activity to forecasting stock price volatility. (2023). Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:144-164.

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2023Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables. (2023). Nonejad, Nima. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:91-122.

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2023An integrated model for crude oil forecasting: Causality assessment and technical efficiency. (2023). Wang, Xuelian ; Liao, Stephen Shaoyi ; Wu, Peng ; Cheng, Xian. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005965.

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2023Forecasting the real prices of crude oil: What is the role of parameter instability?. (2023). Wang, Yudong ; Hao, Xianfeng. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322006120.

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2023Spillback effects of US unconventional monetary policy. (2023). Cheng, Kai ; Tang, Yanling ; Yang, Yang. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000569.

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2023Equity premium prediction: The role of information from the options market. (2023). Voukelatos, Nikolaos ; Panopoulou, Ekaterini ; Apergis, Iraklis ; Alexandridis, Antonios K. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000908.

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2023Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561.

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2023FRED-SD: A real-time database for state-level data with forecasting applications. (2023). Owyang, Michael T ; Kliesen, Kevin L ; Jackson, Laura E ; Bokun, Kathryn O. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:279-297.

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2023Forecasting expected shortfall: Should we use a multivariate model for stock market factors?. (2023). Dionne, Georges ; Simonato, Jean-Guy ; Fortin, Alain-Philippe. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:314-331.

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2023Does the Phillips curve help to forecast euro area inflation?. (2023). Bobeica, Elena ; Babura, Marta. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:364-390.

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2023Real estate illiquidity and returns: A time-varying regional perspective. (2023). Zhu, Yunyi ; Fu, XI ; Ellington, Michael. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:58-72.

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2023Testing the predictive accuracy of COVID-19 forecasts. (2023). Paccagnini, Alessia ; Iacone, Fabrizio ; Coroneo, Laura ; Monteiro, Paulo Santos . In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:606-622.

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2023Empirically-transformed linear opinion pools. (2023). Vahey, Shaun P ; Henckel, Timo ; Garratt, Anthony. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:736-753.

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2023The power of text-based indicators in forecasting Italian economic activity. (2023). Monteforte, Libero ; Marcucci, Juri ; Luciani, Andrea ; Guaitoli, Gabriele ; Emiliozzi, Simone ; Aprigliano, Valentina. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:791-808.

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2023Time-varying variance and skewness in realized volatility measures. (2023). Lucas, Andre ; Opschoor, Anne. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:827-840.

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2023Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx. (2023). Weron, Rafał ; Dubrawski, Artur ; Marcjasz, Grzegorz ; Challu, Cristian ; Olivares, Kin G. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:884-900.

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2023Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models. (2023). Meng, Xiaochun ; Han, Yang ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1078-1096.

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2023Mixed-frequency machine learning: Nowcasting and backcasting weekly initial claims with daily internet search volume data. (2023). Montes, Erik Christian ; Rapach, David E ; Borup, Daniel. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1122-1144.

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2023Penalized estimation of panel vector autoregressive models: A panel LASSO approach. (2023). Camehl, Annika. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1185-1204.

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2023Macroeconomic forecasting in the euro area using predictive combinations of DSGE models. (2023). Čapek, Jan ; Reichel, Vlastimil ; Hauzenberger, Niko ; Cuaresma, Jesus Crespo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1820-1838.

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2023Currency exchange rate predictability: The new power of Bitcoin prices. (2023). Zhang, Zhengjun ; Feng, Wenjun. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:132:y:2023:i:c:s0261560623000128.

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2023Conditional mean reversion of financial ratios and the predictability of returns. (2023). Tokpavi, S ; Jasinski, A ; Boucher, C. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001080.

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2023Precious metal as a safe haven for global ESG stocks: Portfolio implications for socially responsible investing. (2023). Ye, Jing ; Liu, Huiling ; Xue, Minggao ; Lei, Heng. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006134.

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2023Machine learning methods for inflation forecasting in Brazil: New contenders versus classical models. (2023). Gaglianone, Wagner ; Araujo, Gustavo Silva. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:4:y:2023:i:2:s2666143823000042.

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2023Recessions and flattening of the yield curve (1960–2021): A two-way road under a regime switching approach. (2023). Cendejas, Jose Luis. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:8-20.

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2023The role of the COVID-19 pandemic in US market volatility: Evidence from the VIX index. (2023). Apergis, Nicholas ; Malik, Shafaq ; Mustafa, Ghulam. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:89:y:2023:i:c:p:27-35.

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2023Binary gravity search algorithm and support vector machine for forecasting and trading stock indices. (2023). Chen, Haonan ; Wang, Jianyong ; Zong, Xiangyu ; Kang, Haijun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:507-526.

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2023Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics. (2022). Poon, Aubrey ; Mitchell, James ; Zhu, Dan. In: Working Papers. RePEc:fip:fedcwq:94160.

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2023Improving Inflation Forecasts Using Robust Measures. (2022). Verbrugge, Randal ; Zaman, Saeed. In: Working Papers. RePEc:fip:fedcwq:94549.

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2023The FOMC versus the Staff: Do Policymakers Add Value in Their Tales?. (2023). Nguyen, My T ; Mitchell, James ; Filippou, Ilias. In: Working Papers. RePEc:fip:fedcwq:96636.

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2023Distribution Prediction of Decomposed Relative EVA Measure with Levy-Driven Mean-Reversion Processes: The Case of an Automotive Sector of a Small Open Economy. (2023). Ratmanova, Iveta ; Ponik, Antonin ; Lisztwanova, Karolina ; Dluhoova, Dana ; Zmekal, Zdenk. In: Forecasting. RePEc:gam:jforec:v:5:y:2023:i:2:p:25-471:d:1158257.

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2023Oil and Non-Oil Determinants of Saudi Arabia’s International Competitiveness: Historical Analysis and Policy Simulations. (2023). Razek, Noha ; Hasanov, Fakhri J. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:11:p:9011-:d:1162758.

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2023Rational Inattention: A Review. (2022). Wiederholt, Mirko ; Matjka, Filip ; Makowiak, Bartosz. In: Post-Print. RePEc:hal:journl:hal-03878692.

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2023Can governments sleep more soundly when holding international reserves? A banking and financial vulnerabilities perspective. (2023). Omay, Tolga ; Allegret-Sallenave, Audrey. In: Post-Print. RePEc:hal:journl:hal-03945433.

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2023.

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2023Are ESG ratings informative to forecast idiosyncratic risk?. (2023). Tokpavi, Sessi ; Matton, Stephane ; le Lann, Wassim ; Boucher, Christophe. In: Working Papers. RePEc:hal:wpaper:hal-04140193.

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2023High-frequency realized stochastic volatility model. (2023). Nakajima, Jouchi ; Watanabe, Toshiaki. In: Discussion paper series. RePEc:hit:hiasdp:hias-e-127.

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2023Herding in Probabilistic Forecasts. (2023). Satopaa, Ville ; Keppo, Jussi ; Jia, Yanwei. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:5:p:2713-2732.

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2023Monitoring Value-at-Risk and Expected Shortfall Forecasts. (2023). Demetrescu, Matei ; Hoga, Yannick. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:5:p:2954-2971.

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2023Information Rigidities and Farmland Value Expectations. (2023). Zhang, Wendong ; Kuethe, Todd ; Fiechter, Chad. In: ISU General Staff Papers. RePEc:isu:genstf:202306131414240000.

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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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article19
2015Forecasting in Nonstationary Environments: What Works and What Doesnt in Reduced-Form and Structural Models In: Annual Review of Economics.
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article8
2014Forecasting in Nonstationary Environments: What Works and What Doesnt in Reduced-Form and Structural Models.(2014) In: Working Papers.
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This paper has nother version. Agregated cites: 8
paper
2014Forecasting in nonstationary environments: What works and what doesnt in reduced-form and structural models.(2014) In: Economics Working Papers.
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This paper has nother version. Agregated cites: 8
paper
2021Identification and Inference Under Narrative Restrictions In: Papers.
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paper11
2018Incentive-driven Inattention In: Working Papers Series.
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paper13
2019Incentive-driven Inattention.(2019) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 13
paper
2019Incentive-driven Inattention.(2019) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has nother version. Agregated cites: 13
paper
2005Evaluation and Combination of Conditional Quantile Forecasts In: Journal of Business & Economic Statistics.
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article163
2003Evaluation and Combination of Conditional Quantile Forecasts.(2003) In: Boston College Working Papers in Economics.
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This paper has nother version. Agregated cites: 163
paper
2002Evaluation and Combination of Conditional Quantile Forecasts.(2002) In: University of California at San Diego, Economics Working Paper Series.
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This paper has nother version. Agregated cites: 163
paper
2007Comparing Density Forecasts via Weighted Likelihood Ratio Tests In: Journal of Business & Economic Statistics.
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article418
2005Comparing Density Forecsts via Weighted Likelihood Ratio Tests.(2005) In: Working Papers.
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This paper has nother version. Agregated cites: 418
paper
2014Model Comparisons in Unstable Environments In: Working Papers.
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paper20
2009Model Comparisons in Unstable Environments.(2009) In: Working Papers.
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This paper has nother version. Agregated cites: 20
paper
2010Model Comparisons in Unstable Environments.(2010) In: Working Papers.
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This paper has nother version. Agregated cites: 20
paper
2012Model comparisons in unstable environments.(2012) In: CeMMAP working papers.
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This paper has nother version. Agregated cites: 20
paper
2015Model comparisons in unstable environments.(2015) In: Economics Working Papers.
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This paper has nother version. Agregated cites: 20
paper
2016MODEL COMPARISONS IN UNSTABLE ENVIRONMENTS.(2016) In: International Economic Review.
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This paper has nother version. Agregated cites: 20
article
2006How Stable is the Forecasting Performance of the Yield Curve for Output Growth?* In: Oxford Bulletin of Economics and Statistics.
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article77
2005How Stable is the Forecasting Performance of the Yield Curve for Outpot Growth?.(2005) In: Working Papers.
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This paper has nother version. Agregated cites: 77
paper
2003Tests of conditional predictive ability In: Boston College Working Papers in Economics.
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paper881
2003Tests of Conditional Predictive Ability.(2003) In: University of California at San Diego, Economics Working Paper Series.
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This paper has nother version. Agregated cites: 881
paper
2006Tests of Conditional Predictive Ability.(2006) In: Econometrica.
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This paper has nother version. Agregated cites: 881
article
2003Tests of Conditional Predictive Ability.(2003) In: Econometrics.
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This paper has nother version. Agregated cites: 881
paper
2002Aggregation of Space-Time Processes In: Boston College Working Papers in Economics.
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paper96
2001Aggregationn of Space-Time Processes.(2001) In: University of California at San Diego, Economics Working Paper Series.
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This paper has nother version. Agregated cites: 96
paper
2004Aggregation of space-time processes.(2004) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 96
article
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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This paper has nother version. Agregated cites: 18
paper
2002Hypernormal Densities In: Boston College Working Papers in Economics.
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paper1
2002Hypernormal Densities.(2002) In: University of California at San Diego, Economics Working Paper Series.
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This paper has nother version. Agregated cites: 1
paper
2002Hypernormal densities.(2002) In: Economics Working Papers.
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This paper has nother version. Agregated cites: 1
paper
2015Models, Inattention and Expectation Updates In: Discussion Papers.
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paper6
2015Models, Inattention and Expectation Updates.(2015) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 6
paper
2016Models, inattention and expectation updates.(2016) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 6
paper
2005Detecting and Predicting Forecast Breakdowns* In: UCLA Economics Working Papers.
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paper120
2006Detecting and Predicting Forecast Breakdowns.(2006) In: Working Papers.
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This paper has nother version. Agregated cites: 120
paper
2006Detecting and predicting forecast breakdowns.(2006) In: Working Paper Series.
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This paper has nother version. Agregated cites: 120
paper
2009Detecting and Predicting Forecast Breakdowns.(2009) In: Review of Economic Studies.
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This paper has nother version. Agregated cites: 120
article
2014Economic theory and forecasting: lessons from the literature In: CEPR Discussion Papers.
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paper28
2014Economic theory and forecasting: lessons from the literature.(2014) In: CeMMAP working papers.
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This paper has nother version. Agregated cites: 28
paper
2015Economic theory and forecasting: lessons from the literature.(2015) In: Econometrics Journal.
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This paper has nother version. Agregated cites: 28
article
2014Inference about Non-Identified SVARs In: CEPR Discussion Papers.
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paper6
2014Inference about Non-Identi?ed SVARs.(2014) In: CeMMAP working papers.
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This paper has nother version. Agregated cites: 6
paper
2020Robust Bayesian Inference in Proxy SVARs In: CEPR Discussion Papers.
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paper21
2020Robust Bayesian inference in proxy SVARs.(2020) In: CeMMAP working papers.
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paper
2019Robust Bayesian Inference in Proxy SVARs.(2019) In: CeMMAP working papers.
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paper
2011Incorporating theoretical restrictions into forecasting by projection methods In: CEPR Discussion Papers.
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paper4
2012Incorporating theoretical restrictions into forecasting by projection methods.(2012) In: 2012 Meeting Papers.
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This paper has nother version. Agregated cites: 4
paper
2013Generalized Method of Moments with Latent Variables In: CEPR Discussion Papers.
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paper6
2013Generalized method of moments with latent variables.(2013) In: CeMMAP working papers.
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This paper has nother version. Agregated cites: 6
paper
2013Anchoring the Yield Curve Using Survey Expectations In: CEPR Discussion Papers.
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paper40
2014Anchoring the yield curve using survey expectations.(2014) In: Working Paper Series.
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This paper has nother version. Agregated cites: 40
paper
2013Anchoring the yield curve using survey expectations.(2013) In: CeMMAP working papers.
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This paper has nother version. Agregated cites: 40
paper
2017Anchoring the yield curve using survey expectations.(2017) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 40
article
2013A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS In: Econometric Theory.
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article102
2012A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators.(2012) In: CeMMAP working papers.
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This paper has nother version. Agregated cites: 102
paper
2008Forecast Comparisons in Unstable Environments In: Working Papers.
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paper301
2010Forecast comparisons in unstable environments.(2010) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 301
article
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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This paper has nother version. Agregated cites: 7
paper
2011How useful are no-arbitrage restrictions for forecasting the term structure of interest rates? In: Journal of Econometrics.
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article28
2011How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?.(2011) In: Post-Print.
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This paper has nother version. Agregated cites: 28
paper
2014Theory-coherent forecasting In: Journal of Econometrics.
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article25
2017Bayesian estimation of state space models using moment conditions In: Journal of Econometrics.
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article10
2013Forecasting in macroeconomics In: Chapters.
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chapter3
2016Stress Testing with Misspecified Models In: Working Paper Series.
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paper8
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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This paper has nother version. Agregated cites: 5
paper
2020Robust Bayesian inference for set-identified models In: CeMMAP working papers.
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paper46
2018Robust Bayesian inference for set-identified models.(2018) In: CeMMAP working papers.
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This paper has nother version. Agregated cites: 46
paper
2021Robust Bayesian Inference for Set?Identified Models.(2021) In: Econometrica.
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This paper has nother version. Agregated cites: 46
article
2017Uncertain identification In: CeMMAP working papers.
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2020Uncertain Identification.(2020) In: CeMMAP working papers.
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This paper has nother version. Agregated cites: 0
paper
2013Bond returns and market expectations In: CeMMAP working papers.
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paper15
2014Bond Returns and Market Expectations.(2014) In: The Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 15
article
2013The relationship between DSGE and VAR models In: CeMMAP working papers.
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paper46
2019Estimation Under Ambiguity In: CeMMAP working papers.
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paper7
2018Models, Inattention and Bayesian Updates In: Documentos de Trabajo.
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paper0
2009Model Selection in Unstable Environments In: 2009 Meeting Papers.
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