Raffaella Giacomini : Citation Profile

University College London (UCL)

19

H index

24

i10 index

2908

Citations

RESEARCH PRODUCTION:

19

Articles

61

Papers

1

Chapters

RESEARCH ACTIVITY:

   20 years (2001 - 2021). See details.
   Cites by year: 145
   Journals where Raffaella Giacomini has often published
   Relations with other researchers
   Recent citing documents: 216.    Total self citations: 28 (0.95 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pgi20
   Updated: 2025-11-22    RAS profile: 2021-08-24    
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Relations with other researchers

Works with:

Read, Matthew (3)

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 (75)

Ravazzolo, Francesco (55)

Clark, Todd (55)

Marcellino, Massimiliano (47)

Swanson, Norman (45)

van Dijk, Dick (43)

Mitchell, James (38)

Clements, Michael (36)

McCracken, Michael (32)

Pincheira, Pablo (31)

El-Shagi, Makram (31)

Cites to:

Schorfheide, Frank (30)

West, Kenneth (28)

Rossi, Barbara (19)

Watson, Mark (19)

Reichlin, Lucrezia (18)

Kilian, Lutz (18)

Rubio-Ramirez, Juan F (18)

McCracken, Michael (18)

Diebold, Francis (17)

Inoue, Atsushi (16)

Andrews, Donald (16)

Main data

Where Raffaella Giacomini has published?

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

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

Recent works citing Raffaella Giacomini (2025 and 2024)

YearTitle of citing document
2024Tail calibration of probabilistic forecasts. (2024). Ziegel, Johanna ; Segers, Johan ; Koh, Jonathan ; Allen, Sam. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024018.

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2024Tilting Approximate Models. (2024). Tryphonides, Andreas. In: Papers. RePEc:arx:papers:1805.10869.

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2024Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2024). Blasques, Francisco ; Hol, Vladim'Ir ; Tomanov, Petra. In: Papers. RePEc:arx:papers:1812.07318.

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2025A Multivariate Realized GARCH Model. (2025). Hansen, Peter ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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2024Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference. (2024). Perron, Pierre ; Deng, Taosong ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.01604.

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2024Prewhitened Long-Run Variance Estimation Robust to Nonstationarity. (2024). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02235.

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2024Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models. (2024). Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02981.

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2024Predicting Value at Risk for Cryptocurrencies With Generalized Random Forests. (2024). Schienle, Melanie ; Gorgen, Konstantin ; Meirer, Jonas. In: Papers. RePEc:arx:papers:2203.08224.

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2024Bayesian Neural Networks for Macroeconomic Analysis. (2024). Marcellino, Massimiliano ; Huber, Florian ; Hauzenberger, Niko ; Klieber, Karin. In: Papers. RePEc:arx:papers:2211.04752.

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2024Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications. (2024). Rossini, Luca ; Iacopini, Matteo ; Ravazzolo, Francesco. In: Papers. RePEc:arx:papers:2211.16121.

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2025Double Robust Bayesian Inference on Average Treatment Effects. (2025). Yu, Zhengfei ; Liu, Ruixuan ; Breunig, Christoph. In: Papers. RePEc:arx:papers:2211.16298.

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2024Smoothing Quantile Regression Averaging: A new approach to probabilistic forecasting of electricity prices. (2024). Uniejewski, Bartosz. In: Papers. RePEc:arx:papers:2302.00411.

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2025Estimating Fiscal Multipliers by Combining Statistical Identification with Potentially Endogenous Proxies. (2024). Keweloh, Sascha A ; Klein, Mathias ; Pruser, Jan. In: Papers. RePEc:arx:papers:2302.13066.

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2024Fast Forecasting of Unstable Data Streams for On-Demand Service Platforms. (2024). Wilms, Ines ; Hu, Yu Jeffrey ; Rombouts, Jeroen. In: Papers. RePEc:arx:papers:2303.01887.

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2024From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks. (2024). Goulet Coulombe, Philippe ; Frenette, Mikael ; Klieber, Karin. In: Papers. RePEc:arx:papers:2311.16333.

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2025A Quantile Nelson-Siegel model. (2024). Rossini, Luca ; Poon, Aubrey ; Iacopini, Matteo ; Zhu, Dan. In: Papers. RePEc:arx:papers:2401.09874.

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2024What drives the European carbon market? Macroeconomic factors and forecasts. (2024). Rossini, Luca ; Bastianin, Andrea ; Qin, Yan ; Mirto, Elisabetta. In: Papers. RePEc:arx:papers:2402.04828.

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2024Tail risk forecasting with semi-parametric regression models by incorporating overnight information. (2024). Shau, Wei-Hsuan ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2402.07134.

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2024Nowcasting with Mixed Frequency Data Using Gaussian Processes. (2024). Pfarrhofer, Michael ; Marcellino, Massimiliano ; Hauzenberger, Niko ; Stelzer, Anna. In: Papers. RePEc:arx:papers:2402.10574.

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2024Inflation Target at Risk: A Time-varying Parameter Distributional Regression. (2024). Oka, Tatsushi ; Wang, Yunyun ; Zhu, Dan. In: Papers. RePEc:arx:papers:2403.12456.

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2024Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression. (2024). Weron, Rafał ; Uniejewski, Bartosz ; Lipiecki, Arkadiusz. In: Papers. RePEc:arx:papers:2404.02270.

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2024Bayesian Bi-level Sparse Group Regressions for Macroeconomic Density Forecasting. (2024). Mogliani, Matteo ; Simoni, Anna. In: Papers. RePEc:arx:papers:2404.02671.

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2024Comparing predictive ability in presence of instability over a very short time. (2024). Rossini, Luca ; Iacone, Fabrizio ; Viselli, Andrea. In: Papers. RePEc:arx:papers:2405.11954.

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2024Investigating the price determinants of the European Emission Trading System: a non-parametric approach. (2024). Glielmo, Aldo ; de Giuli, Maria Elena ; Salvagnin, Cristiano ; Mira, Antonietta. In: Papers. RePEc:arx:papers:2406.05094.

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2024Kullback-Leibler-based characterizations of score-driven updates. (2024). Punder, Ramon ; Lange, Rutger-Jan ; Dimitriadis, Timo ; de Punder, Ramon. In: Papers. RePEc:arx:papers:2408.02391.

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2024Testing for a Forecast Accuracy Breakdown under Long Memory. (2024). Sibbertsen, Philipp ; Kreye, Jannik. In: Papers. RePEc:arx:papers:2409.07087.

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2024How to Compare Copula Forecasts?. (2024). Hoga, Yannick ; Fissler, Tobias. In: Papers. RePEc:arx:papers:2410.04165.

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2024Cyber Risk Taxonomies: Statistical Analysis of Cybersecurity Risk Classifications. (2024). Sofronov, Georgy ; Jang, Jiwook ; Shevchenko, Pavel V ; Treuck, Stefan ; Peters, Gareth W ; Malavasi, Matteo. In: Papers. RePEc:arx:papers:2410.05297.

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2025Closed-form estimation and inference for panels with attrition and refreshment samples. (2024). Kosenkova, Lidia ; Franguridi, Grigory. In: Papers. RePEc:arx:papers:2410.11263.

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2024International vulnerability of inflation. (2024). Ruiz, Esther ; Garr, Ignacio ; Rodr, Vladimir C. In: Papers. RePEc:arx:papers:2410.20628.

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2024Density forecast transformations. (2024). Odendahl, Florens ; Mogliani, Matteo. In: Papers. RePEc:arx:papers:2412.06092.

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2025High-frequency Density Nowcasts of U.S. State-Level Carbon Dioxide Emissions. (2025). Garr, Ignacio ; Ramos, Andrey. In: Papers. RePEc:arx:papers:2501.03380.

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2025Binary Outcome Models with Extreme Covariates: Estimation and Prediction. (2025). Liu, Laura ; Wang, Yulong. In: Papers. RePEc:arx:papers:2502.16041.

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2025Assessing Uncertainty in Stock Returns: A Gaussian Mixture Distribution-Based Method. (2025). Wang, Yanlong ; Xu, Jian ; Huang, Shao-Lun ; Sun, Danny Dongning ; Zhang, Xiao-Ping. In: Papers. RePEc:arx:papers:2503.06929.

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2025An Artificial Trend Index for Private Consumption Using Google Trends. (2025). Alpiste, Heidi ; Tenorio, Juan ; Rem, Jakelin ; Segil, Arian. In: Papers. RePEc:arx:papers:2503.21981.

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2025Estimation of the complier causal hazard ratio under dependent censoring. (2025). van Keilegom, Ingrid ; Beyhum, Jad ; Crommen, Gilles. In: Papers. RePEc:arx:papers:2504.02096.

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2025Non-linear Phillips Curve for India: Evidence from Explainable Machine Learning. (2025). Pawar, Amit ; Pratap, Bhanu ; Sengupta, Shovon. In: Papers. RePEc:arx:papers:2504.05350.

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2025MLOps Monitoring at Scale for Digital Platforms. (2025). Wilms, Ines ; Rombouts, Jeroen ; Hu, Yu Jeffrey. In: Papers. RePEc:arx:papers:2504.16789.

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2025Sequential Scoring Rule Evaluation for Forecast Method Selection. (2025). Poskitt, Donald ; Frazier, David T. In: Papers. RePEc:arx:papers:2505.09090.

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2025Large structural VARs with multiple linear shock and impact inequality restrictions. (2025). Berend, Lukas ; Pruser, Jan. In: Papers. RePEc:arx:papers:2505.19244.

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2025Conditional Method Confidence Set. (2025). Bauer, Lukas ; Kazak, Ekaterina. In: Papers. RePEc:arx:papers:2505.21278.

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2025Evaluating financial tail risk forecasts: Testing Equal Predictive Ability. (2025). Bauer, Lukas. In: Papers. RePEc:arx:papers:2505.23333.

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2025A Gibbs Sampler for Efficient Bayesian Inference in Sign-Identified SVARs. (2025). Arias, Jonas E ; Rubio-Ram, Juan F ; Shin, Minchul. In: Papers. RePEc:arx:papers:2505.23542.

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2025Plausible GMM: A Quasi-Bayesian Approach. (2025). Hansen, Christian B ; Chernozhukov, Victor ; Wang, Weining ; Kong, Lingwei. In: Papers. RePEc:arx:papers:2507.00555.

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2025Electricity Market Predictability: Virtues of Machine Learning and Links to the Macroeconomy. (2025). Cai, Jinbo ; Wang, Wenjie ; Li, Wenze. In: Papers. RePEc:arx:papers:2507.07477.

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2025Testing Clustered Equal Predictive Ability with Unknown Clusters. (2025). Akgun, Oguzhan ; Urga, Giovanni ; Pirotte, Alain ; Yang, Zhenlin. In: Papers. RePEc:arx:papers:2507.14621.

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2025Staggered Adoption DiD Designs with Misclassification and Anticipation. (2025). Gutknecht, Daniel ; Augustin, Clara ; Liu, Cenchen. In: Papers. RePEc:arx:papers:2507.20415.

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2025Large Language Models and Futures Price Factors in China. (2025). Zhou, Heyang ; Cheng, Yuhan ; Liu, Yanchu. In: Papers. RePEc:arx:papers:2509.23609.

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2025Macroeconomic Forecasting and Machine Learning. (2025). Giannone, Domenico ; Ghigliazza, Raffaele M ; Fan, Ting-Han ; Chi, Ta-Chung. In: Papers. RePEc:arx:papers:2510.11008.

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2025Plausible GMM: a quasi-bayesian approach. (2025). Chernozhukov, Victor ; Wang, Weining ; Kong, Lingwei ; Hansen, Christian. In: CeMMAP working papers. RePEc:azt:cemmap:14/25.

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2024Predictability of Exchange Rate Density Forecasts for Emerging Economies in the Short Run. (2024). Moura, Jaqueline Terra. In: Working Papers Series. RePEc:bcb:wpaper:588.

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2025Density forecast transformations. (2025). Odendahl, Florens ; Mogliani, Matteo. In: Working Papers. RePEc:bde:wpaper:2511.

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2024Nowcasting Italian GDP growth: a Factor MIDAS approach. (2024). Silvestrini, Andrea ; Prifti, Orest ; Ceci, Donato. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1446_24.

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2025Innovations Meet Narratives -Improving the Power-Credibility Trade-off in Macro. (2025). Barnichon, Raegis ; Mesters, Geert. In: Working Papers. RePEc:bge:wpaper:1475.

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2025Lumpy Forecasts. (2025). Turen, Javier ; Baley, Isaac. In: Working Papers. RePEc:bge:wpaper:1476.

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2025Soybean yield prediction in Argentina using climate data. (2025). Aguirre, Maximiliano Gmez ; Pastore, Luciana ; Elas, Diego ; Basco, Emiliano. In: BIS Working Papers. RePEc:bis:biswps:1278.

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2024Predictive model averaging with parameter instability and heteroskedasticity. (2024). Yin, Anwen. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:76:y:2024:i:2:p:418-442.

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2024Asset Pricing and Machine Learning: A critical review. (2024). Bagnara, Matteo. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:1:p:27-56.

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2024A Non‐parametric Estimation of Productivity with Idiosyncratic and Aggregate Shocks: The Role of Research and Development (R&D) and Corporate Tax. (2024). Bournakis, Ioannis ; Tsionas, Mike. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:3:p:641-671.

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2025Re-visiting the Relationship Between Oil Prices and Monetary Policy. (2025). Bjørnland, Hilde ; Haolz, Jonas ; Cross, Jamie L ; Bjaornland, Hilde C. In: Working Papers. RePEc:bny:wpaper:0139.

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2024Targeted financial conditions indices and growth-at-risk. (2024). Sokol, Andrej ; Eguren Martin, Fernando ; Kosem, Sevim ; Maia, Guido ; Eguren-Martin, Fernando. In: Bank of England working papers. RePEc:boe:boeewp:1084.

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2024Merging Structural and Reduced-Form Models for Forecasting. (2024). Piersanti, Fabio Massimo ; onorante, luca ; Martinez-Martin, Jaime ; Massimo, Piersanti Fabio ; Luca, Onorante ; Richard, Morris ; Jaime, Martinez-Martin. In: The B.E. Journal of Macroeconomics. RePEc:bpj:bejmac:v:24:y:2024:i:1:p:399-437:n:2.

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2024Challenges and Opportunities for Twenty First Century Bayesian Econometricians: A Personal View. (2024). Herman, Van Dijk. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:2:p:155-176:n:12.

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2024Posterior Manifolds over Prior Parameter Regions: Beyond Pointwise Sensitivity Assessments for Posterior Statistics from MCMC Inference. (2024). Ramírez Hassan, Andrés ; Andres, Ramirez-Hassan ; Nhung, Nghiem ; Fung, Kwok Chun ; Liana, Jacobi. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:2:p:403-434:n:10.

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2024The Causal Effects of Global Supply Chain Disruptions on Macroeconomic Outcomes: Evidence and Theory. (2024). Zanetti, Francesco ; Fernandez-Villaverde, Jesus ; Li, Yiliang ; Bai, Xiwen. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10930.

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2024Filtering with Limited Information. (2024). Fernandez-Villaverde, Jesus ; Drautzburg, Thorsten ; Guerron-Quintana, Pablo ; Oosthuizen, Dick. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11243.

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2024The Causal Effects of Global Supply Chain Disruptions on Macroeconomic Outcomes: Evidence and Theory. (2024). Zanetti, Francesco ; Fernandez-Villaverde, Jesus ; Li, Yiliang ; Bai, Xiwen. In: Discussion Papers. RePEc:cfm:wpaper:2405.

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2024The Causal Effects of Global Supply Chain Disruptions on Macroeconomic Outcomes: Evidence and Theory. (2024). Zanetti, Francesco ; Fernandez-Villaverde, Jesus ; Li, Yiliang ; Bai, Xiwen. In: CIGS Working Paper Series. RePEc:cnn:wpaper:24-003e.

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2024International vulnerability of inflation. (2024). Ortega, Esther Ruiz ; Rodrguez, Carlos Vladimir ; Vedia, Ignacio Garrn. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:44814.

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2024Avoiding Unintentionally Correlated Shocks in Procy Vector Autoregressive Analysis. (2024). McNeil, James ; Lütkepohl, Helmut ; Bruns, Martin ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2095.

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2024Harnessing Machine Learning for Real-Time Inflation Nowcasting. (2024). Schnorrenberger, Richard ; Moura, Guilherme Valle ; Schmidt, Aishameriane. In: Working Papers. RePEc:dnb:dnbwpp:806.

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2024Consistent Distribution–Free Affine–Invariant Tests for the Validity of Independent Component Models. (2024). Hallin, Marc ; Meintanis, Simos ; Nordhausen, Klaus. In: Working Papers ECARES. RePEc:eca:wpaper:2013/368952.

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2024The role of comovement and time-varying dynamics in forecasting commodity prices. (2024). Venditti, Fabrizio ; Allayioti, Anastasia. In: Working Paper Series. RePEc:ecb:ecbwps:20242901.

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2025Enhancing electricity price forecasting accuracy: A novel filtering strategy for improved out-of-sample predictions. (2025). Cerasa, Andrea ; Zani, Alessandro. In: Applied Energy. RePEc:eee:appene:v:383:y:2025:i:c:s030626192500087x.

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2025Monetary policy and credit flows: A tale of two effective lower bounds. (2025). Bianco, Timothy ; Herrera, Ana Mara. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:175:y:2025:i:c:s0165188925000508.

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2024Belief-dependent pricing decisions. (2024). Turen, Javier ; Lluberas, Rodrigo ; Frache, Serafin. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s026499932300442x.

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2024Examining business cycles and optimal monetary policy in a regional DSGE model. (2024). Gelfer, Sacha. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324001068.

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2024Multibenchmark reality checks. (2024). Matilla-García, Mariano ; Matilla-Garcia, Mariano ; Arbues, Ignacio. In: Economic Modelling. RePEc:eee:ecmode:v:140:y:2024:i:c:s0264999324002050.

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2024Disentangling demand and supply inflation shocks from electronic payments data. (2024). Hernndez-Romn, Luis G ; Eterovic, Nicols ; Carlomagno, Guillermo. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002281.

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2024Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies. (2024). Fiszeder, Piotr ; Maecka, Marta ; Molnr, Peter. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s026499932400244x.

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2024Low interest rates and the predictive content of the yield curve. (2024). Bordo, Michael D ; Haubrich, Joseph G. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000056.

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2025Factors of predictive power for metal commodities. (2025). Schischke, Amelie ; Rathgeber, Andreas ; Papenfuss, Patric. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002341.

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2025Systemic risk and network effects in RCEP financial markets: Evidence from the TEDNQR model. (2025). Zhang, Feipeng ; Luo, Qiong ; Chen, Yan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002420.

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2024An identification and testing strategy for proxy-SVARs with weak proxies. (2024). Fanelli, Luca ; Cavaliere, Giuseppe ; Angelini, Giovanni. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003202.

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2024Confidence intervals of treatment effects in panel data models with interactive fixed effects. (2024). Zhou, Qiankun ; Shen, Yan ; Li, Xingyu. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000307.

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2024Time-varying forecast combination for factor-augmented regressions with smooth structural changes. (2024). Hong, Yongmiao ; Chen, Qitong ; Li, Haiqi. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000393.

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2024Predictive ability tests with possibly overlapping models. (2024). Corradi, Valentina ; Fosten, Jack ; Gutknecht, Daniel. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:1:s0304407624000629.

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2024Hybrid unadjusted Langevin methods for high-dimensional latent variable models. (2024). Loaiza-Maya, Ruben ; Nibbering, Didier ; Zhu, Dan. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000873.

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2024Better the devil you know: Improved forecasts from imperfect models. (2024). Oh, Dong Hwan ; Patton, Andrew J. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:1:s0304407624001131.

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2024Prewhitened long-run variance estimation robust to nonstationarity. (2024). Perron, Pierre ; Casini, Alessandro. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:1:s0304407624001404.

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2024Reprint of: Out-of-sample tests for conditional quantile coverage: An application to Growth-at-Risk. (2024). Fosten, Jack ; Corradi, Valentina ; Gutknecht, Daniel. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624000927.

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2024Estimating and testing for smooth structural changes in moment condition models. (2024). Li, Haiqi ; Zhou, Jin ; Hong, Yongmiao. In: Journal of Econometrics. RePEc:eee:econom:v:246:y:2024:i:1:s0304407624002471.

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2025Bootstrapping out-of-sample predictability tests with real-time data. (2025). Yao, Yongxu ; McCracken, Michael W ; Gonalves, Slvia. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002677.

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2025Long-run risk in stationary vector autoregressive models. (2025). Jasiak, Joann ; Gourieroux, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624002562.

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2025Quantile Granger causality in the presence of instability. (2025). Wied, Dominik ; Troster, Victor ; Mayer, Alexander. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000466.

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2025Quantile prediction with factor-augmented regression: Structural instability and model uncertainty. (2025). Wang, Siwei ; Tu, Yundong. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000533.

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2025Bayesian neural networks for macroeconomic analysis. (2025). Marcellino, Massimiliano ; Huber, Florian ; Klieber, Karin ; Hauzenberger, Niko. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pc:s030440762400188x.

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2024Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility. (2024). Takahashi, Makoto ; Omori, Yasuhiro ; Watanabe, Toshiaki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:34-56.

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2025Industry return prediction via interpretable deep learning. (2025). Sermpinis, Georgios ; Iannino, Maria Chiara ; Psaradellis, Ioannis ; Zografopoulos, Lazaros. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:1:p:257-268.

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2025Predictive distributions and the market return: The role of market illiquidity. (2025). Ellington, Michael ; Kalli, Maria. In: European Journal of Operational Research. RePEc:eee:ejores:v:323:y:2025:i:1:p:309-322.

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2024Pooling and winsorizing machine learning forecasts to predict stock returns with high-dimensional data. (2024). Strauss, Jack ; Mekelburg, Erik. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000732.

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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.
[Full Text][Citation analysis]		article26
2015Forecasting in Nonstationary Environments: What Works and What Doesnt in Reduced-Form and Structural Models In: Annual Review of Economics.
[Full Text][Citation analysis]		article8
2015Forecasting in Nonstationary Environments: What Works and What Doesnt in Reduced-Form and Structural Models.(2015) 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.
[Full Text][Citation analysis]		paper19
2018Incentive-driven Inattention In: Working Papers Series.
[Full Text][Citation analysis]		paper15
2019Incentive-driven Inattention.(2019) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 15		paper
2019Incentive-driven Inattention.(2019) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2005Evaluation and Combination of Conditional Quantile Forecasts In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article191
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: 191		paper
2007Comparing Density Forecasts via Weighted Likelihood Ratio Tests In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article440
2005Comparing Density Forecsts via Weighted Likelihood Ratio Tests.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 440		paper
2015Model Comparisons in Unstable Environments In: Working Papers.
[Full Text][Citation analysis]		paper22
2009Model Comparisons in Unstable Environments.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		paper
2010Model Comparisons in Unstable Environments.(2010) In: Working Papers.
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This paper has nother version. Agregated cites: 22		paper
2012Model comparisons in unstable environments.(2012) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		paper
2015Model comparisons in unstable environments.(2015) In: Economics Working Papers.
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This paper has nother version. Agregated cites: 22		paper
2016MODEL COMPARISONS IN UNSTABLE ENVIRONMENTS.(2016) In: International Economic Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		article
2006How Stable is the Forecasting Performance of the Yield Curve for Output Growth?* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article81
2005How Stable is the Forecasting Performance of the Yield Curve for Outpot Growth?.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 81		paper
2003Tests of conditional predictive ability In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]		paper973
2006Tests of Conditional Predictive Ability.(2006) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 973		article
2003Tests of Conditional Predictive Ability.(2003) In: Econometrics.
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This paper has nother version. Agregated cites: 973		paper
2002Aggregation of Space-Time Processes In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]		paper97
2004Aggregation of space-time processes.(2004) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 97		article
2002Comparing Density Forecasts via Weighted Likelihood Ratio Tests: Asymptotic and Bootstrap Methods In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]		paper17
2002Hypernormal Densities In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]		paper1
2002Hypernormal densities.(2002) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2002Evaluation and Combination of Conditional Quantile Forecasts In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper0
2002Comparing Density Forecasts via Weighted Likelihood Ratio Tests: Asymptotic and Bootstrap Methods In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper18
2003Tests of Conditional Predictive Ability In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper40
2001Aggregationn of Space-Time Processes In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper1
2002Hypernormal Densities In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper1
2015Models, Inattention and Expectation Updates In: Discussion Papers.
[Full Text][Citation analysis]		paper6
2015Models, Inattention and Expectation Updates.(2015) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2016Models, inattention and expectation updates.(2016) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2005Detecting and Predicting Forecast Breakdowns* In: UCLA Economics Working Papers.
[Full Text][Citation analysis]		paper126
2006Detecting and Predicting Forecast Breakdowns.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 126		paper
2006Detecting and predicting forecast breakdowns.(2006) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 126		paper
2009Detecting and Predicting Forecast Breakdowns.(2009) In: The Review of Economic Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 126		article
2014Economic theory and forecasting: lessons from the literature In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper30
2014Economic theory and forecasting: lessons from the literature.(2014) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 30		paper
2015Economic theory and forecasting: lessons from the literature.(2015) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 30		article
2014Inference about Non-Identified SVARs In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper6
2014Inference about Non-Identi?ed SVARs.(2014) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2020Robust Bayesian Inference in Proxy SVARs In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper32
2020Robust Bayesian inference in proxy SVARs.(2020) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 32		paper
2019Robust Bayesian Inference in Proxy SVARs.(2019) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 32		paper
2011Incorporating theoretical restrictions into forecasting by projection methods In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper4
2012Incorporating theoretical restrictions into forecasting by projection methods.(2012) In: 2012 Meeting Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2013Generalized Method of Moments with Latent Variables In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper6
2013Generalized method of moments with latent variables.(2013) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2013Anchoring the Yield Curve Using Survey Expectations In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper45
2014Anchoring the yield curve using survey expectations.(2014) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 45		paper
2013Anchoring the yield curve using survey expectations.(2013) In: CeMMAP working papers.
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This paper has nother version. Agregated cites: 45		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: 45		article
2013A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS In: Econometric Theory.
[Full Text][Citation analysis]		article126
2012A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators.(2012) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 126		paper
2008Forecast Comparisons in Unstable Environments In: Working Papers.
[Full Text][Citation analysis]		paper345
2010Forecast comparisons in unstable environments.(2010) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 345		article
2008Mixtures of t-distributions for finance and forecasting In: Journal of Econometrics.
[Full Text][Citation analysis]		article8
2007Mixtures of t-distributions for Finance and Forecasting.(2007) In: Economics Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2011How useful are no-arbitrage restrictions for forecasting the term structure of interest rates? In: Journal of Econometrics.
[Full Text][Citation analysis]		article32
2011How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?.(2011) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 32		paper
2014Theory-coherent forecasting In: Journal of Econometrics.
[Full Text][Citation analysis]		article25
2017Bayesian estimation of state space models using moment conditions In: Journal of Econometrics.
[Full Text][Citation analysis]		article15
2013Forecasting in macroeconomics In: Chapters.
[Full Text][Citation analysis]		chapter3
2016Stress Testing with Misspecified Models In: Working Paper Series.
[Full Text][Citation analysis]		paper8
2018Impact of uncertainty shocks on the global economy In: Post-Print.
[Citation analysis]		paper7
2017Impact of uncertainty shocks on the global economy.(2017) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2020Robust Bayesian inference for set-identified models In: CeMMAP working papers.
[Full Text][Citation analysis]		paper60
2018Robust Bayesian inference for set-identified models.(2018) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 60		paper
2021Robust Bayesian Inference for Set‐Identified Models.(2021) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 60		article
2017Uncertain identification In: CeMMAP working papers.
[Full Text][Citation analysis]		paper1
2020Uncertain Identification.(2020) In: CeMMAP working papers.
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This paper has nother version. Agregated cites: 1		paper
2013Bond returns and market expectations In: CeMMAP working papers.
[Full Text][Citation analysis]		paper16
2014Bond Returns and Market Expectations.(2014) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		article
2013The relationship between DSGE and VAR models In: CeMMAP working papers.
[Full Text][Citation analysis]		paper49
2019Estimation Under Ambiguity In: CeMMAP working papers.
[Full Text][Citation analysis]		paper8
2018Models, Inattention and Bayesian Updates In: Documentos de Trabajo.
[Full Text][Citation analysis]		paper0
2009Model Selection in Unstable Environments In: 2009 Meeting Papers.
[Citation analysis]		paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 20 2025. Contact: CitEc Team