- "Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox", R. Casarin, S. Grassi, F. Ravazzolo F. and H.K. van Dijk (2013).
- "On the correlation between commodity and equity returns: implications for portfolio allocation", Lombardi, M. and F. Ravazzolo (2013).
- "The Macroeconomic Forecasting Performance of Autoregressive Models with Alternative Specifications of Time-Varying Volatility", Clark, T. and F. Ravazzolo (2012).
- "Measuring Sovereign Contagion in Europe", Caporin, M., L. Pelizzon, F. Ravazzolo and R. Rigobon (2012).
- "Forecasting the intraday market price of money", Monticini, A. and F. Ravazzolo (2011).
- “Term structure forecasting using macro factors and forecast combination”, De Pooter, M., F. Ravazzolo and D. van Dijk (2010).
- "Predicting the term structure of US interest rates", De Pooter M., F. Ravazzolo and D. van Dijk (2007).
- "Evaluating real-time forecasts in real-time", van Dijk, D., P.H. Franses and F. Ravazzolo (2007).
- "Forecasting macroeconomic variables using disaggregate survey data", Martinsen K., F. Ravazzolo and F. Wulfsberg (2013), International Journal of Forecasting, forthcoming. Working paper version.
- "Time-varying Combinations of Predictive Densities using Nonlinear Filtering", Billio, M., R. Casarin, F. Ravazzolo F. and H.K. van Dijk (2013). Journal of Econometrics, forthcoming. Working paper version.
- "Forecast densities for economic aggregates from disaggregate ensembles", Ravazzolo, F. and S. P. Vahey (2013). Studies of Nonlinear Dynamics and Econometrics, forthcoming. Working paper version.
- “Alternative Econometric Implementations of Multi-Factor Models of the US Financial Markets”, Guidolin M., F. Ravazzolo and A. Donato Tortora (2013). Quarterly Review of Economics and Finance, 53(2), 87-111. Working paper version.
- "Real-time Inflation Forecasting in a Changing World", Groen, J.J.J., R. Paap and F. Ravazzolo (2012). Journal of Business and Economic Statistics, 31(1), 29-44. Working paper version.
- “Combination Schemes for Turning Point Predictions”, Billio, M., R. Casarin, F. Ravazzolo F. and H.K. van Dijk (2012). Quarterly Review of Economics and Finance, 52(4), 402-412. Working paper version.
- “Oil and US GDP: A Real-time Out-Of-Sample Examination”, Ravazzolo F. and P. Rothman (2012). Journal of Money, Credit and Banking, 45(2-3), 449-463. Working paper version.
- “Myths and Facts about the Alleged Over-Pricing of U.S.Real Estate: Evidence from Multi-Factor Asset Pricing Models of REIT Returns”, Guidolin M., F. Ravazzolo and A. Donato Tortora (2011), Journal of Real Estate Finance and Economics, forthcoming. Working paper version.
- "Backtesting Value-at-Risk Using Forecasts for Multiple Horizons - a Comment on the Forecast rationality tests based on multi-horizon bounds by A.J. patton and A. Timmermann",
- "The power of weather", Huurman C., F. Ravazzolo and C. Zhou (2012), Computational Statistics and Data Analysis, 56, 3793-3807. Working paper version.
- “Why do people give less weight to advice the further it is from their initial opinion?”, Ravazzolo F. and Ø. Røisland (2011), Economics Letters 112(1), 63-66. Working paper version.
- "Combining inflation density forecasts", Kascha C. and F. Ravazzolo (2010), Journal of Forecasting 29, 231-250. Working paper version; link to programs.
- "Bayesian near-boundary analysis in basic macroeconomic time series models", De Pooter M., F. Ravazzolo, R. Segers and H.K. van Dijk (2008), Advances in Econometrics 23, 331-432. Working paper version; link to programs.
- "Macro modeling with many models", Bache, I. W., J. Mitchell, F. Ravazzolo, and S. P. Vahey (2010), in D. Cobham, Ø. Eitrheim, S. Gerlach, and J. Qvigstad (Eds.), Twenty Years of Inflation Targeting: Lessons Learned and Future Prospects. Cambridge University Press, 398-418. Working paper version.
- "Measuring Core Inflation in Australia with Disaggregate Ensembles", Ravazzolo F. and S. P. Vahey (2009), Proceedings of RBA 2009 Conference, 178-195.
- "Bayesian model averaging in the presence of structural breaks", Ravazzolo F., R. Paap, D. van Dijk and P.H. Franses (2008), in M. Wohar and D. Rapach (eds.), Forecasting in the Presence of Structural Breaks and Model Uncertainty - Frontiers of Economics and Globalization Series Vol. 3, Emerald Publishing Group, 561-594. Working paper version.
Books and Other Publications
- "Bayesian combinations of stock price predictions with an application to the Amsterdam Exchange index", Billio, M., R. Casarin, F. Ravazzolo and H.K. van Dijk (2011), Medium for Econometric Applications. Working paper version.
- "Forecasting Financial Time Series Using Model Averaging", Ravazzolo F., Tinbergen Institute Research Series 415.