Francesco Ravazzolo

Principal Researcher

Contact:

E-mail: Francesco.ravazzolo@norges-bank.no
Phone: +47 22 31 61 72
Fax: +47 22 42 40 62

Norges Bank
P.O. Box 1179 Sentrum
0107 Oslo
Norway

Research Interest

Bayesian econometrics, macroeconomics, financial econometrics

CV (PDF, 261.5 Kb)

Density forecasts with MIDAS models, Aastveit, K.A., C. Foroni and F. Ravazzolo (2014).

Identification of financial factors in economic fluctuations, Furlanetto, F., F. Ravazzolo and S. Sarferaz (2014).

Forecasting recessions in real time, Aastveit, K.A., A.S. Jore and F. Ravazzolo (2014).

Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?, Bianchi, D., M. Guidolin and F. Ravazzolo (2013).

Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model, Billio, M., R. Casarin, F. Ravazzolo and H.K. van Dijk (2013).

Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section, Bianchi, D., M. Guidolin and F. Ravazzolo (2013). 

Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox, Casarin, R., S. Grassi, F. Ravazzolo and H.K. van Dijk (2013).

On the Correlation between Commodity and Equity Returns: Implications for Portfolio Allocation, Lombardi, M. and F. Ravazzolo (2013). 

Measuring Sovereign Contagion in Europe, Caporin, M., L. Pelizzon, F. Ravazzolo and R. Rigobon (2013).

Term Structure Forecasting using Macro Factors and Forecast Combination, De Pooter, M., F. Ravazzolo and D. van Dijk (2010).

Predicting the Term Structure of 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).

Journal Articles

Forecasting the Intraday Market Price of Money, A. Monticini and F. Ravazzolo (2014), Journal of Empirical Finance, forthcoming.

The Macroeconomic Forecasting Performance of Autoregressive Models with Alternative Specifications of Time-Varying Volatility , T. Clark and F. Ravazzolo (2014), Journal of Applied Econometrics, forthcoming.

Forecasting Macroeconomic Variables using Disaggregate Survey Data, Martinsen K., F. Ravazzolo and F. Wulfsberg (2014), International Journal of Forecasting, 30(1), 65–77.

Time-varying Combinations of Predictive Densities using Nonlinear Filtering, Monica Billio, Roberto Casarin, Francesco Ravazzolo and Herman van Dijk (2013), Journal of Econometrics, 177(2), 213–232.

Forecast Densities for Economic Aggregates from Disaggregate Ensembles, Ravazzolo, F. and S. P. Vahey (2013), Studies of Nonlinear Dynamics and Econometrics, forthcoming.

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.

Real-Time Inflation Forecasting in a Changing World, Groen, J.J.J., R. Paap and F. Ravazzolo (2013), Journal of Business and Economic Statistics, 31(1), 29-44.

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 (2013), Journal of Real Estate Finance and Economics.

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.

Oil and U.S. 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.

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, Hoogerheide L., F. Ravazzolo, H.K. van Dijk (2012), Journal of Business and Economic Statistics, 30(1).

The power of Weather, Huurman C., F. Ravazzolo and C. Zhou (2012), Computational Statistics & Data Analysis, 56, 3793-3807.

Why Do People Place Lower Weight on Advice Far from Their Own Initial Opinion?, Ravazzolo F. and Ø. Røisland (2011), Economics Letters, 112(1), 63-66.

Combining Inflation Density Forecasts, Kascha C. and F. Ravazzolo (2010), Journal of Forecasting, 29, 231-250.

Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time-varying Weights, Hoogerheide L., R. Kelijn, F. Ravazzolo, H.K. van Dijk and M. Verbeek (2010), Journal of Forecasting, 29, 251-269.

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.

Book contributions

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.

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.

Proceedings and Other Publications

Probabilistic Calibration of Predictive Distributions, Casarin, R., Gneiting T. and Ravazzolo, F., (2014), in Proceedings of the XLVII Scientific Meeting of the Italian Statistical Society, Cagliari, CUEC.

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.

Measuring Core Inflation in Australia with Disaggregate Ensembles, Ravazzolo F. and S. P. Vahey (2009), Proceedings of RBA 2009 Conference, 178-195.

Books

Forecasting Financial Time Series Using Model Averaging, Ravazzolo F., Tinbergen Institute Research Series 415.

Research with links

Major policy related project: SAM

Published 14 September 2007 09:24
Edited 11 September 2014 12:14