RESEARCH

Working Papers

• "Combination Schemes for Turning Point Predictions",  Billio, M., R. Casarin, F. Ravazzolo and H.K. van Dijk (2011).
• "Forecasting the intraday market price of money", Monticini, A. and F. Ravazzolo (2011).
• "Forecasting macroeconomic variables using disaggregate survey data", Martinsen K., F. Ravazzolo and F. Wulfsberg (2011).
• “A Bayesian multi-factor model of instability in prices and quantities of risk in US financial markets”, Guidolin M., F. Ravazzolo and A. Donato Tortora (2011).
• “Combining predictive densities using Bayesian filtering with applications to US economics data”, Billio, M., R. Casarin, F. Ravazzolo F. and H.K. van Dijk (2010).
• “Oil and US GDP: A real-time out-of-sample examination”, Ravazzolo F. and P. Rothman (2010).
• "Forecast densities for economic aggregates from disaggregate ensembles", Ravazzolo, F. and S. P. Vahey (2010).
• “Term structure forecasting using macro factors and forecast combination”, De Pooter, M., F. Ravazzolo and D. van Dijk (2010).
• "Real-time inflation forecasting in a changing world", Groen, J.J.J., R. Paap and F. Ravazzolo (2009).
• "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).

Publications

• “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", Hoogerheide L., F. Ravazzolo, H.K. van Dijk (2011), Journal of Business and Economic Statistics, forthcoming. Working paper version.
• “Why do people give less weight to advice the further it is from their initial opinion?”, Ravazzolo F. and Ø. Røisland (2010), Economics Letters, forthcoming. Working paper version.
• "The power of weather", Huurman C., F. Ravazzolo and C. Zhou (2010), Computational Statistics and Data Analysis, forthcoming. 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.
• "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. Working paper version; Ravazzolo F., H. K. van Dijk and M. Verbeek (2007) working paper.  
• "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.

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. 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.