Working Papers

 

• “Term structure forecasting using macro factors and forecast combination”, De Pooter, M., F. Ravazzolo and D. van Dijk (2010).
• “Why do people place lower weight on advice far from their own initial opinion?”, Ravazzolo F. and Ø. Røisland (2010).
• "Ditch the Ex! Measure core inflation with a disaggregate ensemble", Ravazzolo, F. and S. P. Vahey (2009).
• "Real-time inflation forecasting in a changing world", Groen, J.J.J., R. Paap and F. Ravazzolo (2009).
• "The power of weather", Huurman C., F. Ravazzolo and C. Zhou (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

 

• "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, forthcoming. Working paper version.
• "Measuring Core Inflation in Australia with Disaggregate Ensembles", Ravazzolo F. and S. P. Vahey (2009), RBA 2009 Conference Volume, forthcoming. Working paper version. 
• "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 
 

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