Raffaella Giacomini
Raffaella Giacomini
Professor of Economics, University College London
Verified email at ucl.ac.uk - Homepage
TitleCited byYear
Tests of conditional predictive ability
R Giacomini, H White
Econometrica 74 (6), 1545-1578, 2006
12082006
Comparing density forecasts via weighted likelihood ratio tests
G Amisano, R Giacomini
Journal of Business & Economic Statistics 25 (2), 177-190, 2007
4202007
Forecast comparisons in unstable environments
R Giacomini, B Rossi
Journal of Applied Econometrics 25 (4), 595-620, 2010
2222010
Aggregation of space-time processes
R Giacomini, CWJ Granger
Journal of econometrics 118 (1-2), 7-26, 2004
2162004
Evaluation and combination of conditional quantile forecasts
R Giacomini, I Komunjer
Journal of Business & Economic Statistics 23 (4), 416-431, 2005
1972005
Detecting and predicting forecast breakdowns
R Giacomini, B Rossi
The Review of Economic Studies 76 (2), 669-705, 2009
1102009
A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators
R Giacomini, DN Politis, H White
Econometric theory 29 (3), 567-589, 2013
1022013
How stable is the forecasting performance of the yield curve for output growth?
R Giacomini, B Rossi
Oxford Bulletin of Economics and Statistics 68, 783-795, 2006
892006
The relationship between DSGE and VAR models
R Giacomini
VAR Models in Macroeconomics–New Developments and Applications: Essays in …, 2013
472013
How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
A Carriero, R Giacomini
Journal of Econometrics 164 (1), 21-34, 2011
342011
Mixtures of t-distributions for finance and forecasting
R Giacomini, A Gottschling, C Haefke, H White
Journal of Econometrics 144 (1), 175-192, 2008
34*2008
Anchoring the yield curve using survey expectations
C Altavilla, R Giacomini, G Ragusa
Journal of Applied Econometrics 32 (6), 1055-1068, 2017
332017
Model comparisons in unstable environments
R Giacomini, B Rossi
International Economic Review 57 (2), 369-392, 2016
27*2016
Robust inference about partially identified SVARs
R Giacomini, T Kitagawa
Manuscript, University College London, 2015
262015
Theory-coherent forecasting
R Giacomini, G Ragusa
Journal of Econometrics 182 (1), 145-155, 2014
172014
Economic theory and forecasting: lessons from the literature
R Giacomini
The Econometrics Journal 18 (2), C22-C41, 2015
152015
Bond returns and market expectations
C Altavilla, R Giacomini, R Costantini
Journal of Financial Econometrics 12 (4), 708-729, 2014
142014
Generalized method of moments with latent variables
AR Gallant, R Giacomini, G Ragusa
122013
17 Forecasting in macroeconomics
R Giacomini, B Rossi
Handbook of Research Methods and Applications in Empirical Macroeconomics, 381, 2013
112013
Inference about non-identified SVARs
R Giacomini, T Kitagawa
102014
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Articles 1–20