Research Staff

Raffaella Giacomini

cemmap and UCL

Raffaella is a Professor of Economics at University College London. Her recent research focuses on: Predictive Ability Testing, Forecast Evaluation, Forecasting in a Changing Economy, Model Selection, Density and Quantile Forecasting.

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Selected Publications

Economic theory and forecasting: lessons from the literature

Does economic theory help in forecasting key macroeconomic variables? This article aims to provide some insight […]

Raffaella Giacomini

24 September 2014 | CWP41/14

Latest version

Economic theory and forecasting: lessons from the literature

Raffaella Giacomini

24 June 2015 | Journal Article

Anchoring the yield curve using survey expectations

The dynamic behavior of the term structure of interest rates is difficult to replicate with models, […]

Carlo Altavilla, Raffaella Giacomini, Giuseppe Ragusa

15 October 2013 | CWP52/13

Generalized method of moments with latent variables

The contribution of generalized method of moments (Hansen and Singleton, 1982) was to allow frequentist inference […]

Ron Gallant, Raffaella Giacomini, Giuseppe Ragusa

7 October 2013 | CWP50/13

The relationship between DSGE and VAR models

This chapter reviews the literature on the econometric relationship between DSGE and VAR models from the […]

Raffaella Giacomini

24 May 2013 | CWP21/13

Latest version

The relationship between DSGE and VAR models

Raffaella Giacomini

1 December 2013 | Journal Article

Bond returns and market expectations

A well-documented empirical result is that market expectations extracted from futures contracts on the federal funds […]

Carlo Altavilla, Riccardo Costantini, Raffaella Giacomini

24 May 2013 | CWP20/13

Latest version

Bond Returns and Market Expectations

Carlo Altavilla, Raffaella Giacomini, Riccardo Costantini

1 October 2014 | Journal Article

Model comparisons in unstable environments

The goal of this paper is to develop formal tests to evaluate the relative in-sample performance […]

Raffaella Giacomini, Barbara Rossi

7 June 2012 | CWP13/12

Latest version

Model comparisons in unstable environments

Raffaella Giacomini, Barbara Rossi

31 May 2016 | Journal Article

A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators

We analyze fast procedures for conducting Monte Carlo experiments involving bootstrap estimators, providing formal results establishing […]

Raffaella Giacomini, Dimitris N. Politis, Halbert White

31 May 2012 | CWP11/12

Latest version

A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators

Raffaella Giacomini, Dimitris N. Politis, Halbert White

1 June 2013 | Journal Article