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.
Selected Publications
The relationship between DSGE and VAR models
This chapter reviews the literature on the econometric relationship between DSGE and VAR models from the […]
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Bond returns and market expectations
A well-documented empirical result is that market expectations extracted from futures contracts on the federal funds […]
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Model comparisons in unstable environments
The goal of this paper is to develop formal tests to evaluate the relative in-sample performance […]
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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 […]
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Incorporating theoretical restrictions into forecasting by projection methods
We propose a method for modifying a given density forecast in a way that incorporates the […]
How useful are no-arbitrage restrictions for forecasting the term structure?
We develop a general framework for analyzing the usefulness of imposing parameter restrictions on a forecasting […]