Raffaella Giacomini came to UCL from a position at UCLA in summer 2007. Her recent research focuses on: Predictive Ability Testing, Forecast Evaluation, Forecasting in a Changing Economy, Model Selection, Density and Quantile Forecasting.
Bond Returns and Market Expectations,
October 2014,
(with
Carlo Altavilla , Riccardo Costantini),
Journal of Financial Econometrics,
No. 4, pp. 708-729,
Oxford Journals,
Journal Article
The relationship between DSGE and VAR models,
December 2013,
Advances in Econometrics,
Vol. 32 VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims, pp. 1--25,
Emerald Publishing Group Limited,
Journal Article
The relationship between DSGE and VAR models,
June 2013,
in VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims (Advances in Econometrics, Volume 32) vol.32, pp.1-25,
Emerald Group Publishing Limited,
Book Chapters
Bond returns and market expectations,
May 2013,
(with
Carlo Altavilla Riccardo Costantini ),
Working Paper, CWP20/13, Institute for Fiscal Studies
Now published:
Carlo Altavilla, Raffaella Giacomini and Riccardo Costantini October 2014,
Bond Returns and Market Expectations,
Journal Article
Journal of Financial Econometrics