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
Model comparisons in unstable environments
The goal of this paper is to develop formal tests to evaluate the relative in-sample performance […]
Latest version
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 […]
Latest version
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 […]