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
Anchoring the yield curve using survey expectations
The dynamic behavior of the term structure of interest rates is difficult to replicate with models, […]
Generalized method of moments with latent variables
The contribution of generalized method of moments (Hansen and Singleton, 1982) was to allow frequentist inference […]
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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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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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 […]