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
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 […]