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.

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Selected Publications

Bayesian estimation of state space models using moment conditions

We consider Bayesian estimation of state space models when the measurement density is not available but […]

Ron Gallant, Raffaella Giacomini, Giuseppe Ragusa

18 December 2017 | Journal Article

Model comparisons in unstable environments

The goal of this article is to develop formal tests to evaluate the relative in-sample performance […]

Raffaella Giacomini, Barbara Rossi

31 May 2016 | Journal Article

Previous version

Model comparisons in unstable environments

Raffaella Giacomini, Barbara Rossi

7 June 2012 | CWP13/12

Economic theory and forecasting: lessons from the literature

Does economic theory help in forecasting key macroeconomic variables? This article aims to provide some insight […]

Raffaella Giacomini

24 June 2015 | Journal Article

Previous version

Economic theory and forecasting: lessons from the literature

Raffaella Giacomini

24 September 2014 | CWP41/14

Bond Returns and Market Expectations

A well-documented empirical result is that market expectations extracted from futures contracts on the federal funds […]

Carlo Altavilla, Raffaella Giacomini, Riccardo Costantini

1 October 2014 | Journal Article

Previous version

Bond returns and market expectations

Carlo Altavilla, Riccardo Costantini, Raffaella Giacomini

24 May 2013 | CWP20/13

The relationship between DSGE and VAR models

This article reviews the literature on the econometric relationship between DSGE and VAR models from the […]

Raffaella Giacomini

1 December 2013 | Journal Article

Previous version

The relationship between DSGE and VAR models

Raffaella Giacomini

24 May 2013 | CWP21/13

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 […]

Raffaella Giacomini, Dimitris N. Politis, Halbert White

1 June 2013 | Journal Article

Previous version

A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators

Raffaella Giacomini, Dimitris N. Politis, Halbert White

31 May 2012 | CWP11/12

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 […]

Andrea Carreiro, Raffaella Giacomini

1 September 2011 | Journal Article

Forecast comparisons in unstable environments

Raffaella Giacomini

17 August 2010 | Journal Article

Detecting and predicting forecast breakdowns

Raffaella Giacomini

1 March 2009 | Journal Article