• A New Monthly Indicator of Global Real Economic Activity 

      Ravazzolo, Francesco; Vespignani, Joaquin L. (CAMP Working Papers Series;2/2015, Working paper, 2015)
      In modelling macroeconomic time series, often a monthly indicator of global real economic activity is used. We propose a new indicator, named World steel production, and compare it to other existing indicators, precisely ...
    • Commodity Futures and Forecasting Commodity Currencies 

      Ravazzolo, Francesco; Sveen, Tommy; Zahiri, Sepideh K. (CAMP Working Paper Series;7/2016, Working paper, 2016)
      This paper analyzes the extent to which information in commodity futures markets is useful for out-of-sample forecasting of commodity currencies. In the earlier literature, commodity price changes are documented to be weak ...
    • Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration 

      Gianfreda, Angelica; Ravazzolo, Francesco; Rossini, Luca (CAMP Working Paper Series;2, Working paper, 2018-01)
      This paper compares alternative univariate versus multivariate models, probabilistic versus Bayesian autoregressive and vector autoregressive specifications for hourly day-ahead electricity prices, with and without ...
    • Density Forecasts with MIDAS Models 

      Aastveit, Knut Are; Foroni, Claudia; Ravazzolo, Francesco (CAMP Working Paper Series;3/2014, Working paper, 2014)
      In this paper we derive a general parametric bootstrapping approach to compute density forecasts for various types of mixed-data sampling (MIDAS) regressions. We consider both classical and unrestricted MIDAS regressions ...
    • Forecasting Cryptocurrencies Financial Time Series 

      Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco (CAMP Working Paper Series;5, Working paper, 2018-03)
      This paper studies the predictability of cryptocurrencies time series. We compare several alternative univariate and multivariate models in point and density forecasting of four of the most capitalized series: Bitcoin, ...
    • Forecasting GDP with global components. This time is different 

      Bjørnland, Hilde C.; Ravazzolo, Francesco; Thorsrud, Leif Anders (CAMP Working Papers Series;1/2015, Working paper, 2015)
      A long strand of literature has shown that the world has become more global. Yet, the recent Great Global Recession turned out to be hard to predict, with forecasters across the world committing large forecast errors. ...
    • Interactions between eurozone and US booms and busts: A bayesian panel Markov-switching VAR model 

      Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; van Dijk, Herman K. (CAMP Working Paper Series;8/2014, Working paper, 2014)
      Interactions between eurozone and United States booms and busts and among major eurozone economies are analyzed by introducing a panel Markov-switching VAR model. The model is well suitable for a multi-country cyclical ...
    • Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model 

      Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; van Dijk, Herman K. (CAMP Working Papers Series; 8/2014, Working paper, 2014)
      Interactions between eurozone and United States booms and busts and among major eurozone economies are analyzed by introducing a panel Markov-switching VAR model. The model is well suitable for a multi-country cyclical ...
    • Markov Switching Panel with Network Interaction Effects 

      Agudze, Komla Mawulom; Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco (CAMP Working Paper Series;1, Working paper, 2018-01)
      The paper introduces a new dynamic panel model for large data sets of time series, each of them characterized by a series-specific Markov switching process. By introducing a neighbourhood system based on a network ...
    • Measuring sovereign contagion in Europe 

      Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, Francesco; Rigobon, Roberto (CAMP Working Paper Series;4/2012, Working paper, 2014-06-24)
      This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression ...
    • Oil and US GDP: A Real-Time Out-of Sample Examination 

      Ravazzolo, Francesco; Rothman, Philip (CAMP Working Paper Series;2/2011, Working paper, 2011)
      We study the real-time predictive content of crude oil prices for US real GDP growth through a pseudo out-of-sample (OOS) forecasting exercise. Comparing our benchmark model "without oil" against alternatives "with oil," ...
    • Oil price density forecasts: Exploring the linkages with stock markets 

      Lombardi, Marco; Ravazzolo, Francesco (CAMP Working Paper Series;3/2012, Working paper, 2012)
      In the recent years several commentators hinted at an increase of the correlation between equity and commodity prices, and blamed investment in commodity-related products for this. First, this paper investigates such ...
    • Oil-Price Density Forecasts of U.S. GDP 

      Ravazzolo, Francesco; Rothman, Philip (CAMP Working Papers Series;10/2015, Working paper, 2015)
      We carry out a pseudo out-of-sample density forecasting study for U.S. GDP with an autoregressive benchmark and alternatives to the benchmark than include both oil prices and stochastic volatility. The alternatives to ...
    • Optimal Portfolio Choice under Decision-Based Model Combinations 

      Pettenuzzo, Davide; Ravazzolo, Francesco (CAMP Working Paper Series;9/2015, Working paper, 2015)
      We extend the density combination approach of Billio et al. (2013) to feature combination weights that depend on the past forecasting performance of the individual models entering the combination through a utility-based ...
    • Predicting the Volatility of Cryptocurrency Time–Series 

      Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco (CAMP Working Paper Series;3, Working paper, 2018-02)
      Cryptocurrencies have recently gained a lot of interest from investors, central banks and governments worldwide. The lack of any form of political regu- lation and their market far from being “efficient”, require new forms ...
    • Time-varying combinations of predictive densities using nonlinear filtering 

      Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; Dijk, Herman K. van (Journal article; Peer reviewed, 2013)
      We propose a Bayesian combination approach for multivariate predictive densities which relies upon a distributional state space representation of the combination weights. Several speci cations of multivariate time-varying ...
    • Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts 

      Krüger, Fabian; Clark, Todd E.; Ravazzolo, Francesco (CAMP Working Paper Series;8/2015, Working paper, 2015)
      This paper shows entropic tilting to be a flexible and powerful tool for combining mediumterm forecasts from BVARs with short-term forecasts from other sources (nowcasts from either surveys or other models). Tilting ...