Blar i Centre for Applied Macro- and Petroleum economics (CAMP) på forfatter "Ravazzolo, Francesco"
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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 ... -
Proper scoring rules for evaluating asymmetry in density forecasting
Iacopini, Matteo; Ravazzolo, Francesco; Rossini, Luca (CAMP Working Paper Series;06/2020, Working paper, 2020-09-01)This paper proposes a novel asymmetric continuous probabilistic score (ACPS) for evaluating and comparing density forecasts. It extends the proposed score and defines a weighted version, which emphasizes regions of interest, ... -
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 ...