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Oil and US GDP : A Real-Time Out-of-Sample Examination

Ravazzolo, Francesco - 2010

We study the real-time Granger-causal relationship between crude oil prices and US GDP growth through a simulated out-of-sample (OOS) forecasting exercise; we also provide strong evidence of in-sample predictability from oil prices to GDP. Comparing our benchmark model "without oil" against...

Persistent link: https://www.econbiz.de/10013137990

Macroeconomic forecasting performance under alternative specifications of time-varying volatility

Clark, Todd E.; Ravazzolo, Francesco - In: Journal of applied econometrics 30 (2015) 4, pp. 551-575

Persistent link: https://www.econbiz.de/10011332869

Forecasting the intraday market price of money

Monticini, Andrea; Ravazzolo, Francesco - 2014

Central banks' operations and efficiency arguments would suggest that the intraday interest rate should be set to zero. However, a liquidity crisis introduces frictions related to news, which can cause an upward jump of the intraday rate. This paper documents that these dynamics can be partially...

Persistent link: https://www.econbiz.de/10011774178

Predicting the volatility of cryptocurrency time-series

Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco - 2018

Persistent link: https://www.econbiz.de/10011798870

The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility

Clark, Todd E.; Ravazzolo, Francesco - 2012

Persistent link: https://www.econbiz.de/10009627354

The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility

Clark, Todd E.; Ravazzolo, Francesco - 2012

Persistent link: https://www.econbiz.de/10009628606

Forecasting the intraday market price of money

Monticini, Andrea; Ravazzolo, Francesco - 2011

Persistent link: https://www.econbiz.de/10009127688

Large time-varying volatility models for electricity prices

Gianfreda, Angelica; Ravazzolo, Francesco; Rossini, Luca - 2020

Persistent link: https://www.econbiz.de/10012437473

Forecasting the Intraday Market Price of Money

Monticini, Andrea - 2011

Market efficiency hypothesis suggests a zero level for the intraday interest rate. However, a liquidity crisis introduces frictions related to news, which can cause an upward jump of the intraday rate. This paper documents that these dynamics can be partially predicted during turbulent times. A...

Persistent link: https://www.econbiz.de/10013119944

The Macroeconomic Forecasting Performance of Autoregressive Models with Alternative Specifications of Time-Varying Volatility

Clark, Todd E. - 2012

This paper compares alternative models of time-varying macroeconomic volatility on the basis of the accuracy of point … vector autoregressive models that incorporate some form of time-varying volatility, precisely stochastic volatility (both … with constant and time-varying autoregressive coefficients), stochastic volatility following a stationary AR process …

Persistent link: https://www.econbiz.de/10013100483