Faculty Profile

Francesco Ravazzolo

Adjunct Professor - Department of Economics


Francesco Ravazzolo is a researcher at Economic Department, BI Norwegian Business School and senior researcher at the monetary policy department of Norges Bank. Research areas
Bayesian econometrics


Caporin, Massimiliano; Natvik, Gisle James, Ravazzolo, Francesco & Santucci de Magistris, Paolo (2019)

The bank-sovereign nexus: Evidence from a non-bailout episode

Journal of Empirical Finance, 53, s. 181- 196. Doi: 10.1016/j.jempfin.2019.07.001

Furlanetto, Francesco; Ravazzolo, Francesco & Sarferaz, Samad (2019)

Identification of financial factors in economic fluctuations

Economic Journal, 129(617), s. 311- 337. Doi: 10.1111/ecoj.12520

Catania, Leopoldo; Grassi, Stefano & Ravazzolo, Francesco (2019)

Forecasting cryptocurrencies under model and parameter instability

International Journal of Forecasting, 35(2), s. 485- 501. Doi: 10.1016/j.ijforecast.2018.09.005

Casarin, Roberto; Foroni, Claudia, Marcellino, Massimiliano & Ravazzolo, Francesco (2018)

Uncertainty through the lenses of a mixed-frequency bayesian panel markov-switching model

Annals of Applied Statistics, 12(4), s. 2559- 2586. Doi: 10.1214/18-AOAS1168

Bianchi, Daniele; Guidolin, Massimo & Ravazzolo, Francesco (2018)

Dissecting the 2007-2009 real estate market bust: Systematic pricing correction or just a housing fad?

Journal of Financial Econometrics, 16(1), s. 34- 62. Doi: 10.1093/jjfinec/nbx023

Foroni, Claudia; Ravazzolo, Francesco & Sadaba, Barbara (2018)

Assessing the predictive ability of sovereign default risk on exchange rate returns

Journal of International Money and Finance, 81, s. 242- 264. Doi: 10.1016/j.jimonfin.2017.12.001

Bianchi, Daniele; Guidolin, Massimo & Ravazzolo, Francesco (2017)

Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section

Journal of business & economic statistics, 35(1), s. 110- 129. Doi: 10.1080/07350015.2015.1061436

Krüger, F; Clark, Todd E & Ravazzolo, Francesco (2017)

Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts

Journal of business & economic statistics, 35(3), s. 470- 485. Doi: 10.1080/07350015.2015.1087856

Lerch, Sebastian; Thorarinsdottir, Thordis Linda, Ravazzolo, Francesco & Gneiting, Tilmann (2017)

Forecaster's dilemma: Extreme events and forecast evaluation

Statistical Science, 32(1), s. 106- 127. Doi: 10.1214/16-STS588

In public discussions of the quality of forecasts, attention typically focuses on the predictive performance in cases of extreme events. However, the restriction of conventional forecast evaluation methods to subsets of extreme observations has unexpected and undesired effects, and is bound to discredit skillful forecasts when the signal-to-noise ratio in the data generating process is low. Conditioning on outcomes is incompatible with the theoretical assumptions of established forecast evaluation methods, thereby confronting forecasters with what we refer to as the forecaster’s dilemma. For probabilistic forecasts, proper weighted scoring rules have been proposed as decision-theoretically justifiable alternatives for forecast evaluation with an emphasis on extreme events. Using theoretical arguments, simulation experiments and a real data study on probabilistic forecasts of U.S. inflation and gross domestic product (GDP) growth, we illustrate and discuss the forecaster’s dilemma along with potential remedies.

Bjørnland, Hilde C; Ravazzolo, Francesco & Thorsrud, Leif Anders (2017)

Forecasting GDP with global components: This time is different

International Journal of Forecasting, 33(1), s. 153- 173. Doi: 10.1016/j.ijforecast.2016.02.004

Pettenuzzo, Davide & Ravazzolo, Francesco (2016)

Optimal Portfolio Choice Under Decision-Based Model Combinations

Journal of applied econometrics, 31(7), s. 1312- 1332. Doi: 10.1002/jae.2502

Lombardi, Marco J & Ravazzolo, Francesco (2016)

On the correlation between commodity and equity returns: Implications for portfolio allocation

Journal of Commodity Markets, 2(1), s. 45- 57. Doi: 10.1016/j.jcomm.2016.07.005

Billio, Monica; Casarin, Roberto, Ravazzolo, Francesco & van Dijk, Herman K. (2016)

Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov-Switching VAR Model

Journal of applied econometrics, 31(7), s. 1352- 1370. Doi: 10.1002/jae.2501

Aastveit, Knut Are; Jore, Anne Sofie & Ravazzolo, Francesco (2016)

Identification and real-time forecasting of Norwegian business cycles

International Journal of Forecasting, 32(2), s. 283- 292. Doi: 10.1016/j.ijforecast.2015.06.006

Casarin, Roberto; Grassi, Stefano, Ravazzolo, Francesco & van Dijk, Herman K. (2015)

Parallel sequential monte carlo for efficient density combination: The DeCo MATLAB toolbox

Journal of Statistical Software, 68 Doi: 10.18637/jss.v068.i03

Monticini, Andrea & Ravazzolo, Francesco (2014)

Forecasting the intraday market price of money

Journal of Empirical Finance, 29, s. 304- 315. Doi: 10.1016/j.jempfin.2014.08.006

Ravazzolo, Francesco & Vahey, Shaun P (2014)

Forecast densities for economic aggregates from disaggregate ensembles

Studies in Nonlinear Dynamics & Econometrics, 18(4), s. 367- 381. Doi: 10.1515/snde-2012-0088

Martinsen, Kjetil; Ravazzolo, Francesco & Wulfsberg, Fredrik (2014)

Forecasting macroeconomic variables using disaggregate survey data

International Journal of Forecasting, 30(1), s. 65- 77. Doi: 10.1016/j.ijforecast.2013.02.003

Billio, Monica; Casarin, Roberto, Ravazzolo, Francesco & van Dijk, Herman K. (2013)

Time-varying combinations of predictive densities using nonlinear filtering

Journal of Econometrics, 177(2), s. 213- 232. Doi: 10.1016/j.jeconom.2013.04.009

Ravazzolo, Francesco & Rothman, Philip (2013)

Oil and U.S. GDP: A Real-Time Out-of-Sample Examination

Journal of Money, Credit and Banking, 45(2-3), s. 449- 463. Doi: 10.1111/jmcb.12009

Ravazzolo, Francesco & Lombardi, Marco J (2012)

Oil price density forecasts: exploring the linkages with stock markets

[Report]. Handelshøyskolen BI.

Ravazzolo, Francesco; Rigobon, Roberto, Caporin, Massimiliano & Pelizzon, Loriana (2012)

Measuring Sovereign Contagion in Europe

[Report]. Handelshøyskolen BI.

Ravazzolo, Francesco & Rothman, Philip (2011)

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

[Report]. Handelshøyskolen BI.

Academic Degrees
Year Academic Department Degree
2007 Tinbergen Institute, EUR Ph.D.
Work Experience
Year Employer Job Title
2012 - Present BI Norwegian Business School Researcher
2007 - Present Norges Bank Senior Researcher