Econometrics · Forecasting · Energy Markets

Francesco Ravazzolo

Full Professor of Econometrics at the Faculty of Economics and Management, Free University of Bozen-Bolzano, and Head of the Department of Data Science and Analytics at BI Norwegian Business School.

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About

Research and academic service

Francesco serves the academic community through editorial roles and research leadership across econometrics, forecasting and energy-market applications.

Bayesian econometrics Energy economics Financial econometrics Macroeconometrics Forecasting

Francesco Ravazzolo is Head of Department of Data Science and Analytics at BI Norwegian Business School and Full Professor of Econometrics at Free University of Bozen-Bolzano.

His research focuses on commodity markets, data analytics, econometrics, energy economics, financial econometrics and macroeconometrics. He has published in leading academic journals and contributes to the field through editorial-board appointments and scientific associations.

Editorial-board service includes Annals of Applied Statistics, International Journal of Forecasting, Journal of Applied Econometrics, Spatial Economic Analysis, and Studies in Nonlinear Dynamics and Econometrics.

He is president of the Society of Nonlinear Dynamics and Econometrics.

Research

Publications and working papers

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Working Papers

Model selection confidence sets for time series models with applications to electricity load data, De Bortoli S., D. Ferrari, F. Ravazzolo and L. Rossini (2026).
Forecasting Oil Consumption: The Statistical Review of World Energy Meets Machine Learning, Ditzen J., H. Li, E. Ersoy and F. Ravazzolo (2026).
When Topics Drive Central Bank Transparency, Gifuni L., K. Chiara and F. Ravazzolo (2026).
Modeling European Electricity Market Integration during turbulent times, Ravazzolo F., L. Rossini and A. Viselli (2025).
A real-time simulation study on the behaviour of alternative trend-cycle decomposition methods during the pandemic, Biscosi F., S. Grassi, G.L. Mazzi, F. Ravazzolo, R.R. Ruggeri, P. Ronkowski and H. Vlachou (2024).
Fiscal stimuli: Monetary versus Fiscal Financing, Lorusso M., F. Ravazzolo and C. Udroiu (2024).
Fiscal Policy Regimes in Resource-Rich Economies, Bjørnland, H.C., R. Casarin, M. Lorusso and F. Ravazzolo (2023).
Dominant Drivers of National Inflation, Ditzen, J. and F. Ravazzolo (2022).
Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications, Iacopini, M., F. Ravazzolo and L. Rossini (2022).
A Structural Analysis of Unemployment-Generating Supply Shocks with an Application to the US Pharmaceutical Industry, Boni, S. and F. Ravazzolo (2022).
Adaptive Importance Sampling for DSGE Models, Grassi, S., M. Lorusso and F. Ravazzolo (2021).
Combining Bayesian VARs with survey density forecasts: does it pay off?, Banbura, M., F. Brenna, J. Parades and F. Ravazzolo (2021).
Commodity Futures and Forecasting Commodity Currencies, Ravazzolo, F., T. Sveen and S. K. Zahiri (2016).
Forecasting Commodity Currencies: the Role of Fundamentals with Short-lived Predictive Content, Foroni, C., F. Ravazzolo and P. J. Ribeiro (2015).
Term Structure Forecasting using Macro Factors and Forecast Combination, De Pooter, M., F. Ravazzolo and D. van Dijk (2010).
Predicting the Term Structure of Interest Rates, De Pooter M., F. Ravazzolo and D. van Dijk (2007).
Evaluating Real-Time Forecasts in Real-Time, Van Dijk, D., P.H. Franses and F. Ravazzolo (2007).

Journal Articles

Identification of Labour Market Shocks, Diwambuena, J. and F. Ravazzolo (2026), Oxford Bulletin of Economics and Statistics, forthcoming. Working paper version.
Forecasting Natural Gas Prices in Real Time, Baumeister, C., F. Huber, T. K. Lee and F. Ravazzolo (2026), Journal of Applied Econometrics, 41(2), 139-155. Working paper version.
Renewable Sources and Short-To Mid-Term Electricity Price Forecasting, Bashiri Behmiri, N. C. Fezzi and F. Ravazzolo (2026), Journal of Commodity Markets, 41, 100541. Working paper version.
Biomass Derived Combined Heat and Power from Decentralized Small-Scale Gasification: Updated Cost Conditions for the Italian Mountain Context and Competitiveness in Future Energy Markets, Menin, L., A. Paolillo, S. Piazzi, D. Antolini, D. Rossi, F. Ravazzolo and M Baratieri (2025), Waste and Biomass Valorisation, 16, 4009-4025.
Global money supply and energy and non-energy commodity prices: A MS-TV-VAR approach, Grassi, S., F. Ravazzolo, J. Vespignani and G. Vocalelli (2025) Journal of Commodity Markets, 40, 100502. Working paper version.
Is the Price Cap for Gas Useful? Evidence from European Countries, Ravazzolo, F. and L. Rossini (2025) Annals of Applied Statistics, forthcoming. Working paper version.
Urban Smart Energy Systems from a Climate Change Perspective: Technical, Economic and Environmental Optimization Analysis, Battini, F., A. Menapace, G. Stradiotti, A. Zanfei, F.F. Nicolosi, D. Dalla Torre, M. Renzi, G. Pernigotto, F. Ravazzolo, M. Righetti, A. Gasparella, J.Z. Thellufsen and H. Lund (2025) Smart Energy, 18, 100180.
Robust estimation for Threshold Autoregressive Moving-Average models, Goracci, G., D. Ferrari, S. Giannerini and F. Ravazzolo (2024), Journal of Business Economics and Statistics, 43(3), 579-591. Working paper version.
Understanding relationships with the aggregate zonal imbalance using copulas, Durante F., A. Gatto and F. Ravazzolo (2024), Statistical Applications & Methods, 33, 513-554.
Corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic: A Bayesian Markov switching model, Baltodano Lopez, O.A., G. Bulfone, R. Casarin and F. Ravazzolo (2024), Studies in Nonlinear Dynamics and Econometrics, 28(2), 271-292. Working paper version.
The COVID-19 pandemic and family business performance, Miroshnychenko, I., G. Vocalelli, A. De Massis, S. Grassi and F. Ravazzolo (2024), Small Business Economics, 62, 213-241.
A Bayesian DSGE approach to modelling cryptocurrency, Asimakopoulos, S., M. Lorusso and F. Ravazzolo (2023), Review of Economic Dynamics, 51, 1012-1035. Working paper version.
Nowcasting industrial production using linear and non-linear models of electricity demand, Galdi, G., R. Casarin, D. Ferrari, C. Fezzi and F. Ravazzolo (2023), Energy Economics, 126, 107006. Working paper version.
Exploring the Antecedents of Consumer Confidence through Semantic Network Analysis of Online News, Fronzetti Colladon, A., F. Grippa, B. Guardabascio and F. Ravazzolo (2023), Scientific Reports, 13, 11785. Working paper version.
Forecasting Regional GDPs: a Comparison with Spatial Dynamic Panel Data Models, Bille’, A.G, A. Tomelleri and F. Ravazzolo (2023), Spatial Economic Analysis, 18(4), 530-551. Working paper version. Link to programs.
Are Low Frequency Macroeconomic Variables Important for High Frequency Electricity Prices?, Foroni, C., F. Ravazzolo and L. Rossini (2023), Economic Modelling, 120, 106-160. Working paper version.
A Flexible Predictive Density Combination for Large Financial Data Sets in Regular and Crisis Periods, Casarin, R, S. Grassi, F. Ravazzolo and H.K. van Dijk (2023), Journal of Econometrics, 237(2C), 105370. Working paper version.
Incorporating air temperature into mid-term electricity load forecasting models using time-series regressions and neural networks, Bashiri Behmiri, N., C. Fezzi and F. Ravazzolo (2023), Energy, 278, 127831.
Large Time-Varying Volatility Models for Electricity Prices, Gianfreda, A., F. Ravazzolo and L. Rossini (2023), Oxford Bullettin of Economics and Statistics, 85(3), 545-573. Working paper version.
Proper scoring rules for evaluating asymmetry in density forecasting, Iacopini, M., F. Ravazzolo and L. Rossini (2023), Journal of Business Economics and Statistics, 42(2), 482-496. Working paper version.
Forecasting Electricity Prices with Expert, Linear and Non-Linear Models, Bille’ A.G, A. Gianfreda, F. Del Grosso and F. Ravazzolo (2023), International Journal of Forecasting, 39, 570-586. Working paper version.
Forecasting financial markets with semantic network analysis in the COVID-19 crisis, Fronzetti Colladon, A. , S. Grassi, F. Ravazzolo and F. Violante (2022), Journal of Forecasting, 42(5), 1187-1204. Working paper version.
A Multivariate Dependence Analysis for Electricity Prices, Demand and Renewable Energy Sources, Durante, F, A. Gianfreda, F. Ravazzolo, L. Rossini (2022), Information Science, 590, 74-89. Working paper version.
Short-term hydropower optimization driven by innovative time-adapting econometric model, Avesani, D, A. Zanfei, N. Di Marco, A. Galletti, F. Ravazzolo, M. Righetti and M. Bruno (2022), Applied Energy, 310, 118-510.
Markov Switching Panel with Network Interaction Effects, Agudze, K. M., M. Billio, R. Casarin and F. Ravazzolo (2022), Journal of Econometrics, 230(2), 281-298. Working paper version.
Forecasting Energy Commodity Prices: A Large Global Dataset Sparse Approach, Ferrari, D., F. Ravazzolo and J. Vespignani (2021), Energy Economics, 98, 105268. Working paper version.
Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach, Caporin, M., R. Gupta and F. Ravazzolo (2021), North Ameircan Journal of Economics and Finance, 55, 1-12. Working paper version.
Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration, Gianfreda, A., F. Ravazzolo and L. Rossini (2020), International Journal of Forecasting, 36(3), 974-986. Working paper version.
A Scoring Rule for Factor and Autoregressive Models under Misspecification, Casarin, R., F. Corradin, F. Ravazzolo and D. Sartore (2020), Advances in Decision Science, 24(2), 1-37.Working paper version
A New Monthly Indicator of Global Real Economic Activity, Ravazzolo, F. and J.L. Vespignani (2020), Canadian Journal of Economics, 53(2), 743-766. Working paper version.
The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode, Caporin, M., G. Natvik, F. Ravazzolo and P. Santucci de Magistris (2019), Journal of Empirical Finance, 53, 181-196.Working paper version.
Identification of financial factors in economic fluctuations, Furlanetto, F., F. Ravazzolo and S. Sarferaz (2019), Economic Journal, 129(617), 311-337. Working paper version.
Optimism in Financial Markets: Stock Market Returns and Investor Sentiments, Limongi Concetto, C. and F. Ravazzolo (2019), Journal of Risk and Financial Management, 12, 85. Working paper version.
Forecasting Cryptocurrencies under Model and Parameter Instability, Catania, L., S. Grassi and F. Ravazzolo (2019), International Journal of Forecasting, 35(2), 485-501. Working paper version.
Uncertainty Through the Lenses of a Mixed-Frequency Bayesian Panel Markov Switching Model, Casarin, R., C. Foroni, M. Marcellino and F. Ravazzolo (2018), Annals of Applied Statistics, 12(4), 2559-2586. Working paper version.
Bayesian Nonparametric Calibration and Combination of Predictive Distributions, Bassetti, F., R. Casarin and F. Ravazzolo (2018), Journal of American Statistical Association, 113(522), 675-685. Working paper version.
Measuring Sovereign Contagion in Europe, Caporin, M., L. Pelizzon, F. Ravazzolo and R. Rigobon (2018), Journal of Financial Stability, 34, 150-181. Working paper version.
Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns, Foroni, C., F. Ravazzolo and B. Sadaba (2018), Journal of International Money and Finance , 81, 241-264. Working paper version.
Combined Density Nowcasting in an Uncertain Economic Environment, Aastveit, K.A., F. Ravazzolo and H.K. van Dijk (2018), Journal of Business and Economic Statistics, 36(1), 131-145. Working paper version.
Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?, Bianchi, D., M. Guidolin and F. Ravazzolo (2018), Journal of Financial Econometrics, 16(1), 34-62. Working paper version. Link to programs.
Forecaster's Dilemma: Extreme Events and Forecast Evaluation, Lerch, S., T. Thorarinsdottir, F. Ravazzolo and T. Gneiting (2017), Statistical Science, 32(1), 106-127. Working paper version.
Forecasting GDP with Global Components. This time is different, Bjørnland, H.C., F. Ravazzolo and L.A. Thorusrud (2017), International Journal of Forecasting, 33(1), 153-173. Working paper version.
Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section, Bianchi, D., M. Guidolin and F. Ravazzolo (2017), Journal of Business and Economic Statistics, 35(1), 110-129. Working paper version. Link to programs.
Density forecasts with MIDAS models, Aastveit, K.A., C. Foroni and F. Ravazzolo (2016), Journal of Applied Econometrics, 32(4), 783-801. Working paper version.
On the Correlation between Commodity and Equity Returns: Implications for Portfolio Allocation, Lombardi, M. and F. Ravazzolo (2016), Journal of Commodity markets, 2(1), 45-57. Working paper version. Sample of press coverage: WSJ, FT, Reuters, The Telegraph. Link to programs.
Oil-price Density Forecasts of US GDP, Ravazzolo, F. and P. Rothman (2016), Studies of Nonlinear Dynamics and Econometrics, 20(4), 441-453. Working paper version.
A discussion on: Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations, and Forecast Ranking, by W. Ehm, T. Gneiting, A. Jordan, and A. Krueger, Casarin, R. and Ravazzolo, F., (2016), Journal of the Royal Statistical Society, Series B, 78(3), 538-539.
Bayesian Calibration of Generalized Pools of Predictive Distributions, Casarin, R., G. Mantoan and F. Ravazzolo (2016), Econometrics, 4(1), 17.
Identification and real-time forecasting of Norwegian business cycles, Aastveit, K.A., A.S. Jore and F. Ravazzolo (2016), International Journal of Forecasting, 32, 283-292. Working paper version.
Optimal Portfolio Choice under Decision-Based Model Combinations, Pettenuzzo, D. and F. Ravazzolo (2016), Journal of Applied Econometrics, 31(7), 1312-1332. Working paper version.
Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model, Billio, M., R. Casarin, F. Ravazzolo and H.K. van Dijk (2016), Journal of Applied Econometrics, 31(7), 1352-1370. Working paper version.
Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts, Kruger, F., T. Clark and F. Ravazzolo (2015), Journal of Business and Economic Statistics, forthcoming. Working paper version.
Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox, Casarin, R., S. Grassi, F. Ravazzolo and H.K. van Dijk (2015), Journal of Statistical Software, 68(3). Working paper version. Link to DeCo webpage
The Macroeconomic Forecasting Performance of Autoregressive Models with Alternative Specifications of Time-Varying Volatility, Clark T. and F. Ravazzolo (2015), Journal of Applied Econometrics, 30(4), 551-575. Working paper version.
Forecasting the Intraday Market Price of Money, Monticini A. and F. Ravazzolo (2014), Journal of Empirical Finance, 39, 304-315. Working paper version.
Forecasting Macroeconomic Variables using Disaggregate Survey Data, Martinsen K., F. Ravazzolo and F. Wulfsberg (2014), International Journal of Forecasting, 30(1), 65?77. Working paper version.
Forecast Densities for Economic Aggregates from Disaggregate Ensembles, Ravazzolo, F. and S. P. Vahey (2014), Studies of Nonlinear Dynamics and Econometrics, 18(4), 367-381. Working paper version.
Time-varying Combinations of Predictive Densities using Nonlinear Filtering, Monica Billio, Roberto Casarin, Francesco Ravazzolo and Herman van Dijk (2013), Journal of Econometrics, 177(2), 213?232. Working paper version.
Alternative Econometric Implementations of Multi-Factor Models of the US Financial Markets, Guidolin M., F. Ravazzolo and A. Donato Tortora (2013), Quarterly Review of Economics and Finance, 53(2), 87-111.
Real-Time Inflation Forecasting in a Changing World, Groen, J.J.J., R. Paap and F. Ravazzolo (2013), Journal of Business and Economic Statistics, 31(1), 29-44. Online appendix. Working paper version.
Myths and Facts about the Alleged Over-Pricing of U.S.Real Estate: Evidence from Multi-Factor Asset Pricing Models of REIT Returns, Guidolin M., F. Ravazzolo and A. Donato Tortora (2013), Journal of Real Estate Finance and Economics. Working paper version.
Combination Schemes for Turning Point Predictions, Billio, M., R. Casarin, F. Ravazzolo F. and H.K. van Dijk (2012), Quarterly Review of Economics and Finance, 52(4), 402-412. Working paper version.
Oil and U.S. GDP: A Real-Time Out-of-Sample Examination, Ravazzolo F. and P. Rothman (2012), Journal of Money, Credit and Banking, 45(2-3), 449-463. Working paper version.
Backtesting Value-at-Risk Using Forecasts for Multiple Horizons - a Comment on the "Forecast Rationality Tests Based on Multi-horizon Bounds" by A.J. patton and A. Timmermann, Hoogerheide L., F. Ravazzolo, H.K. van Dijk (2012), Journal of Business and Economic Statistics, 30(1). Working paper version.
The power of Weather, Huurman C., F. Ravazzolo and C. Zhou (2012), Computational Statistics & Data Analysis, 56, 3793-3807.
Why Do People Place Lower Weight on Advice Far from Their Own Initial Opinion?, Ravazzolo F. and Ø. Røisland (2011), Economics Letters, 112(1), 63-66.
Combining Inflation Density Forecasts, Kascha C. and F. Ravazzolo (2010), Journal of Forecasting, 29, 231-250. Working paper version. Link to programs.
Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time-varying Weights, Hoogerheide L., R. Kelijn, F. Ravazzolo, H.K. van Dijk and M. Verbeek (2010), Journal of Forecasting, 29, 251-269. Working paper version. Ravazzolo F., H. K. van Dijk and M. Verbeek (2007) working paper.
Bayesian Near-boundary Analysis in Basic Macroeconomic Time-series Models, De Pooter M., F. Ravazzolo, R. Segers and H.K. van Dijk (2008), Advances in Econometrics, 23, 331-432. Working paper version. Link to programs.

Book contributions

Density Forecasting, Bassetti, F., R. Casarin and F. Ravazzolo (2020), in Fuleky, P. (eds) Macroeconomic Forecasting in the Area of Big Data, Springer. Working paper version.
The Evolution of Forecast Density Combinations in Economics, Aastveit, K.A., J. Mitchell, F. Ravazzolo and H.K. van Dijk (2018), Oxford Research Encyclopedia of Economics and Finance, forthcoming. Working paper version.
Predicting the Volatility of Cryptocurrency Time-Series, Catania, L., S. Grassi and F. Ravazzolo (2018), In: Corazza M., Durbán M., Grané A., Perna C., Sibillo M. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer. Working paper version.
Macro Modeling with Many Models, Bache, I. W., J. Mitchell, F. Ravazzolo, and S. P. Vahey (2010), in D. Cobham, Ø. Eitrheim, S. Gerlach, and J. Qvigstad (Eds.), Twenty Years of Inflation Targeting: Lessons Learned and Future Prospects , Cambridge University Press, 398-418. Working paper version.
Bayesian model averaging in the presence of structural breaks, Ravazzolo F., R. Paap, D. van Dijk and P.H. Franses (2008), in M. Wohar and D. Rapach (eds.), Forecasting in the Presence of Structural Breaks and Model Uncertainty - Frontiers of Economics and Globalization Series Vol. 3, Emerald Publishing Group, 561-594. Working paper version.

Proceedings and Other Publications

Biomass combined heat and power for renewable power provision in mountain environments: techno-economic assessment of cost factors and competitiveness under current and projected energy market conditions, Menin, L., A. Paolillo, S. Piazzi, D. Antolini, D. Rossi, F. Ravazzolo and M Baratieri, Journal of Physics: Conference Series, 2893.
Probabilistic Calibration of Predictive Distributions, Casarin, R., T. Gneiting and Ravazzolo, F., (2014), Proceedings of the XLVII Scientific Meeting of the Italian Statistical Society, Cagliari, CUEC.
Bayesian combinations of stock price predictions with an application to the Amsterdam Exchange index, Billio, M., R. Casarin, F. Ravazzolo and H.K. van Dijk (2011), Medium for Econometric Applications. Working paper version.
Measuring Core Inflation in Australia with Disaggregate Ensembles, Ravazzolo F. and S. P. Vahey (2009), Proceedings of RBA 2009 Conference, 178-195.

Books

Geopolitical Probable Maximum Loss, Domenichini P. And F. Ravazzolo, ISBN ‎979-8251832594.
Bayesian Econometrics, Bernardi M., S. Grassi and F. Ravazzolo, ISBN 978-3-03943-786-3.
Forecasting Financial Time Series Using Model Averaging, Ravazzolo F., Tinbergen Institute Research Series 415, ISBN: 978 90 5170 914 8.

Curriculum vitae

The Curriculum link opens the official PDF hosted on francescoravazzolo.com.

Academic positions

Full Professor of Econometrics at Free University of Bozen-Bolzano; Head of Department of Data Science and Analytics at BI Norwegian Business School.

Research focus

Econometrics, forecasting, commodity and energy markets, financial econometrics and macroeconometrics.

Documents

Download the full CV

Contact

Get in touch

Use the institutional email addresses for academic correspondence.

Email francesco.ravazzolo@unibz.it
francesco.ravazzolo@bi.no

Phone +39 0471 013133

Address

Free University of Bozen-Bolzano
Faculty of Economics and Management
Universitätsplatz 1
39100 Bozen-Bolzano, Italy

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