Massimiliano Marcellino

Fiscal Forecasting: The Track Record of the IMF, OECD and EC

Year: 1999
Journal: No Journal Matched
Authors: Michael J. Artis; Massimiliano Marcellino

Large Datasets, Small Models and Monetary Policy in Europe

Year: 2001
Journal: No Journal Matched
Authors: Carlo A. Favero; Massimiliano Marcellino

Factor Forecasts for the UK

Year: 2002
Journal: No Journal Matched
Authors: Michael J. Artis; Anindya Banerjee; Massimiliano Marcellino

Instability and Nonlinearity in the EMU

Year: 2002
Journal: No Journal Matched
Authors: Massimiliano Marcellino

Forecast Pooling for Short Time Series of Macroeconomic Variables

Year: 2002
Journal: No Journal Matched
Authors: Massimiliano Marcellino

Forecasting EMU Macroeconomic Variables

Year: 2002
Journal: International Journal of Forecasting
Authors: Massimiliano Marcellino

Factor Based Index Tracking

Year: 2002
Journal: No Journal Matched
Authors: Francesco Corielli; Massimiliano Marcellino

Some Stylized Facts on Nonsystematic Fiscal Policy in the Euro Area

Year: 2002
Journal: Journal of Macroeconomics
Authors: Massimiliano Marcellino

Dating the Euro Area Business Cycle

Year: 2003
Journal: No Journal Matched
Authors: Michael J. Artis; Massimiliano Marcellino; Tommaso Proietti

Leading Indicators for Euro Area Inflation and GDP Growth

Year: 2003
Journal: Oxford Bulletin of Economics and Statistics
Authors: Anindya Banerjee; Massimiliano Marcellino; Igor Masten

The Transmission Mechanism in a Changing World

Year: 2003
Journal: Journal of Applied Econometrics
Authors: Michael J. Artis; Ana Beatriz Galvo; Massimiliano Marcellino

Characterizing the Business Cycle for Accession Countries

Year: 2004
Journal: No Journal Matched
Authors: Michael J. Artis; Massimiliano Marcellino; Tommaso Proietti

Interpolation and Backdating with a Large Information Set

Year: 2004
Journal: No Journal Matched
Authors: Elena Angelini; Jrme Henry; Massimiliano Marcellino

A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series

Year: 2005
Journal: Journal of Econometrics
Authors: Massimiliano Marcellino; James H. Stock; Mark W. Watson

Leading Indicators: What Have We Learned

Year: 2005
Journal: No Journal Matched
Authors: Massimiliano Marcellino

Factor Analysis in a New Keynesian Model

Year: 2005
Journal: No Journal Matched
Authors: Andreas Beyer; Roger E. A. Farmer; Jérôme Henry; Massimiliano Marcellino

Modelling and Forecasting Fiscal Variables for the Euro Area

Year: 2005
Journal: Oxford Bulletin of Economics and Statistics
Authors: Carlo A. Favero; Massimiliano Marcellino

Pooling-based Data Interpolation and Backdating

Year: 2005
Journal: No Journal Matched
Authors: Massimiliano Marcellino

A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions

Year: 2006
Journal: No Journal Matched
Authors: George Kapetanios; Massimiliano Marcellino

A Simple Benchmark for Forecasts of Growth and Inflation

Year: 2006
Journal: No Journal Matched
Authors: Massimiliano Marcellino

Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation

Year: 2006
Journal: No Journal Matched
Authors: George Kapetanios; Massimiliano Marcellino

Factor Analysis in a Model with Rational Expectations

Year: 2007
Journal: Econometrics Journal
Authors: Andreas Beyer; Roger E. A. Farmer; Jérôme Henry; Massimiliano Marcellino

FactorMIDAS for Now and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP

Year: 2008
Journal: No Journal Matched
Authors: Massimiliano Marcellino; Christian Schumacher

A Monthly Indicator of the Euro Area GDP

Year: 2008
Journal: No Journal Matched
Authors: Cecilia Frale; Massimiliano Marcellino; Gian Luigi Mazzi; Tommaso Proietti

Forecasting Exchange Rates with a Large Bayesian VAR

Year: 2008
Journal: International Journal of Forecasting
Authors: Andrea Carriero; George Kapetanios; Massimiliano Marcellino

Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change

Year: 2008
Journal: No Journal Matched
Authors: Anindya Banerjee; Massimiliano Marcellino; Igor Masten

Path Forecast Evaluation

Year: 2008
Journal: Journal of Applied Econometrics
Authors: Scar Jord; Massimiliano Marcellino

A Measure for Credibility Tracking US Monetary Developments

Year: 2008
Journal: No Journal Matched
Authors: Maria Demertzis; Massimiliano Marcellino; Nicola Viegi

Factor-Augmented Error Correction Models

Year: 2008
Journal: No Journal Matched
Authors: Anindya Banerjee; Massimiliano Marcellino

Pooling versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP

Year: 2009
Journal: No Journal Matched
Authors: Vladimir Kuzin; Massimiliano Marcellino; Christian Schumacher

MIDAS vs Mixed-Frequency VAR: Nowcasting GDP in the Euro Area

Year: 2009
Journal: International Journal of Forecasting
Authors: Vladimir Kuzin; Massimiliano Marcellino; Christian Schumacher

Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models

Year: 2009
Journal: Journal of Applied Econometrics
Authors: Andrea Carriero; George Kapetanios; Massimiliano Marcellino

Forecasting with Factor Augmented Error Correction Models

Year: 2010
Journal: International Journal of Forecasting
Authors: Anindya Banerjee; Massimiliano Marcellino; Igor Masten

The Forecasting Performance of Real Time Estimates of the Euro Area Output Gap

Year: 2010
Journal: No Journal Matched
Authors: Massimiliano Marcellino; Alberto Musso

Forecasting Government Bond Yields with Large Bayesian VARs

Year: 2010
Journal: No Journal Matched
Authors: Andrea Carriero; George Kapetanios; Massimiliano Marcellino

Empirical Simultaneous Confidence Regions for Path Forecasts

Year: 2010
Journal: International Journal of Forecasting
Authors: Scar Jord; Malte Knüppel; Massimiliano Marcellino

The Reliability of Real Time Estimates of the Euro Area Output Gap

Year: 2010
Journal: Economic Modelling
Authors: Massimiliano Marcellino; Alberto Musso

Factor-GMM Estimation with Large Sets of Possibly Weak Instruments

Year: 2010
Journal: No Journal Matched
Authors: George Kapetanios; Massimiliano Marcellino

Endogenous Monetary Policy Regimes and the Great Moderation

Year: 2010
Journal: No Journal Matched
Authors: Ana Beatriz C. Galvo; Massimiliano Marcellino

Markov-Switching MIDAS Models

Year: 2011
Journal: No Journal Matched
Authors: Pierre Gurin; Massimiliano Marcellino

Bayesian VARs: Specification Choices and Forecast Accuracy

Year: 2011
Journal: Journal of Applied Econometrics
Authors: Andrea Carriero; Todd Clark; Massimiliano Marcellino

On the Importance of Sectoral and Regional Shocks for Price Setting

Year: 2011
Journal: Journal of Applied Econometrics
Authors: Günter Beck; Kirstin Hubrich; Massimiliano Marcellino

The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR

Year: 2011
Journal: Journal of Money, Credit and Banking
Authors: Sandra Eickmeier; Wolfgang Lemke; Massimiliano Marcellino

Classical Time-Varying FAVAR Models: Estimation, Forecasting and Structural Analysis

Year: 2011
Journal: No Journal Matched
Authors: Sandra Eickmeier; Wolfgang Lemke; Massimiliano Marcellino

Common Drifting Volatility in Large Bayesian VARs

Year: 2012
Journal: No Journal Matched
Authors: Andrea Carriero; Todd Clark; Massimiliano Marcellino

UMIDAS: MIDAS Regressions with Unrestricted Lag Polynomials

Year: 2012
Journal: No Journal Matched
Authors: Claudia Foroni; Massimiliano Marcellino; Christian Schumacher

Realtime Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility

Year: 2013
Journal: No Journal Matched
Authors: Andrea Carriero; Todd E. Clark; Massimiliano Marcellino

Macroeconomic Forecasting During the Great Recession: The Return of Nonlinearity

Year: 2013
Journal: No Journal Matched
Authors: Laurent Ferrara; Massimiliano Marcellino; Matteo Mogliani

Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility

Year: 2013
Journal: No Journal Matched
Authors: Massimiliano Marcellino; Mario Porqueddu; Fabrizio Venditti

Time Variation in Macro-Financial Linkages

Year: 2013
Journal: No Journal Matched
Authors: Esteban Prieto; Sandra Eickmeier; Massimiliano Marcellino

Regime Switches in the Risk-Return Tradeoff

Year: 2013
Journal: No Journal Matched
Authors: Eric Ghysels; Pierre Gurin; Massimiliano Marcellino

Markov-Switching Mixed-Frequency VAR Models

Year: 2014
Journal: No Journal Matched
Authors: Claudia Foroni; Pierre Gurin; Massimiliano Marcellino

No Arbitrage Priors, Drifting Volatilities and the Term Structure of Interest Rates

Year: 2014
Journal: No Journal Matched
Authors: Andrea Carriero; Todd Clark; Massimiliano Marcellino

Structural FECM Cointegration in Large Scale Structural FAVAR Models

Year: 2014
Journal: No Journal Matched
Authors: Anindya Banerjee; Massimiliano Marcellino; Igor Masten

Structural Analysis with Multivariate Autoregressive Index Models

Year: 2015
Journal: No Journal Matched
Authors: Andrea Carriero; George Kapetanios; Massimiliano Marcellino

Factor Based Identification: Robust Inference in IV Regressions

Year: 2015
Journal: No Journal Matched
Authors: George Kapetanios; Lynda Khalaf; Massimiliano Marcellino

Monetary Fiscal and Oil Shocks: Evidence Based on Mixed Frequency Structural FAVARs

Year: 2015
Journal: No Journal Matched
Authors: Massimiliano Marcellino; Vasja Sivec

Tax Shocks with High and Low Uncertainty

Year: 2017
Journal: No Journal Matched
Authors: Fabio Bertolotti; Massimiliano Marcellino

Uncertainty Through the Lenses of a Mixed-Frequency Bayesian Panel Markov Switching Model

Year: 2017
Journal: No Journal Matched
Authors: Roberto Casarin; Claudia Foroni; Massimiliano Marcellino; Francesco Ravazzolo

The Global Component of Inflation Volatility

Year: 2019
Journal: No Journal Matched
Authors: Massimiliano Marcellino; Andrea Carriero; Francesco Corsello

Assessing International Commonality in Macroeconomic Uncertainty and Its Effects

Year: 2019
Journal: No Journal Matched
Authors: Massimiliano Marcellino; Todd Clark; Andrea Carriero

Forecasting the COVID-19 Recession and Recovery: Lessons from the Financial Crisis

Year: 2020
Journal: No Journal Matched
Authors: Claudia Foroni; Massimiliano Marcellino; Dalibor Stevanovic

A Similarity-Based Approach for Macroeconomic Forecasting

Year: 2020
Journal: No Journal Matched
Authors: Massimiliano Marcellino; George Kapetanios; Yiannis Dendramis

Time-Varying Instrumental Variable Estimation

Year: 2020
Journal: No Journal Matched
Authors: Massimiliano Marcellino; George Kapetanios; Liudas Giraitis

Can Machine Learning Catch the COVID-19 Recession?

Year: 2021
Journal: No Journal Matched
Authors: Massimiliano Marcellino; Dalibor Stevanovic; Philippe Goulet Coulombe

Addressing COVID-19 Outliers in BVARs with Stochastic Volatility

Year: 2021
Journal: No Journal Matched
Authors: Massimiliano Marcellino; Todd Clark; Andrea Carriero; Elmar Mertens

Nowcasting Tail Risk to Economic Activity at a Weekly Frequency

Year: 2021
Journal: No Journal Matched
Authors: Massimiliano Marcellino; Todd Clark; Andrea Carriero

Measuring Uncertainty and Its Effects in the COVID-19 Era

Year: 2021
Journal: No Journal Matched
Authors: Massimiliano Marcellino; Andrea Carriero; Todd Clark; Elmar Mertens

Using Time-Varying Volatility for Identification in Vector Autoregressions: An Application to Endogenous Uncertainty

Year: 2021
Journal: No Journal Matched
Authors: Massimiliano Marcellino; Andrea Carriero; Todd Clark

Macroeconomic Forecasting in a Multicountry Context

Year: 2022
Journal: No Journal Matched
Authors: Yu Bai; Andrea Carriero; Todd Clark; Massimiliano Marcellino

Tail Forecasting with Multivariate Bayesian Additive Regression Trees

Year: 2022
Journal: No Journal Matched
Authors: Todd Clark; Florian Huber; Gary Koop; Massimiliano Marcellino; Michael Pfarrhofer

Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions

Year: 2022
Journal: No Journal Matched
Authors: Andrea Carriero; Todd Clark; Massimiliano Marcellino

Blended Identification in Structural VARs

Year: 2022
Journal: No Journal Matched
Authors: Andrea Carriero; Massimiliano Marcellino; Tommaso Tornese

Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty

Year: 2022
Journal: No Journal Matched
Authors: Niko Hauzenberger; Florian Huber; Massimiliano Marcellino; Nico Petz

Forecasting US Inflation Using Bayesian Nonparametric Models

Year: 2023
Journal: No Journal Matched
Authors: Todd Clark; Florian Huber; Gary Koop; Massimiliano Marcellino

Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model

Year: 2023
Journal: Journal of Business and Economic Statistics
Authors: Todd Clark; Florian Huber; Gary Koop; Massimiliano Marcellino; Michael Pfarrhofer

Time Varying Three Pass Regression Filter

Year: 2023
Journal: No Journal Matched
Authors: Yiannis Dendramis; George Kapetanios; Massimiliano Marcellino