Massimiliano Giuseppe Marcellino

Bocconi University - Department of Economics

Via Gobbi 5

Milan, 20136

Italy

Centre for Economic Policy Research (CEPR)

Fellow

London

United Kingdom

SCHOLARLY PAPERS

128

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683

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1,970

Scholarly Papers (128)

1.

Are There Any Reliable Leading Indicators for U.S. Inflation and GDP Growth?

IGIER Working Paper No. 236
Number of pages: 46 Posted: 13 Jun 2003
Massimiliano Giuseppe Marcellino, Anindya Banerjee and Igor Masten
Bocconi University - Department of Economics, European University Institute - Department of Economics and University of Ljubljana - Faculty of Economics
Downloads 594 (53,897)
Citation 14

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Leading indicator, factor model, model selection, GDP growth, inflation

2.

A Survey of Econometric Methods for Mixed-Frequency Data

Number of pages: 45 Posted: 23 May 2013
Claudia Foroni and Massimiliano Giuseppe Marcellino
Independent and Bocconi University - Department of Economics
Downloads 574 (56,265)
Citation 47

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mixed-frequency data, mixed-frequency VAR, MIDAS, nowcasting, forecasting

3.
Downloads 365 ( 97,157)
Citation 4

Leading Indicators: What Have We Learned?

IGIER Working Paper No. 286
Number of pages: 84 Posted: 05 Apr 2005
Massimiliano Giuseppe Marcellino
Bocconi University - Department of Economics
Downloads 341 (104,165)
Citation 5

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Business Cycles, Leading Indicators, Coincident Indicators, Turning Points, Forecasting

Leading Indicators: What Have We Learned?

CEPR Discussion Paper No. 4977
Number of pages: 86 Posted: 09 Aug 2005
Massimiliano Giuseppe Marcellino
Bocconi University - Department of Economics
Downloads 24 (600,038)
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Business cycles, leading indicators, coincident indicators, turning points, forecasting

4.

Big Data Econometrics: Now Casting and Early Estimates

BAFFI CAREFIN Centre Research Paper No. 2018-82
Number of pages: 53 Posted: 02 Jul 2018
Massimiliano Giuseppe Marcellino, Fotis Papailias, Gian Luigi Mazzi, George Kapetanios and Dario Buono
Bocconi University - Department of Economics, Quantf Research, Eurostat, King's College, London and Eurostat, European Commission
Downloads 325 (110,679)
Citation 1

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Big Data, Nowcasting, Early Estimates, Econometric Methods

5.

Testing for PPP: Should We Use Panel Methods?

IGIER Working Paper No. 186
Number of pages: 33 Posted: 06 Apr 2001
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Chiara Osbat
European University Institute - Department of Economics, Bocconi University - Department of Economics and European Central Bank (ECB)
Downloads 300 (120,652)
Citation 16

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PPP, unit root, panel, cointegration, cross-unit dependence

6.

A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions

U of London Queen Mary Economics Working Paper No. 489
Number of pages: 53 Posted: 12 May 2003
George Kapetanios and Massimiliano Giuseppe Marcellino
King's College, London and Bocconi University - Department of Economics
Downloads 285 (127,236)
Citation 21

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7.

TFP, Costs, and Public Infrastructure: An Equivocal Relationship

IGIER Working Paper No. 176
Number of pages: 36 Posted: 11 Mar 2001
Eliana La Ferrara and Massimiliano Giuseppe Marcellino
University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and Bocconi University - Department of Economics
Downloads 285 (127,236)
Citation 12

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infrastructures, TFP, growth, costs

Leading Indicators for Euro-Area Inflation and GDP Growth

IGIER Working Paper No. 235
Number of pages: 42 Posted: 26 May 2003
Massimiliano Giuseppe Marcellino, Anindya Banerjee and Igor Masten
Bocconi University - Department of Economics, European University Institute - Department of Economics and University of Ljubljana - Faculty of Economics
Downloads 241 (150,966)
Citation 5

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Leading indicator, factor model, model selection, GDP growth, inflation

Leading Indicators for Euro Area Inflation and GDP Growth

Number of pages: 44 Posted: 24 Jun 2003
Massimiliano Giuseppe Marcellino, Anindya Banerjee and Igor Masten
Bocconi University - Department of Economics, European University Institute - Department of Economics and University of Ljubljana - Faculty of Economics
Downloads 21 (621,572)
Citation 1
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Leading indicator, factor model, model selection, GDP growth, inflation

Leading Indicators for Euro-Area Inflation and GDP Growth

Oxford Bulletin of Economics & Statistics, Vol. 67, No. S1, pp. 785-813, December 2005
Number of pages: 29 Posted: 03 Feb 2006
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Igor Masten
European University Institute - Department of Economics, Bocconi University - Department of Economics and University of Ljubljana - Faculty of Economics
Downloads 15 (666,721)
Citation 7
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9.

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

ECB Working Paper No. 20202468
Number of pages: 50 Posted: 22 Sep 2020
Claudia Foroni, Massimiliano Giuseppe Marcellino and Dalibor Stevanović
European Central Bank (ECB), Bocconi University - Department of Economics and affiliation not provided to SSRN
Downloads 236 (153,918)
Citation 1

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Covid-19, forecasting, GDP, mixed-frequency

10.

Fiscal Solvency and Fiscal Forecasting in Europe

IGIER Working Paper No. 142
Number of pages: 40 Posted: 21 Jul 1998
Michael J. Artis and Massimiliano Giuseppe Marcellino
University of Manchester - Institute for Political & Economic Governance (IPEG) and Bocconi University - Department of Economics
Downloads 214 (168,980)
Citation 16

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

Deutsche Bundesbank Discussion Paper Economic Studies Series 1, No. 34/07
Number of pages: 60 Posted: 19 Feb 2008
Massimiliano Giuseppe Marcellino and Christian Schumacher
Bocconi University - Department of Economics and Deutsche Bundesbank
Downloads 144 (239,261)
Citation 14

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MIDAS, large factor models, nowcasting, mixed-frequency data, missing values

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

Bundesbank Series 1 Discussion Paper No. 2007,34
Number of pages: 60 Posted: 08 Jun 2016
Massimiliano Giuseppe Marcellino and Christian Schumacher
Bocconi University - Department of Economics and Deutsche Bundesbank
Downloads 66 (403,330)

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MIDAS, large factor models, nowcasting, mixed-frequency data, missing values

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

CEPR Discussion Paper No. DP6708
Number of pages: 43 Posted: 10 Jun 2008
Massimiliano Giuseppe Marcellino and Christian Schumacher
Bocconi University - Department of Economics and Deutsche Bundesbank
Downloads 2 (776,395)
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business cycle, large factor models, MIDAS, missing values, mixed-frequency data, nowcasting

12.

A Markov-Switching Vector Equilibrium Correction Model of the UK Labour Market

IGIER Working Paper No. 185
Number of pages: 20 Posted: 06 Apr 2001
Hans-Martin Krolzig, Massimiliano Giuseppe Marcellino and Grayham E. Mizon
Humboldt University of Berlin - Institute for Statistics and Econometrics, Bocconi University - Department of Economics and University of Southampton - Division of Economics
Downloads 211 (171,286)
Citation 1

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business cycles, employment, Impulse-Response Analysis, cointegration, regime shifts, Markov switching

13.
Downloads 201 (179,281)
Citation 48

Measuring Uncertainty and Its Impact on the Economy

BAFFI CAREFIN Centre Research Paper No. 2016-39
Number of pages: 62 Posted: 19 Oct 2016
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 118 (279,316)
Citation 3

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Bayesian VARs, stochastic volatility, large datasets

Measuring Uncertainty and Its Impact on the Economy

FRB of Cleveland Working Paper No. 16-22
Number of pages: 63 Posted: 19 Oct 2016
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 83 (353,591)
Citation 29

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Bayesian VARs, Stochastic Volatility, Large Datasets

U-Midas: Midas Regressions with Unrestricted Lag Polynomials

Bundesbank Series 1 Discussion Paper No. 2011,35
Number of pages: 56 Posted: 08 Jun 2016
Claudia Foroni, Massimiliano Giuseppe Marcellino and Christian Schumacher
Independent, Bocconi University - Department of Economics and Deutsche Bundesbank
Downloads 193 (185,847)

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mixed data sampling, distributed lag polynomals, time aggregation, now-casting

U-Midas: Midas Regressions with Unrestricted Lag Polynomials

CEPR Discussion Paper No. DP8828
Number of pages: 38 Posted: 01 Mar 2012
Claudia Foroni, Massimiliano Giuseppe Marcellino and Christian Schumacher
Independent, Bocconi University - Department of Economics and Deutsche Bundesbank
Downloads 4 (755,801)
Citation 2
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distributed lag polynomals, Mixed data sampling, nowcasting, time aggregation

15.
Downloads 193 (185,945)
Citation 33

Dating the Euro Area Business Cycle

IGIER Working Paper No. 237
Number of pages: 50 Posted: 13 Jun 2003
Massimiliano Giuseppe Marcellino, Michael J. Artis and Tommaso Proietti
Bocconi University - Department of Economics, University of Manchester - Institute for Political & Economic Governance (IPEG) and University of Rome II - Department of Economics and Finance
Downloads 175 (202,857)
Citation 13

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Business cycle, Euro area, cycle dating, cycle synchronization

Dating the Euro Area Business Cycle

Number of pages: 62 Posted: 31 Jan 2003
Michael J. Artis, Massimiliano Giuseppe Marcellino and Tommaso Proietti
University of Manchester - Institute for Political & Economic Governance (IPEG), Bocconi University - Department of Economics and University of Rome II - Department of Economics and Finance
Downloads 18 (643,727)
Citation 1
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Business cycle, euro area, cycle dating, cycle synchronization

16.

Public Capital and Economic Performance: Evidence from Italy

IGIER Working Paper No. 163
Number of pages: 30 Posted: 26 Jun 2000
Eliana La Ferrara, Massimiliano Giuseppe Marcellino and Federico Bonaglia
University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER), Bocconi University - Department of Economics and Organization for Economic Co-Operation and Development (OECD) - Development Centre (DEV)
Downloads 190 (188,654)
Citation 7

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17.

Stochastic Processes Subject to Time-Scale Transformations: An Application to High-Frequency Fx Data

UC Davis Working Paper No. 00-02
Number of pages: 43 Posted: 14 Jun 2000
Oscar Jorda and Massimiliano Giuseppe Marcellino
University of California, Davis - Department of Economics and Bocconi University - Department of Economics
Downloads 189 (189,506)
Citation 1

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18.

Modelling Shifts in the Wage-Price and Unemployment-Inflation Relationships in Italy, Poland, and the UK

Bocconi University, IGIER Working Paper No. 145
Number of pages: 27 Posted: 13 Mar 1999
Massimiliano Giuseppe Marcellino and Grayham E. Mizon
Bocconi University - Department of Economics and University of Southampton - Division of Economics
Downloads 188 (190,446)
Citation 1

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19.

Factor Analysis in a New-Keynesian Model

ECB Working Paper No. 510
Number of pages: 54 Posted: 25 Aug 2005
Andreas Beyer, Roger E. A. Farmer, Jerome Henry and Massimiliano Giuseppe Marcellino
European Central Bank (ECB), University of California, Los Angeles (UCLA) - Department of Economics, European Central Bank (ECB) and Bocconi University - Department of Economics
Downloads 178 (199,885)

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New-Keynesian Phillips curve, forward looking output equation, Taylor rule, rational expectations, factor analysis, determinacy of equilibrium.

20.

Some Cautions on the Use of Panel Methods for Integrated Series of Macro-Economic Data

IGIER Working Paper No. 170
Number of pages: 43 Posted: 01 Mar 2001
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Chiara Osbat
European University Institute - Department of Economics, Bocconi University - Department of Economics and European Central Bank (ECB)
Downloads 174 (203,806)
Citation 13

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

IGIER Working Paper No. 285
Number of pages: 31 Posted: 13 Apr 2005
Massimiliano Giuseppe Marcellino, James H. Stock and Mark W. Watson
Bocconi University - Department of Economics, Harvard University - Department of Economics and Princeton University - Princeton School of Public and International Affairs
Downloads 155 (225,196)
Citation 21

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Multistep forecasts, VAR forecasts, forecast comparisons

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

CEPR Discussion Paper No. 4976
Number of pages: 32 Posted: 01 Aug 2005
Massimiliano Giuseppe Marcellino, James H. Stock and Mark W. Watson
Bocconi University - Department of Economics, Harvard University - Department of Economics and Princeton University - Princeton School of Public and International Affairs
Downloads 15 (666,721)
Citation 21
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Multistep forecasts, VAR forecasts, forecast comparisons

22.

Model Selection for Non-Linear Dynamic Models

IGIER Working Paper No. 159
Number of pages: 24 Posted: 17 Feb 2000
Massimiliano Giuseppe Marcellino
Bocconi University - Department of Economics
Downloads 162 (216,568)
Citation 1

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Regional Inflation Dynamics within and Across Euro Area Countries and a Comparison with the Us

ECB Working Paper No. 681
Number of pages: 59 Posted: 26 Oct 2006
Kirstin Hubrich, Massimiliano Giuseppe Marcellino and Günter W. Beck
Board of Governors of the Federal Reserve System, Bocconi University - Department of Economics and University of Siegen
Downloads 150 (231,390)
Citation 2

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Regional inflation dynamics, euro area and US, common factor models

Regional Inflation Dynamics within and Across Euro Area Countries and a Comparison with the US

CFS Working Paper No. 2007/01
Posted: 07 Mar 2007
Günter W. Beck, Kirstin Hubrich and Massimiliano Giuseppe Marcellino
University of Siegen, Board of Governors of the Federal Reserve System and Bocconi University - Department of Economics

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Regional Inflation Dynamics, Euro Area and US, Common Factor Model

24.

Characterising the Business Cycle for Accession Countries

IGIER Working Paper No. 261
Number of pages: 46 Posted: 18 May 2004
Michael J. Artis, Massimiliano Giuseppe Marcellino and Tommaso Proietti
University of Manchester - Institute for Political & Economic Governance (IPEG), Bocconi University - Department of Economics and University of Rome II - Department of Economics and Finance
Downloads 149 (232,163)
Citation 29

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Business cycles, dating algorithms, cycle synchronization, EU enlargement, seasonal adjustment

25.

Forecasting Macroeconomic Variables for the New Member States of the European Union

Number of pages: 48 Posted: 01 Jun 2005
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Igor Masten
European University Institute - Department of Economics, Bocconi University - Department of Economics and University of Ljubljana - Faculty of Economics
Downloads 136 (249,964)

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Factor models, forecasts, time series models, new Member States

Modelling and Forecasting Fiscal Variables for the Euro Area

IGIER Working Paper No. 298
Number of pages: 33 Posted: 09 Oct 2005
Carlo A. Favero and Massimiliano Giuseppe Marcellino
Bocconi University - Department of Finance and Bocconi University - Department of Economics
Downloads 87 (343,490)
Citation 4

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Fiscal forecasting, forecast comparison, fiscal rules, euro area

Modelling and Forecasting Fiscal Variables for the Euro Area

Oxford Bulletin of Economics & Statistics, Vol. 67, No. S1, pp. 755-783, December 2005
Number of pages: 29 Posted: 03 Feb 2006
Carlo A. Favero and Massimiliano Giuseppe Marcellino
Bocconi University - Department of Finance and Bocconi University - Department of Economics
Downloads 25 (593,106)
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Modelling and Forecasting Fiscal Variables for the Euro Area

CEPR Discussion Paper No. 5294
Number of pages: 35 Posted: 29 Dec 2005
Carlo A. Favero and Massimiliano Giuseppe Marcellino
Bocconi University - Department of Finance and Bocconi University - Department of Economics
Downloads 16 (658,936)
Citation 3
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Fiscal forecasting, forecast comparison, fiscal rules, euro area

Bayesian VARs: Specification Choices and Forecast Accuracy

FRB of Cleveland Working Paper No. 1112
Number of pages: 52 Posted: 17 May 2011
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 123 (270,857)
Citation 4

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Bayesian VARs, forecasting, prior specification, lag length, marginal likelihood

Bayesian VARs: Specification Choices and Forecast Accuracy

CEPR Discussion Paper No. DP8273
Number of pages: 52 Posted: 14 Mar 2011
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 3 (764,987)
Citation 14
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Bayesian VARs, forecasting, marginal likelihood, prior specification

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

Bundesbank Series 1 Discussion Paper No. 2011,04
Number of pages: 68 Posted: 08 Jun 2016
Sandra Eickmeier, Wolfgang Lemke and Massimiliano Giuseppe Marcellino
Deutsche Bundesbank, European Central Bank and Bocconi University - Department of Economics
Downloads 118 (279,316)

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FAVAR, time-varying parameters, monetary transmission, forecasting

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

CEPR Discussion Paper No. DP8321
Number of pages: 53 Posted: 18 Apr 2011
Sandra Eickmeier, Wolfgang Lemke and Massimiliano Giuseppe Marcellino
Deutsche Bundesbank, European Central Bank and Bocconi University - Department of Economics
Downloads 5 (747,236)
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FAVAR, forecasting, monetary transmission, time-varying parameters

Short-Term GDP Forecasting with a Mixed Frequency Dynamic Factor Model with Stochastic Volatility

Bank of Italy Temi di Discussione (Working Paper) No. 896
Number of pages: 61 Posted: 21 Feb 2013
Massimiliano Giuseppe Marcellino, Mario Porqueddu and Fabrizio Venditti
Bocconi University - Department of Economics, Bank of Italy and Bank of Italy
Downloads 116 (282,807)
Citation 33

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forecasting, business cycle, mixed-frequency data, nonlinear models, nowcasting

Short-Term GDP Forecasting with a Mixed Frequency Dynamic Factor Model with Stochastic Volatility

CEPR Discussion Paper No. DP9334
Number of pages: 57 Posted: 12 Feb 2013
Massimiliano Giuseppe Marcellino, Mario Porqueddu and Fabrizio Venditti
Bocconi University - Department of Economics, Bank of Italy and Bank of Italy
Downloads 3 (764,987)
Citation 33
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Business cycle, Forecasting, Mixed-frequency data, Nonlinear models, Nowcasting

A Similarity-Based Approach for Macroeconomic Forecasting

Number of pages: 36 Posted: 17 Feb 2019
Yiannis Dendramis, George Kapetanios and Massimiliano Giuseppe Marcellino
University of Cyprus - Department of Accounting and Finance, King's College, London and Bocconi University - Department of Economics
Downloads 116 (282,807)
Citation 1

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Macroeconomic Forecasting, Forecast Comparison, Empirical Similarity, Parameter Time Variation, Kernel Estimation

A Similarity-Based Approach for Macroeconomic Forecasting

CEPR Discussion Paper No. DP14469
Number of pages: 33 Posted: 25 Mar 2020
Yiannis Dendramis, George Kapetanios and Massimiliano Giuseppe Marcellino
University of Cyprus - Department of Accounting and Finance, King's College, London and Bocconi University - Department of Economics
Downloads 0
Citation 3
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empirical similarity, Forecast comparison, Kernel estimation, Macroeconomic forecasting, parameter time variation

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

IGIER Working Paper No. 306
Number of pages: 38 Posted: 31 Mar 2006
George Kapetanios and Massimiliano Giuseppe Marcellino
King's College, London and Bocconi University - Department of Economics
Downloads 102 (309,693)

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Factor models, Principal components, Subspace algorithms, Structural

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

CEPR Discussion Paper No. 5621
Number of pages: 39 Posted: 05 Jul 2006
George Kapetanios and Massimiliano Giuseppe Marcellino
King's College, London and Bocconi University - Department of Economics
Downloads 14 (674,618)
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Factor models, principal components, subspace algorithms, structural identification, structural VAR

Interpolation and Backdating with a Large Information Set

Number of pages: 41 Posted: 22 Jan 2004
Elena Angelini, Jerome Henry and Massimiliano Giuseppe Marcellino
European Central Bank (ECB), European Central Bank (ECB) and Bocconi University - Department of Economics
Downloads 99 (315,879)

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Interpolation, factor model, Kalman filter, spline

Interpolation and Backdating with a Large Information Set

Number of pages: 36 Posted: 30 Sep 2004
Elena Angelini, Jerome Henry and Massimiliano Giuseppe Marcellino
European Central Bank (ECB), European Central Bank (ECB) and Bocconi University - Department of Economics
Downloads 17 (651,318)
Citation 5
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Interpolation, factor model, Kalman filter, spline

33.

Endogenous Uncertainty

FRB of Cleveland Working Paper No. 18-05
Number of pages: 57 Posted: 30 Mar 2018
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Queen Mary, University of London, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 108 (295,938)
Citation 1

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Uncertainty, Endogeneity, Identification, Stochastic Volatility, Bayesian Methods

34.

Nowcasting Tail Risks to Economic Activity with Many Indicators

FRB of Cleveland Working Paper No. 20-13R2
Number of pages: 63 Posted: 14 May 2020 Last Revised: 22 Sep 2020
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 106 (299,773)
Citation 1

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forecasting, downside risk, pandemics, big data, mixed frequency, quantile regression

35.

Using Low Frequency Information for Predicting High Frequency Variables

Norges Bank Working Paper 13/2015
Number of pages: 41 Posted: 27 Nov 2015
Claudia Foroni, Pierre Guerin and Massimiliano Giuseppe Marcellino
Norges Bank, Government of Canada - Bank of Canada and Bocconi University - Department of Economics
Downloads 106 (299,773)
Citation 8

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Mixed-Frequency VAR models, temporal aggregation, MIDAS models

A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions

IGIER Working Paper No. 305
Number of pages: 34 Posted: 31 Mar 2006
George Kapetanios and Massimiliano Giuseppe Marcellino
King's College, London and Bocconi University - Department of Economics
Downloads 83 (353,591)
Citation 10

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Factor models, Principal components, Subspace algorithms

A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions

CEPR Discussion Paper No. 5620
Number of pages: 35 Posted: 05 Jul 2006
George Kapetanios and Massimiliano Giuseppe Marcellino
King's College, London and Bocconi University - Department of Economics
Downloads 21 (621,572)
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factor models, principal components, subspace algorithms

A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions

Journal of Time Series Analysis, Vol. 30, Issue 2, pp. 208-238, March 2009
Number of pages: 31 Posted: 27 Apr 2009
George Kapetanios and Massimiliano Giuseppe Marcellino
King's College, London and Bocconi University - Department of Economics
Downloads 1 (790,433)
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The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR

Bundesbank Series 1 Discussion Paper No. 2011,05
Number of pages: 64 Posted: 08 Jun 2016
Sandra Eickmeier, Wolfgang Lemke and Massimiliano Giuseppe Marcellino
Deutsche Bundesbank, European Central Bank and Bocconi University - Department of Economics
Downloads 98 (317,963)

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international business cycles, international transmission channels, financial markets, globalization, financial conditions index, global financial crisis, timevarying FAVAR

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

CEPR Discussion Paper No. DP8341
Number of pages: 48 Posted: 20 Apr 2011
Sandra Eickmeier, Wolfgang Lemke and Massimiliano Giuseppe Marcellino
Deutsche Bundesbank, European Central Bank and Bocconi University - Department of Economics
Downloads 4 (755,801)
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financial conditions index, financial markets, global financial crisis, globalization, International business cycles, international transmission channels, time-varying FAVAR

38.

Forecasting Macroeconomic Variables for the Acceding Countries

IGIER Working Paper No. 260
Number of pages: 46 Posted: 15 May 2004
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Igor Masten
European University Institute - Department of Economics, Bocconi University - Department of Economics and University of Ljubljana - Faculty of Economics
Downloads 98 (315,757)
Citation 5

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Factor models, Forecasts, Time Series Models, Acceding Countries

Macroeconomic Forecasting During the Great Recession: The Return of Non-Linearity?

Document de Travail No. 383
Number of pages: 36 Posted: 01 Jun 2012
Laurent Ferrara, Massimiliano Giuseppe Marcellino and Matteo Mogliani
SKEMA Business School, Bocconi University - Department of Economics and Banque de France
Downloads 91 (333,767)

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Forecasting, Non-linear models, Great Recession

Macroeconomic Forecasting During the Great Recession: The Return of Non-Linearity?

CEPR Discussion Paper No. DP9313
Number of pages: 45 Posted: 01 Feb 2013
Laurent Ferrara, Massimiliano Giuseppe Marcellino and Matteo Mogliani
SKEMA Business School, Bocconi University - Department of Economics and Banque de France
Downloads 5 (747,236)
Citation 4
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Great Recession, Macroeconomic forecasting, Non-linear models

Time Scale Transformations of Discrete Time Processes

U of California Davis Working Paper
Number of pages: 29 Posted: 26 Feb 2003
Oscar Jorda and Massimiliano Giuseppe Marcellino
University of California, Davis - Department of Economics and Bocconi University - Department of Economics
Downloads 78 (367,075)

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time aggregation, time-scale transformation, irregularly spaced data, autoregressive conditional intensity model

Time-Scale Transformations of Discrete Time Processes

Number of pages: 22 Posted: 18 Oct 2004
Oscar Jorda and Massimiliano Giuseppe Marcellino
University of California, Davis - Department of Economics and Bocconi University - Department of Economics
Downloads 13 (682,640)
Citation 1
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41.

Large Vector Autoregressions with Stochastic Volatility and Flexible Priors

FRB of Cleveland Working Paper No. 16-17
Number of pages: 55 Posted: 18 Sep 2016
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
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Citation 5

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42.

Real Time Estimates of the Euro Area Output Gap: Reliability and Forecasting Performance

ECB Working Paper No. 1157
Number of pages: 79 Posted: 10 Mar 2010
Massimiliano Giuseppe Marcellino and Alberto Musso
Bocconi University - Department of Economics and European Central Bank (ECB)
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Output gap, real-time data, euro area, inflation forecasts, real GDP forecasts, data revisions

43.

Midas Versus Mixed-Frequency VAR: Nowcasting GDP in the Euro Area

Bundesbank Series 1 Discussion Paper No. 2009,07
Number of pages: 36 Posted: 08 Jun 2016
Vladimir Kuzin, Massimiliano Giuseppe Marcellino and Christian Schumacher
German Institute for Economic Research (DIW Berlin), Bocconi University - Department of Economics and Deutsche Bundesbank
Downloads 85 (345,458)

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nowcasting, mixed-frequency data, mixed-frequency VAR, MIDAS

44.

Ex Post and Ex Ante Analysis of Provisional Data

IGIER Working Paper No. 141
Number of pages: 22 Posted: 02 Dec 1998
Massimiliano Giuseppe Marcellino and Giampiero M. Gallo
Bocconi University - Department of Economics and Corte dei Conti - Italian Court of Audits
Downloads 85 (345,458)
Citation 1

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45.

Linear Aggregation with Common Trends and Cycles

IGIER Working Paper No. 160
Number of pages: 18 Posted: 30 Mar 2000
Massimiliano Giuseppe Marcellino
Bocconi University - Department of Economics
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46.
Downloads 78 (363,328)
Citation 2

Pooling-Based Data Interpolation and Backdating

IGIER Working Paper No. 299
Number of pages: 38 Posted: 09 Oct 2005
Massimiliano Giuseppe Marcellino
Bocconi University - Department of Economics
Downloads 57 (434,905)
Citation 2

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Pooling, Interpolation, Factor Model, Kalman Filter, Spline

Pooling-Based Data Interpolation and Backdating

CEPR Discussion Paper No. 5295
Number of pages: 39 Posted: 29 Dec 2005
Massimiliano Giuseppe Marcellino
Bocconi University - Department of Economics
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Pooling, interpolation, factor Model, Kalman Filter, spline

Pooling-Based Data Interpolation and Backdating

Journal of Time Series Analysis, Vol. 28, No. 1, pp. 53-71, January 2007
Number of pages: 19 Posted: 18 Dec 2006
Massimiliano Giuseppe Marcellino
Bocconi University - Department of Economics
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47.

Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions

FRB of Cleveland Working Paper No. 20-02R
Number of pages: 79 Posted: 17 Jan 2020 Last Revised: 22 Sep 2020
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Queen Mary, University of London, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 76 (371,541)
Citation 1

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forecasting, downside risk, asymmetries

48.

Assessing International Commonality in Macroeconomic Uncertainty and Its Effects

FRB of Cleveland Working Paper No. 18-03R
Number of pages: 40 Posted: 26 Mar 2018 Last Revised: 10 Oct 2019
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 72 (380,118)
Citation 4

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Business cycle uncertainty, stochastic volatility, large datasets

49.

Econometric Analyses with Backdated Data: Unified Germany and the Euro Area

ECB Working Paper No. 752
Number of pages: 67 Posted: 31 May 2007
Elena Angelini and Massimiliano Giuseppe Marcellino
European Central Bank (ECB) and Bocconi University - Department of Economics
Downloads 71 (383,017)

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Backdating, Factor Model, Unified Germany, Euro Area

Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility

FRB of Cleveland Working Paper No. 12-27
Number of pages: 58 Posted: 15 Nov 2012
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 66 (403,330)
Citation 4

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Prediction, forecasting, Bayesian methods, mixed frequency models

Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility

CEPR Discussion Paper No. DP9312
Number of pages: 59 Posted: 01 Feb 2013
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
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Citation 7
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Bayesian methods, forecasting, mixed frequency models, Prediction

Large Time-Varying Parameter Vars: A Non-Parametric Approach

Bank of Italy Temi di Discussione (Working Paper) No. 1122
Number of pages: 63 Posted: 28 Aug 2017
George Kapetanios, Massimiliano Giuseppe Marcellino and Fabrizio Venditti
King's College, London, Bocconi University - Department of Economics and Bank of Italy
Downloads 68 (396,860)
Citation 21

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large VARs, time-varying parameters, non-parametric estimation, forecasting

Large Time-Varying Parameter VARs: A Non-Parametric Approach

CEPR Discussion Paper No. DP11560
Number of pages: 57 Posted: 10 Oct 2016
George Kapetanios, Massimiliano Giuseppe Marcellino and Fabrizio Venditti
King's College, London, Bocconi University - Department of Economics and Bank of Italy
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Citation 4
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52.

Forecasting Economic Activity with Higher Frequency Targeted Predictors

Bank of Italy Temi di Discussione (Working Paper) No. 847
Number of pages: 49 Posted: 29 Feb 2012
Guido Bulligan, Massimiliano Giuseppe Marcellino and Fabrizio Venditti
Bank of Italy, Bocconi University - Department of Economics and Bank of Italy
Downloads 68 (392,003)
Citation 53

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short-term GDP forecast, factor models, bridge models, General To Specific

53.

Macroeconomic Activity and Risk Indicators: An Unstable Relationship

BAFFI CAREFIN Centre Research Paper No. 2017-56
Number of pages: 29 Posted: 06 Jul 2017 Last Revised: 21 Dec 2017
Angela Abbate and Massimiliano Giuseppe Marcellino
Deutsche Bundesbank and Bocconi University - Department of Economics
Downloads 67 (395,145)
Citation 1

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forecasting, credit spreads, SVAR, time-varying parameters

54.

On the Importance of Sectoral and Regional Shocks for Price-Setting

ECB Working Paper No. 1334
Number of pages: 56 Posted: 17 May 2011
Günter W. Beck, Kirstin Hubrich and Massimiliano Giuseppe Marcellino
University of Siegen, Board of Governors of the Federal Reserve System and Bocconi University - Department of Economics
Downloads 65 (401,443)

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Disaggregated prices, euro area regional and sectoral inflation, common factor models

55.

Variable Reduction and Variable Selection Methods Using Small, Medium and Large Datasets: A Forecast Comparison for the PEEIs

quantf research Working Paper Series: WP08/2014
Number of pages: 36 Posted: 02 Jun 2014
George Kapetanios, Massimiliano Giuseppe Marcellino and Fotis Papailias
King's College, London, Bocconi University - Department of Economics and Quantf Research
Downloads 64 (404,617)
Citation 3

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Bayesian Shrinkage Regression, Cross-Sectional Dependence, Cross-Sectional Averages, Euro Area, Forecasting, Genetic Algorithms, Heuristic Optimisation, MC^3, PEEIs, Sequential Testing, Simulated Annealing, Partial Least Squares, Principal Components

56.
Downloads 61 (414,484)
Citation 16

Have Standard VARs Remained Stable Since the Crisis?

FRB of Cleveland Working Paper No. 14-11
Number of pages: 57 Posted: 12 Sep 2014
Knut Are Aastveit, Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Norges Bank, Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 36 (526,952)
Citation 1

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Bayesian VAR, Forecasting, Time-varying parameters, Stochastic volatility

Have Standard VARs Remained Stable Since the Crisis?

Norges Bank Working Paper 13 | 2014
Number of pages: 57 Posted: 04 May 2015
Knut Are Aastveit, Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Norges Bank, Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
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Citation 1

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Bayesian VAR, Forecasting, Time-varying parameters, Stochastic volatility

Have Standard VARs Remained Stable Since the Crisis?

CEPR Discussion Paper No. DP11558
Number of pages: 70 Posted: 10 Oct 2016
Knut Are Aastveit, Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Norges Bank, Queen Mary, University of London, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
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Citation 7
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57.

Variable Selection for Large Unbalanced Datasets Using Non-Standard Optimisation of Information Criteria and Variable Reduction Methods

quantf research Working Paper Series: WP04/2014
Number of pages: 21 Posted: 02 Jun 2014
George Kapetanios, Massimiliano Giuseppe Marcellino and Fotis Papailias
King's College, London, Bocconi University - Department of Economics and Quantf Research
Downloads 61 (414,484)
Citation 2

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Heuristic optimisation, Information criteria, Unbalanced datasets, Model Reduction, Forecasting, PEEI

58.

Markov-Switching Three-Pass Regression Filter

Banco de Espana Working Paper No. 1748
Number of pages: 59 Posted: 29 Dec 2017
Pierre Guerin, Danilo Leiva-Leon and Massimiliano Giuseppe Marcellino
Government of Canada - Bank of Canada, Banco de España and Bocconi University - Department of Economics
Downloads 58 (424,872)

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Factor Model, Markov-Switching, Forecasting

59.

Mixed Frequency Structural VARs

Norges Bank Working Paper 2014/01
Number of pages: 27 Posted: 23 Jan 2014
Claudia Foroni and Massimiliano Giuseppe Marcellino
Independent and Bocconi University - Department of Economics
Downloads 58 (424,872)
Citation 3

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Structural VAR, temporal aggregation, mixed frequency data, identification, estimation, impulse response function

60.
Downloads 58 (424,872)
Citation 13

Path Forecast Evaluation

Number of pages: 45 Posted: 18 Jul 2008 Last Revised: 05 Feb 2014
Oscar Jorda and Massimiliano Giuseppe Marcellino
University of California, Davis - Department of Economics and Bocconi University - Department of Economics
Downloads 56 (438,596)
Citation 3

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path forecast, simultaneous confidence region, error bands

Path Forecast Evaluation

CEPR Discussion Paper No. DP7009
Number of pages: 48 Posted: 18 Dec 2008
Oscar Jorda and Massimiliano Giuseppe Marcellino
University of California, Davis - Department of Economics and Bocconi University - Department of Economics
Downloads 2 (776,395)
Citation 1
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error bands, path forecast, simultaneous confidence region

61.

EuroMInd-C: A Disaggregate Monthly Indicator of Economic Activity for the Euro Area and Member Countries

CEIS Working Paper No. 287
Number of pages: 40 Posted: 03 Oct 2013
Cecilia Frale, Stefano Grassi, Massimiliano Giuseppe Marcellino, Gian Luigi Mazzi and Tommaso Proietti
Government of the Italian Republic (Italy) - Department of the Treasury, Aarhus University - CREATES, Bocconi University - Department of Economics, Eurostat and University of Rome II - Department of Economics and Finance
Downloads 55 (435,556)
Citation 12

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Index of coincident indicators, Temporal Disaggregation, Multivariate State Space Models, Dynamic factor Models, Quarterly National accounts

62.

The Solvency of Government Finances in Europe

Fiscal Sustainability Conference, p. 210, 2000
Number of pages: 34 Posted: 17 Jul 2012
Michael Artis and Massimiliano Giuseppe Marcellino
University of Manchester and Bocconi University - Department of Economics
Downloads 55 (435,556)
Citation 3

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63.

Mixed Frequency Structural Models: Identification, Estimation, and Policy Analysis

Norges Bank Working Paper 15
Number of pages: 46 Posted: 12 Nov 2013
Claudia Foroni and Massimiliano Giuseppe Marcellino
Independent and Bocconi University - Department of Economics
Downloads 47 (466,154)
Citation 3

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Structural VAR, DSGE models, temporal aggregation, mixed frequency data, identification, estimation, policy analysis

Point, Interval and Density Forecasts of Exchange Rates with Time-Varying Parameter Models

Bundesbank Discussion Paper No. 19/2016
Number of pages: 34 Posted: 29 Jun 2016
Angela Abbate and Massimiliano Giuseppe Marcellino
Deutsche Bundesbank and Bocconi University - Department of Economics
Downloads 43 (492,793)

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exchange rates, forecasting, density forecasts, BVAR, time-varying parameters

Point, Interval and Density Forecasts of Exchange Rates with Time-Varying Parameter Models

CEPR Discussion Paper No. DP11559
Number of pages: 34 Posted: 10 Oct 2016
Angela Abbate and Massimiliano Giuseppe Marcellino
Deutsche Bundesbank and Bocconi University - Department of Economics
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Citation 2
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65.
Downloads 42 (487,559)
Citation 22

The Global Component of Inflation Volatility

Bank of Italy Temi di Discussione (Working Paper) No. 1170
Number of pages: 72 Posted: 14 May 2018
Andrea Carriero, Francesco Corsello and Massimiliano Giuseppe Marcellino
Queen Mary, University of London, Bank of Italy and Bocconi University - Department of Economics
Downloads 42 (497,506)
Citation 22

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inflation, volatility, global factors, large datasets, multivariate autoregressive index models, reduced rank regressions, forecasting

The Global Component of Inflation Volatility

CEPR Discussion Paper No. DP13470
Number of pages: 71 Posted: 28 Jan 2019
Andrea Carriero, Francesco Corsello and Massimiliano Giuseppe Marcellino
Queen Mary, University of London, Bank of Italy and Bocconi University - Department of Economics
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Forecasting, Global factors, inflation, large datasets, Multivariate Autoregressive Index models, Reduced Rank Regressions, volatility

66.

Survey Data as Coincident or Leading Indicators

Government of the Italian Republic (Italy), Ministry of Economy and Finance, Department of the Treasury Working Paper No. 3
Number of pages: 33 Posted: 01 Jul 2009
Cecilia Frale, Massimiliano Giuseppe Marcellino, Gian Luigi Mazzi and Tommaso Proietti
Government of the Italian Republic (Italy) - Department of the Treasury, Bocconi University - Department of Economics, Eurostat and University of Rome II - Department of Economics and Finance
Downloads 42 (487,559)
Citation 2

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Survey data, Forecasting, Temporal Disaggregation, Dynamic factor modes, Kalman Filter and smoother

67.

The Economic Drivers of Volatility and Uncertainty

Bank of Italy Temi di Discussione (Working Paper) No. 1285
Number of pages: 73 Posted: 25 Aug 2020
Andrea Carriero, Francesco Corsello and Massimiliano Giuseppe Marcellino
Queen Mary, University of London, Bank of Italy and Bocconi University - Department of Economics
Downloads 41 (492,025)
Citation 13

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multivariate autoregressive index models, stochastic volatility, reduced rank regressions, Bayesian VARs, factor models, structural analysis

68.

Factor Based Index Tracking

Number of pages: 42 Posted: 12 Apr 2002
Francesco Corielli and Massimiliano Giuseppe Marcellino
Bocconi University - Department of Finance and Bocconi University - Department of Economics
Downloads 41 (492,025)
Citation 4
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Index tracing, replica, stock index, factor models

Addressing COVID-19 Outliers in BVARs with Stochastic Volatility

FRB of Cleveland Working Paper No. 21-02
Number of pages: 129 Posted: 03 Feb 2021
Todd E. Clark, Andrea Carriero, Massimiliano Giuseppe Marcellino and Elmar Mertens
Federal Reserve Bank of Cleveland, Queen Mary, University of London, Bocconi University - Department of Economics and Deutsche Bundesbank
Downloads 38 (516,833)

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Bayesian VARs, stochastic volatility, outliers, pandemics, forecasts

Addressing COVID-19 Outliers in BVARs with Stochastic Volatility

CEPR Discussion Paper No. DP15964
Number of pages: 130 Posted: 31 Mar 2021
Andrea Carriero, Todd E. Clark, Massimiliano Giuseppe Marcellino and Elmar Mertens
Queen Mary, University of London, Federal Reserve Bank of Cleveland, Bocconi University - Department of Economics and Deutsche Bundesbank
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70.

Selecting Predictors by Using Bayesian Model Averaging in Bridge Models

Bank of Italy Temi di Discussione (Working Paper) No. 872
Number of pages: 40 Posted: 02 Oct 2012
Lorenzo Bencivelli, Massimiliano Giuseppe Marcellino and Gianluca Moretti
Bank of Italy, Bocconi University - Department of Economics and UBS Global Asset Management
Downloads 38 (505,648)
Citation 26

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business cycle analysis, forecasting, Bayesian model averaging, bridge models

Can Machine Learning Catch the Covid-19 Recession?

CEPR Discussion Paper No. DP15867
Number of pages: 42 Posted: 15 Mar 2021
Philippe Goulet Coulombe, Massimiliano Giuseppe Marcellino and Dalibor Stevanovic
University of Pennsylvania - Department of Economics, Bocconi University - Department of Economics and affiliation not provided to SSRN
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Measuring Uncertainty and Its Effects in the COVID-19 Era

FRB of Cleveland Working Paper No. 20-32
Number of pages: 35 Posted: 26 Oct 2020
Andrea Carriero, Todd E. Clark, Massimiliano Giuseppe Marcellino and Elmar Mertens
Queen Mary, University of London, Federal Reserve Bank of Cleveland, Bocconi University - Department of Economics and Deutsche Bundesbank
Downloads 33 (543,359)

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Bayesian VARs, stochastic volatility, pandemics

Measuring Uncertainty and its Effects in the COVID-19 Era

CEPR Discussion Paper No. DP15965
Number of pages: 40 Posted: 31 Mar 2021
Andrea Carriero, Todd E. Clark, Massimiliano Giuseppe Marcellino and Elmar Mertens
Queen Mary, University of London, Federal Reserve Bank of Cleveland, Bocconi University - Department of Economics and Deutsche Bundesbank
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73.

Mixed Frequency Models with Ma Components

Deutsche Bundesbank Discussion Paper No. 02/2018
Number of pages: 41 Posted: 22 Feb 2018
Claudia Foroni, Massimiliano Giuseppe Marcellino and Dalibor Stevanovi
Deutsche Bundesbank, Bocconi University - Department of Economics and University of Quebec at Montreal (UQAM) - Faculty of Management (ESG)
Downloads 31 (540,695)

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temporal aggregation, MIDAS models, ARMA models

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

Bundesbank Series 1 Discussion Paper No. 2009,03
Number of pages: 56 Posted: 08 Jun 2016
Vladimir Kuzin, Massimiliano Giuseppe Marcellino and Christian Schumacher
German Institute for Economic Research (DIW Berlin), Bocconi University - Department of Economics and Deutsche Bundesbank
Downloads 27 (579,387)

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casting, forecast combination, forecast pooling, model selection, mixed - frequency data, factor models, MIDAS

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

CEPR Discussion Paper No. DP7197
Number of pages: 41 Posted: 11 Mar 2009
Vladimir Kuzin, Massimiliano Giuseppe Marcellino and Christian Schumacher
German Institute for Economic Research (DIW Berlin), Bocconi University - Department of Economics and Deutsche Bundesbank
Downloads 4 (755,801)
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factor models, forecast combination, forecast pooling, MIDAS, mixed-frequency data, model selection, nowcasting

75.

Forecasting EU Economic Activity Using Summary Indicators

quantf research Working Paper Series: WP07/2014
Number of pages: 51 Posted: 02 Jun 2014
George Kapetanios, Massimiliano Giuseppe Marcellino and Fotis Papailias
King's College, London, Bocconi University - Department of Economics and Quantf Research
Downloads 30 (546,106)

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Bayesian Shrinkage Regression, EU, Forecasting, Partial Least Squares, Summary Indicators

76.

Forecasting EU Economic Activity Using Financial Condition Indexes

quantf research Working Paper Series: WP06/2014
Number of pages: 13 Posted: 02 Jun 2014
George Kapetanios, Massimiliano Giuseppe Marcellino and Fotis Papailias
King's College, London, Bocconi University - Department of Economics and Quantf Research
Downloads 26 (569,519)

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Financial Conditions, Forecasting

77.

Factor Analysis in a Model with Rational Expectations

NBER Working Paper No. w13404
Number of pages: 30 Posted: 14 Sep 2007 Last Revised: 15 Feb 2021
Andreas Beyer, Roger E. A. Farmer, Jerome Henry and Massimiliano Giuseppe Marcellino
European Central Bank (ECB), University of California, Los Angeles (UCLA) - Department of Economics, European Central Bank (ECB) and Bocconi University - Department of Economics
Downloads 26 (569,519)

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Empirical Simultaneous Confidence Regions for Path-Forecasts

Number of pages: 60 Posted: 17 Oct 2015
Òscar Jordà, Malte Knüppel and Massimiliano Giuseppe Marcellino
Federal Reserve Banks - Federal Reserve Bank of San Francisco, Deutsche Bundesbank - Research Centre and Bocconi University - Department of Economics
Downloads 16 (658,936)
Citation 4

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path forecast, forecast uncertainty, simultaneous confidence region, Scheffé’s S-method, Mahalanobis distance, false discovery rate

Empirical Simultaneous Confidence Regions for Path-Forecasts

Bundesbank Series 1 Discussion Paper No. 2010,06
Number of pages: 60 Posted: 08 Jun 2016
Òscar Jordà, Malte Knüppel and Massimiliano Giuseppe Marcellino
Federal Reserve Banks - Federal Reserve Bank of San Francisco, Deutsche Bundesbank - Research Centre and Bocconi University - Department of Economics
Downloads 9 (714,680)

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Path forecast, forecast uncertainty, simultaneous confidence region, Scheffé's S-method, Mahalanobis distance, false discovery rate

79.
Downloads 25 (575,883)
Citation 35

Common Drifting Volatility in Large Bayesian VARs

FRB of Cleveland Working Paper No. 12-06
Number of pages: 70 Posted: 18 Mar 2012
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 24 (600,038)

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Bayesian VARs, stochastic volatility, forecasting, prior specification

Common Drifting Volatility in Large Bayesian Vars

CEPR Discussion Paper No. DP8894
Number of pages: 71 Posted: 04 Apr 2012
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
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Citation 17
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Bayesian VARs, forecasting, prior specification, stochastic volatility

80.

Mixed frequency models with MA components

ECB Working Paper No. 2206
Number of pages: 52 Posted: 04 Dec 2018
Claudia Foroni, Massimiliano Giuseppe Marcellino and Dalibor Stevanovi
European Central Bank (ECB), Bocconi University - Department of Economics and University of Quebec at Montreal (UQAM) - Faculty of Management (ESG)
Downloads 24 (582,221)
Citation 3

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temporal aggregation, MIDAS models, ARMA models

81.

Some Stylized Facts on Non-Systematic Fiscal Policy in the Euro Area

Number of pages: 35 Posted: 13 Dec 2002
Massimiliano Giuseppe Marcellino
Bocconi University - Department of Economics
Downloads 21 (601,891)
Citation 17
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Fiscal policy, policy coordination, stabilization policy, monetary policy

82.

Large Datasets, Small Models and Monetary Policy in Europe

Number of pages: 31 Posted: 08 Jan 2002
Carlo A. Favero and Massimiliano Giuseppe Marcellino
Bocconi University - Department of Finance and Bocconi University - Department of Economics
Downloads 20 (608,549)
Citation 1
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Monetary policy, small models, dynamic factors

83.

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

FRB of Cleveland Working Paper No. 20-27
Number of pages: 40 Posted: 22 Sep 2020
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Queen Mary, University of London, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 19 (615,242)

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term structure, volatility, density forecasting, no arbitrage

84.

Business Cycles Dating for EU Economies: An Empirical Search for the Optimal Settings

quantf research Working Paper Series: WP05/2014
Number of pages: 34 Posted: 02 Jun 2014
George Kapetanios, Massimiliano Giuseppe Marcellino and Fotis Papailias
King's College, London, Bocconi University - Department of Economics and Quantf Research
Downloads 19 (615,242)

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Business Cycles, Recession

85.

Time Variation in Macro-Financial Linkages

Bundesbank Discussion Paper No. 13/2013
Number of pages: 54 Posted: 21 Jun 2016
Esteban Prieto, Sandra Eickmeier and Massimiliano Giuseppe Marcellino
affiliation not provided to SSRN, Deutsche Bundesbank and Bocconi University - Department of Economics
Downloads 16 (635,770)
Citation 7

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financial shocks, time-varying parameter VAR model, Global Financial Crisis, macro-financial linkages

86.

The Transmission Mechanism in a Changing World

Number of pages: 41 Posted: 26 Sep 2003
Michael J. Artis, Ana Beatriz Galvão and Massimiliano Giuseppe Marcellino
University of Manchester - Institute for Political & Economic Governance (IPEG), University of Warwick and Bocconi University - Department of Economics
Downloads 16 (635,770)
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Transmission mechanism, shocks, cycles, Europe, impulse response, non-linear VAR

87.

Forecasting Emu Macroeconomic Variables

Number of pages: 33 Posted: 23 Oct 2002
Massimiliano Giuseppe Marcellino
Bocconi University - Department of Economics
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European Monetary Union, forecasting, time-varying models, non-linear models, instability, non-linearity

88.

Forecast Pooling for Short Time Series of Macroeconomic Variables

Number of pages: 35 Posted: 16 May 2002
Massimiliano Giuseppe Marcellino
Bocconi University - Department of Economics
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Time-varying models, non-linear models, forecast pooling, European Monetary Union

89.

Instability and Non-Linearity in the Emu

Number of pages: 40 Posted: 14 May 2002
Massimiliano Giuseppe Marcellino
Bocconi University - Department of Economics
Downloads 15 (642,861)
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Instability, non-linearity, time-varying models, non-linear models, European Monetary Union

90.

Factor Forecasts for the Us

Number of pages: 42 Posted: 22 Jan 2002
Michael J. Artis, Anindya Banerjee and Massimiliano Giuseppe Marcellino
University of Manchester - Institute for Political & Economic Governance (IPEG), European University Institute - Department of Economics and Bocconi University - Department of Economics
Downloads 13 (657,438)
Citation 2
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Factor models, forecasts, time series models

91.

Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area

Number of pages: 29 Posted: 07 Sep 2004
Michael J. Artis, Massimiliano Giuseppe Marcellino and Tommaso Proietti
University of Manchester - Institute for Political & Economic Governance (IPEG), Bocconi University - Department of Economics and University of Rome II - Department of Economics and Finance
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92.

Forecast Pooling for European Macroeconomic Variables

Number of pages: 22 Posted: 26 Mar 2004
Massimiliano Giuseppe Marcellino
Bocconi University - Department of Economics
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93.

Characterizing the Business Cycle for Accession Countries

Number of pages: 48 Posted: 30 Jul 2004
Michael J. Artis, Massimiliano Giuseppe Marcellino and Tommaso Proietti
University of Manchester - Institute for Political & Economic Governance (IPEG), Bocconi University - Department of Economics and University of Rome II - Department of Economics and Finance
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Business cycles, dating algorithms, cycle synchronization, EU enlargement, seasonal adjustment

94.

Forecasting with Factor-Augmented Error Correction Models

CEPR Discussion Paper No. DP7677
Number of pages: 46 Posted: 10 Feb 2010
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Igor Masten
European University Institute - Department of Economics, Bocconi University - Department of Economics and University of Ljubljana - Faculty of Economics
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Cointegration, Dynamic Factor Models, Error Correction Models, Factor-augmented Error Correction Models, FAVAR, Forecasting

95.

A Monthly Indicator of the Euro Area GDP

CEPR Discussion Paper No. DP7007
Number of pages: 41 Posted: 18 Dec 2008
Cecilia Frale, Massimiliano Giuseppe Marcellino, Gian Luigi Mazzi and Tommaso Proietti
Government of the Italian Republic (Italy) - Department of the Treasury, Bocconi University - Department of Economics, Eurostat and University of Rome II - Department of Economics and Finance
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Chain-linking, Dynamic factor Models, euro area GDP, Kalman filter and smoother, Multivariate State Space Models, Temporal Disaggregation

96.

Markov-Switching Midas Models

CEPR Discussion Paper No. DP8234
Number of pages: 47 Posted: 09 Feb 2011
Pierre Guérin and Massimiliano Giuseppe Marcellino
Government of Canada - Bank of Canada and Bocconi University - Department of Economics
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business cycle, forecasting, mixed-frequency data, non-linear models, nowcasting

97.

Forecasting Exchange Rates with a Large Bayesian VAR

CEPR Discussion Paper No. DP7008
Number of pages: 33 Posted: 18 Dec 2008
Andrea Carriero, George Kapetanios and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, King's College, London and Bocconi University - Department of Economics
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Bayesian VAR, Exchange Rates, Forecasting

98.

On the Importance of Sectoral and Regional Shocks for Price-Setting

CEPR Discussion Paper No. DP8357
Number of pages: 51 Posted: 04 May 2011
Günter W. Beck, Kirstin Hubrich and Massimiliano Giuseppe Marcellino
University of Siegen, Board of Governors of the Federal Reserve System and Bocconi University - Department of Economics
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common factor models, disaggregated prices, euro area regional and sectoral inflation

99.

Midas Vs. Mixed-Frequency VAR: Nowcasting GDP in the Euro Area

CEPR Discussion Paper No. DP7445
Number of pages: 25 Posted: 07 Oct 2009
Vladimir Kuzin, Massimiliano Giuseppe Marcellino and Christian Schumacher
German Institute for Economic Research (DIW Berlin), Bocconi University - Department of Economics and Deutsche Bundesbank
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euro area growth, MIDAS, mixed-frequency data, mixed-frequency VAR, nowcasting

100.

A Measure for Credibility: Tracking US Monetary Developments

CEPR Discussion Paper No. DP7036
Number of pages: 30 Posted: 18 Dec 2008
Maria Demertzis, Massimiliano Giuseppe Marcellino and Nicola Viegi
Bruegel, Bocconi University - Department of Economics and University of Pretoria - Department of Economics
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anchors for expectations, credibility, Great Inflation, Great Moderation

101.

Factor-Augmented Error Correction Models

CEPR Discussion Paper No. DP6707
Number of pages: 28 Posted: 10 Jun 2008
Anindya Banerjee and Massimiliano Giuseppe Marcellino
European University Institute - Department of Economics and Bocconi University - Department of Economics
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Cointegration, Dynamic Factor Models, Error Correction Models, Factor-augmented Error Correction Models, FAVAR, VAR

102.

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

CEPR Discussion Paper No. DP6706
Number of pages: 60 Posted: 10 Jun 2008
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Igor Masten
European University Institute - Department of Economics, Bocconi University - Department of Economics and University of Ljubljana - Faculty of Economics
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Factor models, forecasts, parameter uncertainty, short samples, structural change, time series models

103.

Endogenous Monetary Policy Regimes and the Great Moderation

CEPR Discussion Paper No. DP7827
Number of pages: 39 Posted: 19 May 2010
Ana Beatriz Galvão and Massimiliano Giuseppe Marcellino
University of Warwick and Bocconi University - Department of Economics
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great moderation, impulse responses, monetary policy, time-varying models

104.

Forecasting Government Bond Yields with Large Bayesian Vars

CEPR Discussion Paper No. DP7796
Number of pages: 54 Posted: 19 May 2010
Andrea Carriero, George Kapetanios and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, King's College, London and Bocconi University - Department of Economics
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Bayesian methods, Forecasting, Term Structure

105.

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

CEPR Discussion Paper No. DP7763
Number of pages: 46 Posted: 05 Apr 2010
Massimiliano Giuseppe Marcellino and Alberto Musso
Bocconi University - Department of Economics and European Central Bank (ECB)
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data revisions, euro area, inflation forecasts, Output gap, real GDP forecasts, real-time data

106.

Sectoral Survey-Based Confidence Indicators for Europe

Oxford Bulletin of Economics and Statistics, Vol. 73, No. 2, pp. 175-206, 2011
Number of pages: 32 Posted: 01 Mar 2011
Andrea Carriero and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research and Bocconi University - Department of Economics
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107.

Factor Midas for Nowcasting and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP

Oxford Bulletin of Economics and Statistics, Vol. 72, Issue 4, pp. 518-550, August 2010
Number of pages: 33 Posted: 21 Jun 2010
Massimiliano Giuseppe Marcellino and Christian Schumacher
Bocconi University - Department of Economics and Deutsche Bundesbank
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108.

Empirical Simultaneous Confidence Regions for Path-Forecasts

CEPR Discussion Paper No. DP7797
Number of pages: 51 Posted: 19 May 2010
Oscar Jorda, Malte Knüppel and Massimiliano Giuseppe Marcellino
University of California, Davis - Department of Economics, Deutsche Bundesbank - Research Centre and Bocconi University - Department of Economics
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forecast uncertainty, path forecast, Scheffe;'s S-method, simultaneous confidence region

109.

Factor-GMM Estimation with Large Sets of Possibly Weak Instruments

CEPR Discussion Paper No. DP7726
Number of pages: 39 Posted: 17 Mar 2010
George Kapetanios and Massimiliano Giuseppe Marcellino
King's College, London and Bocconi University - Department of Economics
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DSGE models, Factor models, GMM, Instrumental variables, Principal components, weak instruments

110.

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

CEPR Discussion Paper No. DP7716
Number of pages: 35 Posted: 09 Mar 2010
Massimiliano Giuseppe Marcellino and Alberto Musso
Bocconi University - Department of Economics and European Central Bank (ECB)
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data revisions, euro area, Output gap, real-time data

111.

Model Selection for Nested and Overlapping Nonlinear, Dynamic and Possibly Mis-Specified Models

Oxford Bulletin of Economics and Statistics, Vol. 70, Issue s1, pp. 867-893, December 2008
Number of pages: 27 Posted: 02 Dec 2008
Massimiliano Giuseppe Marcellino and Barbara Rossi
Bocconi University - Department of Economics and Universitat Pompeu Fabra - Centre de Recerca en Economia Internacional (CREI)
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112.

Structural FECM: Cointegration in Large-Scale Structural FAVAR Models

CEPR Discussion Paper No. DP9858
Number of pages: 34 Posted: 02 Jun 2014
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Igor Masten
University of Birmingham - Department of Economics, Bocconi University - Department of Economics and University of Ljubljana - Faculty of Economics
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Cointegration, Dynamic Factor Models, Factor-augmented Error Correction Models, FAVAR, Structural Analysis

113.

Regime Switches in the Risk-Return Trade-Off

CEPR Discussion Paper No. DP9698
Number of pages: 45 Posted: 28 Oct 2013
Eric Ghysels, Pierre Guérin and Massimiliano Giuseppe Marcellino
University of North Carolina Kenan-Flagler Business School, Government of Canada - Bank of Canada and Bocconi University - Department of Economics
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conditional variance, Markov-switching, MIDAS, Risk-return trade-off

114.

Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models

CEPR Discussion Paper No. DP7446
Number of pages: 36 Posted: 07 Oct 2009
Andrea Carriero, George Kapetanios and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, King's College, London and Bocconi University - Department of Economics
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Bayesian VARs, factor models, forecasting, reduced rank

115.

Time-Varying Instrumental Variable Estimation

CEPR Discussion Paper No. DP15210
Number of pages: 63 Posted: 12 Sep 2020
Liudas Giraitis, George Kapetanios and Massimiliano Giuseppe Marcellino
Queen Mary, King's College, London and Bocconi University - Department of Economics
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116.

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

CEPR Discussion Paper No. DP15114
Number of pages: 50 Posted: 18 Aug 2020
Claudia Foroni, Massimiliano Giuseppe Marcellino and Dalibor Stevanovic
affiliation not provided to SSRN, Bocconi University - Department of Economics and affiliation not provided to SSRN
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117.

Assessing International Commonality in Macroeconomic Uncertainty and its Effects

CEPR Discussion Paper No. DP13970
Number of pages: 67 Posted: 07 Oct 2019
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Queen Mary, University of London, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
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Business cycle uncertainty, large datasets, stochastic volatility

118.

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

CEPR Discussion Paper No. DP12339
Number of pages: 79 Posted: 04 Oct 2017 Last Revised: 09 Oct 2017
Roberto Casarin, Claudia Foroni, Massimiliano Giuseppe Marcellino and Francesco Ravazzolo
University Ca' Foscari of Venice - Department of Economics, Deutsche Bundesbank, Bocconi University - Department of Economics and Free University of Bozen-Bolzano - Faculty of Economics and Management
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Bayesian inference, dynamic panel model, Markov switching, MCMC, mixed-frequency

119.

Tax Shocks with High and Low Uncertainty

CEPR Discussion Paper No. DP12335
Number of pages: 96 Posted: 04 Oct 2017 Last Revised: 09 Oct 2017
Fabio Bertolotti and Massimiliano Giuseppe Marcellino
Bocconi University and Bocconi University - Department of Economics
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Citation 1