Massimiliano Marcellino

39 published titles

Modelling shifts in the wage-price and unemployment-inflation relationships in Italy, Poland and the UK

1 edition

Large datasets, small models and monetary policy in Europe

(Contributor)

1 edition

A Markov-switching vector equilibrium correction model of the UK labour market

(Contributor)

1 edition

Dating the euro area business cycle

(Contributor)

1 edition

Modelling and forecasting fiscal variables for the euro area

(Contributor)

1 edition

The Central and Eastern European countries and the European Union

(Contributor)

1 edition

Factor-Midas for now- and forecasting with ragged-edge data : a model comparison for German GDP

1 edition

Factor-augmented error correction models

(Contributor)

1 edition

Forecasting macroeconomic variables using diffusion indexes in short samples with structural change

(Contributor)

1 edition

Path forecast evaluation

(Contributor)

1 edition

A measure for credibility : tracking US monetary developments

(Contributor)

1 edition

Pooling versus model selection for nowcasting with many predictors : an application to German GDP

(Contributor)

1 edition

Forecasting large datasets with Bayesian reduced rank multivariate models

(Contributor)

1 edition

MIDAS vs. mixed-frequency VAR : nowcasting GDP in the Euro Area

(Contributor)

1 edition

Forecasting with factor-augmented error correction models

(Contributor)

2 editions

The reliability of real time estimates of the euro area output gap

1 edition

Factor-GMM estimation with large sets of possibly weak instruments

(Contributor)

1 edition

The forecasting performance of real time estimates of the Euro area output gap

1 edition

Endogenous monetary policy regimes and the Great Moderation

(Contributor)

1 edition

Empirical simultaneous confidence regions for path-forecasts

(Contributor)

1 edition

Forecasting government bond yields with large Bayesian VARs

(Contributor)

1 edition

Markov-switching MIDAS models

(Contributor)

1 edition

Bayesian VARs : specification choices and forecast accuracy

(Contributor)

1 edition

The changing international transmission of financial shocks : evidence from a classical time-vary favar

(Contributor)

1 edition

On the importance of sectoral and regional shocks for price-setting

(Contributor)

1 edition

Classical time-varying favor models - estimation, forecasting and structural analysis

(Contributor)

1 edition

U-Midas : midas regressions with unrestricted lag polynomials

(Contributor)

1 edition

Common drifting volatility in large Bayesian VARs

(Contributor)

1 edition

Regime switches in the risk-return trade-off

(Contributor)

1 edition

Markov-switching mixed-frequency VAR models

(Contributor)

1 edition

Structural FECM : cointegration in large-scale structural Favar models

(Contributor)

1 edition

No arbitrage priors, drifting volatilities, and the term structure of interest rates

(Contributor)

1 edition

Macroeconomic forecasting during the great recession : the return of non linearity?

(Contributor)

1 edition

Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility

(Contributor)

1 edition

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

1 edition

Time variation in macro-financial linkages

(Contributor)

1 edition

Factor based identification-robust inference in IV regressions

(Contributor)

1 edition

Monetary, fiscal and oil shocks : evidence based on mixed frequency structural FAVARS

1 edition

Structural analysis with multivariate autoregressive index models

(Contributor)

1 edition