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Details about Massimiliano Marcellino

Homepage:http://www.igier.unibocconi.it/marcellino/
Workplace:Dipartimento di Economia "Ettore Bocconi" (Ettore Bocconi Department of Economics), Università Commerciale Luigi Bocconi (Bocconi University), (more information at EDIRC)
Innocenzo Gasparini Institute for Economic Research (IGIER), Università Commerciale Luigi Bocconi (Bocconi University), (more information at EDIRC)

Access statistics for papers by Massimiliano Marcellino.

Last updated 2017-04-05. Update your information in the RePEc Author Service.

Short-id: pma114


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Working Papers

2017

  1. Explaining the Time-varying Effects Of Oil Market Shocks On U.S. Stock Returns
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads

2016

  1. A daily indicator of economic growth for the euro area
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (1)
    See also Journal Article in International Journal of Computational Economics and Econometrics (2017)
  2. Forecasting with Large Unbalanced Datasets: The Mixed-Frequency Three-Pass Regression Filter
    Working Papers, Swiss National Bank Downloads View citations (3)
  3. Have Standard VARs Remained Stable Since the Crisis?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    Also in Working Paper, Federal Reserve Bank of Cleveland (2014) Downloads View citations (7)
    Working Paper, Norges Bank (2014) Downloads View citations (5)
  4. Large Time-Varying Parameter VARs: A Non-Parametric Approach
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
  5. Large Vector Autoregressions with Stochastic Volatility and Flexible Priors
    Working Paper, Federal Reserve Bank of Cleveland Downloads
  6. Markov-Switching Three-Pass Regression Filter
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (2)
  7. Measuring Uncertainty and Its Impact on the Economy
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy Downloads View citations (1)
    Also in Working Paper, Federal Reserve Bank of Cleveland (2016) Downloads View citations (1)
  8. Point, interval and density forecasts of exchange rates with time-varying parameter models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in Discussion Papers, Deutsche Bundesbank, Research Centre (2016) Downloads
  9. Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads

2015

  1. A Shrinkage Instrumental Variable Estimator for Large Datasets
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2008) Downloads

    See also Journal Article in L'Actualité Economique (2015)
  2. An Overview of the Factor-augmented Error-Correction Model
    Discussion Papers, Department of Economics, University of Birmingham Downloads
  3. Factor based identification-robust inference in IV regressions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
  4. Large Vector Autoregressions with Asymmetric Priors
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (1)
  5. Macroeconomic forecasting during the Great Recession: the return of non-linearity?
    Post-Print, HAL
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) Downloads View citations (5)
    Working papers, Banque de France (2012) Downloads View citations (5)

    See also Journal Article in International Journal of Forecasting (2015)
  6. Monetary, Fiscal and Oil Shocks: Evidence based on Mixed Frequency Structural FAVARs
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    See also Journal Article in Journal of Econometrics (2016)
  7. Structural Analysis with Multivariate Autoregressive Index Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2016)
  8. Using low frequency information for predicting high frequency variables
    Working Paper, Norges Bank Downloads View citations (5)

2014

  1. EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro
    Studies in Economics, School of Economics, University of Kent Downloads View citations (3)
  2. Markov-Switching Mixed-Frequency VAR Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    See also Journal Article in International Journal of Forecasting (2015)
  3. Mixed frequency structural VARs
    Working Paper, Norges Bank Downloads View citations (5)
  4. No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
  5. Structural FECM: Cointegration in large-scale structural FAVAR models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads

2013

  1. A survey of econometric methods for mixed-frequency data
    Working Paper, Norges Bank Downloads View citations (27)
    Also in Economics Working Papers, European University Institute (2013) Downloads View citations (17)
  2. An estimated DSGE model of a Small Open Economy within the Monetary Union: Forecasting and Structural Analysis
    EcoMod2013, EcoMod Downloads
    Also in RSCAS Working Papers, European University Institute (2012) Downloads View citations (1)
  3. EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries
    CEIS Research Paper, Tor Vergata University, CEIS Downloads
    See also Journal Article in International Journal of Forecasting (2015)
  4. Mixed frequency structural models: estimation, and policy analysis
    Working Paper, Norges Bank Downloads View citations (5)
  5. Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (7)
    Also in Working Paper, Federal Reserve Bank of Cleveland (2012) Downloads View citations (3)

    See also Journal Article in Journal of the Royal Statistical Society Series A (2015)
  6. Regime Switches in the Risk-Return Trade-Off
    Staff Working Papers, Bank of Canada Downloads View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) Downloads View citations (1)

    See also Journal Article in Journal of Empirical Finance (2014)
  7. Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    Also in Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2013) Downloads View citations (20)
  8. Time Variation in Macro-Financial Linkages
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (9)
    Also in Discussion Papers, Deutsche Bundesbank, Research Centre (2013) Downloads View citations (8)

2012

  1. A Comparison of Mixed Frequency Approaches for Modelling Euro Area Macroeconomic Variables
    Economics Working Papers, European University Institute Downloads View citations (13)
  2. Common Drifting Volatility in Large Bayesian VARs
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (16)
    Also in Working Paper, Federal Reserve Bank of Cleveland (2012) Downloads View citations (20)
    Economics Working Papers, European University Institute (2012) Downloads View citations (16)
  3. Empirical simultaneous prediction regions for path-forecasts
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads
    See also Journal Article in International Journal of Forecasting (2013)
  4. Forecasting economic activity with higher frequency targeted predictors
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (11)
  5. On the importance of sectoral and regional shocks for price setting
    IMFS Working Paper Series, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS) Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) Downloads View citations (6)
    Working Paper Series, European Central Bank (2011) Downloads View citations (5)
  6. Selecting predictors by using Bayesian model averaging in bridge models
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (4)
  7. The banking and distribution sectors in a small open economy DSGE Model
    RSCAS Working Papers, European University Institute Downloads View citations (3)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2012) Downloads View citations (3)
  8. U-MIDAS: MIDAS regressions with unrestricted lag polynomials
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (32)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2011) Downloads View citations (2)

2011

  1. Bayesian VARs: Specification Choices and Forecast Accuracy
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (31)
    Also in Working Paper, Federal Reserve Bank of Cleveland (2011) Downloads View citations (8)

    See also Journal Article in Journal of Applied Econometrics (2015)
  2. Classical time-varying FAVAR models - Estimation, forecasting and structural analysis
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (7)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2011) Downloads View citations (12)
  3. LSM: A DSGE Model for Luxembourg
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (2)
    See also Journal Article in Economic Modelling (2011)
  4. Markov-switching MIDAS models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (6)
    See also Journal Article in Journal of Business & Economic Statistics (2013)
  5. The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (31)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2011) Downloads View citations (19)

    See also Journal Article in Journal of Money, Credit and Banking (2016)
  6. The Multiscale Causal Dynamics of Foreign Exchange Markets
    Economics Working Papers, European University Institute Downloads
    See also Journal Article in Journal of International Money and Finance (2013)

2010

  1. Empirical Simultaneous Confidence Regions for Path-Forecasts
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2010) Downloads View citations (4)
  2. Endogenous Monetary Policy Regimes and the Great Moderation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (6)
    Also in Economics Working Papers, European University Institute (2010) Downloads View citations (5)
  3. Factor-GMM Estimation with Large Sets of Possibly Weak Instruments
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (21)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2006) Downloads View citations (9)

    See also Journal Article in Computational Statistics & Data Analysis (2010)
  4. Forecasting Government Bond Yields with Large Bayesian VARs
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) Downloads View citations (5)
  5. Forecasting with Factor-augmented Error Correction
    Discussion Papers, Department of Economics, University of Birmingham Downloads View citations (2)
  6. Forecasting with Factor-augmented Error Correction Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (6)
    Also in RSCAS Working Papers, European University Institute (2009) Downloads View citations (10)
    Discussion Papers, Department of Economics, University of Birmingham (2009) Downloads View citations (6)

    See also Journal Article in International Journal of Forecasting (2014)
  7. Real time estimates of the euro area output gap: reliability and forecasting performance
    Working Paper Series, European Central Bank Downloads View citations (16)
  8. The Forecasting Performance of Real Time Estimates of the Euro Area Output Gap
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
  9. The Reliability of Real Time Estimates of the Euro Area Output Gap
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
    Also in Economics Working Papers, European University Institute (2010) Downloads View citations (2)

    See also Journal Article in Economic Modelling (2011)

2009

  1. Anchors for Inflation Expectations
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (6)
  2. Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)
    Also in Economics Working Papers, European University Institute (2009) Downloads View citations (4)

    See also Journal Article in Journal of Applied Econometrics (2011)
  3. MIDAS versus mixed-frequency VAR: nowcasting GDP in the euro area
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre Downloads View citations (8)
  4. MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area
    Economics Working Papers, European University Institute Downloads View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) Downloads View citations (10)

    See also Journal Article in International Journal of Forecasting (2011)
  5. On the importance of sectoral shocks for price-setting
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads
  6. Pooling versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP
    Economics Working Papers, European University Institute Downloads View citations (16)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2009) Downloads View citations (11)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) Downloads View citations (10)
  7. Survey Data as Coicident or Leading Indicators
    Economics Working Papers, European University Institute Downloads View citations (3)
    Also in Working Papers, Department of the Treasury, Ministry of the Economy and of Finance Downloads View citations (1)

    See also Journal Article in Journal of Forecasting (2010)

2008

  1. A Measure for Credibility: Tracking US Monetary Developments
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (8)
    Also in Economics Working Papers, European University Institute (2008) Downloads View citations (6)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) Downloads View citations (4)
  2. A Monthly Indicator of the Euro Area GDP
    Economics Working Papers, European University Institute Downloads View citations (7)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) Downloads View citations (3)
  3. Cross-sectional Averaging and Instrumental Variable Estimation with Many Weak Instruments
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    See also Journal Article in Economics Letters (2010)
  4. Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP
    Economics Working Papers, European University Institute Downloads View citations (8)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2007) Downloads View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) Downloads View citations (31)
  5. Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP1
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (7)
  6. Factor-augmented Error Correction Models
    Economics Working Papers, European University Institute Downloads View citations (2)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2008) Downloads View citations (13)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) Downloads View citations (3)
  7. Forecasting Exchange Rates with a Large Bayesian VAR
    Economics Working Papers, European University Institute Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2008) Downloads
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) Downloads View citations (4)

    See also Journal Article in International Journal of Forecasting (2009)
  8. Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (22)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) Downloads View citations (38)
    Economics Working Papers, European University Institute (2008) Downloads View citations (23)
  9. Forecasting with Dynamic Models using Shrinkage-based Estimation
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (1)
  10. Path Forecast Evaluation
    Working Papers, University of California, Davis, Department of Economics Downloads
    Also in Economics Working Papers, European University Institute (2008) Downloads
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) Downloads View citations (1)

    See also Journal Article in Journal of Applied Econometrics (2010)

2007

  1. A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (5)
    See also Journal Article in International Journal of Forecasting (2007)
  2. Factor Analysis in a Model with Rational Expectations
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Journal Article in Econometrics Journal (2008)
  3. Forecasting Large Datasets with Reduced Rank Multivariate Models
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (3)
  4. Monitoring the Economy of the Euro Area: A Comparison of Composite Coincident Indexes
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (1)
  5. Sectoral Survey-based Confidence Indicators for Europe
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (4)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2011)

2006

  1. A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (28)
    See also Journal Article in Journal of Time Series Analysis (2009)
  2. A Simple Benchmark for Forecasts of Growth and Inflation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
  3. Forecasting Euro-Area Variables with German Pre-EMU Data
    Economics Working Papers, European University Institute Downloads View citations (2)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2006) Downloads View citations (2)

    See also Journal Article in Journal of Forecasting (2008)
  4. Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2006) Downloads
  5. Regional Inflation Dynamics within and across Euro Area and a Comparison with the US
    Computing in Economics and Finance 2006, Society for Computational Economics Downloads View citations (2)
  6. Regional inflation dynamics within and across euro area countries and a comparison with the US
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (19)
    Also in Regional and Urban Modeling, EcoMod Downloads
  7. The Role of Search Frictions and Bargaining for Inflation Dynamics
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (4)

2005

  1. A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (43)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2005) Downloads View citations (13)

    See also Journal Article in Journal of Econometrics (2006)
  2. Factor Analysis in a New-Keynesian Model
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)
  3. Leading Indicators: What Have We Learned?
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (9)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) Downloads View citations (7)
  4. Modelling and Forecasting Fiscal Variables for the Euro Area
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (22)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) Downloads View citations (27)

    See also Journal Article in Oxford Bulletin of Economics and Statistics (2005)
  5. Pooling-based Data Interpolation and Backdating
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) Downloads

    See also Journal Article in Journal of Time Series Analysis (2007)

2004

  1. Characterising the Business Cycle for Accession Countries
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (17)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads View citations (28)
    Econometrics, EconWPA (2004) Downloads View citations (30)
  2. Forecasting Macroeconomic Variables for the Acceding Countries
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (10)
  3. Interpolation and Backdating with A Large Information Set
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    See also Journal Article in Journal of Economic Dynamics and Control (2006)

2003

  1. A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (36)
  2. Are There Any Reliable Leading Indicators for U.S. Inflation and GDP Growth?
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (5)
    Also in Economics Working Papers, European University Institute (2002) Downloads View citations (8)

    See also Journal Article in International Journal of Forecasting (2006)
  3. Dating the Euro Area Business Cycle
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (45)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2003) Downloads View citations (39)
    Economics Working Papers, European University Institute (2002) Downloads View citations (37)
  4. Leading Indicators for Euro Area Inflation and GDP Growth
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (42)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2003) Downloads View citations (12)

    See also Journal Article in Oxford Bulletin of Economics and Statistics (2005)
  5. STOCHASTIC PROCESSES SUBJECT TO TIME SCALE TRANSFORMATIONS: AN APPLICATION TO HIGH-FREQUENCY FX DATA
    Working Papers, University of California, Davis, Department of Economics Downloads
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads
    Department of Economics, California Davis - Department of Economics Downloads
  6. The Transmission Mechanism in a Changing World
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (18)
    Also in Economics Working Papers, European University Institute (2003) Downloads View citations (8)

    See also Journal Article in Journal of Applied Econometrics (2007)
  7. Time-Scale Transformations of Discrete-Time Processes
    Working Papers, University of California, Davis, Department of Economics Downloads View citations (2)
    See also Journal Article in Journal of Time Series Analysis (2004)

2002

  1. Factor Based Index Tracking
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads

    See also Journal Article in Journal of Banking & Finance (2006)
  2. Factor Forecasts for the UK
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (7)
    Also in Economics Working Papers, European University Institute (2001) Downloads View citations (35)
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (9)
  3. Forecast Pooling for Short Time Series of Macroeconomic Variables
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (11)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (4)
  4. Forecasting EMU Macroeconomic Variables
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (6)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads

    See also Journal Article in International Journal of Forecasting (2004)
  5. Instability and Non-Linearity in the EMU
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (23)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (9)
  6. Some Stylized Facts on Non-Systematic Fiscal Policy in the Euro Area
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (19)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (6)

    See also Journal Article in Journal of Macroeconomics (2006)
  7. Testing for PPP: Should We Use Panel Methods?
    Royal Economic Society Annual Conference 2002, Royal Economic Society Downloads View citations (9)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (45)

    See also Journal Article in Empirical Economics (2005)
  8. interpolation with a large information set
    Computing in Economics and Finance 2002, Society for Computational Economics Downloads View citations (4)

2001

  1. Large Datasets, Small Models and Monetary Policy in Europe
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (19)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads
  2. Robust Decision Theory and the Lucas Critique
    Working Papers, Warwick Business School, Finance Group Downloads View citations (1)
    See also Journal Article in Macroeconomic Dynamics (2002)

2000

  1. A Markov-switching vector equilibrium correction model of the UK labour market
    Discussion Paper Series In Economics And Econometrics, University of Southampton, Economics Division, School of Social Sciences Downloads View citations (2)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (4)

    See also Journal Article in Empirical Economics (2002)
  2. Some Cautions on the Use of Panel Methods for Integrated Series of Macro-economic Data
    Economics Working Papers, European University Institute View citations (16)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (52)

    See also Journal Article in Econometrics Journal (2004)
  3. Wages, Prices, Productivity, Inflation and Unemployment in Italy 1970-1994
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (8)

1999

  1. Fiscal Forecasting: the Track Record of the IMF, OECD and EC
    Economics Working Papers, European University Institute View citations (5)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1999) Downloads View citations (5)

    See also Journal Article in Econometrics Journal (2001)
  2. Modelling shifts in the wage-price and unemployment-inflation relationships in Italy, Poland, and the UK
    Discussion Paper Series In Economics And Econometrics, University of Southampton, Economics Division, School of Social Sciences Downloads View citations (15)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads

    See also Journal Article in Economic Modelling (2000)

1998

  1. Fiscal Solvency and Fiscal Forecasting in Europe
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (24)
    Also in Economics Working Papers, European University Institute (1998) View citations (24)
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (2)

1997

  1. Temporal Disaggregation, Missing Observations, Outliers, and Forecasting: A Unifying Non-Model Based Procedures
    Economics Working Papers, European University Institute View citations (2)

Undated

  1. Ex Post and Ex Ante Analysis of Provisional Data
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (2)
  2. Further Results on MSFE Encompassing
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (1)
  3. Linear Aggregation with Common Trends and Cycles
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads
    See also Journal Article in Research in Economics (2000)
  4. Macroeconomic Forecasting in the Euro Area: Country Specific versus Area-Wide Information
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (9)
    See also Journal Article in European Economic Review (2003)
  5. Model Selection for Non-Linear Dynamic Models
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads
  6. Principal components at work: The empirical analysis of monetary policy with large datasets
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (15)
    See also Journal Article in Journal of Applied Econometrics (2005)
  7. Public Capital and Economic Performance: Evidence from Italy
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (39)
    See also Journal Article in Giornale degli Economisti (2000)
  8. Small system modelling of real wages, inflation, unemployment and output per capita in Italy 1970-1994
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (4)
    See also Journal Article in Journal of Applied Econometrics (2001)
  9. TFP, Costs, and Public Infrastructure: An Equivocal Relationship
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (14)

Journal Articles

2017

  1. A daily indicator of economic growth for the euro area
    International Journal of Computational Economics and Econometrics, 2017, 7, (1/2), 43-63 Downloads
    See also Working Paper (2016)

2016

  1. Factor‐Based Identification‐Robust Interference in IV Regressions
    Journal of Applied Econometrics, 2016, 31, (5), 821-842 Downloads
  2. Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods
    Computational Statistics & Data Analysis, 2016, 100, (C), 369-382 Downloads View citations (3)
  3. Mixed frequency structural vector auto-regressive models
    Journal of the Royal Statistical Society Series A, 2016, 179, (2), 403-425 Downloads
  4. Monetary, fiscal and oil shocks: Evidence based on mixed frequency structural FAVARs
    Journal of Econometrics, 2016, 193, (2), 335-348 Downloads View citations (1)
    See also Working Paper (2015)
  5. Structural analysis with Multivariate Autoregressive Index models
    Journal of Econometrics, 2016, 192, (2), 332-348 Downloads View citations (3)
    See also Working Paper (2015)
  6. The Changing International Transmission of Financial Shocks: Evidence from a Classical Time‐Varying FAVAR
    Journal of Money, Credit and Banking, 2016, 48, (4), 573-601 Downloads View citations (7)
    See also Working Paper (2011)

2015

  1. A SHRINKAGE INSTRUMENTAL VARIABLE ESTIMATOR FOR LARGE DATASETS
    L'Actualité Economique, 2015, 91, (1-2), 67-87 Downloads
    See also Working Paper (2015)
  2. Bayesian VARs: Specification Choices and Forecast Accuracy
    Journal of Applied Econometrics, 2015, 30, (1), 46-73 Downloads View citations (23)
    See also Working Paper (2011)
  3. Classical time varying factor-augmented vector auto-regressive models—estimation, forecasting and structural analysis
    Journal of the Royal Statistical Society Series A, 2015, 178, (3), 493-533 Downloads View citations (2)
  4. EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries
    International Journal of Forecasting, 2015, 31, (3), 712-738 Downloads
    See also Working Paper (2013)
  5. Forecasting economic activity with targeted predictors
    International Journal of Forecasting, 2015, 31, (1), 188-206 Downloads View citations (3)
  6. Macroeconomic forecasting during the Great Recession: The return of non-linearity?
    International Journal of Forecasting, 2015, 31, (3), 664-679 Downloads View citations (3)
    See also Working Paper (2015)
  7. Markov-switching mixed-frequency VAR models
    International Journal of Forecasting, 2015, 31, (3), 692-711 Downloads View citations (1)
    See also Working Paper (2014)
  8. Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility
    Journal of the Royal Statistical Society Series A, 2015, 178, (4), 837-862 Downloads View citations (6)
    See also Working Paper (2013)
  9. Unrestricted mixed data sampling (MIDAS): MIDAS regressions with unrestricted lag polynomials
    Journal of the Royal Statistical Society Series A, 2015, 178, (1), 57-82 Downloads View citations (23)

2014

  1. A comparison of mixed frequency approaches for nowcasting Euro area macroeconomic aggregates
    International Journal of Forecasting, 2014, 30, (3), 554-568 Downloads View citations (19)
  2. Forecasting with a DSGE Model of a Small Open Economy within the Monetary Union
    Journal of Forecasting, 2014, 33, (5), 315-338 Downloads View citations (7)
  3. Forecasting with factor-augmented error correction models
    International Journal of Forecasting, 2014, 30, (3), 589-612 Downloads View citations (14)
    See also Working Paper (2010)
  4. MIXED‐FREQUENCY STRUCTURAL MODELS: IDENTIFICATION, ESTIMATION, AND POLICY ANALYSIS
    Journal of Applied Econometrics, 2014, 29, (7), 1118-1144 Downloads View citations (16)
  5. Regime switches in the risk–return trade-off
    Journal of Empirical Finance, 2014, 28, (C), 118-138 Downloads View citations (6)
    See also Working Paper (2013)
  6. The effects of the monetary policy stance on the transmission mechanism
    Studies in Nonlinear Dynamics & Econometrics, 2014, 18, (3), 20 Downloads View citations (1)

2013

  1. Empirical simultaneous prediction regions for path-forecasts
    International Journal of Forecasting, 2013, 29, (3), 456-468 Downloads View citations (2)
    See also Working Paper (2012)
  2. Markov-Switching MIDAS Models
    Journal of Business & Economic Statistics, 2013, 31, (1), 45-56 Downloads View citations (23)
    See also Working Paper (2011)
  3. POOLING VERSUS MODEL SELECTION FOR NOWCASTING GDP WITH MANY PREDICTORS: EMPIRICAL EVIDENCE FOR SIX INDUSTRIALIZED COUNTRIES
    Journal of Applied Econometrics, 2013, 28, (3), 392-411 View citations (31)
  4. The multiscale causal dynamics of foreign exchange markets
    Journal of International Money and Finance, 2013, 33, (C), 282-305 Downloads View citations (10)
    See also Working Paper (2011)

2012

  1. A Credibility Proxy: Tracking US Monetary Developments
    The B.E. Journal of Macroeconomics, 2012, 12, (1), 1-36 Downloads View citations (5)
  2. Forecasting government bond yields with large Bayesian vector autoregressions
    Journal of Banking & Finance, 2012, 36, (7), 2026-2047 Downloads View citations (15)

2011

  1. EUROMIND: a monthly indicator of the euro area economic conditions
    Journal of the Royal Statistical Society Series A, 2011, 174, (2), 439-470 View citations (28)
  2. Econometric analyses with backdated data: Unified Germany and the euro area
    Economic Modelling, 2011, 28, (3), 1405-1414 Downloads View citations (1)
  3. Forecasting large datasets with Bayesian reduced rank multivariate models
    Journal of Applied Econometrics, 2011, 26, (5), 735-761 View citations (41)
    See also Working Paper (2009)
  4. LSM: A DSGE model for Luxembourg
    Economic Modelling, 2011, 28, (6), 2862-2872 Downloads View citations (8)
    See also Working Paper (2011)
  5. MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area
    International Journal of Forecasting, 2011, 27, (2), 529-542 Downloads View citations (68)
    Also in International Journal of Forecasting, 2011, 27, (2), 529-542 (2011) Downloads View citations (72)

    See also Working Paper (2009)
  6. Sectoral Survey‐based Confidence Indicators for Europe
    Oxford Bulletin of Economics and Statistics, 2011, 73, (2), 175-206 View citations (2)
    See also Working Paper (2007)
  7. The reliability of real-time estimates of the euro area output gap
    Economic Modelling, 2011, 28, (4), 1842-1856 Downloads View citations (27)
    See also Working Paper (2010)

2010

  1. Cross-sectional averaging and instrumental variable estimation with many weak instruments
    Economics Letters, 2010, 108, (1), 36-39 Downloads View citations (1)
    See also Working Paper (2008)
  2. Factor MIDAS for Nowcasting and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP
    Oxford Bulletin of Economics and Statistics, 2010, 72, (4), 518-550 Downloads View citations (60)
  3. Factor-GMM estimation with large sets of possibly weak instruments
    Computational Statistics & Data Analysis, 2010, 54, (11), 2655-2675 Downloads View citations (25)
    See also Working Paper (2010)
  4. Introduction to advances in business cycle analysis and forecasting
    Journal of Forecasting, 2010, 29, (1-2), 1-5 Downloads
  5. Path forecast evaluation
    Journal of Applied Econometrics, 2010, 25, (4), 635-662 Downloads View citations (23)
    See also Working Paper (2008)
  6. Survey data as coincident or leading indicators
    Journal of Forecasting, 2010, 29, (1-2), 109-131 Downloads View citations (18)
    See also Working Paper (2009)

2009

  1. A parametric estimation method for dynamic factor models of large dimensions
    Journal of Time Series Analysis, 2009, 30, (2), 208-238 Downloads View citations (22)
    See also Working Paper (2006)
  2. Forecasting exchange rates with a large Bayesian VAR
    International Journal of Forecasting, 2009, 25, (2), 400-417 Downloads View citations (79)
    See also Working Paper (2008)
  3. Regional inflation dynamics within and across euro area countries and a comparison with the United States
    Economic Policy, 2009, 24, 141-184 Downloads View citations (53)

2008

  1. A linear benchmark for forecasting GDP growth and inflation?
    Journal of Forecasting, 2008, 27, (4), 305-340 Downloads View citations (8)
  2. Factor analysis in a model with rational expectations
    Econometrics Journal, 2008, 11, (2), 271-286 Downloads View citations (8)
    See also Working Paper (2007)
  3. Forecasting euro area variables with German pre-EMU data
    Journal of Forecasting, 2008, 27, (6), 465-481 Downloads View citations (15)
    See also Working Paper (2006)
  4. Foreword
    Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 711-714 Downloads
  5. Guest Editors' Introduction to Special Issue on Encompassing
    Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 715-719 Downloads View citations (1)
  6. Model Selection for Nested and Overlapping Nonlinear, Dynamic and Possibly Mis-specified Models
    Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 867-893 Downloads View citations (3)

2007

  1. A comparison of methods for the construction of composite coincident and leading indexes for the UK
    International Journal of Forecasting, 2007, 23, (2), 219-236 Downloads View citations (10)
    See also Working Paper (2007)
  2. A macroeconometric model for the Euro economy
    Journal of Policy Modeling, 2007, 29, (1), 1-13 Downloads View citations (13)
  3. Pooling-Based Data Interpolation and Backdating
    Journal of Time Series Analysis, 2007, 28, (1), 53-71 Downloads View citations (4)
    See also Working Paper (2005)
  4. The transmission mechanism in a changing world
    Journal of Applied Econometrics, 2007, 22, (1), 39-61 Downloads View citations (39)
    See also Working Paper (2003)

2006

  1. A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
    Journal of Econometrics, 2006, 135, (1-2), 499-526 Downloads View citations (246)
    See also Working Paper (2005)
  2. Are there any reliable leading indicators for US inflation and GDP growth?
    International Journal of Forecasting, 2006, 22, (1), 137-151 Downloads View citations (69)
    See also Working Paper (2003)
  3. Factor based index tracking
    Journal of Banking & Finance, 2006, 30, (8), 2215-2233 Downloads View citations (9)
    See also Working Paper (2002)
  4. Interpolation and backdating with a large information set
    Journal of Economic Dynamics and Control, 2006, 30, (12), 2693-2724 Downloads View citations (24)
    See also Working Paper (2004)
  5. Some stylized facts on non-systematic fiscal policy in the Euro area
    Journal of Macroeconomics, 2006, 28, (3), 461-479 Downloads View citations (36)
    See also Working Paper (2002)

2005

  1. Business Cycles in the New EU Member Countries and their Conformity with the Euro Area
    Journal of Business Cycle Measurement and Analysis, 2005, 2005, (1), 7-41 Downloads View citations (11)
  2. Leading Indicators for Euro-area Inflation and GDP Growth
    Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 785-813 Downloads View citations (54)
    See also Working Paper (2003)
  3. Modelling and Forecasting Fiscal Variables for the Euro Area
    Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 755-783 Downloads View citations (26)
    See also Working Paper (2005)
  4. Principal components at work: the empirical analysis of monetary policy with large data sets
    Journal of Applied Econometrics, 2005, 20, (5), 603-620 Downloads View citations (72)
    See also Working Paper
  5. Testing for PPP: Should we use panel methods?
    Empirical Economics, 2005, 30, (1), 77-91 Downloads View citations (139)
    See also Working Paper (2002)

2004

  1. Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area
    Oxford Bulletin of Economics and Statistics, 2004, 66, (4), 537-565 Downloads View citations (55)
  2. Forecast Pooling for European Macroeconomic Variables
    Oxford Bulletin of Economics and Statistics, 2004, 66, (1), 91-112 Downloads View citations (11)
  3. Forecasting EMU macroeconomic variables
    International Journal of Forecasting, 2004, 20, (2), 359-372 Downloads View citations (33)
    See also Working Paper (2002)
  4. Some cautions on the use of panel methods for integrated series of macroeconomic data
    Econometrics Journal, 2004, 7, (2), 322-340 Downloads View citations (186)
    See also Working Paper (2000)
  5. Time-scale transformations of discrete time processes
    Journal of Time Series Analysis, 2004, 25, (6), 873-894 Downloads View citations (5)
    See also Working Paper (2003)

2003

  1. MODELING HIGH-FREQUENCY FOREIGN EXCHANGE DATA DYNAMICS
    Macroeconomic Dynamics, 2003, 7, (04), 618-635 Downloads View citations (1)
  2. Macroeconomic forecasting in the Euro area: Country specific versus area-wide information
    European Economic Review, 2003, 47, (1), 1-18 Downloads View citations (212)
    See also Working Paper

2002

  1. A Markov-switching vector equilibrium correction model of the UK labour market
    Empirical Economics, 2002, 27, (2), 233-254 Downloads View citations (47)
    See also Working Paper (2000)
  2. ROBUST DECISION THEORY AND THE LUCAS CRITIQUE
    Macroeconomic Dynamics, 2002, 6, (01), 167-185 Downloads View citations (15)
    See also Working Paper (2001)

2001

  1. Fiscal forecasting: The track record of the IMF, OECD and EC
    Econometrics Journal, 2001, 4, (1), S20-S36 View citations (72)
    See also Working Paper (1999)
  2. Small-system modelling of real wages, inflation, unemployment and output per capita in Italy 1970-1994
    Journal of Applied Econometrics, 2001, 16, (3), 359-370 Downloads View citations (10)
    See also Working Paper

2000

  1. Forecast Bias and MSFE Encompassing
    Oxford Bulletin of Economics and Statistics, 2000, 62, (4), 533-42 Downloads View citations (6)
  2. Linear aggregation with common trends and cycles
    Research in Economics, 2000, 54, (2), 117-131 Downloads
    See also Working Paper
  3. Modelling shifts in the wage-price and unemployment-inflation relationships in Italy, Poland and the UK
    Economic Modelling, 2000, 17, (3), 387-413 Downloads View citations (7)
    See also Working Paper (1999)
  4. Public Capital and Economic Performance: Evidence from Italy
    Giornale degli Economisti, 2000, 59, (2), 221-244 View citations (14)
    See also Working Paper

1999

  1. Some Consequences of Temporal Aggregation in Empirical Analysis
    Journal of Business & Economic Statistics, 1999, 17, (1), 129-36 View citations (108)

Edited books

2010

  1. The Central and Eastern European Countries and the European Union
    Cambridge Books, Cambridge University Press

2006

  1. The Central and Eastern European Countries and the European Union
    Cambridge Books, Cambridge University Press View citations (2)

Chapters

2006

  1. Leading Indicators
    Elsevier Downloads View citations (15)
 
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