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Forecasting the Covid-19 recession and recovery: Lessons from the financial crisis

Foroni, Claudia; Marcellino, Massimiliano; Stevanovic, … - 2020

We consider simple methods to improve the growth nowcasts and forecasts obtained by mixed frequency MIDAS and UMIDAS models with a variety of indicators during the Covid-19 crisis and recovery period, such as combining forecasts across various specifications for the same model and/or across...

Persistent link: https://www.econbiz.de/10012422130

Large vector autoregressions with asymmetric priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015

We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...

Persistent link: https://www.econbiz.de/10011389735

Large vector autoregressions with stochastic volatility and flexible priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2016

Persistent link: https://www.econbiz.de/10011549652

Point, interval and density forecasts of exchange rates with time-varying parameter models

Abbate, Angela; Marcellino, Massimiliano - 2016

an accurate calibration of forecast confidence intervals, and is better suited at long horizons and in high …

Persistent link: https://www.econbiz.de/10011489395

Forecasting with a DSGE model of a small open economy within the Monetary Union

Marcellino, Massimiliano; Rychalovska, Yuliya - In: Journal of forecasting 33 (2014) 5, pp. 315-338

Persistent link: https://www.econbiz.de/10010425650

Markov-switching mixed-frequency VAR models

Foroni, Claudia; Guérin, Pierre; Marcellino, Massimiliano - In: International journal of forecasting 31 (2015) 3, pp. 692-711

Persistent link: https://www.econbiz.de/10011474529

Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: Journal of econometrics 212 (2019) 1, pp. 137-154

Persistent link: https://www.econbiz.de/10012303905

Forecasting the Covid-19 recession and recovery : lessons from the financial crisis

Foroni, Claudia; Marcellino, Massimiliano; Stevanović, … - 2020

Persistent link: https://www.econbiz.de/10012285550

Common drifting volatility in large Bayesian VARs

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 3, pp. 375-390

Persistent link: https://www.econbiz.de/10011691646

Forecasting daily electricity prices with monthly macroeconomic variables

Foroni, Claudia; Ravazzolo, Francesco; Rossini, Luca - 2019

forecasting daily electricity prices in two of the main European markets, Germany and Italy. We do that by means of mixed …-frequency models, introducing a Bayesian approach to reverse unrestricted MIDAS models (RU-MIDAS). We study the forecasting accuracy … the model confidence set. …

Persistent link: https://www.econbiz.de/10011987142