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Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility
Marcellino, Massimiliano; Porqueddu, Mario; Venditti, … - Banca d'Italia - 2013
to forecast revisions. Third, we design a pseudo out-of-sample forecasting exercise and examine point and density …
Persistent link: https://www.econbiz.de/10011099722
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Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility
Marcellino, Massimiliano; Porqueddu, Mario; Venditti, … - C.E.P.R. Discussion Papers - 2013
for forecasting GDP growth at short-term horizons in the euro area. We discuss three sets of empirical results. First we … forecast revisions. Third we design a pseudo out of sample forecasting exercise and examine point and density forecast accuracy …
Persistent link: https://www.econbiz.de/10011083444
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Public Capital and Economic Performance: Evidence from Italy
Bonaglia, Federico; Ferrara, Eliana La; Marcellino, … - In: Giornale degli Economisti 59 (2000) 2, pp. 221-244
This paper addresses the issue of whether and by how much public capital can enhance economic performance. We apply different methodologies to Italian regional data for the period 1970-1994. The results are presented for Italy as a whole, for different macroregions, and for individual categories...
Persistent link: https://www.econbiz.de/10005827642
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Regime Switches in the Risk-Return Trade-Off
Ghysels, Eric; Guérin, Pierre; Marcellino, Massimiliano - Bank of Canada - 2013
This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong evidence for regime changes in the risk-return relation. This...
Persistent link: https://www.econbiz.de/10010849950
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Regime switches in the risk–return trade-off
Ghysels, Eric; Guérin, Pierre; Marcellino, Massimiliano - In: Journal of Empirical Finance 28 (2014) C, pp. 118-138
This paper deals with the estimation of the risk–return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk–return relation through a Markov-switching specification. We find strong evidence for regime changes in the risk–return relation....
Persistent link: https://www.econbiz.de/10011042122
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Regime Switches in the Risk-Return Trade-off
Ghysels, Eric; Guérin, Pierre; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2013
This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong evidence for regime changes in the risk-return relation. This...
Persistent link: https://www.econbiz.de/10011083264
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Regime switches in the risk-return trade-off
Ghysels, Eric; Guérin, Pierre; Marcellino, Massimiliano - 2013
This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong evidence for regime changes in the risk-return relation. This...
Persistent link: https://www.econbiz.de/10010335672
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Regime switches in the risk-return trade-off
Ghysels, Eric; Guérin, Pierre; Marcellino, Massimiliano - 2013
This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong evidence for regime changes in the risk-return relation. This...
Persistent link: https://www.econbiz.de/10010225468
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Markov-Switching MIDAS Models
Guerin, Pierre; Marcellino, Massimiliano - Department of Economics, European University Institute - 2011
This paper introduces a new regression model - Markov-switching mixed data sampling (MS-MIDAS) - that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of mixed-frequency data in Markov-switching models. After a discussion of...
Persistent link: https://www.econbiz.de/10008868072
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Classical time-varying FAVAR models - Estimation, forecasting and structural analysis
Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2011
We propose a classical approach to estimate factor-augmented vector autoregressive (FAVAR) models with time variation in the factor loadings, in the factor dynamics, and in the variance-covariance matrix of innovations. When the time-varying FAVAR is estimated using a large quarterly dataset of...
Persistent link: https://www.econbiz.de/10008921778