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MIDAS versus mixed-frequency VAR : nowcasting GDP in the euro area
Kuzin, Vladimir; Marcellino, Massimiliano; Schumacher, … - 2009
This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model speci.cation in the presence of mixed-frequency data, e.g., monthly and quarterly series. MIDAS leads to parsimonious models based on exponential lag polynomials for the coeØ cients, whereas...
Persistent link: https://www.econbiz.de/10003815492
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Real time estimates of the euro area output gap : reliability and forecasting performance
Marcellino, Massimiliano; Musso, Alberto - 2010
output gap estimates and forecast horizons, the results point clearly to a lack of any usefulness of real-time output gap … forecast real GDP growth, particularly in the short term, and some appear also useful in the medium run. No single output gap …
Persistent link: https://www.econbiz.de/10003971060
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Applied economic forecasting using time series methods
Ghysels, Eric; Marcellino, Massimiliano - 2018
Persistent link: https://www.econbiz.de/10011750387
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Forecasting exchange rates with a large Bayesian VAR
Carriero, Andrea; Kapetanios, George; Marcellino, … - In: International journal of forecasting 25 (2009) 2, pp. 400-417
Persistent link: https://www.econbiz.de/10003870070
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The reliability of real time estimates of the euro area output gap
Marcellino, Massimiliano; Musso, Alberto - 2010
Persistent link: https://www.econbiz.de/10003957562
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The reliability of real time estimates of the Euro area output gap
Marcellino, Massimiliano; Musso, Alberto - 2010
Persistent link: https://www.econbiz.de/10003960139
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The reliability of real-time estimates of the euro area output gap
Marcellino, Massimiliano; Musso, Alberto - In: Economic modelling 28 (2011) 4, pp. 1842-1856
Persistent link: https://www.econbiz.de/10009272436
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Forecasting EMU macroeconomic variables
Marcellino, Massimiliano - 2002
Persistent link: https://www.econbiz.de/10013424127
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Risky Oil : It's All in the Tails
Baumeister, Christiane; Huber, Florian; Marcellino, … - National Bureau of Economic Research - 2024
The substantial fluctuations in oil prices in the wake of the COVID-19 pandemic and the Russian invasion of Ukraine have highlighted the importance of tail events in the global market for crude oil which call for careful risk assessment. In this paper we focus on forecasting tail risks in the...
Persistent link: https://www.econbiz.de/10014544801
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Real time estimates of the euro area output gap: reliability and forecasting performance
Marcellino, Massimiliano; Musso, Alberto - 2010
output gap estimates and forecast horizons, the results point clearly to a lack of any usefulness of real-time output gap … forecast real GDP growth, particularly in the short term, and some appear also useful in the medium run. No single output gap …
Persistent link: https://www.econbiz.de/10011605203