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Structural FECM : cointegration in large‐scale structural FAVAR models

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - In: Journal of applied econometrics 32 (2017) 6, pp. 1069-1086

Persistent link: https://www.econbiz.de/10011862314

Measuring uncertainty and its impact on the economy

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: The review of economics and statistics 100 (2018) 5, pp. 799-815

Persistent link: https://www.econbiz.de/10011959921

Large time-varying parameter VARs : a non-parametric approach

Kapetanios, George; Marcellino, Massimiliano; Venditti, … - 2017

Persistent link: https://www.econbiz.de/10011959996

The global component of inflation volatility

Carriero, Andrea; Corsello, Francesco; Marcellino, … - 2018

Persistent link: https://www.econbiz.de/10011960151

Forecasting economic activity by Bayesian bridge model averaging

Bencivelli, Lorenzo; Marcellino, Massimiliano; Moretti, … - In: Empirical economics : a journal of the Institute for … 53 (2017) 1, pp. 21-40

Persistent link: https://www.econbiz.de/10011929333

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

Abbate, Angela; Marcellino, Massimiliano - 2016

We explore whether modelling parameter time variation improves the point, interval and density forecasts of nine major exchange rates vis-a-vis the US dollar over the period 1976-2015. We find that modelling parameter time variation is needed for an accurate calibration of forecast confidence...

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

Forecasting economic activity with targeted predictors

Bulligan, Guido; Marcellino, Massimiliano; Venditti, … - In: International journal of forecasting 31 (2015) 1, pp. 188-206

Persistent link: https://www.econbiz.de/10011327372

Bayesian VARs : specification choices and forecast accuracy

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: Journal of applied econometrics 30 (2015) 1, pp. 46-73

Persistent link: https://www.econbiz.de/10011327653

Macroeconomic forecasting in the Euro area : country specific versus area-wide information

Marcellino, Massimiliano; Stock, James H.; Watson, Mark W. - In: European economic review : EER 47 (2003) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10001758231

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

Krolzig, Hans-Martin; Marcellino, Massimiliano; Mizon, … - In: Empirical economics : a journal of the Institute for … 27 (2002) 2, pp. 233-254

Persistent link: https://www.econbiz.de/10001655296