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Common drifting volatility in large bayesian VARs

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2012

Persistent link: https://www.econbiz.de/10009515236

Markov-switching MIDAS models

Guérin, Pierre; Marcellino, Massimiliano - 2011

Persistent link: https://www.econbiz.de/10008909935

On the importance of sectoral shocks for price-setting

Beck, Günter W.; Hubrich, Kirstin; Marcellino, Massimiliano - 2010

Persistent link: https://www.econbiz.de/10008935007

Markov-switching MIDAS models

Guérin, Pierre; Marcellino, Massimiliano - 2011

Persistent link: https://www.econbiz.de/10008935686

Pooling versus model selection for nowcasting with many predictors : an application to German GDP

Kuzin, Vladimir; Marcellino, Massimiliano; Schumacher, … - 2009

Persistent link: https://www.econbiz.de/10003826917

Pooling versus model selection for nowcasting with many predictors : an application to German GDP

Kuzin, Vladimir; Marcellino, Massimiliano; Schumacher, … - 2009

Persistent link: https://www.econbiz.de/10003830461

Regional inflation dynamics within and across euro area countries and a comparison with the United States

Beck, Günter W.; Hubrich, Kirstin; Marcellino, Massimiliano - In: Economic policy : a European forum 57 (2009), pp. 141-184

Persistent link: https://www.econbiz.de/10003801336

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

Forecasting euro area variables with German pre-EMU data

Brüggemann, Ralf; Lütkepohl, Helmut; Marcellino, … - In: Journal of forecasting 27 (2008) 6, pp. 465-481

Persistent link: https://www.econbiz.de/10003761650

An overview of the Factor-augmented Error-Correction Model

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - In: Dynamic factor models, (pp. 3-41). 2016

Persistent link: https://www.econbiz.de/10011448650