Massimiliano Marcellino - Central Bank Research Hub

Papers by year: All | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007

Title Other author(s)

Markov-Switching Three-Pass Regression Filter

Bank of Canada Working papers [View] (Paper: 2017-13, 21.04.2017)

JEL: C22, C23, C53

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

Deutsche Bundesbank Discussion Papers [View] (Paper: 19/2016, 20.06.2016)

JEL: C11, C53, F31, F37

Forecasting with Large Unbalanced Datasets: The Mixed Frequency Three-Pass Regression Filter

Swiss National Bank Working Papers [View] (Paper: 2016-04, 23.03.2016)

JEL: C32, C53, E37

Using low frequency information for predicting high frequency variables

Central Bank of Norway (Norges Bank) Working Papers [View] (Paper: 13/2015, 29.10.2015)

JEL: C53, E37

Have Standard VARs Remained Stable since the Crisis?

Cleveland Fed Working papers [View] (Paper: 1411, 09.09.2014)

JEL: C11, C33, C53, E17

Time variation in macro-financial linkages

Deutsche Bundesbank Discussion Papers [View] (Paper: 13/2013, 23.04.2013)

Time variation in macro-financial linkages

Deutsche Bundesbank Discussion Papers [View] (Paper: 13/2013, 23.04.2013)

A survey of econometric methods for mixed-frequency data

Central Bank of Norway (Norges Bank) Working Papers [View] (Paper: 2013/06, 07.02.2013)

Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility

Cleveland Fed Working papers [View] (Paper: 1227, 30.11.2012)

Common Drifting Volatility in Large Bayesian VARs

Cleveland Fed Working papers [View] (Paper: 1206, 30.11.2012)

Selecting predictors by using Bayesian model averaging in bridge models

Bank of Italy Working Papers [View] (Paper: 872, 12.07.2012)

JEL: C22, C52, C53

Empirical Simultaneous Prediction Regions for Path-Forecasts

San Francisco Fed Working Papers [View] (Paper: 2012-05, 24.05.2012)

JEL: C32, C52, C53

U-MIDAS: MIDAS regressions with unrestricted lag polynomials

Deutsche Bundesbank Discussion Papers [View] (Paper: 201135, 06.02.2012)

JEL: C53, E37

Forecasting economic activity with higher frequency targeted predictors

Bank of Italy Working Papers [View] (Paper: 847, 03.02.2012)

U-MIDAS: MIDAS regressions with unrestricted lag polynomials

Deutsche Bundesbank Discussion Papers [View] (Paper: 35/2011, 21.12.2011)

JEL: C53, E37

Bayesian VARs: Specification Choices and Forecast Accuracy

Cleveland Fed Working papers [View] (Paper: 1112, 03.05.2011)

On the importance of sectoral and regional shocks for price-setting

European Central Bank Working papers [View] (Paper: 1334, 02.05.2011)

The changing international transmission of financial shocks: evidence from a classical time-varying FAVAR

Deutsche Bundesbank Discussion Papers [View] (Paper: 201105, 11.04.2011)

Classical time-varying FAVAR models - estimation, forecasting and structural analysis

Deutsche Bundesbank Discussion Papers [View] (Paper: 04/2011, 08.04.2011)

JEL: C30, C53, E52

Classical time-varying FAVAR models - estimation, forecasting and structural analysis

Deutsche Bundesbank Discussion Papers [View] (Paper: 201104, 08.04.2011)

Empirical simultaneous confidence regions for path-forecasts

Deutsche Bundesbank Discussion Papers [View] (Paper: 201006, 07.05.2010)

JEL: C32, C52, C53

Real time estimates of the euro area output gap: reliability and forecasting performance,

European Central Bank Working papers [View] (Paper: 1157, 25.02.2010)

MIDAS versus mixed-frequency VAR: nowcasting GDP in the euro area

Deutsche Bundesbank Discussion Papers [View] (Paper: 200907, 20.03.2009)

JEL: C53, E37

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

Deutsche Bundesbank Discussion Papers [View] (Paper: 200903, 05.03.2009)

JEL: C53, E37

A Measure for Credibility: Tracking US Monetary Developments

Netherlands Bank DNB Working Papers [View] (Paper: 187, 01.12.2008)

Factor-MIDAS for now- and forecasting with ragged-edge data: a model comparison for German GDP

Deutsche Bundesbank Discussion Papers [View] (Paper: 200734, 21.01.2008)

JEL: C53, E37

Econometric analyses with backdated data: unified Germany and the euro area

European Central Bank Working papers [View] (Paper: 0752, 23.05.2007)

JEL: C32, C43, C82

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