Massimiliano Marcellino - Central Bank Research Hub

A survey of econometric methods for mixed-frequency data

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

Common Drifting Volatility in Large Bayesian VARs

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

Empirical Simultaneous Prediction Regions for Path-Forecasts

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

JEL: C32, C52, C53

Forecasting economic activity with higher frequency targeted predictors

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

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

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

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

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

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

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

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

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