Search Results - "Massimiliano Marcellino"

A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series by Marcellino, Massimiliano, Stock, James H., Watson, Mark W.

“…“Iterated” multiperiod-ahead time series forecasts are made using a one-period ahead model, iterated forward for the desired number of periods, whereas…”
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Regime switches in the risk–return trade-off by Ghysels, Eric, Guérin, Pierre, Marcellino, Massimiliano

“…This paper deals with the estimation of the risk–return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the…”
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Macroeconomic forecasting in the Euro area: Country specific versus area-wide information by Marcellino, Massimiliano, Stock, James H, Watson, Mark W

“…This paper compares several time series methods for short-run forecasting of Euro-wide inflation and real activity using data from 1982 to 1997. Forecasts are…”
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Beneficial effect of refined red palm oil on lipid peroxidation and monocyte tissue factor in HCV-related liver disease： a randomized controlled study by Catanzaro, Roberto, Zerbinati, Nicola, Solimene, Umberto, Marcellino, Massimiliano, Mohania, Dheeraj, Italia, Angelo, Ayala, Antonio, Marotta, Francesco

“…BACKGROUND： A large amount of endotoxin can be detected in the peripheral venous blood of patients with liver cirrhosis, contributing to the pathogenesis of…”
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A parametric estimation method for dynamic factor models of large dimensions by Kapetanios, George, Marcellino, Massimiliano

“…  The estimation of dynamic factor models for large sets of variables has attracted considerable attention recently, because of the increased availability of…”
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Factor forecasts for the UK by Artis, Michael J., Banerjee, Anindya, Marcellino, Massimiliano

“…Data are now readily available for a very large number of macroeconomic variables that are potentially useful when forecasting. We argue that recent…”
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Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors by Carriero, Andrea, Clark, Todd E., Marcellino, Massimiliano

“…Recent research has shown that a reliable vector autoregression (VAR) for forecasting and structural analysis of macroeconomic data requires a large set of…”
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Factor MIDAS for Nowcasting and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP by Marcellino, Massimiliano, Schumacher, Christian

“…In this article, we merge two strands from the recent econometric literature. First, factor models based on large sets of macroeconomic variables for…”
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The multiscale causal dynamics of foreign exchange markets by Bekiros, Stelios, Marcellino, Massimiliano

“…This paper relies on wavelet multiresolution analysis to investigate the dependence structure and predictability of currency markets across different…”
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Tax shocks with high and low uncertainty by Bertolotti, Fabio, Marcellino, Massimiliano

“…Summary We assess whether the effects of fiscal policy depend on the extent of uncertainty in the economy. Focusing on tax shocks, identified by the narrative…”
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Common Drifting Volatility in Large Bayesian VARs by Carriero, Andrea, Clark, Todd E., Marcellino, Massimiliano

“…The general pattern of estimated volatilities of macroeconomic and financial variables is often broadly similar. We propose two models in which conditional…”
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Point, interval and density forecasts of exchange rates with time varying parameter models by Abbate, Angela, Marcellino, Massimiliano

“…We explore whether modelling parameter time variation improves the point, interval and density forecasts of nine major exchange rates vis-à-vis the US dollar…”
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Blended identification in structural VARs by Carriero, Andrea, Marcellino, Massimiliano, Tornese, Tommaso

“…The proposed blended approach combines identification via heteroskedasticity with sign/narrative restrictions, and instrumental variables. Since…”
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Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility by Marcellino, Massimiliano, Porqueddu, Mario, Venditti, Fabrizio

“…In this article, we develop a mixed frequency dynamic factor model in which the disturbances of both the latent common factor and of the idiosyncratic…”
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Forecasting the Covid-19 recession and recovery: Lessons from the financial crisis by Foroni, Claudia, Marcellino, Massimiliano, Stevanovic, Dalibor

“…We consider simple methods to improve the growth nowcasts and forecasts obtained by mixed-frequency MIDAS and UMIDAS models with a variety of indicators during…”
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Specification Choices in Quantile Regression for Empirical Macroeconomics by Carriero, Andrea, Clark, Todd E., Marcellino, Massimiliano

“…Quantile regression has become widely used in empirical macroeconomics, in particular for estimating and forecasting tail risks. This paper examines various…”
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Time Variation in Macro-Financial Linkages by Prieto, Esteban, Eickmeier, Sandra, Marcellino, Massimiliano

“…We analyze the contribution of credit spread, house and stock price shocks to the US economy based on a time-varying parameter vector autoregressive model. We…”
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Time-varying instrumental variable estimation by Giraitis, Liudas, Kapetanios, George, Marcellino, Massimiliano

“…We develop non-parametric instrumental variable estimation and inferential theory for econometric models with possibly endogenous regressors whose coefficients…”
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MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area by Kuzin, Vladimir, Marcellino, Massimiliano, Schumacher, Christian

“…This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model specification in the presence of mixed-frequency data,…”
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Monetary, fiscal and oil shocks: Evidence based on mixed frequency structural FAVARs by Marcellino, Massimiliano, Sivec, Vasja

“…Large scale factor models have been often adopted both for forecasting and to identify structural shocks and their transmission mechanism. Mixed frequency…”
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