Title:Forecasting government bond yields with large Bayesian vector autoregressions Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2012Citation:
- Journal of Banking and Finance, 2012, Vol. 36, No. 7, pp. 2026-2047
Type:ArticleAbstract:We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the information contained in a large panel of yields. In particular, we use a large Bayesian Vector ...
Title:Model Selection for Nested and Overlapping Nonlinear Dynamic and Possibly Mis-specified Models Author(s):MARCELLINO, Massimiliano; ROSSI, BarbaraDate:2008Citation:
- Oxford Bulletin of Economics and Statistics, 2008, 70, s1, 867-893.
Title:Dating Business Cycles: a Methodological Contribution with an Application to the Euro Area Author(s):ARTIS, Michael J.; MARCELLINO, Massimiliano; PROIETTI, TommasoDate:2004Citation:
- Oxford Bulletin of Economics and Statistics, 2004, 66, 4, 537-565
Title:Forecasting with factor-augmented error correction models Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano; MASTEN, IgorDate:2014Citation:
- International journal of forecasting, 2014, Vol. 30, No. 3, pp. 589-612
Type:ArticleAbstract:As a generalization of the factor-augmented VAR (FAVAR) and of the Error Correction Model (ECM), Banerjee and Marcellino (2009) introduced the Factor-augmented Error Correction Model (FECM). The FECM combines error-correction, ...
Title:A comparison of mixed frequency approaches for nowcasting Euro area macroeconomic aggregates Author(s):FORONI, Claudia; MARCELLINO, MassimilianoDate:2014Citation:
- International journal of forecasting, 2014, Vol. 30, No. 3, pp. 554-568
Type:ArticleAbstract:In this paper, we focus on the different methods which have been proposed in the literature to date for dealing with mixed-frequency and ragged-edge datasets: bridge equations, mixed-data sampling (MIDAS), and mixed-frequency ...
Title:Forecasting Macroeconomic Variables for the New Member States Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano; MASTEN, IgorDate:2006Citation:
- Anindya BANERJEE, Michael ARTIS, Massimiliano MARCELLINO (eds), The Central and Eastern European Countries and the European Union, Cambridge, Cambridge University Press, 2006, 108-134
Type:Contribution to book
Title:Factor Analysis in a Model with Rational Expectations Author(s):BEYER, Andreas; FARMER, Roger E. A.; HENRY, Jérôme; MARCELLINO, MassimilianoDate:2008-01-01Citation:
- Econometrics Journal, 2008, 11, 2, 271-286
Type:ArticleAbstract:DSGE models are characterized by the presence of expectations as explanatory variables. To use these models for policy evaluation, the econometrician must estimate the parameters of expectation terms. Standard estimation ...
Title:Guest editors' introduction to special issue on encompassing Author(s):HENDRY, David F.; MARCELLINO, Massimiliano; MIZON, Grayham E.Date:2008Citation:
- Oxford bulletin of economics and statistics, 2008, 70, Supp., 715-720
Title:Forecasting Euro Area Variables with German Pre-EMU Data Author(s):BRUEGGEMANN, Ralf; LUETKEPOHL, Helmut; MARCELLINO, MassimilianoDate:2008Citation:
- Journal of Forecasting, 2008, 27, 6, 465-481.