Title:The multiscale causal dynamics of foreign exchange markets Author(s):BEKIROS, Stelios D.; MARCELLINO, MassimilianoDate:2013Citation:
- Journal of International Money and Finance, 2013, Vol. 33, pp. 282-305
Type:ArticleAbstract:This paper relies on wavelet multiresolution analysis to investigate the dependence structure and predictability of currency markets across different timescales. It explores the nature and direction of causality among the ...
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:Markov switching MIDAS models Author(s):GUERIN, Pierre; MARCELLINO, MassimilianoDate:2013Citation:
- Journal of Business and Economic Statistics, 2013, Vol. 31, No. 1, pp. 45-56
Type:ArticleAbstract:This article introduces a new regression model—Markov-switching mixed data sampling (MS-MIDAS)—that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of ...
Title:MIDAS vs. Mixed-Frequency VAR: Nowcasting GDP in the Euro Area Author(s):KUZIN, Vladimir; MARCELLINO, Massimiliano; SCHUMACHER, ChristianDate:2011Citation:
- International Journal of Forecasting, 2011, 27, 2, 529-542
Type:ArticleAbstract: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, e.g. monthly and quarterly series. MIDAS leads to parsimonious ...
Title:Sectoral Survey-based Confidence Indicators for Europe Author(s):CARRIERO, Andrea; MARCELLINO, MassimilianoDate:2011Citation:
- Oxford Bulletin of Economics and Statistics, 2011, 73, 2, 175–206
Type:ArticleAbstract:We analyse a novel dataset of Business and Consumer Surveys, using dynamic factor techniques, to produce composite coincident indices (CCIs) at the sectoral level for the European countries and for Europe. Surveys are ...
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:The Reliability of Real Time Estimates of the Euro Area Output Gap Author(s):MARCELLINO, Massimiliano; MUSSO, AlbertoDate:2011Citation:
- Economic Modelling, 2011, 28, 4, 1842–1856
Type:ArticleAbstract:This paper provides evidence on the reliability of euro area real-time output gap estimates. A genuine real-time data set for the euro area is used, including vintages of several sets of euro area output gap estimates ...
Title:EUROMIND: A monthly indicator of the euro area economic conditions Author(s):FRALE, Cecilia; MARCELLINO, Massimiliano; MAZZI, Gianluigi; PROIETTI, TommasoDate:2011Citation:
- Journal of the Royal Statistical Society, Series A, 2011, 74, 2, 439-470
Type:ArticleAbstract:Continuous monitoring of the evolution of the economy is fundamental for the decisions of public and private decision makers. The paper proposes EUROMIND, which is a new monthly indicator of the euro area economic conditions, ...
Title:Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2011Citation:
- Journal of Applied Econometrics, 2011, 26, 5, 736-761
Type:ArticleAbstract:The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and compare their predictive performance for US ...