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:Some Cautions on the Use of Panel Methods for Integrated Series of Macroeconomic Data Author(s):MARCELLINO, MassimilianoDate:2004Citation:
- The Econometrics Journal, 2004, 7, 2, 322-340
Title:Forecast Pooling for European Macroeconomic Variables Author(s):MARCELLINO, MassimilianoDate:2004Citation:
- Oxford Bulletin of Economics and Statistics, 2004, 66, 1, 91-112
Title:Principal Components at Work: the Empirical Analysis of Monetary Policy with Large Data Sets Author(s):MARCELLINO, MassimilianoDate:2005Citation:
- Journal of Applied Econometrics, 2005, 20, 5, 603-620
Title:The Central and Eastern European Countries and the European Union Editor(s):BANERJEE, Anindya; ARTIS, Michael J.; MARCELLINO, MassimilianoDate:2006Citation:
- Cambridge, Cambridge University Press, 2006
Title:A credibility proxy : tracking US monetary developments Author(s):DEMERTZIS, Maria; MARCELLINO, Massimiliano; VIEGI, NicolaDate:2012Citation:
- B.E. Journal of Macroeconomics, 2012, Vol. 12, No. 1, pp. 1-34
Type:ArticleAbstract:The purpose of this paper is two-fold: first, we propose a method for checking empirically whether inflation expectations are anchored in the long run, and at what level. The extent of anchoring then serves as a proxy for ...