← All authors Massimiliano Marcellino Bocconi University (from arXiv:2402.10574, 2024) · ORCID · OpenAlex
138 papers in scope · 133 published · 9 on the econ.EM arXiv · 7,867 citations · h-index 46 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Philippe Goulet Coulombe Dalibor Stevanović Florian Huber Maxime Leroux Michele Piffer Haroon Mumtaz Karin Klieber Gary Koop Stéphane Surprenant Maximilian Goebel Maximilian Göbel Andrea Renzetti Joshua C. C. Chan Michael Pfarrhofer Luca Onorante Anna E. C. Simoni Josef Schreiner Niko Hauzenberger Todd E. Clark Jan Prüser Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (10 of 138)
An empirical investigation of the effects of monetary policy shocks on the Italian economy
published 2025 · Economics Letters
Nonparametric mixed frequency monitoring macro-at-risk
published 2025 · Economics Letters · 1 citations
Nonparametric Time Varying IV-SVARs: Estimation and Inference
published 2025 · The Review of Economics and Statistics · 2 citations
published 2025 · Economics Letters · 4 citations · first circulated 2024
Forecasting with shadow rate VARs
published 2025 · Quantitative Economics · 10 citations · first circulated 2021
Specification Choices in Quantile Regression for Empirical Macroeconomics
published 2024 · Journal of Applied Econometrics · 9 citations · first circulated 2022
working paper 2024 · arXiv
working paper 2024 · arXiv
Predicting Tail-Risks for the Italian Economy
published 2024 · Journal of Business Cycle Research · 2 citations
working paper 2024 · arXiv
published 2024 · Journal of Econometrics · 17 citations · first circulated 2022
Blended identification in structural VARs
published 2024 · Journal of Monetary Economics · 12 citations · first circulated 2023
published 2024 · The Annals of Applied Statistics · 15 citations · first circulated 2022
published 2024 · Journal of Business and Economic Statistics · 16 citations · first circulated 2021
working paper 2024 · arXiv · 4 citations
Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model
published 2024 · Journal of Business and Economic Statistics · 17 citations
Capturing Macro‐Economic Tail Risks with Bayesian Vector Autoregressions
published 2023 · Journal of money credit and banking · 37 citations
Mean group instrumental variable estimation of time-varying large heterogeneous panels with endogenous regressors
published 2023 · Econometrics and Statistics · 4 citations
working paper 2023 · arXiv
Macro uncertainty in the long run
published 2023 · Economics Letters · 3 citations · first circulated 2022
TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES
published 2022 · International Economic Review · 44 citations · first circulated 2021
Macroeconomic forecasting in a multi‐country context
published 2022 · Journal of Applied Econometrics · 8 citations
Addressing COVID-19 Outliers in BVARs with Stochastic Volatility
published 2022 · The Review of Economics and Statistics · 116 citations · first circulated 2021
Nowcasting tail risk to economic activity at a weekly frequency
published 2022 · Journal of Applied Econometrics · 38 citations
Measuring Uncertainty and Its Impact on the Economy
published 2022 · The Review of Economics and Statistics · 3 citations
The global component of inflation volatility
published 2022 · Journal of Applied Econometrics · 82 citations · first circulated 2018
Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty
published 2021 · Journal of Econometrics · 31 citations
published 2021 · National Institute Economic Review · 1 citations
NOWCASTING GDP GROWTH IN A SMALL OPEN ECONOMY
published 2021 · National Institute Economic Review · 14 citations
with Vasja Sivec
Time-varying instrumental variable estimation
published 2020 · Journal of Econometrics · 23 citations
No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates
published 2020 · Journal of Applied Econometrics · 9 citations
A Similarity-Based Approach for Macroeconomic Forecasting
published 2020 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 18 citations · first circulated 2019
Forecasting the Covid-19 Recession and Recovery: Lessons from the Financial Crisis
published 2020 · International Journal of Forecasting · 12 citations
Assessing international commonality in macroeconomic uncertainty and its effects
published 2019 · Journal of Applied Econometrics · 36 citations · first circulated 2018
Tax shocks with high and low uncertainty
published 2019 · Journal of Applied Econometrics · 14 citations · first circulated 2017
with Fabio Bertolotti
Large time‐varying parameter VARs: A nonparametric approach
published 2019 · Journal of Applied Econometrics · 38 citations
Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors” [J. Econometrics 212 (1) (2019) 137–154
published 2019 · Journal of Econometrics · 210 citations
Mixed‐frequency models with moving‐average components
published 2019 · Journal of Applied Econometrics · 19 citations
Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov-switching model
published 2018 · The Annals of Applied Statistics · 31 citations
Using low frequency information for predicting high frequency variables
published 2018 · International Journal of Forecasting · 14 citations · first circulated 2015
Markov-Switching Three-Pass Regression Filter
published 2018 · Journal of Business and Economic Statistics · 54 citations · first circulated 2017
with Pierre Guérin, Danilo Leiva-León, Danilo LeivaaLeon
Forecasting Gross Domestic Product Growth with large Unbalanced Data Sets: The Mixed Frequency Three-pass Regression Filter
published 2018 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 20 citations
with Christian Hepenstrick
Measuring Uncertainty and Its Impact on the Economy
published 2017 · The Review of Economics and Statistics · 246 citations · first circulated 2016
Structural FECM: Cointegration in large‐scale structural FAVAR models
published 2017 · Journal of Applied Econometrics · 21 citations · first circulated 2014
with Anindya Banerjee, Igor Masten
Point, Interval and Density Forecasts of Exchange Rates with Time Varying Parameter Models
published 2017 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 24 citations · first circulated 2016
with Angela Abbate
Explaining the time-varying effects of oil market shocks on US stock returns
published 2017 · Economics Letters · 35 citations
Forecasting economic activity by Bayesian bridge model averaging
published 2016 · Empirical Economics · 13 citations
with Lorenzo Bencivelli, Gianluca Moretti
A daily indicator of economic growth for the euro area
published 2016 · International Journal of Computational Economics and Econometrics · 5 citations
A Shrinkage Instrumental Variable Estimator for Large Datasets
published 2016 · L Actualité économique · 1 citations · first circulated 2008
The econometric analysis of mixed frequency data sampling
published 2016 · Journal of Econometrics · 10 citations
The Changing International Transmission of Financial Shocks: Evidence from a Classical Time‐Varying FAVAR
published 2016 · Journal of money credit and banking · 82 citations · first circulated 2011
with Angela Abbate, Sandra Eickmeier, Wolfgang Lemke
Monetary, fiscal and oil shocks: Evidence based on mixed frequency structural FAVARs
published 2016 · Journal of Econometrics · 4 citations
with Vasja Sivec
Structural analysis with Multivariate Autoregressive Index models
published 2016 · Journal of Econometrics · 24 citations · first circulated 2015
Time Variation in Macro‐Financial Linkages
published 2016 · Journal of Applied Econometrics · 74 citations · first circulated 2013
with Esteban Prieto, Sandra Eickmeier
Applied econometrics : a cross country comparison
published 2016 · Applied Econometrics
no link
On the Importance of Sectoral and Regional Shocks for Price‐Setting
published 2015 · Journal of Applied Econometrics · 39 citations · first circulated 2011
with Guenter W. Beck, Kirstin Hubrich, Günter W. Beck
The EFN experience in forecasting Euro area macroeconomic variables
published 2015 · Bulletin of EU and US inflation and macroeconomic analysis
no link
Mixed Frequency Structural Vector Auto-Regressive Models
published 2015 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 19 citations
Macroeconomic forecasting during the Great Recession: The return of non-linearity?
published 2015 · International Journal of Forecasting · 12 citations
Common Drifting Volatility in Large Bayesian VARs
published 2015 · Journal of Business and Economic Statistics · 204 citations · first circulated 2012
Factor‐Based Identification‐Robust Interference in IV Regressions
published 2015 · Journal of Applied Econometrics · 19 citations
Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods
published 2015 · Computational Statistics & Data Analysis · 27 citations
Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility
published 2015 · Journal of Business and Economic Statistics · 249 citations · first circulated 2013
with Mario Porqueddu, Fabrizio Venditti
EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries
published 2015 · International Journal of Forecasting · 13 citations · first circulated 2013
Realtime Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility
published 2015 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 104 citations
Markov-switching mixed-frequency VAR models
published 2014 · International Journal of Forecasting · 33 citations
Forecasting with a DSGE Model of a Small Open Economy within the Monetary Union
published 2014 · Journal of Forecasting · 15 citations · first circulated 2012
with Yuliya Rychalovska
Regime switches in the risk–return trade-off
published 2014 · Journal of Empirical Finance · 66 citations
Classical Time Varying Factor-Augmented Vector Auto-Regressive Models—Estimation, Forecasting and Structural Analysis
published 2014 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 69 citations
with Sandra Eickmeier, Wolfgang Lemke
MIXED‐FREQUENCY STRUCTURAL MODELS: IDENTIFICATION, ESTIMATION, AND POLICY ANALYSIS
published 2014 · Journal of Applied Econometrics · 34 citations · first circulated 2013
Forecasting economic activity with targeted predictors
published 2014 · International Journal of Forecasting · 210 citations · first circulated 2012
with Guido Bulligan, Fabrizio Venditti
Have Standard VARS Remained Stable Since the Crisis?
published 2014 · Journal of Applied Econometrics · 51 citations
Unrestricted Mixed Data Sampling (MIDAS): MIDAS Regressions with Unrestricted Lag Polynomials
published 2013 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 281 citations · first circulated 2011
The effects of the monetary policy stance on the transmission mechanism
published 2013 · Studies in Nonlinear Dynamics and Econometrics · 12 citations
with Ana Beatriz Galvão
A comparison of mixed frequency approaches for nowcasting Euro area macroeconomic aggregates
published 2013 · International Journal of Forecasting · 133 citations
Forecasting with factor-augmented error correction models
published 2013 · International Journal of Forecasting · 77 citations · first circulated 2008
with Anindya Banerjee, Igor Masten
Empirical simultaneous prediction regions for path-forecasts
published 2013 · International Journal of Forecasting · 16 citations · first circulated 2010
Bayesian VARs: Specification Choices and Forecast Accuracy
published 2013 · Journal of Applied Econometrics · 224 citations · first circulated 2011
The multiscale causal dynamics of foreign exchange markets
published 2012 · Journal of International Money and Finance · 81 citations · first circulated 2011
with Stelios Bekiros
Markov-Switching MIDAS Models
published 2012 · Journal of Business and Economic Statistics · 110 citations · first circulated 2011
with Pierre Guérin
A Credibility Proxy: Tracking US Monetary Developments
published 2012 · The B E Journal of Macroeconomics · 50 citations · first circulated 2008
with Maria Demertzis, Nicola Viegi, De Nederl, Sche Bank
POOLING VERSUS MODEL SELECTION FOR NOWCASTING GDP WITH MANY PREDICTORS: EMPIRICAL EVIDENCE FOR SIX INDUSTRIALIZED COUNTRIES
published 2012 · Journal of Applied Econometrics · 122 citations
with Владимир Кузин, Christian Schumacher
Forecasting government bond yields with large Bayesian vector autoregressions
published 2012 · Journal of Banking & Finance · 91 citations
LSM: A DSGE model for Luxembourg
published 2011 · Economic Modelling · 7 citations
with Szabolcs Deák, Lionel Fontagné, Marco Maffezzoli
The reliability of real-time estimates of the euro area output gap
published 2011 · Economic Modelling · 86 citations · first circulated 2010
with Alberto Musso
Econometric analyses with backdated data: Unified Germany and the euro area
published 2011 · Economic Modelling · 24 citations · first circulated 2007
with Elena Angelini
EUROMIND: A Monthly Indicator of the Euro Area Economic Conditions
published 2010 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 93 citations
Sectoral Survey-based Confidence Indicators for Europe*
published 2010 · Oxford Bulletin of Economics and Statistics · 15 citations · first circulated 2007
Factor MIDAS for Nowcasting and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP*
published 2010 · Oxford Bulletin of Economics and Statistics · 305 citations · first circulated 2007
with Christian Schumacher
MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area
published 2010 · International Journal of Forecasting · 323 citations · first circulated 2009
with Владимир Кузин, Christian Schumacher, Vladimir N. Kuzin
Factor-GMM estimation with large sets of possibly weak instruments
published 2010 · Computational Statistics & Data Analysis · 28 citations
Cross-sectional averaging and instrumental variable estimation with many weak instruments
published 2010 · Economics Letters · 7 citations · first circulated 2008
Path forecast evaluation
published 2010 · Journal of Applied Econometrics · 65 citations · first circulated 2008
Forecasting large datasets with Bayesian reduced rank multivariate models
published 2010 · Journal of Applied Econometrics · 104 citations · first circulated 2007
Introduction to advances in business cycle analysis and forecasting
published 2010 · Journal of Forecasting · 3 citations
with Gian Luigi Mazzi
Survey data as coincident or leading indicators
published 2009 · Journal of Forecasting · 49 citations
A parametric estimation method for dynamic factor models of large dimensions
published 2009 · Journal of Time Series Analysis · 42 citations · first circulated 2003
Forecasting exchange rates with a large Bayesian VAR
published 2009 · International Journal of Forecasting · 172 citations · first circulated 2008
Regional inflation dynamics within and across euro area countries and a comparison with the United States
published 2008 · Economic Policy · 133 citations · first circulated 2006
with Guenter W. Beck, Kirstin Hubrich, Günter W. Beck
Model Selection for Nested and Overlapping Nonlinear, Dynamic and Possibly Mis‐specified Models*
published 2008 · Oxford Bulletin of Economics and Statistics · 13 citations
with Barbara Rossi
Foreword
published 2008 · Oxford Bulletin of Economics and Statistics · 4 citations
with David F. Hendry, Chiara Monfardini
Guest Editors’ Introduction to Special Issue on Encompassing
published 2008 · Oxford Bulletin of Economics and Statistics · 9 citations
with David F. Hendry, Grayham E. Mizon
Factor analysis in a model with rational expectations
published 2008 · Econometrics Journal · 21 citations · first circulated 2007
with Andreas Beyer, Roger E. A. Farmer, Jrme Henry, Jérôme Henry
Forecasting euro area variables with German pre‐EMU data
published 2008 · Journal of Forecasting · 16 citations · first circulated 2006
A linear benchmark for forecasting GDP growth and inflation?
published 2008 · Journal of Forecasting · 59 citations
Variköz Ven Strippingine Karşı Hemodinamik Düzeltme (CHIVA)Uzun Dönem Randomize Bir Çalışma
published 2008 · European Journal of Vascular and Endovascular Surgery · 1 citations
with Sergio Carandina, Carme Ribas Marí, M. De Palma, C. Cisno, A. Zamboni
no link
A comparison of methods for the construction of composite coincident and leading indexes for the UK
published 2007 · International Journal of Forecasting · 25 citations
The transmission mechanism in a changing world
published 2007 · Journal of Applied Econometrics · 53 citations · first circulated 2003
with Michael J. Artis, Ana Beatriz Galvão
A macroeconometric model for the Euro economy
published 2007 · Journal of Policy Modeling · 30 citations
with Christian Dreger
Pooling‐Based Data Interpolation and Backdating
published 2006 · Journal of Time Series Analysis · 14 citations · first circulated 2005
Some stylized facts on non-systematic fiscal policy in the Euro area
published 2006 · Journal of Macroeconomics · 29 citations
Factor based index tracking
published 2005 · Journal of Banking & Finance · 8 citations
with Francesco Corielli
Interpolation and backdating with a large information set
published 2005 · Journal of Economic Dynamics and Control · 53 citations · first circulated 2003
with Elena Angelini, Jérôme Henry
Leading Indicators for Euro‐area Inflation and GDP Growth*
published 2005 · Oxford Bulletin of Economics and Statistics · 135 citations · first circulated 2003
with Anindya Banerjee, Igor Masten
Modelling and Forecasting Fiscal Variables for the Euro Area*
published 2005 · Oxford Bulletin of Economics and Statistics · 44 citations
with Carlo A. Favero
Are there any reliable leading indicators for US inflation and GDP growth?
published 2005 · International Journal of Forecasting · 156 citations · first circulated 2002
with Anindya Banerjee, Igor Masten
A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
published 2005 · Journal of Econometrics · 186 citations
Principal components at work: the empirical analysis of monetary policy with large data sets
published 2005 · Journal of Applied Econometrics · 169 citations
with Carlo A. Favero, Francesca Neglia
Factor forecasts for the UK
published 2005 · Journal of Forecasting · 177 citations · first circulated 2001
with Michael J. Artis, Anindya Banerjee
Business Cycles in the New EU Member Countries and their Conformity with the Euro Area
published 2005 · Journal of Business Cycle Measurement and Analysis · 23 citations
Some cautions on the use of panel methods for integrated series of macroeconomic data
published 2004 · Econometrics Journal · 106 citations · first circulated 2001
with Anindya Banerjee, Chiara Osbat
Time‐scale transformations of discrete time processes
published 2004 · Journal of Time Series Analysis · 2 citations · first circulated 2003
Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area
published 2004 · Oxford Bulletin of Economics and Statistics · 132 citations
Forecasting EMU macroeconomic variables
published 2004 · International Journal of Forecasting · 5 citations
Forecast Pooling for European Macroeconomic Variables*
published 2004 · Oxford Bulletin of Economics and Statistics · 5 citations
Grandes bases de datos, pequeños modelos y política monetaria en Europa
published 2004 · Clm.economía: Revista económica de Castilla - La Mancha
with Carlo A. Favero
no link
MODELING HIGH-FREQUENCY FOREIGN EXCHANGE DATA DYNAMICS
published 2003 · Macroeconomic Dynamics · 6 citations
Macroeconomic forecasting in the Euro area: Country specific versus area-wide information
published 2003 · European Economic Review · 430 citations
A Markov-switching vector equilibrium correction model of the UK labour market
published 2002 · Empirical Economics · 92 citations · first circulated 2001
with Hans-Martin Krolzig, Grayham E. Mizon
ROBUST DECISION THEORY AND THE LUCAS CRITIQUE
published 2002 · Macroeconomic Dynamics · 43 citations · first circulated 2001
with Mark Salmon
Fiscal forecasting: The track record of the IMF, OECD and EC
published 2001 · Econometrics Journal · 127 citations · first circulated 1999
with Michael J. Artis
Small‐system modelling of real wages, inflation, unemployment and output per capita in Italy 1970–1994
published 2001 · Journal of Applied Econometrics · 33 citations · first circulated 2000
with Grayham E. Mizon
Testing for PPP: Should We Use Panel Methods?
published 2001 · Empirical Economics · 13 citations
with Anindya Banerjee, Chiara Osbat
Forecast Bias and MSFE Encompassing
published 2000 · Oxford Bulletin of Economics and Statistics · 5 citations
Modelling shifts in the wage–price and unemployment–inflation relationships in Italy, Poland and the UK
published 2000 · Economic Modelling · 26 citations · first circulated 1999
with Grayham E. Mizon
Linear aggregation with common trends and cycles
published 2000 · Research in Economics
Ex post and ex ante analysis of provisional data
published 1999 · Journal of Forecasting · 13 citations · first circulated 1998
Some Consequences of Temporal Aggregation in Empirical Analysis
published 1999 · Journal of Business and Economic Statistics · 260 citations · first circulated 1996
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