Massimiliano Marcellino : Citation Profile

Università Commerciale Luigi Bocconi (50% share)
Università Commerciale Luigi Bocconi (50% share)

46

H index

120

i10 index

7673

Citations

RESEARCH PRODUCTION:

125

Articles

280

Papers

10

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   28 years (1997 - 2025). See details.
   Cites by year: 274
   Journals where Massimiliano Marcellino has often published
   Relations with other researchers
   Recent citing documents: 415.    Total self citations: 238 (3.01 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pma114
   Updated: 2025-11-01    RAS profile: 2025-10-09    
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Relations with other researchers

Works with:

Clark, Todd (28)

Huber, Florian (18)

Carriero, Andrea (18)

Stevanovic, Dalibor (16)

Pfarrhofer, Michael (10)

Mertens, Elmar (9)

Kapetanios, George (7)

Koop, Gary (7)

Foroni, Claudia (6)

Goulet Coulombe, Philippe (5)

Gelain, Paolo (2)

Dendramis, Yiannis (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Massimiliano Marcellino.

Is cited by:

Koop, Gary (159)

Huber, Florian (131)

Korobilis, Dimitris (109)

Kapetanios, George (78)

Chan, Joshua (76)

Eickmeier, Sandra (74)

GUPTA, RANGAN (74)

Ferrara, Laurent (69)

Giannone, Domenico (67)

Hecq, Alain (60)

Ravazzolo, Francesco (50)

Cites to:

Reichlin, Lucrezia (351)

Giannone, Domenico (269)

Watson, Mark (225)

Stock, James (171)

Forni, Mario (152)

Clark, Todd (137)

Lippi, Marco (126)

Ng, Serena (122)

Hendry, David (103)

Hallin, Marc (93)

Kapetanios, George (85)

Main data

Where Massimiliano Marcellino has published?

Journals with more than one article published# docs
Journal of Applied Econometrics18
International Journal of Forecasting16
Oxford Bulletin of Economics and Statistics11
Journal of the Royal Statistical Society Series A8
Journal of Econometrics7
Journal of Business & Economic Statistics6
Economics Letters5
Economic Modelling4
Journal of Forecasting4
Journal of Applied Econometrics4
Journal of Time Series Analysis3
Empirical Economics3
Econometrics Journal3
Macroeconomic Dynamics2
Journal of Banking & Finance2
The Review of Economics and Statistics2
Journal of Money, Credit and Banking2
National Institute Economic Review2
Computational Statistics & Data Analysis2

Working Papers Series with more than one paper published# docs
CEPR Discussion Papers / C.E.P.R. Discussion Papers70
Economics Working Papers / European University Institute26
Papers / arXiv.org13
Working Papers / Federal Reserve Bank of Cleveland12
Working Paper Series / European Central Bank10
Working Papers (Old Series) / Federal Reserve Bank of Cleveland8
BAFFI CAREFIN Working Papers / BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy7
Discussion Paper Series 1: Economic Studies / Deutsche Bundesbank7
Temi di discussione (Economic working papers) / Bank of Italy, Economic Research and International Relations Area6
Working Papers / Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management5
Discussion Papers / Deutsche Bundesbank5
Working Papers / University of California, Davis, Department of Economics3
RSCAS Working Papers / European University Institute3
CFS Working Paper Series / Center for Financial Studies (CFS)2
Discussion Papers / Department of Economics, University of Birmingham2
Post-Print / HAL2
Staff Working Papers / Bank of Canada2
NBER Working Papers / National Bureau of Economic Research, Inc2

Recent works citing Massimiliano Marcellino (2025 and 2024)

YearTitle of citing document
2025Tax and macroeconomic framework. The case of Greece. (2025). Asimakopoulos, Panagiotis. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxxii:y:2025:i:1(642):p:237-250.

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2024A Crude Palm Oil Industry Concentration and Influencing Factors: A Case Study of Indonesia as the Worlds Largest Producer. (2024). Susetyo, Didik ; Suhel, Suhel ; Marwa, Taufiq ; Robiani, Bernadette ; Hidayat, Ariodillah ; Mukhlis, Mukhlis. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:348965.

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2025When do common time series estimands have nonparametric causal meaning?. (2025). Shephard, Neil ; Rambachan, Ashesh. In: Papers. RePEc:arx:papers:1903.01637.

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2024High-frequency and heteroskedasticity identification in multicountry models: Revisiting spillovers of monetary shocks. (2024). Pfarrhofer, Michael ; Stelzer, Anna. In: Papers. RePEc:arx:papers:1912.03158.

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2024Time-Varying Parameters as Ridge Regressions. (2024). Goulet Coulombe, Philippe. In: Papers. RePEc:arx:papers:2009.00401.

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2024Asymmetric uncertainty : Nowcasting using skewness in real-time data. (2024). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601.

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2024Financial-cycle ratios and medium-term predictions of GDP: Evidence from the United States. (2024). Moramarco, Graziano. In: Papers. RePEc:arx:papers:2111.00822.

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2024A Neural Phillips Curve and a Deep Output Gap. (2024). Goulet Coulombe, Philippe. In: Papers. RePEc:arx:papers:2202.04146.

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2025Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!. (2025). Kastner, Gregor ; Gruber, Luis. In: Papers. RePEc:arx:papers:2206.04902.

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2024Unit Averaging for Heterogeneous Panels. (2024). Brownlees, Christian ; Morozov, Vladislav. In: Papers. RePEc:arx:papers:2210.14205.

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2024Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2024). van Huellen, Sophie ; Dellaportas, Petros ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Ortega, Juan-Pablo ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363.

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2024Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications. (2024). Rossini, Luca ; Iacopini, Matteo ; Ravazzolo, Francesco. In: Papers. RePEc:arx:papers:2211.16121.

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2024Dynamic CVaR Portfolio Construction with Attention-Powered Generative Factor Learning. (2024). Yan, Xing ; Ma, Wenxuan ; Sun, Chuting. In: Papers. RePEc:arx:papers:2301.07318.

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2024Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2024). Wilms, Ines ; Hecq, Alain ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592.

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2024Fast Forecasting of Unstable Data Streams for On-Demand Service Platforms. (2024). Wilms, Ines ; Hu, Yu Jeffrey ; Rombouts, Jeroen. In: Papers. RePEc:arx:papers:2303.01887.

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2024Estimation of Grouped Time-Varying Network Vector Autoregression Models. (2024). Li, Degui ; Wu, Wei Biao ; Tang, Songqiao ; Peng, Bin. In: Papers. RePEc:arx:papers:2303.10117.

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2025GDP nowcasting with artificial neural networks: How much does long-term memory matter?. (2025). , Krist'Of ; Hadh, D'Aniel. In: Papers. RePEc:arx:papers:2304.05805.

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2024Theory coherent shrinkage of Time-Varying Parameters in VARs. (2024). Renzetti, Andrea. In: Papers. RePEc:arx:papers:2311.11858.

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2024From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks. (2024). Goulet Coulombe, Philippe ; Frenette, Mikael ; Klieber, Karin. In: Papers. RePEc:arx:papers:2311.16333.

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2025A Quantile Nelson-Siegel model. (2024). Rossini, Luca ; Poon, Aubrey ; Iacopini, Matteo ; Zhu, Dan. In: Papers. RePEc:arx:papers:2401.09874.

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2024Bayesian Bi-level Sparse Group Regressions for Macroeconomic Density Forecasting. (2024). Mogliani, Matteo ; Simoni, Anna. In: Papers. RePEc:arx:papers:2404.02671.

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2025Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference. (2024). Uzeda, Luis ; Lütkepohl, Helmut ; Wo, Tomasz ; Lutkepohl, Helmut ; Shang, Fei. In: Papers. RePEc:arx:papers:2404.11057.

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2024Optimal Text-Based Time-Series Indices. (2024). Bluteau, Keven ; Ardia, David. In: Papers. RePEc:arx:papers:2405.10449.

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2024Comparing predictive ability in presence of instability over a very short time. (2024). Rossini, Luca ; Iacone, Fabrizio ; Viselli, Andrea. In: Papers. RePEc:arx:papers:2405.11954.

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2024Generating density nowcasts for U.S. GDP growth with deep learning: Bayes by Backprop and Monte Carlo dropout. (2024). , Krist'Of ; Hadh, D'Aniel. In: Papers. RePEc:arx:papers:2405.15579.

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2024Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235.

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2025Estimating Time-Varying Parameters of Various Smoothness in Linear Models via Kernel Regression. (2025). Nishi, Mikihito. In: Papers. RePEc:arx:papers:2406.14046.

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2024MIDAS-QR with 2-Dimensional Structure. (2024). Szendrei, Tibor ; Schaffer, Mark ; Bhattacharjee, Arnab. In: Papers. RePEc:arx:papers:2406.15157.

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2025Macroeconomic Forecasting with Large Language Models. (2025). Shekhar, Shubhranshu ; Carriero, Andrea ; Pettenuzzo, Davide. In: Papers. RePEc:arx:papers:2407.00890.

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2024Reduced-Rank Matrix Autoregressive Models: A Medium $N$ Approach. (2024). Wilms, Ines ; Hecq, Alain ; Ricardo, Ivan. In: Papers. RePEc:arx:papers:2407.07973.

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2024Nowcasting R&D Expenditures: A Machine Learning Approach. (2024). de Rassenfosse, Ga'Etan ; Aboutorabi, Atin. In: Papers. RePEc:arx:papers:2407.11765.

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2024Momentum Informed Inflation-at-Risk. (2024). Szendrei, Tibor ; Bhattacharjee, Arnab. In: Papers. RePEc:arx:papers:2408.12286.

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2024The Transmission of Monetary Policy via Common Cycles in the Euro Area. (2024). Pruser, Jan ; Berend, Lukas. In: Papers. RePEc:arx:papers:2410.05741.

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2025Fast and Efficient Bayesian Analysis of Structural Vector Autoregressions Using the R Package bsvars. (2025). Wo, Tomasz. In: Papers. RePEc:arx:papers:2410.15090.

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2024International vulnerability of inflation. (2024). Ruiz, Esther ; Garr, Ignacio ; Rodr, Vladimir C. In: Papers. RePEc:arx:papers:2410.20628.

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2024Sparse Interval-valued Time Series Modeling with Machine Learning. (2024). Wang, Shouyang ; Sun, Yuying ; Hong, Yongmiao ; Bao, Haowen. In: Papers. RePEc:arx:papers:2411.09452.

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2024Density forecast transformations. (2024). Odendahl, Florens ; Mogliani, Matteo. In: Papers. RePEc:arx:papers:2412.06092.

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2025VAR models with an index structure: A survey with new results. (2024). Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2412.11278.

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2024Dual Interpretation of Machine Learning Forecasts. (2024). Goulet Coulombe, Philippe ; Goebel, Maximilian ; Klieber, Karin. In: Papers. RePEc:arx:papers:2412.13076.

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2024A large non-Gaussian structural VAR with application to Monetary Policy. (2024). Pruser, Jan. In: Papers. RePEc:arx:papers:2412.17598.

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2025High-frequency Density Nowcasts of U.S. State-Level Carbon Dioxide Emissions. (2025). Garr, Ignacio ; Ramos, Andrey. In: Papers. RePEc:arx:papers:2501.03380.

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2025Bayesian Analyses of Structural Vector Autoregressions with Sign, Zero, and Narrative Restrictions Using the R Package bsvarSIGNs. (2025). Wo, Tomasz ; Wang, Xiaolei. In: Papers. RePEc:arx:papers:2501.16711.

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2025Misspecification-Robust Shrinkage and Selection for VAR Forecasts and IRFs. (2025). Schorfheide, Frank ; Gonz, Oriol. In: Papers. RePEc:arx:papers:2502.03693.

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2025Self-Normalized Inference in (Quantile, Expected Shortfall) Regressions for Time Series. (2025). Schulz, Christian ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2502.10065.

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2025Binary Outcome Models with Extreme Covariates: Estimation and Prediction. (2025). Liu, Laura ; Wang, Yulong. In: Papers. RePEc:arx:papers:2502.16041.

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2025Minnesota BART. (2025). Carvalho, Carlos M ; Lima, Pedro A ; Herren, Andrew ; Lopes, Hedibert F. In: Papers. RePEc:arx:papers:2503.13759.

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2025Large Structural VARs with Multiple Sign and Ranking Restrictions. (2025). Matthes, Christian ; Chan, Joshua ; Yu, Xuewen. In: Papers. RePEc:arx:papers:2503.20668.

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2025Non-linear Phillips Curve for India: Evidence from Explainable Machine Learning. (2025). Pawar, Amit ; Pratap, Bhanu ; Sengupta, Shovon. In: Papers. RePEc:arx:papers:2504.05350.

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2025Bayesian Shrinkage in High-Dimensional VAR Models: A Comparative Study. (2025). Katz, Harrison ; Weiss, Robert E. In: Papers. RePEc:arx:papers:2504.05489.

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2025Robust Tests for Factor-Augmented Regressions with an Application to the novel EA-MD Dataset. (2025). Stauskas, Ovidijus ; Morico, Alessandro. In: Papers. RePEc:arx:papers:2504.08455.

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2025Scenario Synthesis and Macroeconomic Risk. (2025). Giannone, Domenico ; Luciani, Matteo ; Adrian, Tobias ; West, Mike. In: Papers. RePEc:arx:papers:2505.05193.

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2025Forecasting Thai inflation from univariate Bayesian regression perspective. (2025). Arwatchanakarn, Popkarn ; Taveeapiradeecharoen, Paponpat. In: Papers. RePEc:arx:papers:2505.05334.

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2025Exploring Monetary Policy Shocks with Large-Scale Bayesian VARs. (2025). Korobilis, Dimitris. In: Papers. RePEc:arx:papers:2505.06649.

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2025Opening the Black Box of Local Projections. (2025). Coulombe, Philippe Goulet ; Klieber, Karin. In: Papers. RePEc:arx:papers:2505.12422.

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2025Large structural VARs with multiple linear shock and impact inequality restrictions. (2025). Berend, Lukas ; Pruser, Jan. In: Papers. RePEc:arx:papers:2505.19244.

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2025A Gibbs Sampler for Efficient Bayesian Inference in Sign-Identified SVARs. (2025). Arias, Jonas E ; Rubio-Ram, Juan F ; Shin, Minchul. In: Papers. RePEc:arx:papers:2505.23542.

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2025Machine-learning Growth at Risk. (2025). Lee, Ji Hyung ; Dovi, Max-Sebastian ; Chen, Hongqi ; Adrian, Tobias. In: Papers. RePEc:arx:papers:2506.00572.

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2025Let the Tree Decide: FABART A Non-Parametric Factor Model. (2025). Velasco, Sofia. In: Papers. RePEc:arx:papers:2506.11551.

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2025Heterogeneous Exposures to Systematic and Idiosyncratic Risk across Crypto Assets: A Divide-and-Conquer Approach. (2025). Sarafidis, Vasilis ; Fernandez Bariviera, Aurelio ; Aslanidis, Nektarios ; Kapetanios, George. In: Papers. RePEc:arx:papers:2506.21100.

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2025SABR-Informed Multitask Gaussian Process: A Synthetic-to-Real Framework for Implied Volatility Surface Construction. (2025). Zhuang, Jirong ; Wu, Xuan. In: Papers. RePEc:arx:papers:2506.22888.

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2025Modeling European Electricity Market Integration during turbulent times. (2025). Rossini, Luca ; Ravazzolo, Francesco ; Viselli, Andrea. In: Papers. RePEc:arx:papers:2506.23289.

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2025Tracking the economy at high frequency. (2025). Jarr, Juan ; Garc, Freddy. In: Papers. RePEc:arx:papers:2507.07450.

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2025Forecasting Climate Policy Uncertainty: Evidence from the United States. (2025). Besher, Donia ; Gupta, Anirban Sen ; Chakraborty, Tanujit. In: Papers. RePEc:arx:papers:2507.12276.

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2025Testing Clustered Equal Predictive Ability with Unknown Clusters. (2025). Akgun, Oguzhan ; Urga, Giovanni ; Pirotte, Alain ; Yang, Zhenlin. In: Papers. RePEc:arx:papers:2507.14621.

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2025Graph Learning for Foreign Exchange Rate Prediction and Statistical Arbitrage. (2025). Klabjan, Diego ; Hong, Yoonsik. In: Papers. RePEc:arx:papers:2508.14784.

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2024Real-time Nowcasting Growth-at-Risk using the Survey of Professional Forecasters. (2024). Schick, Manuel. In: Working Papers. RePEc:awi:wpaper:0750.

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2025Risk Scenarios and Macroeconomic Forecasts. (2024). Stevanovic, Dalibor ; Moran, Kevin ; Surprenant, Stephane. In: Working Papers. RePEc:bbh:wpaper:24-01.

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2024Credit strikes back: the macroeconomic impact of the 2022-23 ECB monetary tightening and the role of lending rates. (2024). Notarpietro, Alessandro ; Neri, Stefano ; Conti, Antonio. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_884_24.

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2024Nowcasting Italian GDP growth: a Factor MIDAS approach. (2024). Silvestrini, Andrea ; Prifti, Orest ; Ceci, Donato. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1446_24.

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2025Inflation volatility across advanced and emerging economies during the COVID-19 pandemic. (2025). Briseo, Regina ; Arango-Castillo, Lenin ; Orraca, Mara Jos. In: Working Papers. RePEc:bdm:wpaper:2025-13.

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2024Detecting excessive credit growth: An approach based on structural counterfactuals. (2024). Sass, Magnus. In: Berlin School of Economics Discussion Papers. RePEc:bdp:dpaper:0046.

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2025Policy implications of losing credibility: Lessons from Colombia’s post-pandemic inflationary surge. (2025). Pulido, Jose ; Grajales-Olarte, Anderson ; Naranjo-Saldarriaga, Sara ; Hamann, Franz. In: Borradores de Economia. RePEc:bdr:borrec:1304.

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2024The Risk of Inflation Dispersion in the Euro Area. (2024). Lhuissier, Stéphane ; Tripier, Fabien ; Ortmans, Aymeric. In: Working papers. RePEc:bfr:banfra:954.

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2024A Mixed-Frequency Factor Model for Nowcasting French GDP. (2024). Bessec, Marie ; Andre, Julien. In: Working papers. RePEc:bfr:banfra:975.

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2025Economic activity, inflation, and monetary policy after extreme weather events: ENSO and its economic impact on the Peruvian economy. (2025). Pérez Forero, Fernando ; Ledesma, Alan ; Aguirre, John ; Rojas, Youel. In: BIS Working Papers. RePEc:bis:biswps:1276.

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2024Forecasting Key Macroeconomic Indicators Using DMA and DMS Methods. (2024). Pankratova, Anastasiia. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:83:y:2024:i:1:p:32-52.

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2024DYFARUS: Dynamic Factor Model to Forecast GDP by Output Using Input-Output Tables. (2024). Kryzhanovskij, Oleg ; Shuvalova, Zhanna ; Murashov, Yaroslav ; Kryzhanovskiy, Oleg ; Mogilat, Anastasia. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:83:y:2024:i:2:p:3-25.

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2024Forecasting Non-Oil and Gas Revenues in the Russian Budget. (2024). Sheremeta, Sergey ; Finagin, Matvey. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:83:y:2024:i:4:p:76-97.

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2025Nowcasting Russian GDP in a Mixed-Frequency DSGE Model with a Panel of Non-Modelled Variables. (2025). Eliseev, Alexander. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:84:y:2025:i:3:p:63-93.

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2024The effect of economic uncertainty on remittance flows from developed countries. (2024). Gnangnon, Sena Kimm. In: Economic Affairs. RePEc:bla:ecaffa:v:44:y:2024:i:2:p:267-280.

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2024Hybrid SV‐GARCH, t‐GARCH and Markov‐switching covariance structures in VEC models—Which is better from a predictive perspective?. (2024). Pajor, Anna ; Kwiatkowski, Ukasz ; Wroblewska, Justyna ; Osiewalski, Jacek. In: International Statistical Review. RePEc:bla:istatr:v:92:y:2024:i:1:p:62-86.

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2024Future directions in nowcasting economic activity: A systematic literature review. (2024). Pekarskiene, Irena ; Lukauskas, Mantas ; Grybauskas, Andrius ; Bruneckiene, Jurgita ; Pilinkiene, Vaida ; Stundziene, Alina. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:4:p:1199-1233.

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2024A Factor‐Augmented New Keynesian Phillips Curve for the European Union Countries. (2024). Westerlund, Joakim ; Norkute, Milda. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:4:p:794-810.

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2024Forms of fiscal governance in the Euro Area – An update. (2024). Baimbridge, Mark ; Catania, Moira ; Litsios, Ioannis. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:71:y:2024:i:3:p:346-378.

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2024The evolving international effects of Chinas government spending. (2024). Zhang, Wen. In: The World Economy. RePEc:bla:worlde:v:47:y:2024:i:5:p:1851-1869.

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2024Dynamic Shrinkage Priors for Large Time-Varying Parameter Regressions Using Scalable Markov Chain Monte Carlo Methods. (2024). Koop, Gary ; Huber, Florian ; Gary, Koop ; Florian, Huber ; Niko, Hauzenberger. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:2:p:201-225:n:2.

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2024Posterior Manifolds over Prior Parameter Regions: Beyond Pointwise Sensitivity Assessments for Posterior Statistics from MCMC Inference. (2024). Ramírez Hassan, Andrés ; Andres, Ramirez-Hassan ; Nhung, Nghiem ; Fung, Kwok Chun ; Liana, Jacobi. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:2:p:403-434:n:10.

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2024The Information Content of Conflict, Social Unrest and Policy Uncertainty Measures for Macroeconomic Forecasting. (2024). Rauh, Christopher ; Pérez, Javier ; Mueller, Hannes ; Molina Sánchez, Luis ; Diakonova, M ; Prez, J J. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2418.

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2024The Information Content of Conflict, Social Unrest and Policy Uncertainty Measures for Macroeconomic Forecasting. (2024). Rauh, Christopher ; Pérez, Javier ; Mueller, Hannes ; Molina Sánchez, Luis ; Diakonova, M ; Prez, J J. In: Janeway Institute Working Papers. RePEc:cam:camjip:2413.

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2025Beyond Aggregates: A Dual Lens on Eurozone Trend Inflation. (2025). Yakut, Dilan Aydin. In: Research Technical Papers. RePEc:cbi:wpaper:3/rt/25.

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2024Dynamic Factor Models and Fractional Integration – With an Application to US Real Economic Activity. (2024). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Piqueras, Pedro Jos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11486.

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2024Monthly Prefecture-Level GDP in Japan. (2024). Sunakawa, Takeki ; Nakata, Taisuke ; Fujii, Daisuke. In: CARF F-Series. RePEc:cfi:fseres:cf582.

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2024Risk Scenarios and Macroeconomic Impacts: Insights for Canadian Policy. (2024). Stevanovic, Dalibor ; Moran, Kevin ; Surprenant, Stphane. In: CIRANO Working Papers. RePEc:cir:cirwor:2024s-03.

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2025GDP 5.0: Real-Time, Micro-Founded and Sustainable Metrics for Beyond-GDP Economic Assessment. (2025). Elimam, Sarah ; Warin, Thierry. In: CIRANO Working Papers. RePEc:cir:cirwor:2025s-20.

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2024Economic Policy Uncertainty in Europe: Spillovers and Common Shocks. (2024). Šestořád, Tomáš ; Baxa, Jaromir ; Sestorad, Tomas. In: Working Papers. RePEc:cnb:wpaper:2024/9.

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2025Inflation at Risk: The Czech Case. (2025). Vlcek, Jan ; Franta, Michal. In: Working Papers. RePEc:cnb:wpaper:2025/8.

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2024International vulnerability of inflation. (2024). Ortega, Esther Ruiz ; Rodrguez, Carlos Vladimir ; Vedia, Ignacio Garrn. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:44814.

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2024Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference. (2024). Uzeda, Luis ; Lütkepohl, Helmut ; Woniak, Tomasz ; Lutkepohl, Helmut ; Shang, Fei. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2081.

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2024Harnessing Machine Learning for Real-Time Inflation Nowcasting. (2024). Schnorrenberger, Richard ; Moura, Guilherme Valle ; Schmidt, Aishameriane. In: Working Papers. RePEc:dnb:dnbwpp:806.

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2025Forecasting Dutch inflation using machine learning methods. (2025). de Winter, Jasper ; Rasiawan, Rajni ; Berben, Robert-Paul. In: Working Papers. RePEc:dnb:dnbwpp:828.

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2024Global Spillovers of US Monetary Policy: New Insights from the Remittance Channel. (2024). Aguilar Perez, Pablo. In: EconomiX Working Papers. RePEc:drm:wpaper:2024-27.

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Massimiliano Marcellino has edited the books:

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YearTitleTypeCited
2021Can Machine Learning Catch the COVID-19 Recession? In: Papers.
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2021Can Machine Learning Catch the COVID-19 Recession?.(2021) In: Working Papers.
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2021Can Machine Learning Catch the COVID-19 Recession?.(2021) In: CIRANO Working Papers.
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2021Can Machine Learning Catch the COVID-19 Recession?.(2021) In: CEPR Discussion Papers.
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2021CAN MACHINE LEARNING CATCH THE COVID-19 RECESSION?.(2021) In: National Institute Economic Review.
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2021Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model In: Papers.
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2021Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model.(2021) In: Working Papers.
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2024Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model.(2024) In: Journal of Business & Economic Statistics.
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2022Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty In: Papers.
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2025Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty.(2025) In: Journal of Business & Economic Statistics.
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2022Forecasting US Inflation Using Bayesian Nonparametric Models In: Papers.
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2024Bayesian Neural Networks for Macroeconomic Analysis In: Papers.
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2025Bayesian neural networks for macroeconomic analysis.(2025) In: Journal of Econometrics.
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2025Coarsened Bayesian VARs -- Correcting BVARs for Incorrect Specification In: Papers.
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2024Nowcasting with Mixed Frequency Data Using Gaussian Processes In: Papers.
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2024Bayesian modelling of VAR precision matrices using stochastic block networks In: Papers.
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2024Asymmetries in Financial Spillovers In: Papers.
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2024Nowcasting distributions: a functional MIDAS model In: Papers.
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2024Firm Heterogeneity and Macroeconomic Fluctuations: a Functional VAR model In: Papers.
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2024The Distributional Effects of Economic Uncertainty In: Papers.
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2024Machine Learning the Macroeconomic Effects of Financial Shocks In: Papers.
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2025Machine learning the macroeconomic effects of financial shocks.(2025) In: Economics Letters.
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2016Measuring Uncertainty and Its Impact on the Economy In: BAFFI CAREFIN Working Papers.
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2016Measuring Uncertainty and Its Impact on the Economy.(2016) In: Working Papers (Old Series).
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2018Measuring Uncertainty and Its Impact on the Economy.(2018) In: The Review of Economics and Statistics.
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2017Macroeconomic activity and risk indicators: an unstable relationship In: BAFFI CAREFIN Working Papers.
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2018Big Data Econometrics: Now Casting and Early Estimates In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper5
2021Boosting the Forecasting Power of Conditional Heteroskedasticity Models to Account for Covid-19 Outbreaks In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper3
2022Macro Uncertainty in the Long Run In: BAFFI CAREFIN Working Papers.
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2023Macro uncertainty in the long run.(2023) In: Economics Letters.
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2023Blended Identification in Structural VARs In: BAFFI CAREFIN Working Papers.
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2024Blended identification in structural VARs.(2024) In: Journal of Monetary Economics.
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2024Bayesian nonparametric methods for macroeconomic forecasting In: BAFFI CAREFIN Working Papers.
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2024Bayesian nonparametric methods for macroeconomic forecasting.(2024) In: Chapters.
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2020Forecasting the COVID-19 recession and recovery: Lessons from the financial crisis In: Working Papers.
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2020Forecasting the Covid-19 Recession and Recovery: Lessons from the Financial Crisis.(2020) In: CIRANO Working Papers.
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2020Forecasting the Covid-19 recession and recovery: Lessons from the financial crisis.(2020) In: CEPR Discussion Papers.
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2020Forecasting the Covid-19 recession and recovery: lessons from the financial crisis.(2020) In: Working Paper Series.
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2022Forecasting the Covid-19 recession and recovery: Lessons from the financial crisis.(2022) In: International Journal of Forecasting.
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2022The demand and supply of information about inflation In: Working Papers.
[Full Text][Citation analysis]		paper3
2022The demand and supply of information about inflation.(2022) In: CIRANO Working Papers.
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2024Inflation, Attention and Expectations In: Working Papers.
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2025Inflation, Attention and Expectations.(2025) In: CIRANO Working Papers.
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2025Panel Machine Learning with Mixed-Frequency Data: Monitoring State-Level Fiscal Variables In: Working Papers.
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2025Panel Machine Learning with Mixed-Frequency Data: Monitoring State-Level Fiscal Variables.(2025) In: CIRANO Working Papers.
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2013Regime Switches in the Risk-Return Trade-Off In: Staff Working Papers.
[Full Text][Citation analysis]		paper37
2013Regime Switches in the Risk-Return Trade-off.(2013) In: CEPR Discussion Papers.
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2014Regime switches in the risk–return trade-off.(2014) In: Journal of Empirical Finance.
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2017Markov-Switching Three-Pass Regression Filter In: Staff Working Papers.
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2017Markov-switching three-pass regression filter.(2017) In: Working Papers.
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2020Markov-Switching Three-Pass Regression Filter.(2020) In: Journal of Business & Economic Statistics.
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2017Large time-varying parameter VARs: a non-parametric approach In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper24
2016Large Time-Varying Parameter VARs: A Non-Parametric Approach.(2016) In: CEPR Discussion Papers.
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2019Large time‐varying parameter VARs: A nonparametric approach.(2019) In: Journal of Applied Econometrics.
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2018The global component of inflation volatility In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper32
2019The Global Component of Inflation Volatility.(2019) In: CEPR Discussion Papers.
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2022The global component of inflation volatility.(2022) In: Journal of Applied Econometrics.
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2020The economic drivers of volatility and uncertainty In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper3
2012Forecasting economic activity with higher frequency targeted predictors In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper17
2012Selecting predictors by using Bayesian model averaging in bridge models In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper9
2013Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility In: Temi di discussione (Economic working papers).
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2013Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility.(2013) In: CEPR Discussion Papers.
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2016Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility.(2016) In: Journal of Business & Economic Statistics.
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1999Some Consequences of Temporal Aggregation in Empirical Analysis. In: Journal of Business & Economic Statistics.
[Citation analysis]		article166
2012Macroeconomic forecasting during the Great Recession: The return of non-linearity? In: Working papers.
[Full Text][Citation analysis]		paper41
2013Macroeconomic forecasting during the Great Recession: The return of non-linearity?.(2013) In: CEPR Discussion Papers.
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2015Macroeconomic forecasting during the Great Recession: The return of non-linearity?.(2015) In: International Journal of Forecasting.
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2015Macroeconomic forecasting during the Great Recession: the return of non-linearity?.(2015) In: Post-Print.
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2009Forecasting with Factor-Augmented Error Correction Models In: Discussion Papers.
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2014Forecasting with factor-augmented error correction models.(2014) In: International Journal of Forecasting.
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2009Forecasting with Factor-augmented Error Correction Models.(2009) In: RSCAS Working Papers.
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2015An Overview of the Factor-augmented Error-Correction Model In: Discussion Papers.
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2016An Overview of the Factor-augmented Error-Correction Model.(2016) In: Advances in Econometrics.
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2011EUROMIND: a monthly indicator of the euro area economic conditions In: Journal of the Royal Statistical Society Series A.
[Citation analysis]		article46
2015Unrestricted mixed data sampling (MIDAS): MIDAS regressions with unrestricted lag polynomials In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]		article166
2015Classical time varying factor-augmented vector auto-regressive models—estimation, forecasting and structural analysis In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]		article34
2015Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]		article80
2013Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility.(2013) In: CEPR Discussion Papers.
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2012Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility.(2012) In: Working Papers (Old Series).
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2016Mixed frequency structural vector auto-regressive models In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]		article14
2018Point, interval and density forecasts of exchange rates with time varying parameter models In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]		article18
2016Point, interval and density forecasts of exchange rates with time-varying parameter models.(2016) In: CEPR Discussion Papers.
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2016Point, interval and density forecasts of exchange rates with time-varying parameter models.(2016) In: Discussion Papers.
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2019Forecasting gross domestic product growth with large unbalanced data sets: the mixed frequency three‐pass regression filter In: Journal of the Royal Statistical Society Series A.
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2020A similarity‐based approach for macroeconomic forecasting In: Journal of the Royal Statistical Society Series A.
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2020A Similarity-based Approach for Macroeconomic Forecasting.(2020) In: CEPR Discussion Papers.
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2004Time‐scale transformations of discrete time processes In: Journal of Time Series Analysis.
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2003Time-Scale Transformations of Discrete-Time Processes.(2003) In: Working Papers.
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2007Pooling‐Based Data Interpolation and Backdating In: Journal of Time Series Analysis.
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2005Pooling-based data interpolation and backdating.(2005) In: CEPR Discussion Papers.
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2005Pooling-based Data Interpolation and Backdating.(2005) In: Working Papers.
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2009A parametric estimation method for dynamic factor models of large dimensions In: Journal of Time Series Analysis.
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2006A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions.(2006) In: CEPR Discussion Papers.
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2000 Forecast Bias and MSFE Encompassing. In: Oxford Bulletin of Economics and Statistics.
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2000Forecast Bias and MSFE Encompassing In: Oxford Bulletin of Economics and Statistics.
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2004Forecast Pooling for European Macroeconomic Variables In: Oxford Bulletin of Economics and Statistics.
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2004Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area In: Oxford Bulletin of Economics and Statistics.
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2005Modelling and Forecasting Fiscal Variables for the Euro Area* In: Oxford Bulletin of Economics and Statistics.
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2005Modelling and Forecasting Fiscal Variables for the euro Area.(2005) In: CEPR Discussion Papers.
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2005Modelling and Forecasting Fiscal Variables for the Euro Area.(2005) In: Working Papers.
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2005Leading Indicators for Euro‐area Inflation and GDP Growth* In: Oxford Bulletin of Economics and Statistics.
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2003Leading Indicators for Euro Area Inflation and GDP Growth.(2003) In: CEPR Discussion Papers.
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2003Leading Indicators for Euro-area Inflation and GDP Growth.(2003) In: Working Papers.
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2008Foreword In: Oxford Bulletin of Economics and Statistics.
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2008Guest Editors’ Introduction to Special Issue on Encompassing In: Oxford Bulletin of Economics and Statistics.
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2008Model Selection for Nested and Overlapping Nonlinear, Dynamic and Possibly Mis‐specified Models* In: Oxford Bulletin of Economics and Statistics.
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2010Factor MIDAS for Nowcasting and Forecasting with Ragged‐Edge Data: A Model Comparison for German GDP In: Oxford Bulletin of Economics and Statistics.
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2011Sectoral Survey‐based Confidence Indicators for Europe In: Oxford Bulletin of Economics and Statistics.
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2007Sectoral Survey-based Confidence Indicators for Europe.(2007) In: Working Papers.
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2013A survey of econometric methods for mixed-frequency data In: Working Paper.
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2013A survey of econometric methods for mixed-frequency data.(2013) In: Economics Working Papers.
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2013Mixed frequency structural models: estimation, and policy analysis In: Working Paper.
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2014Mixed frequency structural VARs In: Working Paper.
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2014Have standard VARs remained stable since the crisis? In: Working Paper.
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2016Have Standard VARs Remained Stable Since the Crisis?.(2016) In: CEPR Discussion Papers.
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2014Have Standard VARs Remained Stable since the Crisis?.(2014) In: Working Papers (Old Series).
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2017Have Standard VARS Remained Stable Since the Crisis?.(2017) In: Journal of Applied Econometrics.
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2015Using low frequency information for predicting high frequency variables In: Working Paper.
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2018Using low frequency information for predicting high frequency variables.(2018) In: International Journal of Forecasting.
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2012A Credibility Proxy: Tracking US Monetary Developments In: The B.E. Journal of Macroeconomics.
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2014The effects of the monetary policy stance on the transmission mechanism In: Studies in Nonlinear Dynamics & Econometrics.
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2008Path Forecast Evaluation In: Working Papers.
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2008Path Forecast Evaluation.(2008) In: CEPR Discussion Papers.
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2008Path Forecast Evaluation.(2008) In: Economics Working Papers.
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2010Path forecast evaluation.(2010) In: Journal of Applied Econometrics.
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2003STOCHASTIC PROCESSES SUBJECT TO TIME SCALE TRANSFORMATIONS: AN APPLICATION TO HIGH-FREQUENCY FX DATA. In: Working Papers.
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2000STOCHASTIC PROCESSES SUBJECT TO TIME SCALE TRANSFORMATIONS: AN APPLICATION TO HIGH-FREQUENCY FX DATA..(2000) In: Department of Economics.
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Stochastic Processes Subject to Time-Scale Transformations: An Application to High-Frequency FX Data.() In: Working Papers.
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2015Factor based identification-robust inference in IV regressions In: CEPR Discussion Papers.
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2015Monetary, Fiscal and Oil Shocks: Evidence based on Mixed Frequency Structural FAVARs In: CEPR Discussion Papers.
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2016Monetary, fiscal and oil shocks: Evidence based on mixed frequency structural FAVARs.(2016) In: Journal of Econometrics.
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2015Structural Analysis with Multivariate Autoregressive Index Models In: CEPR Discussion Papers.
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2016Structural analysis with Multivariate Autoregressive Index models.(2016) In: Journal of Econometrics.
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2017Tax shocks with high and low uncertainty In: CEPR Discussion Papers.
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2019Tax shocks with high and low uncertainty.(2019) In: Journal of Applied Econometrics.
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2017Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model In: CEPR Discussion Papers.
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2019Assessing International Commonality in Macroeconomic Uncertainty and Its Effects In: CEPR Discussion Papers.
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2018Assessing International Commonality in Macroeconomic Uncertainty and Its Effects.(2018) In: Working Papers (Old Series).
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2019Assessing International Commonality in Macroeconomic Uncertainty and Its Effects.(2019) In: Working Papers.
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2020Assessing international commonality in macroeconomic uncertainty and its effects.(2020) In: Journal of Applied Econometrics.
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2020Time-Varying Instrumental Variable Estimation In: CEPR Discussion Papers.
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2021Time-varying instrumental variable estimation.(2021) In: Journal of Econometrics.
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2020Time-Varying Instrumental Variable Estimation.(2020) In: Working Papers.
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2021Addressing COVID-19 Outliers in BVARs with Stochastic Volatility In: CEPR Discussion Papers.
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2021Addressing COVID-19 Outliers in BVARs with Stochastic Volatility.(2021) In: Working Papers.
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2024Addressing COVID-19 Outliers in BVARs with Stochastic Volatility.(2024) In: The Review of Economics and Statistics.
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2022Addressing COVID-19 outliers in BVARs with stochastic volatility.(2022) In: Discussion Papers.
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2021Measuring Uncertainty and Its Effects in the COVID-19 Era In: CEPR Discussion Papers.
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2022Measuring Uncertainty and Its Effects in the COVID-19 Era.(2022) In: Working Papers.
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1998Fiscal Solvency and Fiscal Forecasting in Europe In: CEPR Discussion Papers.
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1998Fiscal Solvency and Fiscal Forecasting in Europe..(1998) In: Economics Working Papers.
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Fiscal Solvency and Fiscal Forecasting in Europe.() In: Working Papers.
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1999Fiscal Forecasting: the Track Record of the IMF, OECD, and EC In: CEPR Discussion Papers.
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2001Fiscal forecasting: The track record of the IMF, OECD and EC.(2001) In: Econometrics Journal.
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1999Fiscal Forecasting: the Track Record of the IMF, OECD and EC..(1999) In: Economics Working Papers.
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2001Large Datasets, Small Models and Monetary Policy in Europe In: CEPR Discussion Papers.
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Large Datasets, Small Models and Monetary Policy in Europe.() In: Working Papers.
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2002Factor Forecasts for the UK In: CEPR Discussion Papers.
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2001Factor Forecasts for the UK.(2001) In: Economics Working Papers.
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Factor forecasts for the UK.() In: Working Papers.
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2002Factor Based Index Tracking In: CEPR Discussion Papers.
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2006Factor based index tracking.(2006) In: Journal of Banking & Finance.
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Factor Based Index Trading.() In: Working Papers.
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