Discussion paper DP10801 Structural Analysis with Multivariate Autoregressive Index Models Massimiliano Marcellino George Kapetanios Andrea Carriero 6 Sep 2015 Monetary Economics and Fluctuations C11 C13 C33 C53
Discussion paper DP10610 Monetary, Fiscal and Oil Shocks: Evidence based on Mixed Frequency Structural FAVARs Massimiliano Marcellino 24 May 2015 International Macroeconomics C32 C43 E32
Discussion paper DP10390 Factor based identification-robust inference in IV regressions Massimiliano Marcellino George Kapetanios 1 Feb 2015 International Macroeconomics
Discussion paper DP9848 No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates Massimiliano Marcellino Andrea Carriero Todd Clark 2 Mar 2014 International Macroeconomics C32 C53 G17
Discussion paper DP9858 Structural FECM: Cointegration in large-scale structural FAVAR models Anindya Banerjee Massimiliano Marcellino Igor Masten 2 Mar 2014 International Macroeconomics C32 E17
Discussion paper DP9815 Markov-Switching Mixed-Frequency VAR Models Massimiliano Marcellino Claudia Foroni 9 Feb 2014 International Macroeconomics C53 E32 E37
Discussion paper DP9698 Regime Switches in the Risk-Return Trade-off Eric Ghysels Massimiliano Marcellino 27 Oct 2013 Financial Economics International Macroeconomics G10 G12
Discussion paper DP9436 Time Variation in Macro-Financial Linkages Massimiliano Marcellino Sandra Eickmeier Esteban Prieto 21 Apr 2013 International Macroeconomics C32 E3 E5
Discussion paper DP9334 Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility Massimiliano Marcellino Fabrizio Venditti 10 Feb 2013 International Macroeconomics C22 E27 E32
Discussion paper DP9312 Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility Massimiliano Marcellino Andrea Carriero Todd Clark 27 Jan 2013 International Macroeconomics C22 C53 E37
Discussion paper DP9313 Macroeconomic forecasting during the Great Recession: The return of non-linearity? Massimiliano Marcellino Laurent Ferrara Matteo Mogliani 27 Jan 2013 International Macroeconomics C22 C53 E37
Discussion paper DP8894 Common Drifting Volatility in Large Bayesian VARs Massimiliano Marcellino Andrea Carriero Todd Clark 12 Mar 2012 International Macroeconomics C11 C13 C33 C53