Discussion paper DP11558 Have Standard VARs Remained Stable Since the Crisis? Massimiliano Marcellino Knut Are Aastveit Andrea Carriero Todd Clark 6 Oct 2016 Monetary Economics and Fluctuations
Discussion paper DP11559 Point, interval and density forecasts of exchange rates with time-varying parameter models Massimiliano Marcellino Angela Abbate 6 Oct 2016 Monetary Economics and Fluctuations
Discussion paper DP11560 Large Time-Varying Parameter VARs: A Non-Parametric Approach Massimiliano Marcellino George Kapetanios Fabrizio Venditti 6 Oct 2016 Monetary Economics and Fluctuations
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