Details about Massimiliano Marcellino

Homepage:	http://www.igier.unibocconi.it/marcellino/
Workplace:	Dipartimento di Economia "Ettore Bocconi" (Ettore Bocconi Department of Economics), Università Commerciale Luigi Bocconi (Bocconi University), (more information at EDIRC) Innocenzo Gasparini Institute for Economic Research (IGIER), Università Commerciale Luigi Bocconi (Bocconi University), (more information at EDIRC)

Access statistics for papers by Massimiliano Marcellino.

Last updated 2024-12-06. Update your information in the RePEc Author Service.

Short-id: pma114

---

Jump to Journal Articles Edited books Chapters

Working Papers

2024

1. Asymmetries in Financial Spillovers
   Papers, arXiv.org
2. Bayesian Neural Networks for Macroeconomic Analysis
   Papers, arXiv.org
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2024)
3. Bayesian modelling of VAR precision matrices using stochastic block networks
   Papers, arXiv.org
4. Bayesian nonparametric methods for macroeconomic forecasting
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy (2024)
   See also Chapter Bayesian nonparametric methods for macroeconomic forecasting, Chapters, Edward Elgar Publishing (2024) (2024)
5. Firm Heterogeneity and Macroeconomic Fluctuations: a Functional VAR model
   Papers, arXiv.org
6. Nowcasting distributions: a functional MIDAS model
   Papers, arXiv.org
7. Nowcasting with Mixed Frequency Data Using Gaussian Processes
   Papers, arXiv.org
8. Risky Oil: It's All in the Tails
   NBER Working Papers, National Bureau of Economic Research, Inc
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2024)
9. Specification Choices in Quantile Regression for Empirical Macroeconomics
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Working Papers, Federal Reserve Bank of Cleveland (2022) View citations (2)
10. The Distributional Effects of Economic Uncertainty
    Papers, arXiv.org

2023

11. Blended Identification in Structural VARs
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2022)
    See also Journal Article Blended identification in structural VARs, Journal of Monetary Economics, Elsevier (2024) (2024)
12. Coarsened Bayesian VARs -- Correcting BVARs for Incorrect Specification
    Papers, arXiv.org
13. Forecasting US Inflation Using Bayesian Nonparametric Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in Working Papers, Federal Reserve Bank of Cleveland (2022) View citations (6)
    Papers, arXiv.org (2022) View citations (8)
14. Investigating Growth-at-Risk Using a Multicountry Non-parametric Quantile Factor Model
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in Papers, arXiv.org (2021) View citations (8)
    Working Papers, University of Strathclyde Business School, Department of Economics (2021) View citations (5)
    See also Journal Article Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model, Journal of Business & Economic Statistics, Taylor & Francis Journals (2024) View citations (1) (2024)
15. Mean Group Instrumental Variable Estimation of Time-Varying Large Heterogeneous Panels with Endogenous Regressors
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
16. Shadow-rate VARs
    Discussion Papers, Deutsche Bundesbank
17. Time Varying Three Pass Regression Filter
    CEPR Discussion Papers, C.E.P.R. Discussion Papers

2022

18. Addressing COVID-19 outliers in BVARs with stochastic volatility
    Discussion Papers, Deutsche Bundesbank View citations (22)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021) View citations (28)
    Working Papers, Federal Reserve Bank of Cleveland (2021) View citations (21)
    See also Journal Article Addressing COVID-19 Outliers in BVARs with Stochastic Volatility, The Review of Economics and Statistics, MIT Press (2024) (2024)
19. Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in Working Papers, Federal Reserve Bank of Cleveland (2020) View citations (22)
    See also Journal Article Capturing Macro‐Economic Tail Risks with Bayesian Vector Autoregressions, Journal of Money, Credit and Banking, Blackwell Publishing (2024) (2024)
20. Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in Papers, arXiv.org (2022) View citations (1)
21. Macro Uncertainty in the Long Run
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy
    See also Journal Article Macro uncertainty in the long run, Economics Letters, Elsevier (2023) View citations (2) (2023)
22. Macroeconomic Forecasting in a Multi-country Context
    Working Papers, Federal Reserve Bank of Cleveland View citations (3)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2022)
    See also Journal Article Macroeconomic forecasting in a multi‐country context, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2022) View citations (1) (2022)
23. Measuring Uncertainty and Its Effects in the COVID-19 Era
    Working Papers, Federal Reserve Bank of Cleveland View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021) View citations (2)
24. Tail Forecasting with Multivariate Bayesian Additive Regression Trees
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in Working Papers, Federal Reserve Bank of Cleveland (2022) View citations (7)
    See also Journal Article TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2023) View citations (10) (2023)
25. The demand and supply of information about inflation
    Working Papers, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management View citations (1)
    Also in CIRANO Working Papers, CIRANO (2022) View citations (1)
26. The financial accelerator mechanism: does frequency matter?
    Working Paper Series, European Central Bank View citations (1)
    Also in Working Papers, Federal Reserve Bank of Cleveland (2022) View citations (2)

2021

27. Boosting the Forecasting Power of Conditional Heteroskedasticity Models to Account for Covid-19 Outbreaks
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy View citations (3)
28. Can Machine Learning Catch the COVID-19 Recession?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (16)
    Also in Papers, arXiv.org (2021) View citations (16)
    CIRANO Working Papers, CIRANO (2021) View citations (16)
    Working Papers, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management (2021) View citations (4)
    See also Journal Article CAN MACHINE LEARNING CATCH THE COVID-19 RECESSION?, National Institute Economic Review, National Institute of Economic and Social Research (2021) View citations (9) (2021)
29. Forecasting with Shadow-Rate VARs
    Working Papers, Federal Reserve Bank of Cleveland View citations (1)
30. Nowcasting Tail Risk to Economic Activity at a Weekly Frequency
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    See also Journal Article Nowcasting tail risk to economic activity at a weekly frequency, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2022) View citations (11) (2022)
31. Using Time-Varying Volatility for Identification in Vector Autoregressions: An Application to Endogenous Uncertainty
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    See also Journal Article Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty, Journal of Econometrics, Elsevier (2021) View citations (17) (2021)

2020

32. A Similarity-based Approach for Macroeconomic Forecasting
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (9)
    See also Journal Article A similarity‐based approach for macroeconomic forecasting, Journal of the Royal Statistical Society Series A, Royal Statistical Society (2020) View citations (4) (2020)
33. Forecasting the COVID-19 recession and recovery: Lessons from the financial crisis
    Working Papers, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management View citations (6)
    Also in Working Paper Series, European Central Bank (2020) View citations (41)
    CIRANO Working Papers, CIRANO (2020) View citations (41)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (37)
    See also Journal Article Forecasting the Covid-19 recession and recovery: Lessons from the financial crisis, International Journal of Forecasting, Elsevier (2022) View citations (12) (2022)
34. No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates
    Working Papers, Federal Reserve Bank of Cleveland
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (4)
    See also Journal Article No‐arbitrage priors, drifting volatilities, and the term structure of interest rates, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2021) View citations (1) (2021)
35. Nowcasting Tail Risks to Economic Activity with Many Indicators
    Working Papers, Federal Reserve Bank of Cleveland View citations (30)
36. The economic drivers of volatility and uncertainty
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (4)
37. Time-Varying Instrumental Variable Estimation
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (1)
    See also Journal Article Time-varying instrumental variable estimation, Journal of Econometrics, Elsevier (2021) View citations (5) (2021)

2019

38. Assessing International Commonality in Macroeconomic Uncertainty and Its Effects
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2018) View citations (3)
    Working Papers, Federal Reserve Bank of Cleveland (2019) View citations (4)
    See also Journal Article Assessing international commonality in macroeconomic uncertainty and its effects, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2020) View citations (22) (2020)
39. The Global Component of Inflation Volatility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
    Also in Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2018) View citations (13)
    See also Journal Article The global component of inflation volatility, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2022) View citations (10) (2022)

2018

40. Big Data Econometrics: Now Casting and Early Estimates
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy View citations (5)
41. Endogenous Uncertainty
    Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (4)
42. Mixed frequency models with MA components
    Working Paper Series, European Central Bank View citations (5)
    Also in Discussion Papers, Deutsche Bundesbank (2018) View citations (2)

2017

43. Explaining the Time-varying Effects Of Oil Market Shocks On U.S. Stock Returns
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (22)
    See also Journal Article Explaining the time-varying effects of oil market shocks on US stock returns, Economics Letters, Elsevier (2017) View citations (26) (2017)
44. Large time-varying parameter VARs: a non-parametric approach
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) View citations (8)
    See also Journal Article Large time‐varying parameter VARs: A nonparametric approach, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2019) View citations (15) (2019)
45. Macroeconomic activity and risk indicators: an unstable relationship
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy View citations (2)
46. Markov-Switching Three-Pass Regression Filter
    Staff Working Papers, Bank of Canada
    Also in Working Papers, Banco de España (2017)
    See also Journal Article Markov-Switching Three-Pass Regression Filter, Journal of Business & Economic Statistics, Taylor & Francis Journals (2020) View citations (3) (2020)
47. Tax shocks with high and low uncertainty
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    See also Journal Article Tax shocks with high and low uncertainty, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2019) View citations (4) (2019)
48. Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model
    CEPR Discussion Papers, C.E.P.R. Discussion Papers

2016

49. Forecasting with Large Unbalanced Datasets: The Mixed-Frequency Three-Pass Regression Filter
    Working Papers, Swiss National Bank View citations (7)
50. Have Standard VARs Remained Stable Since the Crisis?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
    Also in Working Paper, Norges Bank (2014) View citations (14)
    Working Papers (Old Series), Federal Reserve Bank of Cleveland (2014) View citations (9)
    See also Journal Article Have Standard VARS Remained Stable Since the Crisis?, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) View citations (29) (2017)
51. Large Vector Autoregressions with Stochastic Volatility and Flexible Priors
    Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (13)
52. Measuring Uncertainty and Its Impact on the Economy
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy View citations (28)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2016) View citations (10)
    See also Journal Article Measuring Uncertainty and Its Impact on the Economy, The Review of Economics and Statistics, MIT Press (2018) View citations (140) (2018)
53. Point, interval and density forecasts of exchange rates with time-varying parameter models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    Also in Discussion Papers, Deutsche Bundesbank (2016) View citations (10)
    See also Journal Article Point, interval and density forecasts of exchange rates with time varying parameter models, Journal of the Royal Statistical Society Series A, Royal Statistical Society (2018) View citations (16) (2018)

2015

54. A Shrinkage Instrumental Variable Estimator for Large Datasets
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2008)
    See also Journal Article A SHRINKAGE INSTRUMENTAL VARIABLE ESTIMATOR FOR LARGE DATASETS, L'Actualité Economique, Société Canadienne de Science Economique (2015) (2015)
55. An Overview of the Factor-augmented Error-Correction Model
    Discussion Papers, Department of Economics, University of Birmingham
    See also Chapter An Overview of the Factor-augmented Error-Correction Model, Advances in Econometrics, Emerald Group Publishing Limited (2016) View citations (5) (2016)
56. Factor based identification-robust inference in IV regressions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
57. Large Vector Autoregressions with Asymmetric Priors
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (22)
58. Macroeconomic forecasting during the Great Recession: the return of non-linearity?
    Post-Print, HAL View citations (23)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) View citations (9)
    Working papers, Banque de France (2012) View citations (13)
    See also Journal Article Macroeconomic forecasting during the Great Recession: The return of non-linearity?, International Journal of Forecasting, Elsevier (2015) View citations (37) (2015)
59. Monetary, Fiscal and Oil Shocks: Evidence based on Mixed Frequency Structural FAVARs
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    See also Journal Article Monetary, fiscal and oil shocks: Evidence based on mixed frequency structural FAVARs, Journal of Econometrics, Elsevier (2016) View citations (17) (2016)
60. Structural Analysis with Multivariate Autoregressive Index Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
    See also Journal Article Structural analysis with Multivariate Autoregressive Index models, Journal of Econometrics, Elsevier (2016) View citations (23) (2016)
61. Using low frequency information for predicting high frequency variables
    Working Paper, Norges Bank View citations (9)
    See also Journal Article Using low frequency information for predicting high frequency variables, International Journal of Forecasting, Elsevier (2018) View citations (31) (2018)

2014

62. EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro
    Studies in Economics, School of Economics, University of Kent View citations (6)
63. Markov-Switching Mixed-Frequency VAR Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    See also Journal Article Markov-switching mixed-frequency VAR models, International Journal of Forecasting, Elsevier (2015) View citations (18) (2015)
64. Mixed frequency structural VARs
    Working Paper, Norges Bank View citations (9)
65. Structural FECM: Cointegration in large-scale structural FAVAR models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    See also Journal Article Structural FECM: Cointegration in large‐scale structural FAVAR models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) View citations (9) (2017)

2013

66. A survey of econometric methods for mixed-frequency data
    Economics Working Papers, European University Institute View citations (85)
    Also in Working Paper, Norges Bank (2013) View citations (89)
67. An estimated DSGE model of a Small Open Economy within the Monetary Union: Forecasting and Structural Analysis
    EcoMod2013, EcoMod
    Also in RSCAS Working Papers, European University Institute (2012) View citations (2)
68. EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries
    CEIS Research Paper, Tor Vergata University, CEIS View citations (1)
    See also Journal Article EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries, International Journal of Forecasting, Elsevier (2015) View citations (8) (2015)
69. Mixed frequency structural models: estimation, and policy analysis
    Working Paper, Norges Bank View citations (7)
70. Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (10)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2012) View citations (3)
    See also Journal Article Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility, Journal of the Royal Statistical Society Series A, Royal Statistical Society (2015) View citations (76) (2015)
71. Regime Switches in the Risk-Return Trade-Off
    Staff Working Papers, Bank of Canada View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) View citations (1)
    See also Journal Article Regime switches in the risk–return trade-off, Journal of Empirical Finance, Elsevier (2014) View citations (35) (2014)
72. Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
    Also in Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2013) View citations (24)
    See also Journal Article Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility, Journal of Business & Economic Statistics, Taylor & Francis Journals (2016) View citations (40) (2016)
73. Time Variation in Macro-Financial Linkages
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
    Also in Discussion Papers, Deutsche Bundesbank (2013) View citations (10)
    See also Journal Article Time Variation in Macro‐Financial Linkages, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) View citations (42) (2016)

2012

74. A Comparison of Mixed Frequency Approaches for Modelling Euro Area Macroeconomic Variables
    Economics Working Papers, European University Institute View citations (13)
75. Common Drifting Volatility in Large Bayesian VARs
    Economics Working Papers, European University Institute View citations (36)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2012) View citations (24)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (36)
    See also Journal Article Common Drifting Volatility in Large Bayesian VARs, Journal of Business & Economic Statistics, Taylor & Francis Journals (2016) View citations (132) (2016)
76. Empirical simultaneous prediction regions for path-forecasts
    Working Paper Series, Federal Reserve Bank of San Francisco
    See also Journal Article Empirical simultaneous prediction regions for path-forecasts, International Journal of Forecasting, Elsevier (2013) View citations (12) (2013)
77. Forecasting economic activity with higher frequency targeted predictors
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (17)
78. On the importance of sectoral and regional shocks for price setting
    IMFS Working Paper Series, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS) View citations (1)
    Also in Working Paper Series, European Central Bank (2011) View citations (10)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) View citations (14)
    See also Journal Article On the Importance of Sectoral and Regional Shocks for Price‐Setting, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) View citations (25) (2016)
79. Selecting predictors by using Bayesian model averaging in bridge models
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (11)
80. The banking and distribution sectors in a small open economy DSGE Model
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (3)
    Also in RSCAS Working Papers, European University Institute (2012) View citations (3)
81. U-MIDAS: MIDAS regressions with unrestricted lag polynomials
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (35)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2011) View citations (16)

2011

82. Bayesian VARs: Specification Choices and Forecast Accuracy
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (46)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2011) View citations (10)
    See also Journal Article Bayesian VARs: Specification Choices and Forecast Accuracy, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2015) View citations (125) (2015)
83. Classical time-varying FAVAR models - Estimation, forecasting and structural analysis
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (13)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2011) View citations (19)
84. LSM: A DSGE Model for Luxembourg
    Post-Print, HAL View citations (4)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011) View citations (10)
    PSE-Ecole d'économie de Paris (Postprint), HAL (2011) View citations (4)
    See also Journal Article LSM: A DSGE model for Luxembourg, Economic Modelling, Elsevier (2011) View citations (14) (2011)
85. Markov-switching MIDAS models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (9)
    See also Journal Article Markov-Switching MIDAS Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2013) View citations (60) (2013)
86. The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (49)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2011) View citations (41)
    See also Journal Article The Changing International Transmission of Financial Shocks: Evidence from a Classical Time‐Varying FAVAR, Journal of Money, Credit and Banking, Blackwell Publishing (2016) View citations (43) (2016)
87. The Multiscale Causal Dynamics of Foreign Exchange Markets
    Economics Working Papers, European University Institute
    See also Journal Article The multiscale causal dynamics of foreign exchange markets, Journal of International Money and Finance, Elsevier (2013) View citations (46) (2013)

2010

88. Empirical Simultaneous Confidence Regions for Path-Forecasts
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (15)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2010) View citations (12)
    See also Journal Article Empirical simultaneous prediction regions for path-forecasts, International Journal of Forecasting, Elsevier (2013) View citations (12) (2013)
89. Endogenous Monetary Policy Regimes and the Great Moderation
    Economics Working Papers, European University Institute View citations (6)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (8)
90. Factor-GMM Estimation with Large Sets of Possibly Weak Instruments
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (65)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2006) View citations (12)
    See also Journal Article Factor-GMM estimation with large sets of possibly weak instruments, Computational Statistics & Data Analysis, Elsevier (2010) View citations (70) (2010)
91. Forecasting Government Bond Yields with Large Bayesian VARs
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (6)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (10)
92. Forecasting with Factor-augmented Error Correction Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (16)
    RSCAS Working Papers, European University Institute (2009) View citations (16)
    Economics Working Papers, European University Institute (2008) View citations (16)
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2008) View citations (25)
    Discussion Papers, Department of Economics, University of Birmingham (2009) View citations (9)
    See also Journal Article Forecasting with factor-augmented error correction models, International Journal of Forecasting, Elsevier (2014) View citations (46) (2014)
93. Real time estimates of the euro area output gap: reliability and forecasting performance
    Working Paper Series, European Central Bank View citations (30)
94. The Forecasting Performance of Real Time Estimates of the Euro Area Output Gap
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (22)
95. The Reliability of Real Time Estimates of the Euro Area Output Gap
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (18)
    Also in Economics Working Papers, European University Institute (2010) View citations (20)
    See also Journal Article The reliability of real-time estimates of the euro area output gap, Economic Modelling, Elsevier (2011) View citations (69) (2011)

2009

96. Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
    Also in Economics Working Papers, European University Institute (2009) View citations (5)
    See also Journal Article Forecasting large datasets with Bayesian reduced rank multivariate models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2011) View citations (74) (2011)
97. MIDAS versus mixed-frequency VAR: nowcasting GDP in the euro area
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank View citations (20)
98. MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area
    Economics Working Papers, European University Institute View citations (5)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) View citations (23)
    See also Journal Article MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area, International Journal of Forecasting, Elsevier (2011) View citations (197) (2011)
99. On the importance of sectoral shocks for price-setting
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (3)
100. Pooling versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP
     Economics Working Papers, European University Institute View citations (27)
     Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) View citations (25)
     Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2009) View citations (25)
101. Survey Data as Coicident or Leading Indicators
     Economics Working Papers, European University Institute View citations (3)
     Also in Working Papers, Department of the Treasury, Ministry of the Economy and of Finance View citations (3)
     See also Journal Article Survey data as coincident or leading indicators, Journal of Forecasting, John Wiley & Sons, Ltd. (2010) View citations (38) (2010)

2008

102. A Measure for Credibility: Tracking US Monetary Developments
     Economics Working Papers, European University Institute View citations (27)
     Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (28)
103. A Monthly Indicator of the Euro Area GDP
     Economics Working Papers, European University Institute View citations (9)
     Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (7)
104. Cross-sectional Averaging and Instrumental Variable Estimation with Many Weak Instruments
     Working Papers, Queen Mary University of London, School of Economics and Finance
     See also Journal Article Cross-sectional averaging and instrumental variable estimation with many weak instruments, Economics Letters, Elsevier (2010) View citations (1) (2010)
105. Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP
     Economics Working Papers, European University Institute View citations (33)
     Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (44)
     Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2007) View citations (9)
106. Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP1
     Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (11)
107. Forecasting Exchange Rates with a Large Bayesian VAR
     Working Papers, Queen Mary University of London, School of Economics and Finance
     Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (4)
     Economics Working Papers, European University Institute (2008)
     See also Journal Article Forecasting exchange rates with a large Bayesian VAR, International Journal of Forecasting, Elsevier (2009) View citations (151) (2009)
108. Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change
     Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (77)
     Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (83)
     Economics Working Papers, European University Institute (2008) View citations (68)
109. Forecasting with Dynamic Models using Shrinkage-based Estimation
     Working Papers, Queen Mary University of London, School of Economics and Finance View citations (2)
110. Path Forecast Evaluation
     Economics Working Papers, European University Institute View citations (2)
     Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (2)
     Working Papers, University of California, Davis, Department of Economics (2008) View citations (1)
     See also Journal Article Path forecast evaluation, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2010) View citations (50) (2010)

2007

111. A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK
     Working Papers, Queen Mary University of London, School of Economics and Finance View citations (9)
     See also Journal Article A comparison of methods for the construction of composite coincident and leading indexes for the UK, International Journal of Forecasting, Elsevier (2007) View citations (14) (2007)
112. Econometric analyses with backdated data: unified Germany and the euro area
     Working Paper Series, European Central Bank View citations (2)
     See also Journal Article Econometric analyses with backdated data: Unified Germany and the euro area, Economic Modelling, Elsevier (2011) View citations (2) (2011)
113. Factor Analysis in a Model with Rational Expectations
     NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
     See also Journal Article Factor analysis in a model with rational expectations, Econometrics Journal, Royal Economic Society (2008) View citations (11) (2008)
114. Forecasting Large Datasets with Reduced Rank Multivariate Models
     Working Papers, Queen Mary University of London, School of Economics and Finance View citations (4)
115. Monitoring the Economy of the Euro Area: A Comparison of Composite Coincident Indexes
     Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (1)
116. Sectoral Survey-based Confidence Indicators for Europe
     Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (4)
     See also Journal Article Sectoral Survey‐based Confidence Indicators for Europe, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2011) View citations (7) (2011)

2006

117. A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions
     CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (45)
     See also Journal Article A parametric estimation method for dynamic factor models of large dimensions, Journal of Time Series Analysis, Wiley Blackwell (2009) View citations (33) (2009)
118. A Simple Benchmark for Forecasts of Growth and Inflation
     CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
119. Forecasting Euro-Area Variables with German Pre-EMU Data
     Economics Working Papers, European University Institute View citations (4)
     Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2006)
     See also Journal Article Forecasting euro area variables with German pre-EMU data, Journal of Forecasting, John Wiley & Sons, Ltd. (2008) View citations (19) (2008)
120. Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation
     CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
     Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2006) View citations (4)
121. Regional Inflation Dynamics within and across Euro Area and a Comparison with the US
     Computing in Economics and Finance 2006, Society for Computational Economics View citations (30)
122. Regional inflation dynamics within and across euro area countries and a comparison with the US
     CFS Working Paper Series, Center for Financial Studies (CFS) View citations (37)
     Also in Regional and Urban Modeling, EcoMod (2000) View citations (3)
     Working Paper Series, European Central Bank (2006) View citations (46)
123. The Role of Search Frictions and Bargaining for Inflation Dynamics
     Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (4)

2005

124. A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series
     CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (45)
     Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2005) View citations (24)
     See also Journal Article A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series, Journal of Econometrics, Elsevier (2006) View citations (499) (2006)
125. Factor Analysis in a New-Keynesian Model
     CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (9)
     Also in Working Paper Series, European Central Bank (2005) View citations (14)
126. Forecasting macroeconomic variables for the new member states of the European Union
     Working Paper Series, European Central Bank View citations (13)
127. Leading Indicators: What Have We Learned?
     CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (13)
     Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2005) View citations (15)
128. Modelling and Forecasting Fiscal Variables for the Euro Area
     Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (39)
     Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (39)
     See also Journal Article Modelling and Forecasting Fiscal Variables for the Euro Area*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2005) View citations (39) (2005)
129. Pooling-based Data Interpolation and Backdating
     Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
     Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005)
     See also Journal Article Pooling‐Based Data Interpolation and Backdating, Journal of Time Series Analysis, Wiley Blackwell (2007) View citations (5) (2007)

2004

130. Characterising the Business Cycle for Accession Countries
     Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (37)
     Also in Econometrics, University Library of Munich, Germany (2004) View citations (42)
     CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (35)
131. Forecasting Macroeconomic Variables for the Acceding Countries
     Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (10)
132. Interpolation and Backdating with A Large Information Set
     CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
     Also in Working Paper Series, European Central Bank (2003) View citations (5)
     See also Journal Article Interpolation and backdating with a large information set, Journal of Economic Dynamics and Control, Elsevier (2006) View citations (43) (2006)

2003

133. A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions
     Working Papers, Queen Mary University of London, School of Economics and Finance View citations (35)
134. Are There Any Reliable Leading Indicators for U.S. Inflation and GDP Growth?
     Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (8)
     Also in Economics Working Papers, European University Institute (2002) View citations (5)
     See also Journal Article Are there any reliable leading indicators for US inflation and GDP growth?, International Journal of Forecasting, Elsevier (2006) View citations (104) (2006)
135. Dating the Euro Area Business Cycle
     Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (70)
     Also in Economics Working Papers, European University Institute (2002) View citations (42)
     CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) View citations (59)
136. Leading Indicators for Euro Area Inflation and GDP Growth
     CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (47)
     Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2003) View citations (29)
     See also Journal Article Leading Indicators for Euro‐area Inflation and GDP Growth*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2005) View citations (71) (2005)
137. STOCHASTIC PROCESSES SUBJECT TO TIME SCALE TRANSFORMATIONS: AN APPLICATION TO HIGH-FREQUENCY FX DATA
     Working Papers, University of California, Davis, Department of Economics
     Also in Department of Economics, California Davis - Department of Economics
     Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
138. The Transmission Mechanism in a Changing World
     CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (20)
     Also in Economics Working Papers, European University Institute (2003) View citations (10)
     See also Journal Article The transmission mechanism in a changing world, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2007) View citations (41) (2007)
139. Time-Scale Transformations of Discrete-Time Processes
     Working Papers, University of California, Davis, Department of Economics
     See also Journal Article Time‐scale transformations of discrete time processes, Journal of Time Series Analysis, Wiley Blackwell (2004) View citations (7) (2004)

2002

140. Factor Based Index Tracking
     CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
     Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
     See also Journal Article Factor based index tracking, Journal of Banking & Finance, Elsevier (2006) View citations (31) (2006)
141. Factor Forecasts for the UK
     CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
     Also in Economics Working Papers, European University Institute (2001) View citations (39)
     Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (112)
142. Forecast Pooling for Short Time Series of Macroeconomic Variables
     CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (13)
     Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (29)
143. Forecasting EMU Macroeconomic Variables
     CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
     Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (39)
     See also Journal Article Forecasting EMU macroeconomic variables, International Journal of Forecasting, Elsevier (2004) View citations (41) (2004)
144. Instability and Non-Linearity in the EMU
     CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (38)
     Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (43)
145. Some Stylized Facts on Non-Systematic Fiscal Policy in the Euro Area
     CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (21)
     Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (59)
     See also Journal Article Some stylized facts on non-systematic fiscal policy in the Euro area, Journal of Macroeconomics, Elsevier (2006) View citations (56) (2006)
146. Testing for PPP: Should We Use Panel Methods?
     Royal Economic Society Annual Conference 2002, Royal Economic Society View citations (9)
     Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (206)
     See also Journal Article Testing for PPP: Should we use panel methods?, Empirical Economics, Springer (2005) View citations (229) (2005)
147. interpolation with a large information set
     Computing in Economics and Finance 2002, Society for Computational Economics View citations (4)

2001

148. Large Datasets, Small Models and Monetary Policy in Europe
     CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (31)
     Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (27)

2000

149. Some Cautions on the Use of Panel Methods for Integrated Series of Macro-economic Data
     Economics Working Papers, European University Institute View citations (26)
     Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (140)
     See also Journal Article Some cautions on the use of panel methods for integrated series of macroeconomic data, Econometrics Journal, Royal Economic Society (2004) View citations (307) (2004)
150. Wages, Prices, Productivity, Inflation and Unemployment in Italy 1970-1994
     Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (8)

1999

151. Fiscal Forecasting: the Track Record of the IMF, OECD and EC
     Economics Working Papers, European University Institute View citations (8)
     Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1999) View citations (8)
     See also Journal Article Fiscal forecasting: The track record of the IMF, OECD and EC, Econometrics Journal, Royal Economic Society (2001) View citations (113) (2001)

1998

152. Fiscal Solvency and Fiscal Forecasting in Europe
     CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (36)
     Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (22)
     Economics Working Papers, European University Institute (1998) View citations (35)

1997

153. Temporal Disaggregation, Missing Observations, Outliers, and Forecasting: A Unifying Non-Model Based Procedures
     Economics Working Papers, European University Institute View citations (2)

Undated

154. A Markov-Switching Vector Equilibrium Correction Model of the UK Labour Market
     Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (48)
     See also Journal Article A Markov-switching vector equilibrium correction model of the UK labour market, Empirical Economics, Springer (2002) View citations (74) (2002)
155. Ex Post and Ex Ante Analysis of Provisional Data
     Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (4)
156. Further Results on MSFE Encompassing
     Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (1)
157. Linear Aggregation with Common Trends and Cycles
     Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
     See also Journal Article Linear aggregation with common trends and cycles, Research in Economics, Elsevier (2000) (2000)
158. Macroeconomic Forecasting in the Euro Area: Country Specific versus Area-Wide Information
     Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (316)
     See also Journal Article Macroeconomic forecasting in the Euro area: Country specific versus area-wide information, European Economic Review, Elsevier (2003) View citations (342) (2003)
159. Model Selection for Non-Linear Dynamic Models
     Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (1)
160. Modelling shifts in the wage-price and unemployment-inflation relationships in Italy, Poland, and the UK
     Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (17)
     See also Journal Article Modelling shifts in the wage-price and unemployment-inflation relationships in Italy, Poland and the UK, Economic Modelling, Elsevier (2000) View citations (15) (2000)
161. Principal components at work: The empirical analysis of monetary policy with large datasets
     Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (128)
     See also Journal Article Principal components at work: the empirical analysis of monetary policy with large data sets, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2005) View citations (118) (2005)
162. Public Capital and Economic Performance: Evidence from Italy
     Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (52)
     See also Journal Article Public Capital and Economic Performance: Evidence from Italy, Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University (2000) View citations (48) (2000)
163. Small system modelling of real wages, inflation, unemployment and output per capita in Italy 1970-1994
     Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (16)
     See also Journal Article Small-system modelling of real wages, inflation, unemployment and output per capita in Italy 1970-1994, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2001) View citations (16) (2001)
164. TFP, Costs, and Public Infrastructure: An Equivocal Relationship
     Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (28)

Journal Articles

2024

1. Addressing COVID-19 Outliers in BVARs with Stochastic Volatility
   The Review of Economics and Statistics, 2024, 106, (5), 1403-1417
   See also Working Paper Addressing COVID-19 outliers in BVARs with stochastic volatility, Discussion Papers (2022) View citations (22) (2022)
2. Blended identification in structural VARs
   Journal of Monetary Economics, 2024, 146, (C)
   See also Working Paper Blended Identification in Structural VARs, BAFFI CAREFIN Working Papers (2023) (2023)
3. Capturing Macro‐Economic Tail Risks with Bayesian Vector Autoregressions
   Journal of Money, Credit and Banking, 2024, 56, (5), 1099-1127
   See also Working Paper Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions, CEPR Discussion Papers (2022) (2022)
4. Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model
   Journal of Business & Economic Statistics, 2024, 42, (4), 1302-1317 View citations (1)
   See also Working Paper Investigating Growth-at-Risk Using a Multicountry Non-parametric Quantile Factor Model, CEPR Discussion Papers (2023) (2023)

2023

5. Macro uncertainty in the long run
   Economics Letters, 2023, 225, (C) View citations (2)
   See also Working Paper Macro Uncertainty in the Long Run, BAFFI CAREFIN Working Papers (2022) (2022)
6. TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES
   International Economic Review, 2023, 64, (3), 979-1022 View citations (10)
   See also Working Paper Tail Forecasting with Multivariate Bayesian Additive Regression Trees, CEPR Discussion Papers (2022) (2022)

2022

7. Forecasting the Covid-19 recession and recovery: Lessons from the financial crisis
   International Journal of Forecasting, 2022, 38, (2), 596-612 View citations (12)
   See also Working Paper Forecasting the COVID-19 recession and recovery: Lessons from the financial crisis, Working Papers (2020) View citations (6) (2020)
8. Macroeconomic forecasting in a multi‐country context
   Journal of Applied Econometrics, 2022, 37, (6), 1230-1255 View citations (1)
   See also Working Paper Macroeconomic Forecasting in a Multi-country Context, Working Papers (2022) View citations (3) (2022)
9. Nowcasting tail risk to economic activity at a weekly frequency
   Journal of Applied Econometrics, 2022, 37, (5), 843-866 View citations (11)
   See also Working Paper Nowcasting Tail Risk to Economic Activity at a Weekly Frequency, CEPR Discussion Papers (2021) (2021)
10. The global component of inflation volatility
    Journal of Applied Econometrics, 2022, 37, (4), 700-721 View citations (10)
    See also Working Paper The Global Component of Inflation Volatility, CEPR Discussion Papers (2019) View citations (3) (2019)

2021

11. CAN MACHINE LEARNING CATCH THE COVID-19 RECESSION?
    National Institute Economic Review, 2021, 256, 71-109 View citations (9)
    See also Working Paper Can Machine Learning Catch the COVID-19 Recession?, CEPR Discussion Papers (2021) View citations (16) (2021)
12. NOWCASTING GDP GROWTH IN A SMALL OPEN ECONOMY
    National Institute Economic Review, 2021, 256, 127-161 View citations (3)
13. No‐arbitrage priors, drifting volatilities, and the term structure of interest rates
    Journal of Applied Econometrics, 2021, 36, (5), 495-516 View citations (1)
    See also Working Paper No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates, Working Papers (2020) (2020)
14. Time-varying instrumental variable estimation
    Journal of Econometrics, 2021, 224, (2), 394-415 View citations (5)
    See also Working Paper Time-Varying Instrumental Variable Estimation, Working Papers (2020) View citations (1) (2020)
15. Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty
    Journal of Econometrics, 2021, 225, (1), 47-73 View citations (17)
    See also Working Paper Using Time-Varying Volatility for Identification in Vector Autoregressions: An Application to Endogenous Uncertainty, CEPR Discussion Papers (2021) (2021)

2020

16. A similarity‐based approach for macroeconomic forecasting
    Journal of the Royal Statistical Society Series A, 2020, 183, (3), 801-827 View citations (4)
    See also Working Paper A Similarity-based Approach for Macroeconomic Forecasting, CEPR Discussion Papers (2020) View citations (9) (2020)
17. Assessing international commonality in macroeconomic uncertainty and its effects
    Journal of Applied Econometrics, 2020, 35, (3), 273-293 View citations (22)
    See also Working Paper Assessing International Commonality in Macroeconomic Uncertainty and Its Effects, CEPR Discussion Papers (2019) View citations (4) (2019)
18. Markov-Switching Three-Pass Regression Filter
    Journal of Business & Economic Statistics, 2020, 38, (2), 285-302 View citations (3)
    See also Working Paper Markov-Switching Three-Pass Regression Filter, Staff Working Papers (2017) (2017)

2019

19. Forecasting gross domestic product growth with large unbalanced data sets: the mixed frequency three‐pass regression filter
    Journal of the Royal Statistical Society Series A, 2019, 182, (1), 69-99 View citations (5)
20. Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
    Journal of Econometrics, 2019, 212, (1), 137-154 View citations (128)
21. Large time‐varying parameter VARs: A nonparametric approach
    Journal of Applied Econometrics, 2019, 34, (7), 1027-1049 View citations (15)
    See also Working Paper Large time-varying parameter VARs: a non-parametric approach, Temi di discussione (Economic working papers) (2017) (2017)
22. Mixed‐frequency models with moving‐average components
    Journal of Applied Econometrics, 2019, 34, (5), 688-706 View citations (3)
23. Tax shocks with high and low uncertainty
    Journal of Applied Econometrics, 2019, 34, (6), 972-993 View citations (4)
    See also Working Paper Tax shocks with high and low uncertainty, CEPR Discussion Papers (2017) (2017)

2018

24. Measuring Uncertainty and Its Impact on the Economy
    The Review of Economics and Statistics, 2018, 100, (5), 799-815 View citations (140)
    See also Working Paper Measuring Uncertainty and Its Impact on the Economy, BAFFI CAREFIN Working Papers (2016) View citations (28) (2016)
25. Point, interval and density forecasts of exchange rates with time varying parameter models
    Journal of the Royal Statistical Society Series A, 2018, 181, (1), 155-179 View citations (16)
    See also Working Paper Point, interval and density forecasts of exchange rates with time-varying parameter models, CEPR Discussion Papers (2016) View citations (1) (2016)
26. Using low frequency information for predicting high frequency variables
    International Journal of Forecasting, 2018, 34, (4), 774-787 View citations (31)
    See also Working Paper Using low frequency information for predicting high frequency variables, Working Paper (2015) View citations (9) (2015)

2017

27. A daily indicator of economic growth for the euro area
    International Journal of Computational Economics and Econometrics, 2017, 7, (1/2), 43-63 View citations (4)
28. Explaining the time-varying effects of oil market shocks on US stock returns
    Economics Letters, 2017, 155, (C), 84-88 View citations (26)
    See also Working Paper Explaining the Time-varying Effects Of Oil Market Shocks On U.S. Stock Returns, Working Papers (2017) View citations (22) (2017)
29. Forecasting economic activity by Bayesian bridge model averaging
    Empirical Economics, 2017, 53, (1), 21-40 View citations (9)
30. Have Standard VARS Remained Stable Since the Crisis?
    Journal of Applied Econometrics, 2017, 32, (5), 931-951 View citations (29)
    See also Working Paper Have Standard VARs Remained Stable Since the Crisis?, CEPR Discussion Papers (2016) View citations (7) (2016)
31. Structural FECM: Cointegration in large‐scale structural FAVAR models
    Journal of Applied Econometrics, 2017, 32, (6), 1069-1086 View citations (9)
    See also Working Paper Structural FECM: Cointegration in large-scale structural FAVAR models, CEPR Discussion Papers (2014) (2014)

2016

32. Common Drifting Volatility in Large Bayesian VARs
    Journal of Business & Economic Statistics, 2016, 34, (3), 375-390 View citations (132)
    See also Working Paper Common Drifting Volatility in Large Bayesian VARs, Economics Working Papers (2012) View citations (36) (2012)
33. Factor‐Based Identification‐Robust Interference in IV Regressions
    Journal of Applied Econometrics, 2016, 31, (5), 821-842 View citations (1)
34. Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods
    Computational Statistics & Data Analysis, 2016, 100, (C), 369-382 View citations (19)
35. Mixed frequency structural vector auto-regressive models
    Journal of the Royal Statistical Society Series A, 2016, 179, (2), 403-425 View citations (11)
36. Monetary, fiscal and oil shocks: Evidence based on mixed frequency structural FAVARs
    Journal of Econometrics, 2016, 193, (2), 335-348 View citations (17)
    See also Working Paper Monetary, Fiscal and Oil Shocks: Evidence based on Mixed Frequency Structural FAVARs, CEPR Discussion Papers (2015) (2015)
37. On the Importance of Sectoral and Regional Shocks for Price‐Setting
    Journal of Applied Econometrics, 2016, 31, (7), 1234-1253 View citations (25)
    See also Working Paper On the importance of sectoral and regional shocks for price setting, IMFS Working Paper Series (2012) View citations (1) (2012)
38. Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility
    Journal of Business & Economic Statistics, 2016, 34, (1), 118-127 View citations (40)
    See also Working Paper Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility, CEPR Discussion Papers (2013) View citations (11) (2013)
39. Structural analysis with Multivariate Autoregressive Index models
    Journal of Econometrics, 2016, 192, (2), 332-348 View citations (23)
    See also Working Paper Structural Analysis with Multivariate Autoregressive Index Models, CEPR Discussion Papers (2015) View citations (4) (2015)
40. The Changing International Transmission of Financial Shocks: Evidence from a Classical Time‐Varying FAVAR
    Journal of Money, Credit and Banking, 2016, 48, (4), 573-601 View citations (43)
    See also Working Paper The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR, CEPR Discussion Papers (2011) View citations (49) (2011)
41. Time Variation in Macro‐Financial Linkages
    Journal of Applied Econometrics, 2016, 31, (7), 1215-1233 View citations (42)
    See also Working Paper Time Variation in Macro-Financial Linkages, CEPR Discussion Papers (2013) View citations (11) (2013)

2015

42. A SHRINKAGE INSTRUMENTAL VARIABLE ESTIMATOR FOR LARGE DATASETS
    L'Actualité Economique, 2015, 91, (1-2), 67-87
    See also Working Paper A Shrinkage Instrumental Variable Estimator for Large Datasets, Working Papers (2015) (2015)
43. Bayesian VARs: Specification Choices and Forecast Accuracy
    Journal of Applied Econometrics, 2015, 30, (1), 46-73 View citations (125)
    See also Working Paper Bayesian VARs: Specification Choices and Forecast Accuracy, CEPR Discussion Papers (2011) View citations (46) (2011)
44. Classical time varying factor-augmented vector auto-regressive models—estimation, forecasting and structural analysis
    Journal of the Royal Statistical Society Series A, 2015, 178, (3), 493-533 View citations (36)
45. EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries
    International Journal of Forecasting, 2015, 31, (3), 712-738 View citations (8)
    See also Working Paper EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries, CEIS Research Paper (2013) View citations (1) (2013)
46. Forecasting economic activity with targeted predictors
    International Journal of Forecasting, 2015, 31, (1), 188-206 View citations (33)
47. Macroeconomic forecasting during the Great Recession: The return of non-linearity?
    International Journal of Forecasting, 2015, 31, (3), 664-679 View citations (37)
    See also Working Paper Macroeconomic forecasting during the Great Recession: the return of non-linearity?, Post-Print (2015) View citations (23) (2015)
48. Markov-switching mixed-frequency VAR models
    International Journal of Forecasting, 2015, 31, (3), 692-711 View citations (18)
    See also Working Paper Markov-Switching Mixed-Frequency VAR Models, CEPR Discussion Papers (2014) View citations (1) (2014)
49. Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility
    Journal of the Royal Statistical Society Series A, 2015, 178, (4), 837-862 View citations (76)
    See also Working Paper Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility, CEPR Discussion Papers (2013) View citations (10) (2013)
50. Unrestricted mixed data sampling (MIDAS): MIDAS regressions with unrestricted lag polynomials
    Journal of the Royal Statistical Society Series A, 2015, 178, (1), 57-82 View citations (154)

2014

51. A comparison of mixed frequency approaches for nowcasting Euro area macroeconomic aggregates
    International Journal of Forecasting, 2014, 30, (3), 554-568 View citations (94)
52. Forecasting with a DSGE Model of a Small Open Economy within the Monetary Union
    Journal of Forecasting, 2014, 33, (5), 315-338 View citations (16)
53. Forecasting with factor-augmented error correction models
    International Journal of Forecasting, 2014, 30, (3), 589-612 View citations (46)
    See also Working Paper Forecasting with Factor-augmented Error Correction Models, CEPR Discussion Papers (2010) View citations (7) (2010)
54. MIXED‐FREQUENCY STRUCTURAL MODELS: IDENTIFICATION, ESTIMATION, AND POLICY ANALYSIS
    Journal of Applied Econometrics, 2014, 29, (7), 1118-1144 View citations (23)
55. Regime switches in the risk–return trade-off
    Journal of Empirical Finance, 2014, 28, (C), 118-138 View citations (35)
    See also Working Paper Regime Switches in the Risk-Return Trade-Off, Staff Working Papers (2013) View citations (1) (2013)
56. The effects of the monetary policy stance on the transmission mechanism
    Studies in Nonlinear Dynamics & Econometrics, 2014, 18, (3), 217-236 View citations (4)

2013

57. Empirical simultaneous prediction regions for path-forecasts
    International Journal of Forecasting, 2013, 29, (3), 456-468 View citations (12)
    See also Working Paper Empirical simultaneous prediction regions for path-forecasts, Working Paper Series (2012) (2012)
    Working Paper Empirical Simultaneous Confidence Regions for Path-Forecasts, CEPR Discussion Papers (2010) View citations (15) (2010)
58. Markov-Switching MIDAS Models
    Journal of Business & Economic Statistics, 2013, 31, (1), 45-56 View citations (60)
    See also Working Paper Markov-switching MIDAS models, CEPR Discussion Papers (2011) View citations (9) (2011)
59. POOLING VERSUS MODEL SELECTION FOR NOWCASTING GDP WITH MANY PREDICTORS: EMPIRICAL EVIDENCE FOR SIX INDUSTRIALIZED COUNTRIES
    Journal of Applied Econometrics, 2013, 28, (3), 392-411 View citations (90)
60. The multiscale causal dynamics of foreign exchange markets
    Journal of International Money and Finance, 2013, 33, (C), 282-305 View citations (46)
    See also Working Paper The Multiscale Causal Dynamics of Foreign Exchange Markets, Economics Working Papers (2011) (2011)

2012

61. A Credibility Proxy: Tracking US Monetary Developments
    The B.E. Journal of Macroeconomics, 2012, 12, (1), 36 View citations (33)
62. Forecasting government bond yields with large Bayesian vector autoregressions
    Journal of Banking & Finance, 2012, 36, (7), 2026-2047 View citations (56)

2011

63. EUROMIND: a monthly indicator of the euro area economic conditions
    Journal of the Royal Statistical Society Series A, 2011, 174, (2), 439-470 View citations (56)
64. Econometric analyses with backdated data: Unified Germany and the euro area
    Economic Modelling, 2011, 28, (3), 1405-1414 View citations (2)
    See also Working Paper Econometric analyses with backdated data: unified Germany and the euro area, Working Paper Series (2007) View citations (2) (2007)
65. Forecasting large datasets with Bayesian reduced rank multivariate models
    Journal of Applied Econometrics, 2011, 26, (5), 735-761 View citations (74)
    See also Working Paper Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models, CEPR Discussion Papers (2009) View citations (5) (2009)
66. LSM: A DSGE model for Luxembourg
    Economic Modelling, 2011, 28, (6), 2862-2872 View citations (14)
    See also Working Paper LSM: A DSGE Model for Luxembourg, Post-Print (2011) View citations (4) (2011)
67. MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area
    International Journal of Forecasting, 2011, 27, (2), 529-542 View citations (197)
    Also in International Journal of Forecasting, 2011, 27, (2), 529-542 (2011) View citations (184)
    See also Working Paper MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area, Economics Working Papers (2009) View citations (5) (2009)
68. Sectoral Survey‐based Confidence Indicators for Europe
    Oxford Bulletin of Economics and Statistics, 2011, 73, (2), 175-206 View citations (7)
    See also Working Paper Sectoral Survey-based Confidence Indicators for Europe, Working Papers (2007) View citations (4) (2007)
69. The reliability of real-time estimates of the euro area output gap
    Economic Modelling, 2011, 28, (4), 1842-1856 View citations (69)
    See also Working Paper The Reliability of Real Time Estimates of the Euro Area Output Gap, CEPR Discussion Papers (2010) View citations (18) (2010)

2010

70. Cross-sectional averaging and instrumental variable estimation with many weak instruments
    Economics Letters, 2010, 108, (1), 36-39 View citations (1)
    See also Working Paper Cross-sectional Averaging and Instrumental Variable Estimation with Many Weak Instruments, Working Papers (2008) (2008)
71. Factor MIDAS for Nowcasting and Forecasting with Ragged‐Edge Data: A Model Comparison for German GDP
    Oxford Bulletin of Economics and Statistics, 2010, 72, (4), 518-550 View citations (193)
72. Factor-GMM estimation with large sets of possibly weak instruments
    Computational Statistics & Data Analysis, 2010, 54, (11), 2655-2675 View citations (70)
    See also Working Paper Factor-GMM Estimation with Large Sets of Possibly Weak Instruments, CEPR Discussion Papers (2010) View citations (65) (2010)
73. Introduction to advances in business cycle analysis and forecasting
    Journal of Forecasting, 2010, 29, (1-2), 1-5
74. Path forecast evaluation
    Journal of Applied Econometrics, 2010, 25, (4), 635-662 View citations (50)
    See also Working Paper Path Forecast Evaluation, Economics Working Papers (2008) View citations (2) (2008)
75. Survey data as coincident or leading indicators
    Journal of Forecasting, 2010, 29, (1-2), 109-131 View citations (38)
    See also Working Paper Survey Data as Coicident or Leading Indicators, Economics Working Papers (2009) View citations (3) (2009)

2009

76. A parametric estimation method for dynamic factor models of large dimensions
    Journal of Time Series Analysis, 2009, 30, (2), 208-238 View citations (33)
    See also Working Paper A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions, CEPR Discussion Papers (2006) View citations (45) (2006)
77. Forecasting exchange rates with a large Bayesian VAR
    International Journal of Forecasting, 2009, 25, (2), 400-417 View citations (151)
    See also Working Paper Forecasting Exchange Rates with a Large Bayesian VAR, Working Papers (2008) (2008)
78. Regional inflation dynamics within and across euro area countries and a comparison with the United States
    (‘On the relevance and nature of regional inflation differentials: The case of Spain’, Banco de Espana, Servicio de Estudios n. 9913)
    Economic Policy, 2009, 24, (57), 142-184 View citations (61)

2008

79. A linear benchmark for forecasting GDP growth and inflation?
    Journal of Forecasting, 2008, 27, (4), 305-340 View citations (34)
80. Factor analysis in a model with rational expectations
    Econometrics Journal, 2008, 11, (2), 271-286 View citations (11)
    See also Working Paper Factor Analysis in a Model with Rational Expectations, NBER Working Papers (2007) View citations (6) (2007)
81. Forecasting euro area variables with German pre-EMU data
    Journal of Forecasting, 2008, 27, (6), 465-481 View citations (19)
    See also Working Paper Forecasting Euro-Area Variables with German Pre-EMU Data, Economics Working Papers (2006) View citations (4) (2006)
82. Foreword
    Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 711-714
83. Guest Editors’ Introduction to Special Issue on Encompassing
    Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 715-719 View citations (3)
84. Model Selection for Nested and Overlapping Nonlinear, Dynamic and Possibly Mis‐specified Models*
    Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 867-893 View citations (6)

2007

85. A comparison of methods for the construction of composite coincident and leading indexes for the UK
    International Journal of Forecasting, 2007, 23, (2), 219-236 View citations (14)
    See also Working Paper A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK, Working Papers (2007) View citations (9) (2007)
86. A macroeconometric model for the Euro economy
    Journal of Policy Modeling, 2007, 29, (1), 1-13 View citations (21)
87. Pooling‐Based Data Interpolation and Backdating
    Journal of Time Series Analysis, 2007, 28, (1), 53-71 View citations (5)
    See also Working Paper Pooling-based Data Interpolation and Backdating, Working Papers (2005) (2005)
88. The transmission mechanism in a changing world
    Journal of Applied Econometrics, 2007, 22, (1), 39-61 View citations (41)
    See also Working Paper The Transmission Mechanism in a Changing World, CEPR Discussion Papers (2003) View citations (20) (2003)

2006

89. A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
    Journal of Econometrics, 2006, 135, (1-2), 499-526 View citations (499)
    See also Working Paper A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series, CEPR Discussion Papers (2005) View citations (45) (2005)
90. Are there any reliable leading indicators for US inflation and GDP growth?
    International Journal of Forecasting, 2006, 22, (1), 137-151 View citations (104)
    See also Working Paper Are There Any Reliable Leading Indicators for U.S. Inflation and GDP Growth?, Working Papers (2003) View citations (8) (2003)
91. Factor based index tracking
    Journal of Banking & Finance, 2006, 30, (8), 2215-2233 View citations (31)
    See also Working Paper Factor Based Index Tracking, CEPR Discussion Papers (2002) View citations (1) (2002)
92. Interpolation and backdating with a large information set
    Journal of Economic Dynamics and Control, 2006, 30, (12), 2693-2724 View citations (43)
    See also Working Paper Interpolation and Backdating with A Large Information Set, CEPR Discussion Papers (2004) View citations (2) (2004)
93. Some stylized facts on non-systematic fiscal policy in the Euro area
    Journal of Macroeconomics, 2006, 28, (3), 461-479 View citations (56)
    See also Working Paper Some Stylized Facts on Non-Systematic Fiscal Policy in the Euro Area, CEPR Discussion Papers (2002) View citations (21) (2002)

2005

94. Business Cycles in the New EU Member Countries and their Conformity with the Euro Area
    Journal of Business Cycle Measurement and Analysis, 2005, 2005, (1), 7-41 View citations (17)
95. Leading Indicators for Euro‐area Inflation and GDP Growth*
    Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 785-813 View citations (71)
    See also Working Paper Leading Indicators for Euro Area Inflation and GDP Growth, CEPR Discussion Papers (2003) View citations (47) (2003)
96. Modelling and Forecasting Fiscal Variables for the Euro Area*
    Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 755-783 View citations (39)
    See also Working Paper Modelling and Forecasting Fiscal Variables for the Euro Area, Working Papers (2005) View citations (39) (2005)
97. Principal components at work: the empirical analysis of monetary policy with large data sets
    Journal of Applied Econometrics, 2005, 20, (5), 603-620 View citations (118)
    See also Working Paper Principal components at work: The empirical analysis of monetary policy with large datasets, Working Papers View citations (128)
98. Testing for PPP: Should we use panel methods?
    Empirical Economics, 2005, 30, (1), 77-91 View citations (229)
    See also Working Paper Testing for PPP: Should We Use Panel Methods?, Royal Economic Society Annual Conference 2002 (2002) View citations (9) (2002)

2004

99. Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area
    Oxford Bulletin of Economics and Statistics, 2004, 66, (4), 537-565 View citations (83)
100. Forecast Pooling for European Macroeconomic Variables
     Oxford Bulletin of Economics and Statistics, 2004, 66, (1), 91-112 View citations (14)
101. Forecasting EMU macroeconomic variables
     International Journal of Forecasting, 2004, 20, (2), 359-372 View citations (41)
     See also Working Paper Forecasting EMU Macroeconomic Variables, CEPR Discussion Papers (2002) View citations (6) (2002)
102. Some cautions on the use of panel methods for integrated series of macroeconomic data
     Econometrics Journal, 2004, 7, (2), 322-340 View citations (307)
     See also Working Paper Some Cautions on the Use of Panel Methods for Integrated Series of Macro-economic Data, Economics Working Papers (2000) View citations (26) (2000)
103. Time‐scale transformations of discrete time processes
     Journal of Time Series Analysis, 2004, 25, (6), 873-894 View citations (7)
     See also Working Paper Time-Scale Transformations of Discrete-Time Processes, Working Papers (2003) (2003)

2003

104. MODELING HIGH-FREQUENCY FOREIGN EXCHANGE DATA DYNAMICS
     Macroeconomic Dynamics, 2003, 7, (4), 618-635 View citations (1)
105. Macroeconomic forecasting in the Euro area: Country specific versus area-wide information
     European Economic Review, 2003, 47, (1), 1-18 View citations (342)
     See also Working Paper Macroeconomic Forecasting in the Euro Area: Country Specific versus Area-Wide Information, Working Papers View citations (316)

2002

106. A Markov-switching vector equilibrium correction model of the UK labour market
     Empirical Economics, 2002, 27, (2), 233-254 View citations (74)
     See also Working Paper A Markov-Switching Vector Equilibrium Correction Model of the UK Labour Market, Working Papers View citations (48)
107. ROBUST DECISION THEORY AND THE LUCAS CRITIQUE
     Macroeconomic Dynamics, 2002, 6, (1), 167-185 View citations (17)

2001

108. Fiscal forecasting: The track record of the IMF, OECD and EC
     Econometrics Journal, 2001, 4, (1), S20-S36 View citations (113)
     See also Working Paper Fiscal Forecasting: the Track Record of the IMF, OECD and EC, Economics Working Papers (1999) View citations (8) (1999)
109. Small-system modelling of real wages, inflation, unemployment and output per capita in Italy 1970-1994
     Journal of Applied Econometrics, 2001, 16, (3), 359-370 View citations (16)
     See also Working Paper Small system modelling of real wages, inflation, unemployment and output per capita in Italy 1970-1994, Working Papers View citations (16)

2000

110. Forecast Bias and MSFE Encompassing
     Oxford Bulletin of Economics and Statistics, 2000, 62, (4), 533-542 View citations (4)
111. Linear aggregation with common trends and cycles
     Research in Economics, 2000, 54, (2), 117-131
     See also Working Paper Linear Aggregation with Common Trends and Cycles, Working Papers
112. Modelling shifts in the wage-price and unemployment-inflation relationships in Italy, Poland and the UK
     Economic Modelling, 2000, 17, (3), 387-413 View citations (15)
     See also Working Paper Modelling shifts in the wage-price and unemployment-inflation relationships in Italy, Poland, and the UK, Working Papers View citations (17)
113. Public Capital and Economic Performance: Evidence from Italy
     Giornale degli Economisti, 2000, 59, (2), 221-244 View citations (48)
     See also Working Paper Public Capital and Economic Performance: Evidence from Italy, Working Papers View citations (52)

1999

114. Some Consequences of Temporal Aggregation in Empirical Analysis
     Journal of Business & Economic Statistics, 1999, 17, (1), 129-36 View citations (175)

Edited books

2010

1. The Central and Eastern European Countries and the European Union
   Cambridge Books, Cambridge University Press

2006

2. The Central and Eastern European Countries and the European Union
   Cambridge Books, Cambridge University Press View citations (24)

Chapters

2024

1. Bayesian nonparametric methods for macroeconomic forecasting
   Chapter 5 in Handbook of Research Methods and Applications in Macroeconomic Forecasting, 2024, pp 90-125
   See also Working Paper Bayesian nonparametric methods for macroeconomic forecasting, C.E.P.R. Discussion Papers (2024) (2024)

2016

2. An Overview of the Factor-augmented Error-Correction Model
   A chapter in Dynamic Factor Models, 2016, vol. 35, pp 3-41 View citations (5)
   See also Working Paper An Overview of the Factor-augmented Error-Correction Model, Department of Economics, University of Birmingham (2015) (2015)

2013

3. Mixed-Frequency Vector Autoregressive Models☆This views expressed herein are solely those of the authors and do not necessarily reflect the views of the Norges Bank. The usual disclaimers apply
   A chapter in VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims, 2013, vol. 32, pp 247-272

2008

4. Chapter 4 Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change
   A chapter in Forecasting in the Presence of Structural Breaks and Model Uncertainty, 2008, pp 149-194 View citations (7)

2006

5. Leading Indicators
   Elsevier View citations (19)
6. Non-linearity and Instability in the Euro Area
   A chapter in Nonlinear Time Series Analysis of Business Cycles, 2006, pp 151-174

1999

7. TEMPORAL DISAGGREGATION, MISSING OBSERVATIONS, OUTLIERS, AND FORECASTING
   A chapter in Messy Data, 1999, pp 181-202