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MASSIMILIANO MARCELLINO

MASSIMILIANO MARCELLINO
Professore Ordinario
Dipartimento di Economia

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Insegnamenti a.a. 2022/2023

20203 ECONOMETRICS
30413 ECONOMETRICS
30462 ECONOMETRICS
40272 ECONOMETRICS 3

Insegnamenti a.a. precedenti


Note biografiche

Laureato in Discipline economiche e sociali presso l'Università Bocconi. Ha conseguito il PhD in Economics presso lo European University Institute di Firenze.


Curriculum Accademico

Professore ordinario di Econometria. Research fellow presso il CEPR – Center for Economic Policy Research e l'IGIER-Innocenzo Gasparini Institute for Economic Research. Già professore allo European University Institute di Firenze e precedentemente professore associato presso l'Istituto di Economia Politica dell'Università Bocconi. Visiting fellow presso UCSD e Harvard University.


Aree di interesse scientifico

Econometria. Macroeconomia applicata. Analisi delle serie storiche. 


Pubblicazioni


PUBBLICAZIONI SELEZIONATE

from 2015

Books

2023: The Econometric Analysis of Mixed Frequency Data, with Eric Ghysels and Ross Valkanov, Cambridge University Press, forthcoming.

2018: Applied Economic Forecasting using Time Series Methods, with Eric Ghysels, Oxford University Press.

2016: Applied Econometrics: An Introduction, Bocconi University Press.

Research Articles (WP versions available from here )

2022: “Nowcasting Tail Risks to Economic Activity at a weekly frequency”, with Andrea Carriero and Todd Clark, Journal of Applied Econometrics, 37, 843–866. “The global component of inflation volatility”, with Andrea Carriero and Francesco Corsello, Journal of Applied Econometrics, 37(4), 700-721. “Addressing COVID-19 Outliers in BVARs with Stochastic Volatility”, with Andrea Carriero, Todd Clark and Elmar Mertens, Review of Economics and Statistics, forthcoming. “Macroeconomic Forecasting in a Multi-country Context”, with Yu Bai, Andrea Carriero and Todd Clark, Journal of Applied Econometrics, forthcoming.

2021: “Using Time-Varying Volatility for Identification in Vector Autoregressions: An Application to Endogenous Uncertainty”, with Andrea Carriero and Todd Clark, Journal of Econometrics, 225(1), 47-73. "No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates", with Andrea Carriero and Todd Clark, Journal of Applied Econometrics, 36(5), 495-516. “Time-Varying Instrumental Variable Estimation”, with Liudas Giraitis and George Kapetanios, Journal of Econometrics, 224(2), 394-415.

2020: “Markov-Switching Three-Pass Regression Filter”, with Pierre Guerin and Danilo Leiva-Leon, Journal of Business and Economic Statistics, 38(2), 285-302. “Assessing International Commonality in Macroeconomic Uncertainty and its Effects”, with Andrea Carriero and Todd Clark, Journal of Applied Econometrics, 35(3), 273-293. “A Similarity-based Approach for Macroeconomic Forecasting”, with Yiannis Dendramis and George Kapetanios, Journal of the Royal Statistical Society, Series A, 183(3), 801-827.

2019: “Forecasting gross domestic product growth with large unbalanced data sets: the mixed frequency threepass regression filter”, with Christian Hepenstrick, Journal of the Royal Statistical Society, Series A, 182(1), 69-99. “Large Vector Autoregressions with stochastic volatility and flexible priors” with Andrea Carriero and Todd Clark, Journal of Econometrics, 212, 137-154. “Mixed frequency models with MA components”, with Claudia Foroni and Dalibor Stevanovic, Journal of Applied Econometrics, 34(5), 688-706. “Tax shocks with high and low uncertainty”, with Fabio Bertolotti, Journal of Applied Econometrics, 34(6), 972-993. “Large Time-Varying Parameter VAR: A Non-Parametric Approach”, with George Kapetanios and Fabrizio Venditti, Journal of Applied Econometrics, 34(7), 1027-1049.

2018: "Point, interval and density forecasts of exchange rates with time varying parameter models", with Angela Abbate, Journal of the Royal Statistical Society, Series A, 181(1), 155-179. “Measuring uncertainty and its impact on the economy” with Andrea Carriero and Todd Clark, Review of Economics and Statistics, 100(5), 799-815.

2017: "Have standard VARs remained stable since the crisis?", with Knut Are Aastveit, Andrea Carriero and Todd Clark, Journal of Applied Econometrics, 32(5), 931–951. " Structural FECM: Cointegration in large-scale structural FAVAR models ", with Anindya Banerjee and Igor Masten, Journal of Applied Econometrics, 32(6), 1069–1086.

2016: "Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility" with Mario Porqueddu and Fabrizio Venditti, Journal of Business and Economic Statistics, 34, 118-127. "Mixed frequency structural VARs", with Claudia Foroni, Journal of the Royal Statistical Society, Series A, 179(2), 403-425. "Monetary, Fiscal and Oil Shocks: Evidence based on Mixed Frequency Structural FAVARs", with Vasja Sivec, Journal of Econometrics, 193, 335–348. "Structural analysis with Multivariate Autoregressive Index models", with Andrea Carriero and George Kapetanios, Journal of Econometrics, 192, 332-348. "Common Drifting Volatility in Large Bayesian VARs", with Andrea Carriero and Todd Clark, Journal of Business and Economic Statistics, 34, 375-390. “Factor based identification-robust inference in IV regressions”, with Lynda Khalaf and George Kapetanios, Journal of Applied Econometrics, 31(5), 821–842. “On the importance of sectoral and regional shocks for price-setting” with Guenter Beck and Kirstin Hubrich, Journal of Applied Econometrics, 31(7), 1234–1253. "Time Variation in Macro-Financial Linkages", with Esteban Prieto and Sandra Eickmeier, Journal of Applied Econometrics, 31(7), 1215–1233.

2015: “Bayesian VARs: Specification choices and forecasting performance”, with Andrea Carriero and Todd Clark, Journal of Applied Econometrics, 30, 46-73. “U-MIDAS: MIDAS regressions with unrestricted lag polynomial”, with Claudia Foroni and Christian Schumacher, Journal of the Royal Statistical Society, Series A, 178, 57-82. “A Classical Time Varying FAVAR Model: Estimation, Forecasting, and Structural Analysis”, with Wolfgang Lemke and Sandra Eickmeier, Journal of the Royal Statistical Society, Series A, 178, 493–533. "Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility", with Andrea Carriero and Todd Clark, Journal of the Royal Statistical Society, Series A, 178, 837-862.