Publications
2025
Andrea Carriero, Todd Clark, Massimiliano Marcellino (2025a) "Specification Choices in Quantile Regression for Empirical Macroeconomics", Journal of Applied Econometrics, 40, 57-73
Niko Hauzenberger, Florian Huber, Karin Kleiber and Massimiliano Marcellino (2025) “Bayesian neural networks for macroeconomic analysis”, Journal of Econometrics, forthcoming.
Andrea Carriero, Todd Clark, Massimiliano Marcellino and Elmar Mertens (2025) “Forecasting with Shadow-Rate VARs”, Quantitative Economics, forthcoming.
Robin Braun, George Kapetanios and Massimiliano Marcellino (2025) “Time Varying IV-SVARs and the effects of monetary policy on financial variables”, Review of Economics and Statistics, forthcoming.
Niko Hauzenberger, Florian Huber, Karin Kleiber and Massimiliano Marcellino (2025) “Machine Learning the Macroeconomic Effects of Financial Shocks”, Economics Letters, forthcoming.
2024
Todd Clark, Florian Huber, Gary Koop, Massimiliano Marcellino and Michael Pfarrhofer (2024) “Investigating growth at risk using a multi-country non-parametric quantile factor model”, Journal of Business and Economic Statistics, 42(4), 1302–1317.
Andrea Carriero, Todd Clark, Massimiliano Marcellino and Elmar Mertens (2024) “Addressing COVID-19 Outliers in BVARs with Stochastic Volatility”, Review of Economics and Statistics, 106(5), 1-15.
Todd Clark, Florian Huber, Gary Koop, Massimiliano Marcellino (2024) “Forecasting US Inflation Using Bayesian Nonparametric Models”, Annals of Applied Statistics, 18(2), 1421-1444.
Andrea Carriero, Massimiliano Marcellino and Tommaso Tornese (2024) “Blended identification in structural VARs”, Journal of Monetary Economics, Volume 146.
Niko Hauzenberger, Florian Huber, Massimiliano Marcellino and Nico Petz (2024) “Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty”, Journal of Business and Economic Statistics, 43(1), 27–43.
Andrea Carriero, Todd Clark, Massimiliano Marcellino (2024) “Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions”, Journal of Money, Credit and Banking, 56(5), 1099-1127.
2023
Todd Clark, Florian Huber, Gary Koop, Massimiliano Marcellino and Michael Pfarrhofer (2023) “Tail forecasting with multivariate Bayesian additive regression trees”, International Economic Review, 64(3), 979-1022.
Andrea Carriero, Massimiliano Marcellino and Tommaso Tornese (2023), “Macro uncertainty in the long run”, Economics Letters, 225(C).
Berk, Ian, Massimo Guidolin, and Monia Magnani (2023). "New ESG rating drivers in the cross‐section of European stock returns.” Journal of Financial Research, 46 S133-S162.
Guidolin, Massimo, Manuela Pedio, and Milena T. Petrova (2023). "The predictability of real estate excess returns: An out-of-sample economic value analysis." Journal of Real Estate Finance and Economics, 67 108-149.
Bianchi, Daniele, Massimo Guidolin, and Manuela Pedio (2023). "The dynamics of returns predictability in cryptocurrency markets." European Journal of Finance, 29(6), 583-611.
2022
Andrea Carriero, Todd Clark, Massimiliano Marcellino (2022) “Nowcasting Tail Risks to Economic Activity at a weekly frequency”, Journal of Applied Econometrics, 37(5), 843–866.
Andrea Carriero, Francesco Corsello, Massimiliano Marcellino (2022) “The global component of inflation volatility”, Journal of Applied Econometrics, 37(4), 700-721.
Desai, Prajakta, and Massimo Guidolin (2022). "Performance persistence and optimal asset allocation strategies." European Journal of Finance, 28(16), 1571-1598.
2021
Andrea Carriero, Todd Clark, Massimiliano Marcellino (2021), “Using Time-Varying Volatility for Identification in Vector Autoregressions: An Application to Endogenous Uncertainty”, Journal of Econometrics, 225(1), 47-73.
Andrea Carriero, Todd Clark, Massimiliano Marcellino (2021) "No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates", Journal of Applied Econometrics, 36(5), 495-516.
Guidolin, Massimo, Valentina Massagli, and Manuela Pedio (2021). "Does the cost of private debt respond to monetary policy? Heteroskedasticity-based identification in a model with regimes." European Journal of Finance, 27(18): 1804-1833.
Guidolin, Massimo, and Manuela Pedio (2021). "Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help?" Annals of Operations Research, 299(1), 1317-1356.
Guidolin, Massimo, and Manuela Pedio (2021). "Media attention vs. sentiment as drivers of conditional volatility predictions: An application to Brexit." Finance Research Letters, 42: 101943.