Overview
Massimiliano Marcellino is an econometrician (Bocconi University) working on macroeconomic forecasting, factor models, mixed-frequency and nowcasting methods, and Bayesian VARs.
Key Contributions / Features
- BVAR specification choices (Carriero-Clark-Marcellino 2015): co-author of the specification-choices/forecast-accuracy study. Journal of Applied Econometrics 30(1): 46–73.
- Direct vs. iterated multi-step forecasting (Marcellino-Stock-Watson 2006) and factor-based forecasting with many predictors.
- Common drifting volatility in large BVARs (Carriero-Clark-Marcellino) and mixed-frequency/nowcasting methods.
Related