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Massimiliano Marcellino

Full Professor of Economics · Bocconi University

Full Professor of Economics at Bocconi University and Director of the Baffi Centre. His research covers empirical macroeconomics, econometrics, forecasting, Bayesian vector autoregressions and machine learning.

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Published Classic Journal of Econometrics Published Sep 2019

Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors

Andrea Carriero · Todd E. Clark · Massimiliano Marcellino

This 2019 Journal of Econometrics paper by Andrea Carriero, Todd Clark, and Massimiliano Marcellino develops a computationally efficient Markov Chain Monte Carlo (MCMC) algorithm for estimating large …

Structural Var Nowcasting Forecasting