Full Professor
Department of Economics
Courses a.y. 2025/2026
40272 ECONOMETRICS 3
Biographical note
I am professor of Econometrics in the Economics Department of Bocconi University and Director of the Baffi Centre on Economics, Finance and Regulation. I am also a fellow of CEPR, IGIER and BIDSA. Previously, I held the Pierre Werner Chair at the European University Institute, where I was also Director of the Department of Economics. I have acted as an advisor for several institutions, including the ECB, Bank of Italy, Bundesbank, ESM, SRB, Eurostat, BIS, IMF and World Bank. I have published extensively in leading academic journals on empirical macroeconomics, econometrics, economic statistics, machine learning and forecasting, my main areas of research, teaching and consulting.
Selected Publications
Clark, Todd E.; Huber, Florian; Koop, Gary; Marcellino, Massimiliano
Forecasting US inflation using Bayesian nonparametric models
THE ANNALS OF APPLIED STATISTICS, 2024
Forecasting US inflation using Bayesian nonparametric models
THE ANNALS OF APPLIED STATISTICS, 2024
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano
Capturing macroeconomic tail risks with Bayesian vector autoregressions
JOURNAL OF MONEY, CREDIT, AND BANKING, 2024
Capturing macroeconomic tail risks with Bayesian vector autoregressions
JOURNAL OF MONEY, CREDIT, AND BANKING, 2024
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano; Mertens, Elmar
Addressing COVID-19 outliers in BVARs with stochastic volatility
THE REVIEW OF ECONOMICS AND STATISTICS, 2024
Addressing COVID-19 outliers in BVARs with stochastic volatility
THE REVIEW OF ECONOMICS AND STATISTICS, 2024
Guérin, Pierre; Leiva-Leon, Danilo; Marcellino, Massimiliano
Markov-switching three-pass regression filter
JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2020
Markov-switching three-pass regression filter
JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2020
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano
Assessing international commonality in macroeconomic uncertainty and its effects
JOURNAL OF APPLIED ECONOMETRICS, 2020
Assessing international commonality in macroeconomic uncertainty and its effects
JOURNAL OF APPLIED ECONOMETRICS, 2020
Dendramis, Yannis; Kapetanios, George; Marcellino, Massimiliano
A similarity-based approach for macroeconomic forecasting
JOURNAL OF THE ROYAL STATISTICAL SOCIETY. SERIES A. STATISTICS IN SOCIETY, 2020
A similarity-based approach for macroeconomic forecasting
JOURNAL OF THE ROYAL STATISTICAL SOCIETY. SERIES A. STATISTICS IN SOCIETY, 2020