MASSIMILIANO MARCELLINO

Courses a.y. 2025/2026

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

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano
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

Guérin, Pierre; Leiva-Leon, Danilo; Marcellino, Massimiliano
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

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