Publications in refereed journals
Sasso Daniele, Bacco Luca, Palumbo Luigi, Marcucci Juri, Salvini Niccolò, Laureti Tiziana, and Vollero Luca, (2025), "Price Variations in Food Products: A Time Series Dataset for Analysis Across Regions in Italian Supermarkets", Data in Brief, 112089, ISSN 2352-3409, https://doi.org/10.1016/j.dib.2025.112089.
Haghighi, Maryam, Joseph, Andreas, Kapetanios, George, Kurz, Christopher, Lenza, Michele, and Marcucci Juri, (2025) "Machine Learning for Economic Policy", Journal of Econometrics, 105970, ISSN 0304-4076, https://doi.org/10.1016/j.jeconom.2025.105970.
Marcucci, Juri, (2024), "Macroeconomic forecasting with text-based data." In Michael P. Clements and Ana Beatriz Galvao (editor), Handbook of Research Methods and Applications in Macroeconomic Forecasting, Chapter 16, pages 425–468. Edward Elgar Publishing. https://doi.org/10.4337/9781035310050.00020 (link to working paper version).
Araujo, Douglas and Bruno, Giuseppe and Marcucci, Juri and Schmidt, Rafael and Tissot, Bruno, (2024), "Data science in economy and finance: A central bank perspective", Journal of Digital Banking, 9 (1), Pages 30-48, https://doi.org/10.69554/PXUD8314.
Braggiotti Francesco, Chiarini Nicola, Dondi Giulio, Lavecchia Luciano, Lionetti Valeria, Marcucci Juri, and Russo, Riccardo (2024), "Predicting buildings' EPC in Italy: a machine learning based-approach," Questioni di Economia e Finanza (Occasional Papers) 850, Bank of Italy, Economic Research and International Relations Area.
Aprigliano, Valentina, Emiliozzi, Simone, Guaitoli, Gabriele, Luciani, Andrea, Marcucci, Juri, and Monteforte, Libero, (2023), "The power of text-based indicators in forecasting Italian economic activity", International Journal of Forecasting, Volume 39, Issue 2, Pages 791-808, ISSN 0169-2070, https://doi.org/10.1016/j.ijforecast.2022.02.006
Araujo, Douglas and Bruno, Giuseppe and Marcucci, Juri and Schmidt, Rafael and Tissot, Bruno, (2023), "Machine learning applications in central banking", Journal of AI, Robotics & Workplace Automation, 2 (3), 271-293, https://doi.org/10.69554/LSSN4651.
Angelico, Cristina, Marcucci, Juri, Miccoli, Marcello, and Quarta Filippo, (2022), "Can we measure inflation expectations using Twitter?", Journal of Econometrics, Volume 228, Issue 2, June, Pages 259-277, https://doi.org/10.1016/j.jeconom.2021.12.008.
Bruno, Giuseppe, and Marcucci, Juri, (2021), "Data science and machine learning for a data-driven central bank," in Data Science in Economics and Finance for Decision Makers (Ed. Per Nymand-Andersen), ISBN: 978-1-78272-394-3 (link).
D'Amuri, Francesco and Marcucci, Juri, (2017), "The Predictive Power of Google Searches in Forecasting US Unemployment", International Journal of Forecasting, October-December, 33(4), 801-816
Awarded the Best Paper Award for papers published in the International Journal of Forecasting during 2016-2017.
Motivation for the award: "... your paper was groundbreaking by introducing Google search to economic forecasting. It falls right at the intersection between macroeconomic forecasting and the big-data approach that is gaining much attraction in the field of applied forecasting. A simple internet-search based indicator poses a high hurdle to standard forecasting and this represents a new stylized fact that applied macroeconomists will need to take into account. ..."
Web Appendix (with unpublished results)
Busetti, Fabio and Marcucci, Juri, (2013), "Comparing forecast accuracy: a Monte Carlo investigation", International Journal of Forecasting January-March, 29(1), 13-27
Web Appendix (with detailed size and power results on all simulations)
Metghalchi, Massoud, Yung-Ho, Chang and Marcucci, Juri, (2012), "Are Moving Average Trading Rules Profitable? Evidence from the European Stock Markets'', Applied Economics, 44(12), 1539-1559.
Marcucci, Juri and Quagliariello, Mario, (2009), "Asymmetric Effects of the Business Cycle on Bank Credit Risk", Journal of Banking and Finance, September, 33(9), 1624-1635.
Metghalchi, Massoud, Chang, Yung-Ho and Marcucci, Juri, (2008) "Is the Swedish Stock Market Efficient? Evidence from some simple trading rules", International Review of Financial Analysis, 17(3), 475-490.
Marcucci, Juri and Quagliariello, Mario, (2008), "Is Bank Portfolio Riskiness Procyclical? Evidence from Italy using a Vector Autoregression", Journal of International Financial Markets, Institutions & Money, February, 18(1), 46-63.
Lotti, Francesca and Marcucci, Juri, (2007), "Revisiting the Empirical Evidence on Firms' Money Demand", Journal of Economics and Business, January-February, 59(1), 51-73.
Engle, Robert F. and Marcucci, Juri, (2006), "A Long Run Pure Variance Common Features Model for the Common Volatilities of the Dow Jones", May, Journal of Econometrics, 132(1), 7-42.
Marcucci, Juri, (2005), "Forecasting Stock Market Volatility with Regime-Switching GARCH Models", Studies in Nonlinear Dynamics and Econometrics, Vol. 9, Issue 4, Art. 6.
MRS-GARCH Matlab code (updated January 2011)
Other Publications
Guerino Ardizzi and Giuseppe Bruno and Juri Marcucci and Roberto Iannaccone and Filippo Moauro and Alessandra Righi and Davide Zurlo, (2024). "The use of payment transaction data for economic forecasts," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Granular data: new horizons and challenges, volume 61, Bank for International Settlements.
Araujo, Douglas and Bruno, Giuseppe and Marcucci, Juri and Schmidt, Rafael and Tissot, Bruno, (2023), "Data science in central banking: applications and tools", IFC Bulletin 59, Bank of International Settlements.
Astuti, Valerio and Bruno, Giuseppe and Marchetti, Sabina and Marcucci, Juri, (2023), "News and banks' equities: do words have predictive power?," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Data science in central banking: applications and tools, volume 59, Bank for International Settlements.
D'Alessio, Giovanni and De Bonis, Riccardo and Infante, Luigi and Piazza, GianMatteo and Nuzzo, Giorgio and Zanichelli, Francesca and Sabatini, Silvia and Gambacorta, Romina and de Blasio, Guido and Federico, Stefano and Marcucci, Juri and Bartiloro, Laura and San Martini, Elena, (2022), "Statistics for economic analysis: the experience of the Bank of Italy", Bank of Italy Occasional Paper No. 693, http://dx.doi.org/10.2139/ssrn.4155336
Araujo, Douglas, and Bruno, Giuseppe, and Marcucci, Juri, and Schmidt, Rafael and Tissot, Bruno, (2022), "Machine learning applications in central banking: an overview", IFC Bulletins chapters, in: Bank for International Settlements (ed.), Machine learning in central banking, volume 57, Bank for International Settlements. https://EconPapers.repec.org/RePEc:bis:bisifc:57-01.
Astuti, Valerio and Crispino, Marta and Langiulli, Marco and Marcucci, Juri, (2022), "Textual analysis of a Twitter corpus during the COVID-19 pandemics," Questioni di Economia e Finanza (Occasional Papers) 692, Bank of Italy, Economic Research and International Relations Area.
Laviola, Sebastiano, Marcucci, Juri, and Quagliariello, Mario, (2006), "Stress Testing Credit Risk: Experience from the Italian FSAP"}, BNL Quarterly Review, September 2006, Vol. LIX, n. 238, 269-291.
Lotti, Francesca, and Marcucci, Juri, (2004), ``La domanda di liquidita' delle imprese statunitensi: una analisi panel'' (Corporate Liquidity Demand in the US: Evidence from Panel Data), L'Industria, April-June 2004, n. 2, 403-418.
Marcucci, Juri, and Quagliariello, Mario, (2008), "Credit risk and business cycle over different regimes", Bank of Italy, Working paper n. 670.