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Details about Andrea Carriero

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Homepage:http://acarriero77.wixsite.com/andreacarriero
Workplace:School of Economics and Finance, Queen Mary University of London, (more information at EDIRC)

Access statistics for papers by Andrea Carriero.

Last updated 2017-03-09. Update your information in the RePEc Author Service.

Short-id: pca105


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Working Papers

2016

  1. A comprehensive evaluation of macroeconomic forecasting methods
    EMF Research Papers, Economic Modelling and Forecasting Group Downloads
  2. Have Standard VARs Remained Stable Since the Crisis?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    Also in Working Paper, Federal Reserve Bank of Cleveland (2014) Downloads View citations (6)
    Working Paper, Norges Bank (2014) Downloads View citations (4)
  3. Large Vector Autoregressions with Stochastic Volatility and Flexible Priors
    Working Paper, Federal Reserve Bank of Cleveland Downloads
  4. Measuring Uncertainty and Its Impact on the Economy
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy Downloads View citations (1)
    Also in Working Paper, Federal Reserve Bank of Cleveland (2016) Downloads View citations (1)
  5. UK term structure decompositions at the zero lower bound
    Working papers, Banque de France Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2015) Downloads View citations (2)

2015

  1. A Shrinkage Instrumental Variable Estimator for Large Datasets
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2008) Downloads

    See also Journal Article in L'Actualité Economique (2015)
  2. Large Vector Autoregressions with Asymmetric Priors
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (1)
  3. Structural Analysis with Multivariate Autoregressive Index Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2016)
  4. Tracing Out Capital Flows: How Financially Integrated Banks Respond to Natural Disasters
    Working Paper, Federal Reserve Bank of Cleveland Downloads View citations (3)

2014

  1. No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)

2013

  1. Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (7)
    Also in Working Paper, Federal Reserve Bank of Cleveland (2012) Downloads View citations (3)

    See also Journal Article in Journal of the Royal Statistical Society Series A (2015)
  2. The Impact of Uncertainty Shocks under Measurement Error. A Proxy SVAR Approach
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (10)
    See also Journal Article in Journal of Money, Credit and Banking (2015)

2012

  1. Common Drifting Volatility in Large Bayesian VARs
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (15)
    Also in Working Paper, Federal Reserve Bank of Cleveland (2012) Downloads View citations (19)
    Economics Working Papers, European University Institute (2012) Downloads View citations (15)

2011

  1. Bayesian VARs: Specification Choices and Forecast Accuracy
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (31)
    Also in Working Paper, Federal Reserve Bank of Cleveland (2011) Downloads View citations (8)

    See also Journal Article in Journal of Applied Econometrics (2015)
  2. How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
    Post-Print, HAL Downloads View citations (11)
    See also Journal Article in Journal of Econometrics (2011)

2010

  1. Forecasting Government Bond Yields with Large Bayesian VARs
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2010) Downloads View citations (2)

2009

  1. Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)
    Also in Economics Working Papers, European University Institute (2009) Downloads View citations (4)

    See also Journal Article in Journal of Applied Econometrics (2011)

2008

  1. Forecasting Exchange Rates with a Large Bayesian VAR
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Economics Working Papers, European University Institute (2008) Downloads
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) Downloads View citations (4)

    See also Journal Article in International Journal of Forecasting (2009)
  2. Forecasting with Dynamic Models using Shrinkage-based Estimation
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (1)

2007

  1. A Bayesian Framework for the Expectations Hypothesis. How to Extract Additional Information from the Term Structure of Interest Rates
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (1)
  2. A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (3)
    See also Journal Article in International Journal of Forecasting (2007)
  3. A Simple Test of the New Keynesian Phillips Curve
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    See also Journal Article in Economics Letters (2008)
  4. Forecasting Large Datasets with Reduced Rank Multivariate Models
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (3)
  5. Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (2)
    See also Journal Article in International Economic Review (2011)
  6. Monitoring the Economy of the Euro Area: A Comparison of Composite Coincident Indexes
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (1)
  7. Sectoral Survey-based Confidence Indicators for Europe
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (4)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2011)

2004

  1. Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (9)
    Also in Computing in Economics and Finance 2004, Society for Computational Economics (2004) Downloads View citations (3)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads View citations (9)

    See also Journal Article in Journal of Econometrics (2006)

Journal Articles

2016

  1. Structural analysis with Multivariate Autoregressive Index models
    Journal of Econometrics, 2016, 192, (2), 332-348 Downloads View citations (3)
    See also Working Paper (2015)

2015

  1. A SHRINKAGE INSTRUMENTAL VARIABLE ESTIMATOR FOR LARGE DATASETS
    L'Actualité Economique, 2015, 91, (1-2), 67-87 Downloads
    See also Working Paper (2015)
  2. Bayesian VARs: Specification Choices and Forecast Accuracy
    Journal of Applied Econometrics, 2015, 30, (1), 46-73 Downloads View citations (18)
    See also Working Paper (2011)
  3. Forecasting with Bayesian multivariate vintage-based VARs
    International Journal of Forecasting, 2015, 31, (3), 757-768 Downloads View citations (2)
  4. Macroeconomic information, structural change, and the prediction of fiscal aggregates
    International Journal of Forecasting, 2015, 31, (2), 325-348 Downloads View citations (1)
  5. Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility
    Journal of the Royal Statistical Society Series A, 2015, 178, (4), 837-862 Downloads View citations (6)
    See also Working Paper (2013)
  6. The Impact of Uncertainty Shocks under Measurement Error: A Proxy SVAR Approach
    Journal of Money, Credit and Banking, 2015, 47, (6), 1223-1238 Downloads View citations (12)
    See also Working Paper (2013)

2012

  1. Forecasting government bond yields with large Bayesian vector autoregressions
    Journal of Banking & Finance, 2012, 36, (7), 2026-2047 Downloads View citations (15)

2011

  1. FORECASTING THE YIELD CURVE USING PRIORS FROM NO‐ARBITRAGE AFFINE TERM STRUCTURE MODELS
    International Economic Review, 2011, 52, (2), 425-459 View citations (6)
    See also Working Paper (2007)
  2. Forecasting large datasets with Bayesian reduced rank multivariate models
    Journal of Applied Econometrics, 2011, 26, (5), 735-761 View citations (41)
    See also Working Paper (2009)
  3. How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
    Journal of Econometrics, 2011, 164, (1), 21-34 Downloads View citations (17)
    See also Working Paper (2011)
  4. Sectoral Survey‐based Confidence Indicators for Europe
    Oxford Bulletin of Economics and Statistics, 2011, 73, (2), 175-206 View citations (2)
    See also Working Paper (2007)

2009

  1. Forecasting exchange rates with a large Bayesian VAR
    International Journal of Forecasting, 2009, 25, (2), 400-417 Downloads View citations (79)
    See also Working Paper (2008)

2008

  1. A simple test of the New Keynesian Phillips Curve
    Economics Letters, 2008, 100, (2), 241-244 Downloads View citations (6)
    See also Working Paper (2007)

2007

  1. A comparison of methods for the construction of composite coincident and leading indexes for the UK
    International Journal of Forecasting, 2007, 23, (2), 219-236 Downloads View citations (8)
    See also Working Paper (2007)

2006

  1. Explaining US-UK Interest Rate Differentials: A Reassessment of the Uncovered Interest Rate Parity in a Bayesian Framework
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 879-899 Downloads View citations (6)
  2. Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates
    Journal of Econometrics, 2006, 131, (1-2), 339-358 Downloads View citations (15)
    See also Working Paper (2004)
 
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