Andrea Carriero
Andrea Carriero
Professor of Economics, Queen Mary Univeristy of London
Verified email at qmul.ac.uk - Homepage
TitleCited byYear
Bayesian VARs: specification choices and forecast accuracy
A Carriero, TE Clark, M Marcellino
Journal of Applied Econometrics 30 (1), 46-73, 2015
1602015
Forecasting exchange rates with a large Bayesian VAR
A Carriero, G Kapetanios, M Marcellino
International Journal of Forecasting 25 (2), 400-417, 2009
1352009
Common drifting volatility in large Bayesian VARs
A Carriero, TE Clark, M Marcellino
Journal of Business & Economic Statistics 34 (3), 375-390, 2016
1012016
Forecasting large datasets with Bayesian reduced rank multivariate models
A Carriero, G Kapetanios, M Marcellino
Journal of Applied Econometrics 26 (5), 735-761, 2011
862011
Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility
A Carriero, TE Clark, M Marcellino
Journal of the Royal Statistical Society: Series A (Statistics in Society …, 2015
762015
Forecasting government bond yields with large Bayesian VARs
A Carriero, G Kapetanios, M Marcellino
CEPR Discussion Paper No. DP7796, 2010
71*2010
Measuring uncertainty and its impact on the economy
A Carriero, TE Clark, M Marcellino
Review of Economics and Statistics 100 (5), 799-815, 2018
702018
Financial factors, macroeconomic information and the expectations theory of the term structure of interest rates
A Carriero, CA Favero, I Kaminska
Journal of econometrics 131 (1-2), 339-358, 2006
652006
The impact of uncertainty shocks under measurement error: A proxy SVAR approach
A Carriero, H Mumtaz, K Theodoridis, A Theophilopoulou
Journal of Money, Credit and Banking 47 (6), 1223-1238, 2015
582015
Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
A Carriero, TE Clark, M Marcellino
Journal of Econometrics, 2019
51*2019
How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
A Carriero, R Giacomini
Journal of Econometrics 164 (1), 21-34, 2011
382011
Have standard VARs remained stable since the crisis?
KA Aastveit, A Carriero, TE Clark, M Marcellino
Journal of applied econometrics 32 (5), 931-951, 2017
302017
A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK
A Carriero, M Marcellino
International Journal of Forecasting 23 (2), 219-236, 2007
292007
Forecasting The Yield Curve Using Priors From No‐Arbitrage Affine Term Structure Models
A Carriero
International Economic Review 52 (2), 425-459, 2011
23*2011
Sectoral Survey‐based Confidence Indicators for Europe
A Carriero, M Marcellino
Oxford Bulletin of Economics and Statistics 73 (2), 175-206, 2011
162011
The Identifying Information in Vector Autoregressions with Time-Varying Volatilities: An Application to Endogenous Uncertainty
A Carriero, TE Clark, M Marcellino
Technical report, 2019
15*2019
No arbitrage priors, drifting volatilities, and the term structure of interest rates
A Carriero, TE Clark, MG Marcellino
CEPR Discussion Paper No. DP9848, 2014
122014
A simple test of the New Keynesian Phillips Curve
A Carriero
Economics Letters 100 (2), 241-244, 2008
122008
Structural analysis with multivariate autoregressive index models
A Carriero, G Kapetanios, M Marcellino
Journal of econometrics 192 (2), 332-348, 2016
11*2016
Explaining US–UK Interest Rate Differentials: A Reassessment of the Uncovered Interest Rate Parity in a Bayesian Framework
A Carriero
Oxford Bulletin of Economics and Statistics 68, 879-899, 2006
92006
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