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Publications:  Prof Andrea Carriero

Carriero A, Clark TE, Marcellino M(2020). Assessing international commonality in macroeconomic uncertainty and its effects. Journal of Applied Econometrics vol. 35, (3) 273-293.
10.1002/jae.2750
https://qmro.qmul.ac.uk/xmlui/handle/123456789/60627
Carriero A, Clark TE, Marcellino M(2019). Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors. Journal of Econometrics vol. 212, (1) 137-154.
10.1016/j.jeconom.2019.04.024
https://qmro.qmul.ac.uk/xmlui/handle/123456789/46523
Carriero A, Galvão AB, Kapetanios G(2019). A comprehensive evaluation of macroeconomic forecasting methods. International Journal of Forecasting vol. 35, (4) 1226-1239.
10.1016/j.ijforecast.2019.02.007
https://qmro.qmul.ac.uk/xmlui/handle/123456789/64658
Carriero A, Mouabbi S, Vangelista E(2018). UK term structure decompositions at the zero lower bound. Journal of Applied Econometrics vol. 33, (5) 643-661.
10.1002/jae.2635
https://qmro.qmul.ac.uk/xmlui/handle/123456789/40223
Carriero A, Galvao AB, Marcellino M (2018). Credit Conditions and the Effects of Economic Shocks: Amplifications and Asymmetries. Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
CARRIERO A, Clark TE, Marcellino M(2017). Measuring uncertainty and its impact on the economy. The Review of Economics and Statistics
10.1162/REST_a_00693
https://qmro.qmul.ac.uk/xmlui/handle/123456789/24571
Aastveit KA, Carriero A, Clark TE, Marcellino M (2016). Have Standard VARS Remained Stable Since the Crisis?. Wiley Online pp. 931-951. Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Publisher URL
10.1002/jae.2555
CARRIERO A, Aastveit KA, Clark TE, Marcellino M(2016). Have Standard VARs Remained Stable Since the Crisis?. Journal of Applied Econometrics
10.1002/jae.2555
https://qmro.qmul.ac.uk/xmlui/handle/123456789/15457
Carriero A, Clark TE, Marcellino M(2016). Common Drifting Volatility in Large Bayesian VARs. Journal of Business and Economic Statistics vol. 34, (3) 375-390.
10.1080/07350015.2015.1040116
Carriero A, Kapetanios G, Marcellino M(2016). Structural analysis with Multivariate Autoregressive Index models. Journal of Econometrics vol. 192, (2) 332-348.
10.1016/j.jeconom.2016.02.002
Carriero A, Clark TE, Marcellino M (2015). Large Vector Autoregressions with Asymmetric Priors. Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Carriero A, Clements MP, Galvão AB(2015). Forecasting with Bayesian multivariate vintage-based VARs. International Journal of Forecasting vol. 31, (3) 757-768.
10.1016/j.ijforecast.2014.05.007
Carriero A, Mumtaz H, Theophilopoulou A(2015). Macroeconomic information, structural change, and the prediction of fiscal aggregates. International Journal of Forecasting vol. 31, (2) 325-348.
10.1016/j.ijforecast.2014.06.006
Carriero A, Kapetanios G, Marcellino M (2015). A Shrinkage Instrumental Variable Estimator for Large Datasets. Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Carriero A, Clark TE, Marcellino M(2015). Bayesian VARs: Specification Choices and Forecast Accuracy. Journal of Applied Econometrics vol. 30, (1) 46-73.
10.1002/jae.2315
Carriero A, Clark TE, Marcellino M(2015). Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility. Journal of the Royal Statistical Society. Series A: Statistics in Society vol. 178, (4) 837-862.
10.1111/rssa.12092
Carriero A, Mumtaz H, Theodoridis K, Theophilopoulou A(2015). The Impact of Uncertainty Shocks under Measurement Error: A Proxy SVAR Approach. Journal of Money, Credit and Banking vol. 47, (6) 1223-1238.
10.1111/jmcb.12243
https://qmro.qmul.ac.uk/xmlui/handle/123456789/11854
Carriero A, Clark TE, Marcellino M(2013). Bayesian Vars: Specification Choices And Forecast Accuracy. Journal of Applied Econometrics
10.1002/jae.2315
Carriero A, Kapetanios G, Marcellino M(2012). Forecasting government bond yields with large Bayesian vector autoregressions. JOURNAL OF BANKING & FINANCE vol. 36, (7) 2026-2047.
10.1016/j.jbankfin.2012.03.008
Carriero A, Giacomini R(2011). How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?. J ECONOMETRICS vol. 164, (1) 21-34.
10.1016/j.jeconom.2011.02.010
Carriero A, Kapetanios G, Marcellino M(2011). FORECASTING LARGE DATASETS WITH BAYESIAN REDUCED RANK MULTIVARIATE MODELS. J APPL ECONOMET vol. 26, (5) 735-761.
10.1002/jae.1150
Carriero A, Kapetanios G, Marcellino M(2011). Forecasting large datasets with Bayesian reduced rank multivariate models. Journal of Applied Econometrics vol. 26, (5) 735-761.
Carriero A(2011). FORECASTING THE YIELD CURVE USING PRIORS FROM NO-ARBITRAGE AFFINE TERM STRUCTURE MODELS. INT ECON REV vol. 52, (2) 425-459.
10.1111/j.1468-2354.2011.00634.x
Carriero A, Marcellino M(2011). Sectoral Survey-based Confidence Indicators for Europe. OXFORD B ECON STAT vol. 73, (2) 175-206.
10.1111/j.1468-0084.2010.00609.x
Carriero A, Kapetanios G, Marcellino M (2010). Forecasting Government Bond Yields with Large Bayesian VARs. RePEc:qmw:qmwecw:wp662 Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Publisher URL
Carriero A, Kapetanios G, Marcellino M (2010). Forecasting Government Bond Yields with Large Bayesian VARs. Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Carriero A, Kapetanios G, Marcellino M(2009). Forecasting exchange rates with a large Bayesian VAR. INT J FORECASTING vol. 25, (2) 400-417.
10.1016/j.ijforecast.2009.01.007
Carriero A, Kapetanios G, Marcellino M (2009). Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models. Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Carriero A, Kapetanios G, Marcellino M(2009). Forecasting exchange rates with a large Bayesian VAR. vol. 25, (2) 400-417.
Carriero A, Kapetanios G, Marcellino M (2008). Forecasting Exchange Rates with a Large Bayesian VAR. Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Carriero A, Kapetanios G, Marcellino M (2008). Forecasting with Dynamic Models using Shrinkage-based Estimation. Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Carriero A(2008). A simple test of the New Keynesian Phillips Curve. ECON LETT vol. 100, (2) 241-244.
10.1016/j.econlet.2008.02.012
Carriero A, Kapetanios G, Marcellino M (2008). A Shrinkage Instrumental Variable Estimator for Large Datasets. Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Carriero A, Kapetanios G, Marcellino M (2008). A Shrinkage Instrumental Variable Estimator for Large Datasets. RePEc:qmw:qmwecw:wp626 Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Publisher URL
Carriero A, Kapetanios G, Marcellino M (2008). Forecasting Exchange Rates with a Large Bayesian VAR. Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Carriero A, Kapetanios G, Marcellino M (2008). Forecasting with Dynamic Models using Shrinkage-based Estimation. RePEc:qmw:qmwecw:wp635 Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Publisher URL
Carriero A, Kapetanios G, Marcellino M (2007). Forecasting Large Datasets with Reduced Rank Multivariate Models. Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Carriero A (2007). Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models. Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Carriero A (2007). A Bayesian Framework for the Expectations Hypothesis. How to Extract Additional Information from the Term Structure of Interest Rates. RePEc:qmw:qmwecw:wp591 Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Publisher URL
Carriero A, Marcellino M (2007). A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK. Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Carriero A (2007). A Simple Test of the New Keynesian Phillips Curve. Abstract: java.sql.Clob org.hibernate.engine.jdbc.WrappedClob java.io.Serializable ,
Carriero A, Marcellino M(2007). A comparison of methods for the construction of composite coincident and leading indexes for the UK. INT J FORECASTING vol. 23, (2) 219-236.
10.1016/j.ijforecast.2007.01.005
CARRIERO A, Kaminska I, Favero C(2006). Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates. Journal of Econometrics vol. 131, 339-358.
10.106/j.jeconom.2005.01.019
Carriero A(2006). Explaining US-UK interest rate differentials: A reassessment of the uncovered interest rate parity in a Bayesian framework. OXFORD BULLETIN OF ECONOMICS AND STATISTICS vol. 68, 879-899.
10.1111/j.1468-0084.2006.00461.x
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