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.
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.
Carriero A, Galvão AB, Kapetanios G(2019).
A comprehensive evaluation of macroeconomic forecasting methods. International Journal of Forecasting
vol. 35,
(4)
1226-1239.
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.
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
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
,
CARRIERO A, Aastveit KA, Clark TE, Marcellino M(2016).
Have Standard VARs Remained Stable Since the Crisis?. Journal of Applied Econometrics
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.
Carriero A, Kapetanios G, Marcellino M(2016).
Structural analysis with Multivariate Autoregressive Index models. Journal of Econometrics
vol. 192,
(2)
332-348.
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.
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.
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.
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.
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.
Carriero A, Clark TE, Marcellino M(2013).
Bayesian Vars: Specification Choices And Forecast Accuracy. Journal of Applied Econometrics
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.
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.
Carriero A, Kapetanios G, Marcellino M(2011).
FORECASTING LARGE DATASETS WITH BAYESIAN REDUCED RANK MULTIVARIATE MODELS. J APPL ECONOMET
vol. 26,
(5)
735-761.
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.
Carriero A, Marcellino M(2011).
Sectoral Survey-based Confidence Indicators for Europe. OXFORD B ECON STAT
vol. 73,
(2)
175-206.
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
,
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.
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.
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
,
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
,
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
,
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.
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.
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.