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Research
  1. Queen Mary University of London
  2. Research
  3. Publications

Publications: Prof Andrea Carriero

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Carriero A, Clark TE, Marcellino M ( 2024 ) . Specification Choices in Quantile Regression for Empirical Macroeconomics . Journal of Applied Econometrics
Carriero A, Marcellino M, Tornese T ( 2024 ) . Blended identification in structural VARs . Journal of Monetary Economics vol. 146 ,
Carriero A, Volpicella A ( 2024 ) . Max Share Identification of Multiple Shocks: An Application to Uncertainty and Financial Conditions . Journal of Business and Economic Statistics vol. ahead-of-print , ( ahead-of-print ) 1 - 13 .
Carriero A, clark T, marcellino M ( 2023 ) . Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions . Journal of Money, Credit and Banking
Carriero A, Marcellino M, Tornese T ( 2023 ) . Macro uncertainty in the long run . Economics Letters vol. 225 ,
Bai Y, Carriero A, Clark TE, Marcellino M ( 2022 ) . Macroeconomic forecasting in a multi‐country context . Journal of Applied Econometrics vol. 37 , ( 6 ) 1230 - 1255 .
Carriero A, Clark T, Marcellino M ( 2022 ) . Addressing COVID-19 Outliers in BVARs with Stochastic Volatility . The Review of Economics and Statistics
Carriero A ( 2022 ) . Nowcasting Tail Risk to Economic Activity at a Weekly Frequency . Journal of Applied Econometrics
Carriero A, Clark TE, Marcellino M ( 2022 ) . Corrigendum: Measuring Uncertainty and Its Impact on the Economy . The Review of Economics and Statistics vol. 104 , ( 3 ) 619a - 619k .
Carriero A, Chan J, Clark TE, Marcellino M ( 2022 ) . Corrigendum to “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors” [J. Econometrics 212 (1) (2019) 137–154] . Journal of Econometrics vol. 227 , ( 2 ) 506 - 512 .
Carriero A ( 2022 ) . The Global Component of Inflation Volatility . Journal of Applied Econometrics
Carriero A ( 2022 ) . Corrigendum to: Large Bayesian Vector Autoregressions with Stochastic Volatility and Non-Conjugate Priors . Journal of Econometrics
Carriero A ( 2021 ) . Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty . Journal of Econometrics
Carriero A ( 2021 ) . No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates . Journal of Applied Econometrics
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, 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, 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, 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, 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, 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 ( 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 ( 2007 ) . A Bayesian Framework for the Expectations Hypothesis. How to Extract Additional Information from the Term Structure of Interest Rates . 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 .
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