Andrea Carriero : Citation Profile


Are you Andrea Carriero?

Queen Mary University of London

12

H index

13

i10 index

541

Citations

RESEARCH PRODUCTION:

20

Articles

58

Papers

RESEARCH ACTIVITY:

   14 years (2004 - 2018). See details.
   Cites by year: 38
   Journals where Andrea Carriero has often published
   Relations with other researchers
   Recent citing documents: 169.    Total self citations: 24 (4.25 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pca105
   Updated: 2019-10-15    RAS profile: 2018-09-14    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Marcellino, Massimiliano (22)

Clark, Todd (17)

Aastveit, Knut Are (4)

Mouabbi, Sarah (4)

mumtaz, haroon (4)

Theophilopoulou, Angeliki (3)

Theodoridis, Konstantinos (3)

Galvão, Ana (3)

Cortes, Kristle (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Andrea Carriero.

Is cited by:

Koop, Gary (49)

Korobilis, Dimitris (42)

Marcellino, Massimiliano (23)

Huber, Florian (22)

GUPTA, RANGAN (18)

Feldkircher, Martin (15)

Chan, Joshua (14)

Pettenuzzo, Davide (13)

Giannone, Domenico (10)

Lenza, Michele (10)

mumtaz, haroon (9)

Cites to:

Giannone, Domenico (68)

Marcellino, Massimiliano (51)

Reichlin, Lucrezia (47)

Primiceri, Giorgio (35)

Lenza, Michele (34)

Clark, Todd (28)

Watson, Mark (23)

Zha, Tao (21)

Sims, Christopher (20)

Diebold, Francis (20)

Litterman, Robert (20)

Main data


Where Andrea Carriero has published?


Journals with more than one article published# docs
Journal of Applied Econometrics4
International Journal of Forecasting4
Journal of Econometrics3
Oxford Bulletin of Economics and Statistics2

Working Papers Series with more than one paper published# docs
Working Papers (Old Series) / Federal Reserve Bank of Cleveland9
Economics Working Papers / European University Institute3
EMF Research Papers / Economic Modelling and Forecasting Group2

Recent works citing Andrea Carriero (2018 and 2017)


YearTitle of citing document
2018Sparse Bayesian vector autoregressions in huge dimensions. (2018). Kastner, Gregor ; Huber, Florian. In: Papers. RePEc:arx:papers:1704.03239.

Full description at Econpapers || Download paper

2018Implications of macroeconomic volatility in the Euro area. (2018). Zens, Gregor ; Pfarrhofer, Michael ; Stelzer, Anna ; Bock, Maximilian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:1801.02925.

Full description at Econpapers || Download paper

2018Predicting crypto-currencies using sparse non-Gaussian state space models. (2018). Zoerner, Thomas ; Huber, Florian ; Zorner, Thomas O ; Hotz-Behofsits, Christian. In: Papers. RePEc:arx:papers:1801.06373.

Full description at Econpapers || Download paper

2019Bayesian MIDAS Penalized Regressions: Estimation, Selection, and Prediction. (2019). Mogliani, Matteo. In: Papers. RePEc:arx:papers:1903.08025.

Full description at Econpapers || Download paper

2019Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models. (2019). Pedio, Manuela ; Guidolin, Massimo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19106.

Full description at Econpapers || Download paper

2017Markov-Switching Three-Pass Regression Filter. (2017). Marcellino, Massimiliano ; Leiva-Leon, Danilo ; Guérin, Pierre ; Guerin, Pierre . In: Staff Working Papers. RePEc:bca:bocawp:17-13.

Full description at Econpapers || Download paper

2017Detecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals. (2017). Sadaba, Barbara ; Pozzi, Lorenzo. In: Staff Working Papers. RePEc:bca:bocawp:17-22.

Full description at Econpapers || Download paper

2017Monitoring the Spanish Economy through the Lenses of Structural Bayesian VARs. (2017). Leiva-Leon, Danilo. In: Occasional Papers. RePEc:bde:opaper:1706.

Full description at Econpapers || Download paper

2019Inflation interdependence in advanced economies. (2019). Gómez-Loscos, Ana ; Alvarez, Luis ; Gadea, Maria Dolores ; Gomez-Loscos, Ana. In: Working Papers. RePEc:bde:wpaper:1920.

Full description at Econpapers || Download paper

2018Forecasting house prices in Italy. (2018). Loberto, Michele ; Guglielminetti, Elisa ; Emiliozzi, Simone . In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_463_18.

Full description at Econpapers || Download paper

2019The non-standard monetary policy measures of the ECB: motivations, effectiveness and risks. (2019). Siviero, Stefano ; Neri, Stefano. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_486_19.

Full description at Econpapers || Download paper

2018On the unintended effects of public transfers: evidence from EU funding to Southern Italy. (2018). Rizzica, Lucia ; de Blasio, Guido ; de Angelis, Ilaria . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1180_18.

Full description at Econpapers || Download paper

2018Exchange rate pass-through into euro area inflation. An estimated structural model. (2018). Pisani, Massimiliano ; Notarpietro, Alessandro ; Burlon, Lorenzo. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1192_18.

Full description at Econpapers || Download paper

2019Bayesian MIDAS penalized regressions: estimation, selection, and prediction. (2019). Mogliani, Matteo. In: Working papers. RePEc:bfr:banfra:713.

Full description at Econpapers || Download paper

2017Staying at zero with affine processes : an application to term structure modelling. (2017). Roussellet, Guillaume ; Renne, Jean-Paul ; Monfort, Alain ; Pegoraro, Fulvio. In: Rue de la Banque. RePEc:bfr:rueban:2017:52.

Full description at Econpapers || Download paper

2019Identifying and Estimating the Effects of Unconventional Monetary Policy in the Data: How to Do It and What Have We Learned?. (2019). Rossi, Barbara. In: Working Papers. RePEc:bge:wpaper:1081.

Full description at Econpapers || Download paper

2019On the global Impact of risk-off shocks and policy-put frameworks. (2019). Kamber, Gunes ; Caballero, Ricardo. In: BIS Working Papers. RePEc:bis:biswps:772.

Full description at Econpapers || Download paper

2017Measuring Economic Uncertainty and Its Effects. (2017). Moore, Angus. In: The Economic Record. RePEc:bla:ecorec:v:93:y:2017:i:303:p:550-575.

Full description at Econpapers || Download paper

2018Assessing the Synchronicity and Nature of Australian State Business Cycles. (2018). Poon, Aubrey. In: The Economic Record. RePEc:bla:ecorec:v:94:y:2018:i:307:p:372-390.

Full description at Econpapers || Download paper

2018FACTOR MODELS AND TIME†VARYING PARAMETER FRAMEWORK FOR FORECASTING EXCHANGE RATES AND INFLATION: A SURVEY. (2018). Mokhtari, Manouchehr ; Kavtaradze, Lasha. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:302-334.

Full description at Econpapers || Download paper

2018Measuring Exchange Rate, Price, and Output Dynamics at the Effective Lower Bound. (2018). Kaufmann, Daniel ; Baeurle, Gregor ; Baurle, Gregor. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:80:y:2018:i:6:p:1243-1266.

Full description at Econpapers || Download paper

2018International Transmission of Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach. (2018). Cross, Jamie L ; Poon, Aubrey ; Hou, Chenghan. In: Working Papers. RePEc:bny:wpaper:0070.

Full description at Econpapers || Download paper

2019Should we care? : The economic effects of financial sanctions on the Russian economy. (2019). Mamonov, Mikhail ; Pestova, Anna. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2019_013.

Full description at Econpapers || Download paper

2018Identification and estimation issues in Structural Vector Autoregressions with external instruments. (2018). Fanelli, Luca ; Angelini, G. In: Working Papers. RePEc:bol:bodewp:wp1122.

Full description at Econpapers || Download paper

2019Does Business Confidence Matter for Investment?. (2017). Khan, Hashmat ; Upadhayaya, Santosh. In: Carleton Economic Papers. RePEc:car:carecp:17-13.

Full description at Econpapers || Download paper

2017Identifying Uncertainty Shocks Using the Price of Gold. (2017). Podstawski, Maximilian ; Piffer, Michele . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6327.

Full description at Econpapers || Download paper

2019Yield Curve and Financial Uncertainty: Evidence Based on US Data. (2019). Castelnuovo, Efrem. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7697.

Full description at Econpapers || Download paper

2018Macroeconomic Uncertainty and Forecasting Macroeconomic Aggregates. (2018). Reif, Magnus. In: ifo Working Paper Series. RePEc:ces:ifowps:_265.

Full description at Econpapers || Download paper

2018Forecasting using mixed-frequency VARs with time-varying parameters. (2018). Reif, Magnus ; Heinrich, Markus. In: ifo Working Paper Series. RePEc:ces:ifowps:_273.

Full description at Econpapers || Download paper

2018Monetary Policy, External Instruments and Heteroskedasticity. (2018). Schlaak, Thore ; Podstawski, Maximilian ; Rieth, Malte. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1749.

Full description at Econpapers || Download paper

2017Robustness of Multistep Forecasts and Predictive Regressions at Intermediate and Long Horizons. (2017). Chevillon, Guillaume. In: ESSEC Working Papers. RePEc:ebg:essewp:dr-17010.

Full description at Econpapers || Download paper

2017Below the zero lower bound: a shadow-rate term structure model for the euro area. (2017). Lemke, Wolfgang ; Vladu, Andreea Liliana . In: Working Paper Series. RePEc:ecb:ecbwps:20171991.

Full description at Econpapers || Download paper

2019Forecasting daily electricity prices with monthly macroeconomic variables. (2019). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Working Paper Series. RePEc:ecb:ecbwps:20192250.

Full description at Econpapers || Download paper

2019Forecasting occupancy rate with Bayesian compression methods. (2019). Tsionas, Mike ; Assaf, George A. In: Annals of Tourism Research. RePEc:eee:anture:v:75:y:2019:i:c:p:439-449.

Full description at Econpapers || Download paper

2017Reconciling output gaps: Unobserved components model and Hodrick–Prescott filter. (2017). Grant, Angelia ; Chan, Joshua. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:75:y:2017:i:c:p:114-121.

Full description at Econpapers || Download paper

2017Measurement errors and monetary policy: Then and now. (2017). Wang, Mu-Chun ; Amir Ahmadi, Pooyan ; Matthes, Christian ; Amir-Ahmadi, Pooyan . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:79:y:2017:i:c:p:66-78.

Full description at Econpapers || Download paper

2017The new MIBA model: Real-time nowcasting of French GDP using the Banque de Frances monthly business survey. (2017). Mogliani, Matteo ; Darné, Olivier ; Pluyaud, Bertrand ; Darne, Olivier. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:26-39.

Full description at Econpapers || Download paper

2018Evaluating nowcasts of bridge equations with advanced combination schemes for the Turkish unemployment rate. (2018). Soybilgen, Baris ; Yazgan, Ege . In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:99-108.

Full description at Econpapers || Download paper

2017Rolling window selection for out-of-sample forecasting with time-varying parameters. (2017). Rossi, Barbara ; Inoue, Atsushi ; Jin, LU. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:55-67.

Full description at Econpapers || Download paper

2018Estimation and forecasting in vector autoregressive moving average models for rich datasets. (2018). Dias, Gustavo Fruet ; Kapetanios, George. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:75-91.

Full description at Econpapers || Download paper

2018Bayesian nonparametric vector autoregressive models. (2018). Kalli, Maria ; Griffin, Jim E. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:267-282.

Full description at Econpapers || Download paper

2019Bayesian compressed vector autoregressions. (2019). Pettenuzzo, Davide ; Korobilis, Dimitris ; Koop, Gary. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:135-154.

Full description at Econpapers || Download paper

2019Importance sampling from posterior distributions using copula-like approximations. (2019). Tsionas, Mike ; Dellaportas, Petros. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:45-57.

Full description at Econpapers || Download paper

2019Sparse Bayesian time-varying covariance estimation in many dimensions. (2019). Kastner, Gregor. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:98-115.

Full description at Econpapers || Download paper

2019Achieving parsimony in Bayesian vector autoregressions with the horseshoe prior. (2019). Yu, Cindy ; Follett, Lendie . In: Econometrics and Statistics. RePEc:eee:ecosta:v:11:y:2019:i:c:p:130-144.

Full description at Econpapers || Download paper

2017Supervised dimension reduction for multivariate time series. (2017). Matilainen, M ; Croux, C ; Nordhausen, K ; Oja, H. In: Econometrics and Statistics. RePEc:eee:ecosta:v:4:y:2017:i:c:p:57-69.

Full description at Econpapers || Download paper

2019News-based forecasts of macroeconomic indicators: A semantic path model for interpretable predictions. (2019). Feuerriegel, Stefan ; Gordon, Julius. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:1:p:162-175.

Full description at Econpapers || Download paper

2017Forecasting the term structure of government bond yields in unstable environments. (2017). Korobilis, Dimitris ; Cao, Shuo ; Byrne, Joseph. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:209-225.

Full description at Econpapers || Download paper

2019Badly hurt? Natural disasters and direct firm effects. (2019). Rehbein, Oliver ; Noth, Felix. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:254-258.

Full description at Econpapers || Download paper

2017Common and country specific economic uncertainty. (2017). Theodoridis, Konstantinos ; mumtaz, haroon. In: Journal of International Economics. RePEc:eee:inecon:v:105:y:2017:i:c:p:205-216.

Full description at Econpapers || Download paper

2017Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach. (2017). Wohar, Mark ; Uribe, Jorge ; GUPTA, RANGAN ; Chuliá, Helena ; Chulia, Helena. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:178-191.

Full description at Econpapers || Download paper

2017Does realized volatility help bond yield density prediction?. (2017). Shin, Minchul ; Zhong, Molin. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:373-389.

Full description at Econpapers || Download paper

2017Adaptive models and heavy tails with an application to inflation forecasting. (2017). Petrella, Ivan ; Delle Monache, Davide. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:482-501.

Full description at Econpapers || Download paper

2017Business tendency surveys and macroeconomic fluctuations. (2017). Scheufele, Rolf ; Kaufmann, Daniel. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:878-893.

Full description at Econpapers || Download paper

2018Predictions of short-term rates and the expectations hypothesis. (2018). Guidolin, Massimo ; Thornton, Daniel L. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:636-664.

Full description at Econpapers || Download paper

2018Using low frequency information for predicting high frequency variables. (2018). Marcellino, Massimiliano ; Guérin, Pierre ; Foroni, Claudia. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:774-787.

Full description at Econpapers || Download paper

2019Representation, estimation and forecasting of the multivariate index-augmented autoregressive model. (2019). Guardabascio, Barbara ; Cubadda, Gianluca. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:67-79.

Full description at Econpapers || Download paper

2019Threshold cointegration in international exchange rates:A Bayesian approach. (2019). Zoerner, Thomas ; Huber, Florian ; Zorner, Thomas O. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:458-473.

Full description at Econpapers || Download paper

2019Macroeconomic forecasting for Australia using a large number of predictors. (2019). Hyndman, Rob ; Jiang, Bin ; Athanasopoulos, George ; Panagiotelis, Anastasios ; Vahid, Farshid. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:616-633.

Full description at Econpapers || Download paper

2017The G7 business cycle in a globalized world. (2017). Carstensen, Kai ; Salzmann, L. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pa:p:134-161.

Full description at Econpapers || Download paper

2019Monetary policy shocks and foreign investment income: Evidence from a large Bayesian VAR. (2019). Auer, Simone. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:93:y:2019:i:c:p:142-166.

Full description at Econpapers || Download paper

2018Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty. (2018). Wohar, Mark ; GUPTA, RANGAN ; Risse, Marian ; Ma, Jun. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:57:y:2018:i:c:p:317-337.

Full description at Econpapers || Download paper

2017The impact of US policy uncertainty on the monetary effectiveness in the Euro area. (2017). GUPTA, RANGAN ; Demirer, Riza ; Balcilar, Mehmet ; van Eyden, Renee. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:39:y:2017:i:6:p:1052-1064.

Full description at Econpapers || Download paper

2019Bayesian analysis of dynamic linkages among gold price, stock prices, exchange rate and interest rate in Pakistan. (2019). Noor, Farzana ; Iqbal, Farhan ; Akbar, Muhammad. In: Resources Policy. RePEc:eee:jrpoli:v:62:y:2019:i:c:p:154-164.

Full description at Econpapers || Download paper

2019Financial regimes and uncertainty shocks. (2019). Alessandri, Piergiorgio ; Mumtaz, Haroon. In: Journal of Monetary Economics. RePEc:eee:moneco:v:101:y:2019:i:c:p:31-46.

Full description at Econpapers || Download paper

2019Time-varying business volatility and the price setting of firms. (2019). Grimme, Christian ; Born, Benjamin ; Bachmann, Ruediger ; Elstner, Steffen. In: Journal of Monetary Economics. RePEc:eee:moneco:v:101:y:2019:i:c:p:82-99.

Full description at Econpapers || Download paper

2017Level and volatility factors in macroeconomic data. (2017). Ng, Serena ; Gorodnichenko, Yuriy. In: Journal of Monetary Economics. RePEc:eee:moneco:v:91:y:2017:i:c:p:52-68.

Full description at Econpapers || Download paper

2017Economic policy uncertainty and stock market returns in PacificRim countries: Evidence based on a Bayesian panel VAR model. (2017). GUPTA, RANGAN ; Hassapis, Christis ; Cunado, Juncal ; Christou, Christina. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:40:y:2017:i:c:p:92-102.

Full description at Econpapers || Download paper

2018Integrating dynamic fuzzy C-means, data envelopment analysis and artificial neural network to online prediction performance of companies in stock exchange. (2018). Rezaee, Mustafa Jahangoshai ; Valipour, Mahsa ; Jozmaleki, Mehrdad . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:489:y:2018:i:c:p:78-93.

Full description at Econpapers || Download paper

2017Does economic policy uncertainty forecast real housing returns in a panel of OECD countries? A Bayesian approach. (2017). GUPTA, RANGAN ; Hassapis, Christis ; Christou, Christina. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:65:y:2017:i:c:p:50-60.

Full description at Econpapers || Download paper

2019The role of economic policy uncertainties in predicting stock returns and their volatility for Hong Kong, Malaysia and South Korea. (2019). Balcilar, Mehmet ; Kyei, Clement ; Kim, Won Joong ; Gupta, Rangan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:150-163.

Full description at Econpapers || Download paper

2019Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage. (2019). Koop, Gary ; Gefang, Deborah ; Poon, Aubrey. In: CAMA Working Papers. RePEc:een:camaaa:2019-08.

Full description at Econpapers || Download paper

2019Large Bayesian vector autoregressions. (2019). Chan, Joshua. In: CAMA Working Papers. RePEc:een:camaaa:2019-19.

Full description at Econpapers || Download paper

2019Minnesota-type adaptive hierarchical priors for large Bayesian VARs. (2019). , Joshua . In: CAMA Working Papers. RePEc:een:camaaa:2019-61.

Full description at Econpapers || Download paper

2017The Combination of Monetary and Fiscal Policy Shocks: A TVP-FAVAR Approach. (2017). Pappa, Evi ; Molteni, Francesco . In: Economics Working Papers. RePEc:eui:euiwps:mwp2017/13.

Full description at Econpapers || Download paper

2017A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US. (2017). Fernandes, Marcelo ; Chague, Fernando ; Araujo, Fausto Jose . In: Textos para discussão. RePEc:fgv:eesptd:445.

Full description at Econpapers || Download paper

2018Combining Survey Long-Run Forecasts and Nowcasts with BVAR Forecasts Using Relative Entropy. (2018). Zaman, Saeed ; Tallman, Ellis. In: Working Papers (Old Series). RePEc:fip:fedcwp:1809.

Full description at Econpapers || Download paper

2018Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors. (2018). Clark, Todd ; Mertens, Elmar ; McCracken, Michael W. In: Working Papers (New Series). RePEc:fip:fedcwq:171501.

Full description at Econpapers || Download paper

2019The Dynamic Effects of Personal and Corporate Income Tax Changes in the United States: Reply to Jentsch and Lunsford. (2018). Ravn, Morten ; Mertens, Karel. In: Working Papers. RePEc:fip:feddwp:1805.

Full description at Econpapers || Download paper

2017Inferring the Shadow Rate from Real Activity. (2017). Skaperdas, Arsenios ; Garcia, Benjamin. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-106.

Full description at Econpapers || Download paper

2017Gauging the Uncertainty of the Economic Outlook Using Historical Forecasting Errors : The Federal Reserves Approach. (2017). Tulip, Peter ; Reifschneider, David L. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-20.

Full description at Econpapers || Download paper

2017Finance and Inequality : The Distributional Impacts of Bank Credit Rationing. (2017). Choudhary, Ali ; Jain, Anil K. In: International Finance Discussion Papers. RePEc:fip:fedgif:1211.

Full description at Econpapers || Download paper

2018News and Uncertainty Shocks. (2018). Cascaldi-Garcia, Danilo ; Galvao, Ana Beatriz. In: International Finance Discussion Papers. RePEc:fip:fedgif:1240.

Full description at Econpapers || Download paper

2017Macroeconomic nowcasting and forecasting with big data. (2017). Tambalotti, Andrea ; Sbordone, Argia ; Giannone, Domenico ; Bok, Brandyn ; Caratelli, Daniele. In: Staff Reports. RePEc:fip:fednsr:830.

Full description at Econpapers || Download paper

2018Unconventional U.S. Monetary Policy: New Tools, Same Channels?. (2018). Huber, Florian ; Feldkircher, Martin. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:71-:d:178738.

Full description at Econpapers || Download paper

2017Conditional FAVAR and scenario analysis for a large data: case of Tunisia. (2017). ben Romdhane, Hajer ; ben Tanfous, Nahed . In: IHEID Working Papers. RePEc:gii:giihei:heidwp15-2017.

Full description at Econpapers || Download paper

2019The Qatar-Gulf Crisis and Risk Management in Oil and Gas Markets. (2019). Selmi, Refk ; Bouoiyour, Jamal. In: Working Papers. RePEc:hal:wpaper:hal-02101633.

Full description at Econpapers || Download paper

2019Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson‐Siegel Models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: Working Papers. RePEc:igi:igierp:639.

Full description at Econpapers || Download paper

2017Exchange rate forecasting and the performance of currency portfolios. (2017). Hlouskova, Jaroslava ; Crespo Cuaresma, Jesus ; Fortin, Ines. In: Economics Series. RePEc:ihs:ihsesp:326.

Full description at Econpapers || Download paper

2019The impact of US uncertainty on the Euro area in good and bad times: evidence from a quantile structural vector autoregressive model. (2019). Lau, Chi Keung ; GUPTA, RANGAN ; Wohar, Mark E ; Marco, Chi Keung. In: Empirica. RePEc:kap:empiri:v:46:y:2019:i:2:d:10.1007_s10663-018-9400-3.

Full description at Econpapers || Download paper

2019Extreme spillovers of VIX fear index to international equity markets. (2019). Tongurai, Jittima ; Boonchoo, Pattana ; Padungsaksawasdi, Chaiyuth ; Cheuathonghua, Massaporn. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:33:y:2019:i:1:d:10.1007_s11408-018-0323-6.

Full description at Econpapers || Download paper

2018Unconventional monetary policy shocks in OECD countries: how important is the extent of policy uncertainty?. (2018). GUPTA, RANGAN ; Jooste, Charl. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:15:y:2018:i:3:d:10.1007_s10368-017-0380-8.

Full description at Econpapers || Download paper

2017Directed Graphs and Variable Selection in Large Vector Autoregressive Models. (2017). Kascha, Christian ; Bruggemann, Ralf . In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1706.

Full description at Econpapers || Download paper

2018Directed Graphs and Variable Selection in Large Vector Autoregressive Models. (2018). Bertsche, Dominik ; Kascha, Christian ; Bruggemann, Ralf . In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1808.

Full description at Econpapers || Download paper

2017Uncertainty Shocks and the Relative Price of Investment Goods. (2017). Katayama, Munechika ; Kim, Kwang Hwan. In: Discussion papers. RePEc:kue:epaper:e-16-015.

Full description at Econpapers || Download paper

2018Forecasting using Bayesian VARs: A Benchmark for STREAM. (2018). Borg, Ian ; Ruisi, Germano. In: CBM Working Papers. RePEc:mlt:wpaper:0418.

Full description at Econpapers || Download paper

2019Hierarchical Forecasting. (2019). Hyndman, Rob ; Affan, Mohamed ; Panagiotelis, Anastasios ; Gamakumara, Puwasala ; Athanasopoulos, George. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2019-2.

Full description at Econpapers || Download paper

2018Multivariate Stochastic Volatility with Co-Heteroscedasticity. (2018). Strachan, Rodney ; Leon-Gonzalez, Roberto ; Doucet, Arnaud. In: GRIPS Discussion Papers. RePEc:ngi:dpaper:18-12.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by Andrea Carriero:


YearTitleTypeCited
2016Measuring Uncertainty and Its Impact on the Economy In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]
paper9
2017Measuring Uncertainty and Its Impact on the Economy.(2017) In: Working Papers (Old Series).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2018The global component of inflation volatility In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]
paper4
2016UK term structure decompositions at the zero lower bound. In: Working papers.
[Full Text][Citation analysis]
paper4
2015UK Term Structure Decompositions at the Zero Lower Bound.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2015UK Term Structure Decompositions at the Zero Lower Bound.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2018UK term structure decompositions at the zero lower bound.(2018) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
article
2015Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]
article29
2013Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility.(2013) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
paper
2012Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility.(2012) In: Working Papers (Old Series).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
paper
2006Explaining US-UK Interest Rate Differentials: A Reassessment of the Uncovered Interest Rate Parity in a Bayesian Framework In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article8
2011Sectoral Survey‐based Confidence Indicators for Europe In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]
article7
2007Sectoral Survey-based Confidence Indicators for Europe.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2014Have standard VARs remained stable since the crisis? In: Working Paper.
[Full Text][Citation analysis]
paper14
2016Have Standard VARs Remained Stable Since the Crisis?.(2016) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2014Have Standard VARs Remained Stable since the Crisis?.(2014) In: Working Papers (Old Series).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2017Have Standard VARS Remained Stable Since the Crisis?.(2017) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
article
2015Structural Analysis with Multivariate Autoregressive Index Models In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper8
2016Structural analysis with Multivariate Autoregressive Index models.(2016) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
article
2004Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper33
2006Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates.(2006) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 33
article
2004Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates.(2004) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 33
paper
2004Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates.(2004) In: Computing in Economics and Finance 2004.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 33
paper
2008Forecasting Exchange Rates with a Large Bayesian VAR In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper92
2009Forecasting exchange rates with a large Bayesian VAR.(2009) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 92
article
2008Forecasting Exchange Rates with a Large Bayesian VAR.(2008) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 92
paper
2008Forecasting Exchange Rates with a Large Bayesian VAR.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 92
paper
2008Forecasting Exchange Rates with a Large Bayesian VAR.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 92
paper
2009Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper47
2009Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models.(2009) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 47
paper
2011Forecasting large datasets with Bayesian reduced rank multivariate models.(2011) In: Journal of Applied Econometrics.
[Citation analysis]
This paper has another version. Agregated cites: 47
article
2010Forecasting Government Bond Yields with Large Bayesian VARs In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper4
2010Forecasting Government Bond Yields with Large Bayesian VARs.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2010Forecasting Government Bond Yields with Large Bayesian VARs.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2011Bayesian VARs: Specification Choices and Forecast Accuracy In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper78
2011Bayesian VARs: specification choices and forecast accuracy.(2011) In: Working Papers (Old Series).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 78
paper
2015Bayesian VARs: Specification Choices and Forecast Accuracy.(2015) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 78
article
2012Common Drifting Volatility in Large Bayesian VARs In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper36
2012Common Drifting Volatility in Large Bayesian VARs.(2012) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36
paper
2012Common drifting volatility in large Bayesian VARs.(2012) In: Working Papers (Old Series).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36
paper
2016Common Drifting Volatility in Large Bayesian VARs.(2016) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36
article
2014No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper3
2008A simple test of the New Keynesian Phillips Curve In: Economics Letters.
[Full Text][Citation analysis]
article9
2007A Simple Test of the New Keynesian Phillips Curve.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2007A Simple Test of the New Keynesian Phillips Curve.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2011How useful are no-arbitrage restrictions for forecasting the term structure of interest rates? In: Journal of Econometrics.
[Full Text][Citation analysis]
article22
2011How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?.(2011) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
paper
2007A comparison of methods for the construction of composite coincident and leading indexes for the UK In: International Journal of Forecasting.
[Full Text][Citation analysis]
article11
2007A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
paper
2007A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
paper
2015Macroeconomic information, structural change, and the prediction of fiscal aggregates In: International Journal of Forecasting.
[Full Text][Citation analysis]
article1
2015Forecasting with Bayesian multivariate vintage-based VARs In: International Journal of Forecasting.
[Full Text][Citation analysis]
article3
2012Forecasting government bond yields with large Bayesian vector autoregressions In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article26
2015Tracing Out Capital Flows: How Financially Integrated Banks Respond to Natural Disasters In: Working Papers (Old Series).
[Full Text][Citation analysis]
paper12
2016Large Vector Autoregressions with Stochastic Volatility and Flexible Priors In: Working Papers (Old Series).
[Full Text][Citation analysis]
paper3
2018Assessing International Commonality in Macroeconomic Uncertainty and Its Effects In: Working Papers (Old Series).
[Full Text][Citation analysis]
paper1
2018Endogenous Uncertainty In: Working Papers (Old Series).
[Full Text][Citation analysis]
paper0
2011FORECASTING THE YIELD CURVE USING PRIORS FROM NO‐ARBITRAGE AFFINE TERM STRUCTURE MODELS In: International Economic Review.
[Citation analysis]
article9
2007Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2007Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2007Monitoring the Economy of the Euro Area: A Comparison of Composite Coincident Indexes In: Working Papers.
[Full Text][Citation analysis]
paper1
2015A Shrinkage Instrumental Variable Estimator for Large Datasets In: Working Papers.
[Full Text][Citation analysis]
paper0
2008A Shrinkage Instrumental Variable Estimator for Large Datasets.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2008A Shrinkage Instrumental Variable Estimator for Large Datasets.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2015A SHRINKAGE INSTRUMENTAL VARIABLE ESTIMATOR FOR LARGE DATASETS.(2015) In: L'Actualité Economique.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
2007A Bayesian Framework for the Expectations Hypothesis. How to Extract Additional Information from the Term Structure of Interest Rates In: Working Papers.
[Full Text][Citation analysis]
paper0
2007A Bayesian Framework for the Expectations Hypothesis. How to Extract Additional Information from the Term Structure of Interest Rates.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2007Forecasting Large Datasets with Reduced Rank Multivariate Models In: Working Papers.
[Full Text][Citation analysis]
paper4
2007Forecasting Large Datasets with Reduced Rank Multivariate Models.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2008Forecasting with Dynamic Models using Shrinkage-based Estimation In: Working Papers.
[Full Text][Citation analysis]
paper2
2008Forecasting with Dynamic Models using Shrinkage-based Estimation.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2013The Impact of Uncertainty Shocks under Measurement Error. A Proxy SVAR Approach In: Working Papers.
[Full Text][Citation analysis]
paper48
2013The Impact of Uncertainty Shocks under Measurement Error. A Proxy SVAR Approach.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48
paper
2015The Impact of Uncertainty Shocks under Measurement Error: A Proxy SVAR Approach.(2015) In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48
article
2015Large Vector Autoregressions with Asymmetric Priors In: Working Papers.
[Full Text][Citation analysis]
paper13
2015Large Vector Autoregressions with Asymmetric Priors.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2016A comprehensive evaluation of macroeconomic forecasting methods In: EMF Research Papers.
[Full Text][Citation analysis]
paper0
2018Credit Conditions and the Effects of Economic Shocks: Amplifications and Asymmetries In: EMF Research Papers.
[Full Text][Citation analysis]
paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 1st 2019. Contact: CitEc Team