Andrea Carriero : Citation Profile

Are you Andrea Carriero?

Queen Mary University of London (90% share)
Alma Mater Studiorum - Università di Bologna (10% share)

19

H index

27

i10 index

1583

Citations

RESEARCH PRODUCTION:

26

Articles

63

Papers

RESEARCH ACTIVITY:

   18 years (2004 - 2022). See details.
   Cites by year: 87
   Journals where Andrea Carriero has often published
   Relations with other researchers
   Recent citing documents: 131.    Total self citations: 31 (1.92 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pca105
   Updated: 2024-01-16    RAS profile: 2023-05-02    
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Relations with other researchers

Works with:

Marcellino, Massimiliano (8)

Clark, Todd (8)

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 (113)

Huber, Florian (94)

Korobilis, Dimitris (79)

Chan, Joshua (70)

Marcellino, Massimiliano (64)

Feldkircher, Martin (38)

Pfarrhofer, Michael (35)

Poon, Aubrey (32)

Clark, Todd (29)

GUPTA, RANGAN (29)

Pettenuzzo, Davide (28)

Cites to:

Giannone, Domenico (122)

Reichlin, Lucrezia (103)

Marcellino, Massimiliano (87)

Clark, Todd (58)

Litterman, Robert (58)

Primiceri, Giorgio (54)

Lenza, Michele (51)

Watson, Mark (42)

Diebold, Francis (41)

Banbura, Marta (34)

Sims, Christopher (33)

Main data

Where Andrea Carriero has published?

Journals with more than one article published# docs
Journal of Applied Econometrics6
International Journal of Forecasting5
Journal of Econometrics5
Oxford Bulletin of Economics and Statistics2

Working Papers Series with more than one paper published# docs
CEPR Discussion Papers / C.E.P.R. Discussion Papers11
Working Papers (Old Series) / Federal Reserve Bank of Cleveland9
Economics Working Papers / European University Institute3
Working Papers / Federal Reserve Bank of Cleveland3
EMF Research Papers / Economic Modelling and Forecasting Group2

Recent works citing Andrea Carriero (2024 and 2023)

YearTitle of citing document
2023Macroeconomic drivers of Inflation Expectations and Inflation Risk Premia. (2023). Wauters, Joris ; Iania, Leonardo ; Boeckx, Jef. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023003.

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2023Are the Effects of Uncertainty Shocks Big or Small?. (2023). Vicondoa, Alejandro ; Gazzani, Andrea ; Alessandri, Piergiorgio. In: Working Papers. RePEc:aoz:wpaper:244.

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2023Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods. (2020). Huber, Florian ; Koop, Gary ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2005.03906.

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2023Time-Varying Parameters as Ridge Regressions. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2009.00401.

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2023Sparse time-varying parameter VECMs with an application to modeling electricity prices. (2020). Pfarrhofer, Michael ; Hauzenberger, Niko ; Rossini, Luca. In: Papers. RePEc:arx:papers:2011.04577.

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2023Predicting Inflation with Neural Networks. (2021). Paranhos, Livia. In: Papers. RePEc:arx:papers:2104.03757.

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2023Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!. (2022). Kastner, Gregor ; Gruber, Luis. In: Papers. RePEc:arx:papers:2206.04902.

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2023Efficient variational approximations for state space models. (2022). Nibbering, Didier ; Loaiza-Maya, Rub'En. In: Papers. RePEc:arx:papers:2210.11010.

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2023Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2022). Ortega, Juan-Pablo ; van Huellen, Sophie ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Dellaportas, Petros ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363.

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2023Enhanced Bayesian Neural Networks for Macroeconomics and Finance. (2022). Marcellino, Massimiliano ; Klieber, Karin ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2211.04752.

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2023Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471.

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2023Nonlinearities in Macroeconomic Tail Risk through the Lens of Big Data Quantile Regressions. (2023). Huber, Florian ; Pruser, Jan. In: Papers. RePEc:arx:papers:2301.13604.

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2023Coarsened Bayesian VARs -- Correcting BVARs for Incorrect Specification. (2023). Marcellino, Massimiliano ; Huber, Florian. In: Papers. RePEc:arx:papers:2304.07856.

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2023Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks. (2023). Huber, Florian ; Koop, Gary. In: Papers. RePEc:arx:papers:2305.16827.

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2023Non-linear dimension reduction in factor-augmented vector autoregressions. (2023). Klieber, Karin. In: Papers. RePEc:arx:papers:2309.04821.

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2023BVARs and Stochastic Volatility. (2023). Chan, Joshua. In: Papers. RePEc:arx:papers:2310.14438.

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2023Theory coherent shrinkage of Time-Varying Parameters in VARs. (2023). Renzetti, Andrea. In: Papers. RePEc:arx:papers:2311.11858.

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2023From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks. (2023). Klieber, Karin ; Frenette, Mikael ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2311.16333.

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2023.

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2023Bayesian Local Projections. (2023). Ricco, Giovanni ; Ferreira, Leonardo ; Miranda-Agrippino, Silvia. In: Working Papers Series. RePEc:bcb:wpaper:581.

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2023Assessing the pass-through of energy prices to inflation in the euro area. (2023). Corsello, Francesco. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_745_23.

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2023Energy price shocks and inflation in the euro area. (2023). Tagliabracci, Alex ; delle Monache, Davide ; Corsello, Francesco ; Conflitti, Cristina ; Busetti, Fabio ; Neri, Stefano. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_792_23.

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2023Simulation stochastique du modèle FR-BDF et évaluation de lincertitude entourant les prévisions conditionnelles. (2023). Matthieu, Lemoine ; Anastasia, Zhutova ; Harry, Turunen. In: Working papers. RePEc:bfr:banfra:920.

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2023BAYESIAN STATE SPACE MODELS IN MACROECONOMETRICS. (2023). Strachan, Rodney. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:58-75.

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2023Trading and liquidity in the catastrophe bond market. (2023). Hibbeln, Martin ; Herrmann, Markus. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:283-328.

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2023Directed graphs and variable selection in large vector autoregressive models. (2023). Kascha, Christian ; Bruggemann, Ralf ; Bertsche, Dominik. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:2:p:223-246.

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2023.

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2023Oil Prices Uncertainty, Endogenous Regime Switching, and Inflation Anchoring. (2023). Pesavento, Elena ; Herrera, Ana Mara ; Chang, Yoosoon. In: Working Papers. RePEc:bny:wpaper:0113.

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2023Expected, unexpected, good and bad aggregate uncertainty. (2023). Uribe, Jorge ; Chuliá, Helena ; Helena, Chulia. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:265-284:n:7.

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2023How Do Health Insurance Costs Affect Firm Labor Composition and Technology Investment?. (2023). Schmidt, Lawrence ; Tello-Trillo, Cristina ; Ge, Shan ; Gao, Janet. In: Working Papers. RePEc:cen:wpaper:23-47.

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2023The Price of War: Macroeconomic and Cross-Sectional Effects of Sanctions on Russia. (2023). Pestova, Anna ; Mamonov, Mikhail. In: CERGE-EI Working Papers. RePEc:cer:papers:wp756.

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2023Trade in Times of Uncertainty. (2023). Oberhofer, Harald ; Meyer, Birgit ; Matzner, Anna. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10284.

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2023.

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2023.

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2023.

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2023The climate and the economy. (2023). Schepens, Glenn ; Popov, Alexander ; Breckenfelder, Johannes ; Porcellacchia, Davide ; Olovsson, Conny ; Marques-Ibaez, David ; Makowiak, Bartosz. In: Working Paper Series. RePEc:ecb:ecbwps:20232793.

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2023Density forecasts of inflation: a quantile regression forest approach. (2023). Paredes, Joan ; Moutachaker, Ines ; Lenza, Michele. In: Working Paper Series. RePEc:ecb:ecbwps:20232830.

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2023Labour at risk. (2023). Renzetti, Andrea ; Foroni, Claudia ; Botelho, Vasco. In: Working Paper Series. RePEc:ecb:ecbwps:20232840.

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2023GDP revisions are not cool: the impact of statistical agencies’ trade-o?. (2023). Paredes, Joan ; Asimakopoulos, Stylianos ; Garcia, Jose Salvado ; Lalik, Magdalena. In: Working Paper Series. RePEc:ecb:ecbwps:20232857.

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2023The Shocks of Climate Change on Bank Loans. (2023). Trisilia, Mustika Septiyas ; Puspani, Ni Nyoman ; Sugiarto, Agus. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-05-54.

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2023The asymmetric impact of economic policy uncertainty on global retail energy markets: Are the markets responding to the fear of the unknown?. (2023). Orji, Anthony ; Ojonta, Obed I ; Mba, Ifeoma C ; Ukwueze, Ezebuilo R ; Ogbuabor, Jonathan E. In: Applied Energy. RePEc:eee:appene:v:334:y:2023:i:c:s0306261923000351.

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2023The impact of natural disaster risk on the return of agricultural futures. (2023). Yu, Qin ; Tse, Yiuman ; Liu, Qingfu ; Hua, Renhai. In: Journal of Asian Economics. RePEc:eee:asieco:v:87:y:2023:i:c:s1049007823000520.

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2023Financial market responses to a natural disaster: Evidence from credit networks and the Indian Ocean tsunami. (2023). Klonner, Stefan ; Czura, Kristina. In: Journal of Development Economics. RePEc:eee:deveco:v:160:y:2023:i:c:s0304387822001389.

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2023Vector autoregression models with skewness and heavy tails. (2023). Karlsson, Sune ; Nguyen, Hoang ; Mazur, Stepan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002834.

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2023Measuring the trend real interest rate in a data-rich environment. (2023). Fu, Bowen. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s016518892300012x.

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2023Time-varying impacts of monetary policy uncertainty on Chinas housing market. (2023). Yang, Haisheng ; Li, Jie ; Lu, Yunzhi. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003182.

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2023Are low frequency macroeconomic variables important for high frequency electricity prices?. (2023). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003972.

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2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

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2023Does climate legislation matter for bank lending? Evidence from MENA countries. (2023). Ghosh, Saibal. In: Ecological Economics. RePEc:eee:ecolec:v:212:y:2023:i:c:s0921800923001866.

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2023Macro uncertainty in the long run. (2023). Marcellino, Massimiliano ; Tornese, Tommaso ; Carriero, Andrea. In: Economics Letters. RePEc:eee:ecolet:v:225:y:2023:i:c:s0165176523000927.

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2023The role of macroeconomic uncertainty in the determination of the natural rate of interest. (2023). Kempa, Bernd ; Zou, Feina ; Berger, Tino. In: Economics Letters. RePEc:eee:ecolet:v:229:y:2023:i:c:s0165176523002161.

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2023Nowcasting in a pandemic using non-parametric mixed frequency VARs. (2023). onorante, luca ; Koop, Gary ; Huber, Florian ; Pfarrhofer, Michael ; Schreiner, Josef. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:1:p:52-69.

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2023Scalable inference for a full multivariate stochastic volatility model. (2023). Plataniotis, Anastasios ; Petrova, Katerina ; Titsias, Michalis K ; Dellaportas, Petros. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:501-520.

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2023Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models. (2023). Shin, Minchul ; Rubio-Ramirez, Juan F ; Arias, Jonas E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1054-1086.

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2023Comparing stochastic volatility specifications for large Bayesian VARs. (2023). Chan, Joshua. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1419-1446.

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2023Global robust Bayesian analysis in large models. (2023). Ho, Paul. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:608-642.

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2023High-dimensional conditionally Gaussian state space models with missing data. (2023). Poon, Aubrey ; Chan, Joshua ; Zhu, Dan. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001628.

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2023Large stochastic volatility in mean VARs. (2023). Poon, Aubrey ; Koop, Gary ; Hou, Chenghan ; Cross, Jamie L. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s030440762300163x.

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2023Bank capital requirement shocks: A narrative perspective. (2023). Conti, Antonio ; Signoretti, Federico M ; Nobili, Andrea. In: European Economic Review. RePEc:eee:eecrev:v:151:y:2023:i:c:s0014292122001507.

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2023Measuring macroeconomic uncertainty: A cross-country analysis. (2023). Dibiasi, Andreas ; Sarferaz, Samad. In: European Economic Review. RePEc:eee:eecrev:v:153:y:2023:i:c:s0014292123000120.

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2023Estimating the euro area output gap using multivariate information and addressing the COVID-19 pandemic. (2023). Wong, Benjamin ; Morley, James ; Sun, Yiqiao ; Rodriguez-Palenzuela, Diego. In: European Economic Review. RePEc:eee:eecrev:v:153:y:2023:i:c:s0014292123000144.

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2023Uncertainty shocks in emerging economies: A global to local approach for identification. (2023). Miescu, Mirela S. In: European Economic Review. RePEc:eee:eecrev:v:154:y:2023:i:c:s0014292123000661.

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2023Are the effects of uncertainty shocks big or small?. (2023). Vicondoa, Alejandro ; Gazzani, Andrea Giovanni ; Alessandri, Piergiorgio. In: European Economic Review. RePEc:eee:eecrev:v:158:y:2023:i:c:s001429212300154x.

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2023The effects of economic uncertainty on financial volatility: A comprehensive investigation. (2023). Wang, Tianyi ; Zhang, Cong ; Huang, Zhuo ; Tong, Chen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:369-389.

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2023Co-volatility and asymmetric transmission of risks between the global oil and Chinas futures markets. (2023). Klein, Tony ; Ji, Qiang ; Marfatia, Hardik A ; Luo, Jiawen. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005953.

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2023Oil supply expectations and corporate social responsibility. (2023). Miao, Xiao ; Zhang, Yun ; Wen, Fenghua ; Chen, Lin. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001540.

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2023Nowcasting of the Short-run Euro-Dollar Exchange Rate with Economic Fundamentals and Time-varying Parameters. (2023). Yemba, Boniface ; Biswas, Nabaneeta ; Tang, Biyan ; Otunuga, Olusegun Michael. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007474.

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2023Small business lending and the bank-branch network. (2023). Petkov, Ivan. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s1572308922001188.

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2023Data-based priors for vector error correction models. (2023). Pruser, Jan. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:209-227.

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2023Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage. (2023). Poon, Aubrey ; Koop, Gary ; Gefang, Deborah. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:346-363.

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2023Real-time inflation forecasting using non-linear dimension reduction techniques. (2023). Huber, Florian ; Klieber, Karin ; Hauzenberger, Niko. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:901-921.

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2023Penalized estimation of panel vector autoregressive models: A panel LASSO approach. (2023). Camehl, Annika. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1185-1204.

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2023Nowcasting growth using Google Trends data: A Bayesian Structural Time Series model. (2023). Bhattacharjee, Arnab ; Kohns, David. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1384-1412.

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2023Bank specialization, mortgage lending and house prices. (2023). Dursun-De, Ozlem H. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:151:y:2023:i:c:s0378426623000614.

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2023United States of Mind under Uncertainty. (2023). Shim, Myungkyu ; Jo, Soojin ; Bae, Siye. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:213:y:2023:i:c:p:102-127.

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2023Do non-damaging earthquakes shake mortgage lenders risk perception?. (2023). Xu, Yilan. In: Journal of Environmental Economics and Management. RePEc:eee:jeeman:v:117:y:2023:i:c:s0095069622001139.

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2023Natural disasters and bank stability: Evidence from the U.S. financial system. (2023). Schuwer, Ulrich ; Noth, Felix. In: Journal of Environmental Economics and Management. RePEc:eee:jeeman:v:119:y:2023:i:c:s0095069623000104.

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2023Bank stability and the price of loan commitments. (2023). Rauf, Asad. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:54:y:2023:i:c:s1042957323000104.

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2023Cross-country uncertainty spillovers: Evidence from international survey data. (2023). Beckmann, Joscha ; Schussler, Rainer ; Koop, Gary ; Davidson, Sharada Nia. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:130:y:2023:i:c:s0261560622001632.

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2023Time-varying impact of geopolitical risk on natural resources prices: Evidence from the hybrid TVP-VAR model with large system. (2023). Zhao, Jing. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723001757.

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2023Inflation volatility: A Bayesian approach. (2023). Nyiwul, Linus ; Koirala, Niraj P. In: Research in Economics. RePEc:eee:reecon:v:77:y:2023:i:1:p:185-201.

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2023Stakeholder pressure and innovation capacity of SMEs in the COVID-19 pandemic: Mediating and multigroup analysis. (2023). Gutierrez-Broncano, Santiago ; Sastre-Castillo, Miguel Angel ; del Mar, M ; Rubio-Andres, Mercedes. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:190:y:2023:i:c:s0040162523001178.

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2023The Benefit of Inflation-Indexed Debt: Evidence from an Emerging Bond Market. (2023). , Jens. In: Working Paper Series. RePEc:fip:fedfwp:95617.

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2023The Governance and Disclosure of IFRS 9 Economic Scenarios. (2023). Stander, Yolanda S. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:1:p:47-:d:1033854.

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2023The Impact of Uncertainty Shocks to Consumption under Different Confidence Regimes Based on a Stochastic Uncertainty-in-Mean TVAR Model. (2023). Chen, Zhuoran ; Zhou, Xianbo. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:4:p:3032-:d:1060891.

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2023Does Money Growth Predict Inflation? Evidence from Vector Autoregressions Using Four Centuries of Data. (2023). Österholm, Pär ; Karlsson, Sune ; Osterholm, Par ; Edvinsson, Rodney. In: Working Papers. RePEc:hhs:oruesi:2023_003.

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2023After the Storm: Natural Disasters and Bank Solvency. (2023). Bitar, Mohammad ; Zhao, Yunfei ; Walker, Thomas ; Gramlich, Dieter. In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2023:q:2:a:4.

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2023Do bankers want their umbrellas back when it rains? Evidence from typhoons in China. (2023). ROMOCEA TURCU, Camelia ; Levieuge, Gregory ; Avril, Pauline. In: Working Papers. RePEc:inf:wpaper:2023.08.

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2023Oil Prices Uncertainty, Endogenous Regime Switching, and Inflation Anchoring. (2023). Pesavento, Elena ; Herrera, Ana Maria ; Chang, Yoosoon. In: CAEPR Working Papers. RePEc:inu:caeprp:2023002.

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2023US uncertainty shocks, credit, production, and prices: The case of fourteen Latin American countries.. (2023). Uribe, Jorge ; Gomez-Gonzalez, Jose ; Giraldo, Iader. In: IREA Working Papers. RePEc:ira:wpaper:202302.

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2023Comparing Out-of-Sample Performance of Machine Learning Methods to Forecast U.S. GDP Growth. (2023). Qureshi, Shafiullah ; Chu, BA. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:4:d:10.1007_s10614-022-10312-z.

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2023An Alternative Bootstrap for Proxy Vector Autoregressions. (2023). Lutkepohl, Helmut ; Bruns, Martin. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:4:d:10.1007_s10614-022-10323-w.

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2023Effects of global energy and price fluctuations on Turkeys inflation: new evidence. (2023). Ozahin, Erife ; Ozmen, Brahim. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:4:d:10.1007_s10644-023-09530-8.

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2023US National Banks and Local Economic Fragility. (2023). Gam, Yong Kyu ; Calice, Giovanni. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:63:y:2023:i:3:d:10.1007_s10693-022-00382-3.

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2023A comparison of multi-factor term structure models for interbank rates. (2023). Tunaru, Diana ; Fabozzi, Francesco A. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:1:d:10.1007_s11156-023-01147-2.

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2023Time-varying ambiguity shocks and business cycles. (2023). Sakemoto, Ryuta ; Cai, Xiaojing ; Asano, Takao. In: KIER Working Papers. RePEc:kyo:wpaper:1094.

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2023Bayesian Forecasting in the 21st Century: A Modern Review. (2023). Maheu, John ; Panagiotelis, Anastasios ; Nibbering, Didier ; Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Frazier, David T ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-1.

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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.
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2016Measuring Uncertainty and Its Impact on the Economy.(2016) In: Working Papers (Old Series).
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This paper has nother version. Agregated cites: 156		paper
2018Measuring Uncertainty and Its Impact on the Economy.(2018) In: The Review of Economics and Statistics.
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This paper has nother version. Agregated cites: 156		article
2018The global component of inflation volatility In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper20
2016UK term structure decompositions at the zero lower bound. In: Working papers.
[Full Text][Citation analysis]		paper14
2015UK Term Structure Decompositions at the Zero Lower Bound.(2015) In: Working Papers.
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This paper has nother version. Agregated cites: 14		paper
2018UK term structure decompositions at the zero lower bound.(2018) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 14		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]		article82
2013Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility.(2013) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 82		paper
2012Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility.(2012) In: Working Papers (Old Series).
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This paper has nother version. Agregated cites: 82		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]		article10
2007Sectoral Survey-based Confidence Indicators for Europe.(2007) In: Working Papers.
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This paper has nother version. Agregated cites: 10		paper
2014Have standard VARs remained stable since the crisis? In: Working Paper.
[Full Text][Citation analysis]		paper47
2016Have Standard VARs Remained Stable Since the Crisis?.(2016) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 47		paper
2014Have Standard VARs Remained Stable since the Crisis?.(2014) In: Working Papers (Old Series).
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This paper has nother version. Agregated cites: 47		paper
2017Have Standard VARS Remained Stable Since the Crisis?.(2017) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 47		article
2015Structural Analysis with Multivariate Autoregressive Index Models In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper22
2016Structural analysis with Multivariate Autoregressive Index models.(2016) In: Journal of Econometrics.
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2019Assessing International Commonality in Macroeconomic Uncertainty and Its Effects In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper23
2018Assessing International Commonality in Macroeconomic Uncertainty and Its Effects.(2018) In: Working Papers (Old Series).
[Full Text][Citation analysis]
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2019Assessing International Commonality in Macroeconomic Uncertainty and Its Effects.(2019) In: Working Papers.
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2020Assessing international commonality in macroeconomic uncertainty and its effects.(2020) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 23		article
2004Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper37
2006Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates.(2006) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 37		article
2004Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates.(2004) In: Working Papers.
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This paper has nother version. Agregated cites: 37		paper
2004Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates.(2004) In: Computing in Economics and Finance 2004.
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This paper has nother version. Agregated cites: 37		paper
2008Forecasting Exchange Rates with a Large Bayesian VAR In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper144
2009Forecasting exchange rates with a large Bayesian VAR.(2009) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 144		article
2008Forecasting Exchange Rates with a Large Bayesian VAR.(2008) In: Economics Working Papers.
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This paper has nother version. Agregated cites: 144		paper
2008Forecasting Exchange Rates with a Large Bayesian VAR.(2008) In: Working Papers.
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This paper has nother version. Agregated cites: 144		paper
2009Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper68
2009Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models.(2009) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 68		paper
2011Forecasting large datasets with Bayesian reduced rank multivariate models.(2011) In: Journal of Applied Econometrics.
[Citation analysis]
This paper has nother version. Agregated cites: 68		article
2010Forecasting Government Bond Yields with Large Bayesian VARs In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper8
2010Forecasting Government Bond Yields with Large Bayesian VARs.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2011Bayesian VARs: Specification Choices and Forecast Accuracy In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper158
2011Bayesian VARs: specification choices and forecast accuracy.(2011) In: Working Papers (Old Series).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 158		paper
2015Bayesian VARs: Specification Choices and Forecast Accuracy.(2015) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 158		article
2012Common Drifting Volatility in Large Bayesian VARs In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper153
2012Common Drifting Volatility in Large Bayesian VARs.(2012) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 153		paper
2012Common drifting volatility in large Bayesian VARs.(2012) In: Working Papers (Old Series).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 153		paper
2016Common Drifting Volatility in Large Bayesian VARs.(2016) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 153		article
2014No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper5
2021No?arbitrage priors, drifting volatilities, and the term structure of interest rates.(2021) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 5		article
2008A simple test of the New Keynesian Phillips Curve In: Economics Letters.
[Full Text][Citation analysis]		article10
2007A Simple Test of the New Keynesian Phillips Curve.(2007) In: Working Papers.
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This paper has nother version. Agregated cites: 10		paper
2011How useful are no-arbitrage restrictions for forecasting the term structure of interest rates? In: Journal of Econometrics.
[Full Text][Citation analysis]		article30
2011How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?.(2011) In: Post-Print.
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2019Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors In: Journal of Econometrics.
[Full Text][Citation analysis]		article117
2021Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty In: Journal of Econometrics.
[Full Text][Citation analysis]		article7
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]		article13
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 nother version. Agregated cites: 13		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]		article11
2019A comprehensive evaluation of macroeconomic forecasting methods In: International Journal of Forecasting.
[Full Text][Citation analysis]		article30
2016A comprehensive evaluation of macroeconomic forecasting methods.(2016) In: EMF Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 30		paper
2012Forecasting government bond yields with large Bayesian vector autoregressions In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article50
2014Tracing Out Capital Flows: How Financially Integrated Banks Respond to Natural Disasters In: Working Papers (Old Series).
[Full Text][Citation analysis]		paper134
2016Large Vector Autoregressions with Stochastic Volatility and Flexible Priors In: Working Papers (Old Series).
[Full Text][Citation analysis]		paper13
2018Endogenous Uncertainty In: Working Papers (Old Series).
[Full Text][Citation analysis]		paper4
2022Measuring Uncertainty and Its Effects in the COVID-19 Era In: Working Papers.
[Full Text][Citation analysis]		paper2
2022Macroeconomic Forecasting in a Multi-country Context In: Working Papers.
[Full Text][Citation analysis]		paper1
2011FORECASTING THE YIELD CURVE USING PRIORS FROM NO‐ARBITRAGE AFFINE TERM STRUCTURE MODELS In: International Economic Review.
[Citation analysis]		article13
2007Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models.(2007) In: Working Papers.
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This paper has nother version. Agregated cites: 13		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 nother version. Agregated cites: 0		paper
2015A SHRINKAGE INSTRUMENTAL VARIABLE ESTIMATOR FOR LARGE DATASETS.(2015) In: L'Actualité Economique.
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This paper has nother 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
2007Forecasting Large Datasets with Reduced Rank Multivariate Models In: Working Papers.
[Full Text][Citation analysis]		paper4
2008Forecasting with Dynamic Models using Shrinkage-based Estimation In: Working Papers.
[Full Text][Citation analysis]		paper2
2013The Impact of Uncertainty Shocks under Measurement Error. A Proxy SVAR Approach In: Working Papers.
[Full Text][Citation analysis]		paper100
2015The Impact of Uncertainty Shocks under Measurement Error: A Proxy SVAR Approach.(2015) In: Journal of Money, Credit and Banking.
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This paper has nother version. Agregated cites: 100		article
2015Large Vector Autoregressions with Asymmetric Priors In: Working Papers.
[Full Text][Citation analysis]		paper22
2007A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK In: Working Papers.
[Full Text][Citation analysis]		paper9
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 Simple Test of the New Keynesian Phillips Curve In: Working Papers.
[Full Text][Citation analysis]		paper0
2007Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models In: Working Papers.
[Full Text][Citation analysis]		paper2
2007Forecasting Large Datasets with Reduced Rank Multivariate Models In: Working Papers.
[Full Text][Citation analysis]		paper4
2008A Shrinkage Instrumental Variable Estimator for Large Datasets In: Working Papers.
[Full Text][Citation analysis]		paper0
2008Forecasting Exchange Rates with a Large Bayesian VAR In: Working Papers.
[Full Text][Citation analysis]		paper0
2008Forecasting with Dynamic Models using Shrinkage-based Estimation In: Working Papers.
[Full Text][Citation analysis]		paper2
2010Forecasting Government Bond Yields with Large Bayesian VARs In: Working Papers.
[Full Text][Citation analysis]		paper7
2013The Impact of Uncertainty Shocks under Measurement Error. A Proxy SVAR Approach In: Working Papers.
[Full Text][Citation analysis]		paper12
2015UK Term Structure Decompositions at the Zero Lower Bound In: Working Papers.
[Full Text][Citation analysis]		paper4
2015Large Vector Autoregressions with Asymmetric Priors In: Working Papers.
[Full Text][Citation analysis]		paper22
2022Generalizing the Max Share Identification to multiple shocks identification: an Application to Uncertainty In: School of Economics Discussion Papers.
[Full Text][Citation analysis]		paper0
2018Credit Conditions and the Asymmetric Effects of Monetary Policy Shocks In: EMF Research Papers.
[Full Text][Citation analysis]		paper1

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