Andrea Carriero : Citation Profile

Are you Andrea Carriero?

Queen Mary University of London

13

H index

15

i10 index

633

Citations

RESEARCH PRODUCTION:

24

Articles

61

Papers

RESEARCH ACTIVITY:

   16 years (2004 - 2020). See details.
   Cites by year: 39
   Journals where Andrea Carriero has often published
   Relations with other researchers
   Recent citing documents: 141.    Total self citations: 26 (3.95 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pca105
   Updated: 2020-05-23    RAS profile: 2020-04-22    
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Relations with other researchers

Works with:

Marcellino, Massimiliano (27)

Clark, Todd (20)

Aastveit, Knut Are (4)

Mouabbi, Sarah (4)

Galvão, Ana (4)

mumtaz, haroon (2)

Theophilopoulou, Angeliki (2)

Corsello, Francesco (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 (45)

Huber, Florian (22)

GUPTA, RANGAN (20)

Marcellino, Massimiliano (19)

Feldkircher, Martin (19)

Chan, Joshua (18)

Pettenuzzo, Davide (15)

Lenza, Michele (11)

Giannone, Domenico (10)

Rossi, Barbara (10)

Cites to:

Giannone, Domenico (80)

Marcellino, Massimiliano (58)

Reichlin, Lucrezia (54)

Primiceri, Giorgio (39)

Lenza, Michele (37)

Clark, Todd (37)

Watson, Mark (26)

Banbura, Marta (25)

Diebold, Francis (24)

Zha, Tao (23)

Sims, Christopher (22)

Main data

Where Andrea Carriero has published?

Journals with more than one article published# docs
Journal of Applied Econometrics5
International Journal of Forecasting5
Journal of Econometrics4
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
Working Papers / Federal Reserve Bank of Cleveland2
EMF Research Papers / Economic Modelling and Forecasting Group2

Recent works citing Andrea Carriero (2020 and 2019)

YearTitle of citing document
2019Quantitative Easing and the Term Premium as a Monetary Policy Instrument. (2019). Vaccaro-Grange, Etienne. In: AMSE Working Papers. RePEc:aim:wpaimx:1932.

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2019Sparse Bayesian vector autoregressions in huge dimensions. (2018). Kastner, Gregor ; Huber, Florian. In: Papers. RePEc:arx:papers:1704.03239.

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2020Bayesian MIDAS Penalized Regressions: Estimation, Selection, and Prediction. (2019). Mogliani, Matteo. In: Papers. RePEc:arx:papers:1903.08025.

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2019Simulation smoothing for nowcasting with large mixed-frequency VARs. (2019). Ankargren, Sebastian ; Jon, Paulina. In: Papers. RePEc:arx:papers:1907.01075.

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2019Boosting High Dimensional Predictive Regressions with Time Varying Parameters. (2019). Ng, Serena ; Yousuf, Kashif. In: Papers. RePEc:arx:papers:1910.03109.

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2019Estimating Large Mixed-Frequency Bayesian VAR Models. (2019). Ankargren, Sebastian ; Jon, Paulina. In: Papers. RePEc:arx:papers:1912.02231.

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2019Triple the gamma -- A unifying shrinkage prior for variance and variable selection in sparse state space and TVP models. (2019). Knaus, Peter ; Fruhwirth-Schnatter, Sylvia ; Cadonna, Annalisa. In: Papers. RePEc:arx:papers:1912.03100.

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2019Bayesian estimation of large dimensional time varying VARs using copulas. (2019). Tsionas, Mike ; Trapani, Lorenzo ; Izzeldin, Marwan. In: Papers. RePEc:arx:papers:1912.12527.

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2020Bayesian Optimization of Hyperparameters when the Marginal Likelihood is Estimated by MCMC. (2020). Gustafsson, Oskar ; Stockhammar, Par ; Villani, Mattias. In: Papers. RePEc:arx:papers:2004.10092.

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

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

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

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

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

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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.

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

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2019Bayesian VAR Forecasts, Survey Information and Structural Change in the Euro Area. (2019). Ganics, Gergely ; Odendahl, Florens. In: Working papers. RePEc:bfr:banfra:733.

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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.

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2019Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2019). Rossi, Barbara. In: Working Papers. RePEc:bge:wpaper:1162.

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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.

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

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2019Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting. (2019). Aastveit, Knut Are ; West, Mike ; Nakajima, Jouchi ; McAlinn, Kenichiro. In: Working Papers. RePEc:bny:wpaper:0073.

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2019Macroeconomic effects of political risk shocks. (2019). Hacioglu Hoke, Sinem. In: Bank of England working papers. RePEc:boe:boeewp:0841.

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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.

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

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

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2019Domestic and Global Uncertainty: A Survey and Some New Results. (2019). Castelnuovo, Efrem. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7900.

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2019Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility. (2019). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8000.

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2020Real-Time Forecasting Using Mixed-Frequency VARS with Time-Varying Parameters. (2020). Reif, Magnus ; Heinrich, Markus. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8054.

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2020Macroeconomics, Nonlinearities, and the Business Cycle. (2020). Reif, Magnus. In: ifo Beiträge zur Wirtschaftsforschung. RePEc:ces:ifobei:87.

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2019ifo Konjunkturprognose Winter 2019: Deutsche Konjunktur stabilisiert sich. (2019). Wohlrabe, Klaus ; Wolf, Anna ; Reif, Magnus ; Nierhaus, Wolfgang ; Mikosch, Heiner ; Lehmann, Robert ; Göttert, Marcell ; Šauer, Radek ; Rathje, Ann-Christin ; Neuwirth, Stefan ; Link, Sebastian ; Lautenbacher, Stefan ; Krolage, Carla ; Grimme, Christian ; Gottert, Marcell ; Eckert, Florian ; Stockli, Marc ; Wollmershauser, Timo. In: ifo Schnelldienst. RePEc:ces:ifosdt:v:72:y:2019:i:24:p:27-89.

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

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2019Extracting information on economic activity from business and consumer surveys in an emerging economy (Chile). (2019). Pedersen, Michael ; Figueroa, Camila. In: Journal Economía Chilena (The Chilean Economy). RePEc:chb:bcchec:v:22:y:2019:i:3:p:098-131.

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2019How is Machine Learning Useful for Macroeconomic Forecasting?. (2019). Stevanovic, Dalibor ; Surprenant, Stephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: CIRANO Working Papers. RePEc:cir:cirwor:2019s-22.

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2020Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2020). Rossi, Barbara. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14472.

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2020International Drivers of Policy Uncertainty in Emerging Economies. (2020). SOAVE, GIAN PAULO . In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00839.

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2019Mind the gap: a multi-country BVAR benchmark for the Eurosystem projections. (2019). Paredes, Joan ; Lenza, Michele ; Lalik, Magdalena ; Angelini, Elena . In: Working Paper Series. RePEc:ecb:ecbwps:20192227.

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

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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.

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2019A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US. (2019). Fernandes, Marcelo ; Vieira, Fausto. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:106:y:2019:i:c:4.

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2019Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:1.

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2020The effects of conventional and unconventional monetary policy on forecasting the yield curve. (2020). Eo, Yunjong ; Ho, Kyu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s016518891930209x.

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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.

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2019A new multiscale decomposition ensemble approach for forecasting exchange rates. (2019). Wei, Yunjie ; Wang, Shouyang ; Sun, Shaolong. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:49-58.

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2019A nowcasting model for Ecuador: Implementing a time-varying mean output growth. (2019). Baquero, Daniel ; Gonzalez-Astudillo, Manuel. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:250-263.

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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.

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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.

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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.

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2019Adaptive hierarchical priors for high-dimensional vector autoregressions. (2019). Pettenuzzo, Davide ; Korobilis, Dimitris. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:241-271.

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2019A quasi-Bayesian local likelihood approach to time varying parameter VAR models. (2019). Petrova, Katerina. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:286-306.

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2019Bayesian nonparametric sparse VAR models. (2019). Rossini, Luca ; Billio, Monica ; Casarin, Roberto. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:97-115.

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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.

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2019Deconstructing uncertainty. (2019). Samaniego, Roberto. In: European Economic Review. RePEc:eee:eecrev:v:119:y:2019:i:c:p:22-41.

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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.

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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.

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2019Volatilities, drifts and the relation between treasury yields and the corporate bond yield spread in australia. (2019). Österholm, Pär ; Karlsson, Sune ; Osterholm, Par. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:378-384.

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2019Forecasting exchange rates using principal components. (2019). Ponomareva, Natalia ; Wang, Ben Zhe ; Sheen, Jeffrey. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:63:y:2019:i:c:s1042443118304517.

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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.

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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.

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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.

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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.

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2019Monthly forecasting of GDP with mixed-frequency multivariate singular spectrum analysis. (2019). Thomakos, Dimitrios ; Silva, Emmanuel Sirimal ; Rua, Antonio ; Hassani, Hossein. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1263-1272.

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2019Gauging the uncertainty of the economic outlook using historical forecasting errors: The Federal Reserve’s approach. (2019). Tulip, Peter ; Reifschneider, David. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1564-1582.

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2019Mind the gap: A multi-country BVAR benchmark for the Eurosystem projections. (2019). Paredes, Joan ; Lenza, Michele ; Lalik, Magdalena ; Angelini, Elena. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1658-1668.

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2019Forecasting the UK economy with a medium-scale Bayesian VAR. (2019). Sokol, Andrej ; Monti, Francesca ; Domit, Silvia . In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1669-1678.

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2019Forecasting economic activity with mixed frequency BVARs. (2019). Justiniano, Alejandro ; Butters, Andrew R ; Brave, Scott A. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1692-1707.

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2019Financial nowcasts and their usefulness in macroeconomic forecasting. (2019). Zaman, Saeed ; Knotek, Edward S. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1708-1724.

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2019Forecasting economic time series using score-driven dynamic models with mixed-data sampling. (2019). Li, Mengheng ; Koopman, Siem Jan ; Gorgi, Paolo. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1735-1747.

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2019Forecasting GDP growth with NIPA aggregates: In search of core GDP. (2019). Knotek, Edward S ; Garciga, Christian . In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1814-1828.

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2020Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy. (2020). Tallman, Ellis W ; Zaman, Saeed. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:373-398.

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2019Decomposing global yield curve co-movement. (2019). Korobilis, Dimitris ; Cao, Shuo ; Byrne, Joseph P. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:500-513.

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2019Policy externalities and banking integration. (2019). Smolyansky, Michael. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:3:p:118-139.

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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.

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2019Government spending policy uncertainty and economic activity: US time series evidence. (2019). Kim, Wongi . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:61:y:2019:i:c:9.

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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.

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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.

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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.

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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.

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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.

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2019How does the Chinese economy react to uncertainty in international crude oil prices?. (2019). Shi, Xunpeng ; Zhang, Dayong ; Yu, Jian ; Cheng, Dong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:147-164.

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2019Global inflation dynamics and inflation expectations. (2019). Feldkircher, Martin ; Siklos, Pierre L. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:217-241.

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2019How important are different aspects of uncertainty in driving industrial production in the CEE countries?. (2019). Dbrowski, Marek A ; Papie, Monika ; Miech, Sawomir. In: Research in International Business and Finance. RePEc:eee:riibaf:v:50:y:2019:i:c:p:252-266.

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2018Global inflation dynamics and inflation expectations. (2018). Siklos, Pierre ; Feldkircher, Martin. In: CAMA Working Papers. RePEc:een:camaaa:2018-60.

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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.

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

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

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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.

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2019Sequential Bayesian Inference for Vector Autoregressions with Stochastic Volatility. (2019). Zito, John ; Bognanni, Mark. In: Working Papers. RePEc:fip:fedcwq:86647.

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

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2019Inferring the Shadow Rate from Real Activity. (2017). Skaperdas, Arsenios ; Garcia, Benjamin. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-106.

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

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2019Quantitative Easing and the Term Premium as a Monetary Policy Instrument. (2019). Vaccaro-Grange, Etienne. In: Working Papers. RePEc:hal:wpaper:halshs-02359503.

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2019Domestic and Global Uncertainty: A Survey and Some New Results. (2019). Castelnuovo, Efrem. In: Melbourne Institute Working Paper Series. RePEc:iae:iaewps:wp2019n13.

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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.

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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.

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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.

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2019Assessing Nowcast Accuracy of US GDP Growth in Real Time: The Role of Booms and Busts. (2019). Siliverstovs, Boriss. In: Working Papers. RePEc:ltv:wpaper:201901.

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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.

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2019On the Global Impact of Risk-off Shocks and Policy-put Frameworks. (2019). Kamber, Gunes ; Caballero, Ricardo. In: NBER Working Papers. RePEc:nbr:nberwo:26031.

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2018Big Data & Macroeconomic Nowcasting: Methodological Review. (2018). Papailias, Fotis ; Kapetanios, George. In: Economic Statistics Centre of Excellence (ESCoE) Discussion Papers. RePEc:nsr:escoed:escoe-dp-2018-12.

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2019Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage. (2019). Koop, Gary ; Gefang, Deborah ; Poon, Aubrey. In: Economic Statistics Centre of Excellence (ESCoE) Discussion Papers. RePEc:nsr:escoed:escoe-dp-2019-07.

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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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2018Measuring Uncertainty and Its Impact on the Economy.(2018) In: The Review of Economics and Statistics.
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2018The global component of inflation volatility In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper6
2019The Global Component of Inflation Volatility.(2019) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 6		paper
2016UK term structure decompositions at the zero lower bound. In: Working papers.
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2015UK Term Structure Decompositions at the Zero Lower Bound.(2015) In: Working Papers.
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2015UK Term Structure Decompositions at the Zero Lower Bound.(2015) In: Working Papers.
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2018UK term structure decompositions at the zero lower bound.(2018) In: Journal of Applied Econometrics.
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2015Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]		article40
2013Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility.(2013) In: CEPR Discussion Papers.
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2012Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility.(2012) In: Working Papers (Old Series).
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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]		article9
2007Sectoral Survey-based Confidence Indicators for Europe.(2007) In: Working Papers.
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2014Have standard VARs remained stable since the crisis? In: Working Paper.
[Full Text][Citation analysis]		paper21
2016Have Standard VARs Remained Stable Since the Crisis?.(2016) In: CEPR Discussion Papers.
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2014Have Standard VARs Remained Stable since the Crisis?.(2014) In: Working Papers (Old Series).
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2017Have Standard VARS Remained Stable Since the Crisis?.(2017) In: Journal of Applied Econometrics.
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2015Structural Analysis with Multivariate Autoregressive Index Models In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper7
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]		paper1
2018Assessing International Commonality in Macroeconomic Uncertainty and Its Effects.(2018) In: Working Papers (Old Series).
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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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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.
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2004Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates.(2004) In: Working Papers.
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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 another version. Agregated cites: 33		paper
2008Forecasting Exchange Rates with a Large Bayesian VAR In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper96
2009Forecasting exchange rates with a large Bayesian VAR.(2009) In: International Journal of Forecasting.
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2008Forecasting Exchange Rates with a Large Bayesian VAR.(2008) In: Working Papers.
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2008Forecasting Exchange Rates with a Large Bayesian VAR.(2008) In: Working Papers.
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2008Forecasting Exchange Rates with a Large Bayesian VAR.(2008) In: Economics Working Papers.
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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.
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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.
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2010Forecasting Government Bond Yields with Large Bayesian VARs.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 4		paper
2011Bayesian VARs: Specification Choices and Forecast Accuracy In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper88
2011Bayesian VARs: specification choices and forecast accuracy.(2011) In: Working Papers (Old Series).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 88		paper
2015Bayesian VARs: Specification Choices and Forecast Accuracy.(2015) In: Journal of Applied Econometrics.
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2012Common Drifting Volatility in Large Bayesian VARs In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper46
2012Common Drifting Volatility in Large Bayesian VARs.(2012) In: Economics Working Papers.
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2012Common drifting volatility in large Bayesian VARs.(2012) In: Working Papers (Old Series).
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2016Common Drifting Volatility in Large Bayesian VARs.(2016) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 46		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.
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2007A Simple Test of the New Keynesian Phillips Curve.(2007) In: Working Papers.
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2011How useful are no-arbitrage restrictions for forecasting the term structure of interest rates? In: Journal of Econometrics.
[Full Text][Citation analysis]		article25
2019Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors In: Journal of Econometrics.
[Full Text][Citation analysis]		article8
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.
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2007A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK.(2007) In: Working Papers.
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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
2019A comprehensive evaluation of macroeconomic forecasting methods In: International Journal of Forecasting.
[Full Text][Citation analysis]		article2
2016A comprehensive evaluation of macroeconomic forecasting methods.(2016) In: EMF Research Papers.
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This paper has another version. Agregated cites: 2		paper
2012Forecasting government bond yields with large Bayesian vector autoregressions In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article30
2014Tracing Out Capital Flows: How Financially Integrated Banks Respond to Natural Disasters In: Working Papers (Old Series).
[Full Text][Citation analysis]		paper13
2016Large Vector Autoregressions with Stochastic Volatility and Flexible Priors In: Working Papers (Old Series).
[Full Text][Citation analysis]		paper7
2018Endogenous Uncertainty In: Working Papers (Old Series).
[Full Text][Citation analysis]		paper1
2020Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions In: Working Papers.
[Full Text][Citation analysis]		paper0
2011FORECASTING THE YIELD CURVE USING PRIORS FROM NO‐ARBITRAGE AFFINE TERM STRUCTURE MODELS In: International Economic Review.
[Citation analysis]		article11
2007Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models.(2007) In: Working Papers.
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2007Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models.(2007) In: Working Papers.
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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.
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2008A Shrinkage Instrumental Variable Estimator for Large Datasets.(2008) In: Working Papers.
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2015A SHRINKAGE INSTRUMENTAL VARIABLE ESTIMATOR FOR LARGE DATASETS.(2015) In: L'Actualité Economique.
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2007A Bayesian Framework for the Expectations Hypothesis. How to Extract Additional Information from the Term Structure of Interest Rates In: Working Papers.
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2007A Bayesian Framework for the Expectations Hypothesis. How to Extract Additional Information from the Term Structure of Interest Rates.(2007) In: Working Papers.
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2007Forecasting Large Datasets with Reduced Rank Multivariate Models In: Working Papers.
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2007Forecasting Large Datasets with Reduced Rank Multivariate Models.(2007) In: Working Papers.
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2008Forecasting with Dynamic Models using Shrinkage-based Estimation In: Working Papers.
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2008Forecasting with Dynamic Models using Shrinkage-based Estimation.(2008) In: Working Papers.
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2013The Impact of Uncertainty Shocks under Measurement Error. A Proxy SVAR Approach In: Working Papers.
[Full Text][Citation analysis]		paper55
2013The Impact of Uncertainty Shocks under Measurement Error. A Proxy SVAR Approach.(2013) In: Working Papers.
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2015The Impact of Uncertainty Shocks under Measurement Error: A Proxy SVAR Approach.(2015) In: Journal of Money, Credit and Banking.
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2015Large Vector Autoregressions with Asymmetric Priors In: Working Papers.
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2015Large Vector Autoregressions with Asymmetric Priors.(2015) In: Working Papers.
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This paper has another version. Agregated cites: 13		paper
2018Credit Conditions and the Effects of Economic Shocks: Amplifications and Asymmetries In: EMF Research Papers.
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