Andrea Carriero : Citation Profile

Are you Andrea Carriero?

Queen Mary University of London (50% share)
Alma Mater Studiorum - Università di Bologna (50% share)

17

H index

27

i10 index

1400

Citations

RESEARCH PRODUCTION:

26

Articles

63

Papers

RESEARCH ACTIVITY:

   18 years (2004 - 2022). See details.
   Cites by year: 77
   Journals where Andrea Carriero has often published
   Relations with other researchers
   Recent citing documents: 289.    Total self citations: 31 (2.17 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pca105
   Updated: 2023-03-25    RAS profile: 2022-03-17    
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Relations with other researchers

Works with:

Marcellino, Massimiliano (14)

Clark, Todd (12)

Galvão, Ana (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 (112)

Korobilis, Dimitris (79)

Huber, Florian (78)

Marcellino, Massimiliano (55)

Chan, Joshua (51)

Feldkircher, Martin (38)

GUPTA, RANGAN (29)

Pettenuzzo, Davide (28)

Clark, Todd (25)

Poon, Aubrey (24)

mumtaz, haroon (23)

Cites to:

Giannone, Domenico (119)

Reichlin, Lucrezia (100)

Marcellino, Massimiliano (87)

Litterman, Robert (58)

Primiceri, Giorgio (54)

Lenza, Michele (51)

Clark, Todd (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
Journal of Econometrics5
International Journal of Forecasting5
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
Working Papers / Federal Reserve Bank of Cleveland3
Economics Working Papers / European University Institute3
EMF Research Papers / Economic Modelling and Forecasting Group2

Recent works citing Andrea Carriero (2022 and 2021)

YearTitle of citing document
2021Network Analysis of Economic and Financial Uncertainties in Advanced Economies: Evidence from Graph-Theory. (2021). Tiwari, Aviral ; GUPTA, RANGAN ; Boachie, Micheal Kofi. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:25:y:2021:i:1:p:188-215.

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2021Network Analysis of Economic and Financial Uncertainties in Advanced Economies: Evidence from Graph-Theory. (2021). Tiwari, Aviral ; GUPTA, RANGAN ; Boachie, Micheal Kofi. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:25:y:2021:i:1:p:188-215.

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2022Thermal Stress and Financial Distress: Extreme Temperatures and Firms’ Loan Defaults in Mexico. (2022). Gutierrez, Emilio ; Aguilar-Gomez, Sandra ; Tobal, Martin ; Jaume, David ; Heres, David . In: Working Papers. RePEc:aoz:wpaper:148.

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2021“Employment uncertainty a year after the irruption of the covid-19 pandemic”. (2021). Sorić, Petar ; Claveria, Oscar ; Soric, Petar. In: AQR Working Papers. RePEc:aqr:wpaper:202104.

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2022Bayesian Optimization of Hyperparameters when the Marginal Likelihood is Estimated by MCMC. (2020). Stockhammar, Par ; Villani, Mattias ; Gustafsson, Oskar. In: Papers. RePEc:arx:papers:2004.10092.

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2021Inference in Bayesian Additive Vector Autoregressive Tree Models. (2020). Huber, Florian ; Rossini, Luca. In: Papers. RePEc:arx:papers:2006.16333.

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2022Are low frequency macroeconomic variables important for high frequency electricity prices?. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Papers. RePEc:arx:papers:2007.13566.

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2021Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.01714.

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2021Time-Varying Parameters as Ridge Regressions. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2009.00401.

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2022Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361.

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2021Deep Distributional Time Series Models and the Probabilistic Forecasting of Intraday Electricity Prices. (2020). Nott, David J ; Smith, Michael Stanley ; Klein, Nadja. In: Papers. RePEc:arx:papers:2010.01844.

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2022Developments on the Bayesian Structural Time Series Model: Trending Growth. (2020). Kohns, David ; Bhattacharjee, Arnab. In: Papers. RePEc:arx:papers:2011.00938.

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2021Capturing GDP nowcast uncertainty in real time. (2020). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601.

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2021General Bayesian time-varying parameter VARs for predicting government bond yields. (2021). Pfarrhofer, Michael ; Huber, Florian ; Hauzenberger, Niko ; Fischer, Manfred M. In: Papers. RePEc:arx:papers:2102.13393.

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2022Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs. (2021). Pfarrhofer, Michael ; Huber, Florian ; Feldkircher, Martin ; Koop, Gary. In: Papers. RePEc:arx:papers:2103.04944.

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

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2021Subspace Shrinkage in Conjugate Bayesian Vector Autoregressions. (2021). Huber, Florian ; Koop, Gary. In: Papers. RePEc:arx:papers:2107.07804.

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2021Asymmetric Conjugate Priors for Large Bayesian VARs. (2021). Chan, Joshua. In: Papers. RePEc:arx:papers:2111.07170.

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2021Large Order-Invariant Bayesian VARs with Stochastic Volatility. (2021). Yu, Xuewen ; Chan, Joshua ; Koop, Gary. In: Papers. RePEc:arx:papers:2111.07225.

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2022Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty. (2021). Marcellino, Massimiliano ; Petz, Nico ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2112.01995.

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2021Bayesian Approaches to Shrinkage and Sparse Estimation. (2021). Korobilis, Dimitris ; Shimizu, Kenichi. In: Papers. RePEc:arx:papers:2112.11751.

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2022The Time-Varying Multivariate Autoregressive Index Model. (2022). Cubadda, Gianluca ; Guardabascio, B ; Grassi, S. In: Papers. RePEc:arx:papers:2201.07069.

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2022Macroeconomic Effect of Uncertainty and Financial Shocks: a non-Gaussian VAR approach. (2022). Palmén, Olli. In: Papers. RePEc:arx:papers:2202.10834.

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2022Measuring Shocks to Central Bank Independence using Legal Rulings. (2022). Pfarrhofer, Michael ; Huber, Florian ; Griller, Stefan. In: Papers. RePEc:arx:papers:2202.12695.

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2022Forecasting 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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2022A new algorithm for structural restrictions in Bayesian vector autoregressions. (2022). Korobilis, Dimitris. In: Papers. RePEc:arx:papers:2206.06892.

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2022Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility. (2022). Yu, Xuewen. In: Papers. RePEc:arx:papers:2206.08438.

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2022Fast Estimation of Bayesian State Space Models Using Amortized Simulation-Based Inference. (2022). Seleznev, Sergei ; Khabibullin, Ramis. In: Papers. RePEc:arx:papers:2210.07154.

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

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2022Reservoir 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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2022Enhanced 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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2022Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications. (2022). Rossini, Luca ; Ravazzolo, Francesco ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:2211.16121.

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2022Bayesian 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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2021Yield curve modelling and forecasting in an undeveloped financial market: The case of Bulgaria. (2021). Makarieva, Martina. In: Economic Thought journal. RePEc:bas:econth:y:2021:i:2:p:61-83,84-104.

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2021Endogenous time variation in vector autoregressions. (2021). Leiva-Leon, Danilo ; Uzeda, Luis. In: Working Papers. RePEc:bde:wpaper:2108.

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2021Do inflation expectations improve model-based inflation Forecasts?. (2021). Menz, Jan-Oliver ; Leiva-Leon, Danilo ; Babura, Marta. In: Working Papers. RePEc:bde:wpaper:2138.

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2021Forecasting Italian GDP growth with epidemiological data. (2021). Villa, Stefania ; Flaccadoro, Marco ; Conteduca, Francesco ; Emiliozzi, Simone ; Borin, Alessandro ; Aprigliano, Valentina ; Marchetti, Sabina. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_664_21.

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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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2021The Nonlinear Effect of Uncertainty in Portfolio Flows to Mexico. (2021). Hernandez, Marco A. In: Working Papers. RePEc:bdm:wpaper:2021-11.

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2021Income inequality, financial intermediation, and small firms. (2021). Drechsel, Thomas ; Doerr, Sebastian ; Lee, Dong Gyu. In: BIS Working Papers. RePEc:bis:biswps:944.

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2021Time?varying impact of global, region?, and country?specific uncertainties on the volatility of international trade. (2021). GUPTA, RANGAN ; Gul, Selcuk. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:39:y:2021:i:4:p:691-700.

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2021EURQ: A New Web Search?based Uncertainty Index. (2021). Golinelli, Roberto ; Bontempi, Maria ; Frigeri, Michele ; Squadrani, Matteo. In: Economica. RePEc:bla:econom:v:88:y:2021:i:352:p:969-1015.

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2022Bank lending networks and the propagation of natural disasters. (2022). , Joo ; Macchiavelli, Marco ; Ivanov, Ivan T. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:3:p:903-927.

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2022Time?varying impacts of expectations on housing markets across hot and cold phases. (2022). Huang, Meichi. In: International Finance. RePEc:bla:intfin:v:25:y:2022:i:2:p:249-265.

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2021The predictive power of macroeconomic uncertainty for commodity futures volatility. (2021). Huang, Zhuo ; Tong, Chen ; Liang, Fang. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:3:p:989-1012.

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2021AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME?SERIES ECONOMETRICS. (2021). Nonejad, Nima. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:566-614.

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2021Weathering Cash Flow Shocks. (2021). Ivanov, Ivan T ; Gustafson, Matthew T ; Brown, James R. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:4:p:1731-1772.

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2022Going the Extra Mile: Distant Lending and Credit Cycles. (2022). Leuz, Christian ; Rajan, Raghuram G ; Granja, Joo. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:1259-1324.

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2021Mixed?frequency Bayesian predictive synthesis for economic nowcasting. (2021). McAlinn, Kenichiro. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:70:y:2021:i:5:p:1143-1163.

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2021Shock contagion, asset quality and lending behaviour: The case of war in Eastern Ukraine. (2021). Tsapin, Andriy ; Talavera, Oleksandr ; Pham, Tho. In: Kyklos. RePEc:bla:kyklos:v:74:y:2021:i:2:p:243-269.

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2021The Impact of Pessimistic Expectations on the Effects of COVID?19?Induced Uncertainty in the Euro Area. (2021). Zullig, Gabriel ; Ravenna, Federico ; Pellegrino, Giovanni. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:4:p:841-869.

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2021Domestic and Global Determinants of Inflation: Evidence from Expectile Regression*. (2021). Delle Monache, Davide ; Busetti, Fabio ; Caivano, Michele. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:4:p:982-1001.

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2021Empirical Evidence on the Dynamics of Investment Under Uncertainty in the U.S.. (2021). Magnusson, Leandro ; Haque, Qazi ; Tomioka, Kazuki. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:5:p:1193-1217.

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2021Accurate Confidence Regions for Principal Components Factors. (2021). Ruiz, Esther ; Maldonado, Javier. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:6:p:1432-1453.

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2022The Impact of Uncertainty Shocks: Evidence from Geopolitical Swings on the Korean Peninsula. (2022). Lee, Seohyun ; Ha, Jongrim ; So, Inhwan. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:1:p:21-56.

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2022Econometric Analysis of Switching Expectations in UK Inflation. (2022). Madeira, Joao ; Corneamadeira, Adriana. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:3:p:651-673.

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2021Fear thy neighbor: Spillovers from economic policy uncertainty. (2021). Grigoli, Francesco ; Hengge, Martina ; Biljanovska, Nina. In: Review of International Economics. RePEc:bla:reviec:v:29:y:2021:i:2:p:409-438.

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2021Measuring the effectiveness of US monetary policy during the COVID?19 recession. (2021). Pfarrhofer, Michael ; Huber, Florian ; Feldkircher, Martin. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:68:y:2021:i:3:p:287-297.

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2021Inflation comovements in advanced economies: Facts and drivers. (2021). Gómez-Loscos, Ana ; Alvarez, Luis ; Gomezloscos, Ana ; Gadea, Maria Dolores. In: The World Economy. RePEc:bla:worlde:v:44:y:2021:i:2:p:485-509.

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2021Macroeconomic Forecasting with Large Stochastic Volatility in Mean VARs. (2021). Koop, Gary ; Hou, Chenghan ; Cross, Jamie L. In: Working Papers. RePEc:bny:wpaper:0100.

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2021Forecasting UK inflation bottom up. (2021). Potjagailo, Galina ; Kapetanios, George ; Kalamara, Eleni ; Joseph, Andreas. In: Bank of England working papers. RePEc:boe:boeewp:0915.

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2021Forecasting UK GDP growth with large survey panels. (2021). Kapetanios, George ; Kalamara, Eleni ; Anesti, Nikoleta. In: Bank of England working papers. RePEc:boe:boeewp:0923.

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2021Global Uncertainty. (2021). Castelnuovo, Efrem ; Caggiano, Giovanni. In: Research Discussion Papers. RePEc:bof:bofrdp:2021_001.

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2022Inflationary household uncertainty shocks. (2022). Ambrocio, Gene. In: Research Discussion Papers. RePEc:bof:bofrdp:2022_005.

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2021Stochastic model specification in Markov switching vector error correction models. (2021). Huber, Florian ; Niko, Hauzenberger ; Thomas, Zorner ; Michael, Pfarrhofer ; Florian, Huber. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:2:p:17:n:7.

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2021Macroeconomic uncertainty and forecasting macroeconomic aggregates. (2021). Magnus, Reif. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:2:p:20:n:5.

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2021The Real Effects of Uncertainty Shocks: New Evidence from Linear and Nonlinear SVAR Models. (2021). Tsasa, Jean-Paul K ; Diwambuena, Josue. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps87.

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2021Sorry, Youre Blocked. Economic Effects of Financial Sanctions on the Russian Economy. (2021). Pestova, Anna ; Mamonov, Mikhail. In: CERGE-EI Working Papers. RePEc:cer:papers:wp704.

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2021The Impact of Aggregate Uncertainty on Firm-Level Uncertainty. (2021). Grimme, Christian ; Easaw, Joshy. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8934.

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2021The Bright and Dark Side of Financial Support from Local and Central Banks after a Natural Disaster: Evidence from the Great Kanto Earthquake, 1923 Japan. (2021). Okubo, Toshihiro ; Strobl, Eric ; Okazaki, Tetsuji. In: CARF F-Series. RePEc:cfi:fseres:cf511.

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2021The Bright and Dark Side of Financial Support from Local and Central Banks after a Natural Disaster: Evidence from the Great Kanto Earthquake, 1923 Japan. (2000). Okubo, Toshihiro ; Strobl, Eric ; Okazaki, Tetsuji. In: CIGS Working Paper Series. RePEc:cnn:wpaper:21-001e.

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2021Nowcasting with Large Bayesian Vector Autoregressions. (2021). Sokol, Andrej ; Monti, Francesca ; Lenza, Michele ; Giannone, Domenico ; Cimadomo, Jacopo. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15854.

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2021Addressing COVID-19 Outliers in BVARs with Stochastic Volatility. (2021). Mertens, Elmar ; Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15964.

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2021Measuring Uncertainty and Its Effects in the COVID-19 Era. (2021). Mertens, Elmar ; Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15965.

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2021The implications of globalisation for the ECB monetary policy strategy. (2021). Schmitz, Martin ; Lastauskas, Povilas ; Kataryniuk, Iván ; JOCHEM, Axel ; Gunnella, Vanessa ; Georgiadis, Georgios ; Fontagné, Lionel ; Feldkircher, Martin ; Everett, Mary ; Carvalho, Daniel ; Labhard, Vincent ; Bricongne, Jean-Charles ; Felettigh, Alberto ; Cova, Pietro ; Dimitropoulou, Dimitra ; Hemmerle, Yannick ; Siena, Daniele ; Osbat, Chiara ; Venditti, Fabrizio ; Kuhnlenz, Markus ; Baumann, Ursel ; Zumer, Tina ; Parraga, Susana ; de Luigi, Clara ; Serafini, Roberta ; Mattias, Nilsson ; Carluccio, Juan ; Korhonen, Iikka ; Wacket, Helmut ; Banerjee, Biswajit ; Eichler, Eric ; Giron, Celestino ; Meinen, Philipp ; de Bandt, Olivier ; del Giudice, Davide ; van Schaik, Ilona ; Mozzanica, Mirco Balatti ; Dorrucci, Ettore ; Coim
2021ECB’s economy-wide climate stress test. (2021). Salleo, Carmelo ; Parisi, Laura ; Muoz, Manuel A ; Kouratzoglou, Charalampos ; Kaijser, Michiel ; Hennig, Tristan ; Emambakhsh, Tina ; Dunz, Nepomuk ; Alogoskoufis, Spyros. In: Occasional Paper Series. RePEc:ecb:ecbops:2021281.

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2021Tracking global economic uncertainty: implications for the euro area. (2021). Quaglietti, Lucia ; Geis, Andre ; Ricci, Martino ; Bobasu, Alina. In: Working Paper Series. RePEc:ecb:ecbwps:20212541.

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2021Combining Bayesian VARs with survey density forecasts: does it pay off?. (2021). Ravazzolo, Francesco ; Paredes, Joan ; Brenna, Federica ; Babura, Marta. In: Working Paper Series. RePEc:ecb:ecbwps:20212543.

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2021Do inflation expectations improve model-based inflation forecasts?. (2021). Menz, Jan-Oliver ; Leiva-Leon, Danilo ; Banbura, Marta ; Babura, Marta. In: Working Paper Series. RePEc:ecb:ecbwps:20212604.

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2021Fan charts 2.0: flexible forecast distributions with expert judgement. (2021). Sokol, Andrej. In: Working Paper Series. RePEc:ecb:ecbwps:20212624.

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2022A new optimum currency area index for the euro area. (2022). Sun, Yiqiao ; Palenzuela, Diego Rodriguez ; Kunovac, Davor. In: Working Paper Series. RePEc:ecb:ecbwps:20222730.

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2021Natural disasters and analysts earnings forecasts. (2021). Lin, Zhiyang ; Kong, Dongmin ; Xiang, Junyi ; Wang, Yanan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:66:y:2021:i:c:s0929119920303047.

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2021Natural disasters and economic growth: The role of banking market structure. (2021). Onali, Enrico ; Duqi, Andi ; McGowan, Danny ; Torluccio, Giuseppe. In: Journal of Corporate Finance. RePEc:eee:corfin:v:71:y:2021:i:c:s0929119921002236.

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2021Effects of US quantitative easing on emerging market economies. (2021). Park, Woong Yong ; Bhattarai, Saroj ; Chatterjee, Arpita. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:122:y:2021:i:c:s0165188920301998.

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2021Qualitative versus quantitative external information for proxy vector autoregressive analysis. (2021). Lütkepohl, Helmut ; Boer, Lukas ; Lutkepohl, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000531.

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2021The Jacobian of the exponential function. (2021). Sentana, Enrique ; Henk, ; Magnus, Jan R. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000579.

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2021Monetary transmission in money markets: The not-so-elusive missing piece of the puzzle. (2021). Valcarcel, Victor (Vic) ; chen, zhengyang. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:131:y:2021:i:c:s0165188921001494.

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2022How do fiscal adjustments work? An empirical investigation. (2022). Karamysheva, Madina. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:137:y:2022:i:c:s0165188922000525.

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2022The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises. (2022). Shang, Fei. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:137:y:2022:i:c:s0165188922000604.

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2022Proxy SVAR identification of monetary policy shocks - Monte Carlo evidence and insights for the US. (2022). Rohloff, Hannes ; Herwartz, Helmut ; Wang, Shu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001622.

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2022Modeling tail risks of inflation using unobserved component quantile regressions. (2022). Pfarrhofer, Michael. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:143:y:2022:i:c:s016518892200197x.

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2022Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility. (2022). Yu, Xuewen ; Chan, Joshua. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:143:y:2022:i:c:s0165188922002093.

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2021Forecasting natural gas prices using highly flexible time-varying parameter models. (2021). Nguyen, Bao H ; Hou, Chenghan ; Gao, Shen. In: Economic Modelling. RePEc:eee:ecmode:v:105:y:2021:i:c:s0264999321002418.

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2022Hazardous lending: The impact of natural disasters on bank asset portfolio. (2022). , Mark ; Li, Runliang. In: Economic Modelling. RePEc:eee:ecmode:v:108:y:2022:i:c:s0264999322000062.

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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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2021Financial and nonfinancial global stock market volatility shocks. (2021). Vespignani, Joaquin ; Ratti, Ronald ; Kang, Wensheng . In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:128-134.

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2021Resurrecting the Phillips Curve in Low-Inflation Times. (2021). Conti, Antonio. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:172-195.

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2021Bayesian MIDAS penalized regressions: Estimation, selection, and prediction. (2021). Mogliani, Matteo ; Simoni, Anna. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:833-860.

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2021Boosting high dimensional predictive regressions with time varying parameters. (2021). Ng, Serena ; Yousuf, Kashif. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:60-87.

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2022Comment on “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors”. (2022). Bognanni, Mark. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:2:p:498-505.

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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.
[Full Text][Citation analysis]		paper130
2016Measuring Uncertainty and Its Impact on the Economy.(2016) In: Working Papers (Old Series).
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This paper has another version. Agregated cites: 130		paper
2018Measuring Uncertainty and Its Impact on the Economy.(2018) In: The Review of Economics and Statistics.
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This paper has another version. Agregated cites: 130		article
2018The global component of inflation volatility In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper15
2016UK term structure decompositions at the zero lower bound. In: Working papers.
[Full Text][Citation analysis]		paper11
2015UK Term Structure Decompositions at the Zero Lower Bound.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2018UK term structure decompositions at the zero lower bound.(2018) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 11		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]		article77
2013Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility.(2013) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 77		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 another version. Agregated cites: 77		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 another version. Agregated cites: 10		paper
2014Have standard VARs remained stable since the crisis? In: Working Paper.
[Full Text][Citation analysis]		paper43
2016Have Standard VARs Remained Stable Since the Crisis?.(2016) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 43		paper
2014Have Standard VARs Remained Stable since the Crisis?.(2014) In: Working Papers (Old Series).
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This paper has another version. Agregated cites: 43		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: 43		article
2015Structural Analysis with Multivariate Autoregressive Index Models In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper20
2016Structural analysis with Multivariate Autoregressive Index models.(2016) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 20		article
2019Assessing International Commonality in Macroeconomic Uncertainty and Its Effects In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper16
2018Assessing International Commonality in Macroeconomic Uncertainty and Its Effects.(2018) In: Working Papers (Old Series).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		paper
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 another version. Agregated cites: 16		article
2004Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper36
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: 36		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: 36		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: 36		paper
2008Forecasting Exchange Rates with a Large Bayesian VAR In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper134
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: 134		article
2008Forecasting Exchange Rates with a Large Bayesian VAR.(2008) In: Economics Working Papers.
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This paper has another version. Agregated cites: 134		paper
2008Forecasting Exchange Rates with a Large Bayesian VAR.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 134		paper
2009Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper63
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: 63		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: 63		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 another version. Agregated cites: 8		paper
2011Bayesian VARs: Specification Choices and Forecast Accuracy In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper139
2011Bayesian VARs: specification choices and forecast accuracy.(2011) In: Working Papers (Old Series).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 139		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: 139		article
2012Common Drifting Volatility in Large Bayesian VARs In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper138
2012Common Drifting Volatility in Large Bayesian VARs.(2012) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 138		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: 138		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: 138		article
2014No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper4
2021No?arbitrage priors, drifting volatilities, and the term structure of interest rates.(2021) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		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.
[Full Text][Citation analysis]
This paper has another 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.
[Full Text][Citation analysis]
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2019Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors In: Journal of Econometrics.
[Full Text][Citation analysis]		article98
2021Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
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 another 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]		article10
2019A comprehensive evaluation of macroeconomic forecasting methods In: International Journal of Forecasting.
[Full Text][Citation analysis]		article23
2016A comprehensive evaluation of macroeconomic forecasting methods.(2016) In: EMF Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23		paper
2012Forecasting government bond yields with large Bayesian vector autoregressions In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article46
2014Tracing Out Capital Flows: How Financially Integrated Banks Respond to Natural Disasters In: Working Papers (Old Series).
[Full Text][Citation analysis]		paper109
2016Large Vector Autoregressions with Stochastic Volatility and Flexible Priors In: Working Papers (Old Series).
[Full Text][Citation analysis]		paper10
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]		paper0
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]		article12
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: 12		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
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
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]		paper88
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: 88		article
2015Large Vector Autoregressions with Asymmetric Priors In: Working Papers.
[Full Text][Citation analysis]		paper21
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]		paper21
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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