19
H index
27
i10 index
1583
Citations
Queen Mary University of London (90% share) | 19 H index 27 i10 index 1583 Citations RESEARCH PRODUCTION: 26 Articles 63 Papers RESEARCH ACTIVITY: 18 years (2004 - 2022). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pca105 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Andrea Carriero. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Applied Econometrics | 6 |
International Journal of Forecasting | 5 |
Journal of Econometrics | 5 |
Oxford Bulletin of Economics and Statistics | 2 |
Year | Title of citing document | |
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2023 | Macroeconomic drivers of Inflation Expectations and Inflation Risk Premia. (2023). Wauters, Joris ; Iania, Leonardo ; Boeckx, Jef. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023003. Full description at Econpapers || Download paper | |
2023 | Are the Effects of Uncertainty Shocks Big or Small?. (2023). Vicondoa, Alejandro ; Gazzani, Andrea ; Alessandri, Piergiorgio. In: Working Papers. RePEc:aoz:wpaper:244. Full description at Econpapers || Download paper | |
2023 | Dynamic 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. Full description at Econpapers || Download paper | |
2023 | Time-Varying Parameters as Ridge Regressions. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2009.00401. Full description at Econpapers || Download paper | |
2023 | Sparse 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. Full description at Econpapers || Download paper | |
2023 | Predicting Inflation with Neural Networks. (2021). Paranhos, Livia. In: Papers. RePEc:arx:papers:2104.03757. Full description at Econpapers || Download paper | |
2023 | Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!. (2022). Kastner, Gregor ; Gruber, Luis. In: Papers. RePEc:arx:papers:2206.04902. Full description at Econpapers || Download paper | |
2023 | Efficient variational approximations for state space models. (2022). Nibbering, Didier ; Loaiza-Maya, Rub'En. In: Papers. RePEc:arx:papers:2210.11010. Full description at Econpapers || Download paper | |
2023 | Reservoir 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. Full description at Econpapers || Download paper | |
2023 | Enhanced Bayesian Neural Networks for Macroeconomics and Finance. (2022). Marcellino, Massimiliano ; Klieber, Karin ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2211.04752. Full description at Econpapers || Download paper | |
2023 | Bayesian 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. Full description at Econpapers || Download paper | |
2023 | Nonlinearities in Macroeconomic Tail Risk through the Lens of Big Data Quantile Regressions. (2023). Huber, Florian ; Pruser, Jan. In: Papers. RePEc:arx:papers:2301.13604. Full description at Econpapers || Download paper | |
2023 | Coarsened Bayesian VARs -- Correcting BVARs for Incorrect Specification. (2023). Marcellino, Massimiliano ; Huber, Florian. In: Papers. RePEc:arx:papers:2304.07856. Full description at Econpapers || Download paper | |
2023 | Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks. (2023). Huber, Florian ; Koop, Gary. In: Papers. RePEc:arx:papers:2305.16827. Full description at Econpapers || Download paper | |
2023 | Non-linear dimension reduction in factor-augmented vector autoregressions. (2023). Klieber, Karin. In: Papers. RePEc:arx:papers:2309.04821. Full description at Econpapers || Download paper | |
2023 | BVARs and Stochastic Volatility. (2023). Chan, Joshua. In: Papers. RePEc:arx:papers:2310.14438. Full description at Econpapers || Download paper | |
2023 | Theory coherent shrinkage of Time-Varying Parameters in VARs. (2023). Renzetti, Andrea. In: Papers. RePEc:arx:papers:2311.11858. Full description at Econpapers || Download paper | |
2023 | From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks. (2023). Klieber, Karin ; Frenette, Mikael ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2311.16333. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Bayesian Local Projections. (2023). Ricco, Giovanni ; Ferreira, Leonardo ; Miranda-Agrippino, Silvia. In: Working Papers Series. RePEc:bcb:wpaper:581. Full description at Econpapers || Download paper | |
2023 | Assessing 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. Full description at Econpapers || Download paper | |
2023 | Energy 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. Full description at Econpapers || Download paper | |
2023 | Simulation 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. Full description at Econpapers || Download paper | |
2023 | BAYESIAN 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. Full description at Econpapers || Download paper | |
2023 | Trading 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. Full description at Econpapers || Download paper | |
2023 | Directed 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. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Oil Prices Uncertainty, Endogenous Regime Switching, and Inflation Anchoring. (2023). Pesavento, Elena ; Herrera, Ana Mara ; Chang, Yoosoon. In: Working Papers. RePEc:bny:wpaper:0113. Full description at Econpapers || Download paper | |
2023 | Expected, 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. Full description at Econpapers || Download paper | |
2023 | How 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Trade in Times of Uncertainty. (2023). Oberhofer, Harald ; Meyer, Birgit ; Matzner, Anna. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10284. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Density forecasts of inflation: a quantile regression forest approach. (2023). Paredes, Joan ; Moutachaker, Ines ; Lenza, Michele. In: Working Paper Series. RePEc:ecb:ecbwps:20232830. Full description at Econpapers || Download paper | |
2023 | Labour at risk. (2023). Renzetti, Andrea ; Foroni, Claudia ; Botelho, Vasco. In: Working Paper Series. RePEc:ecb:ecbwps:20232840. Full description at Econpapers || Download paper | |
2023 | GDP 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Financial 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. Full description at Econpapers || Download paper | |
2023 | Vector 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. Full description at Econpapers || Download paper | |
2023 | Measuring 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. Full description at Econpapers || Download paper | |
2023 | Time-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. Full description at Econpapers || Download paper | |
2023 | Are 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Does 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. Full description at Econpapers || Download paper | |
2023 | Macro 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Nowcasting 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. Full description at Econpapers || Download paper | |
2023 | Scalable 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. Full description at Econpapers || Download paper | |
2023 | Macroeconomic 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. Full description at Econpapers || Download paper | |
2023 | Comparing 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. Full description at Econpapers || Download paper | |
2023 | Global 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. Full description at Econpapers || Download paper | |
2023 | High-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. Full description at Econpapers || Download paper | |
2023 | Large 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. Full description at Econpapers || Download paper | |
2023 | Bank 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. Full description at Econpapers || Download paper | |
2023 | Measuring 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. Full description at Econpapers || Download paper | |
2023 | Estimating 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. Full description at Econpapers || Download paper | |
2023 | Uncertainty 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. Full description at Econpapers || Download paper | |
2023 | Are 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Co-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. Full description at Econpapers || Download paper | |
2023 | Oil 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. Full description at Econpapers || Download paper | |
2023 | Nowcasting 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. Full description at Econpapers || Download paper | |
2023 | Small 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. Full description at Econpapers || Download paper | |
2023 | Data-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. Full description at Econpapers || Download paper | |
2023 | Forecasting 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. Full description at Econpapers || Download paper | |
2023 | Real-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. Full description at Econpapers || Download paper | |
2023 | Penalized 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. Full description at Econpapers || Download paper | |
2023 | Nowcasting 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. Full description at Econpapers || Download paper | |
2023 | Bank 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. Full description at Econpapers || Download paper | |
2023 | United 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. Full description at Econpapers || Download paper | |
2023 | Do 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. Full description at Econpapers || Download paper | |
2023 | Natural 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. Full description at Econpapers || Download paper | |
2023 | Bank 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. Full description at Econpapers || Download paper | |
2023 | Cross-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. Full description at Econpapers || Download paper | |
2023 | Time-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. Full description at Econpapers || Download paper | |
2023 | Inflation 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. Full description at Econpapers || Download paper | |
2023 | Stakeholder 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. Full description at Econpapers || Download paper | |
2023 | The Benefit of Inflation-Indexed Debt: Evidence from an Emerging Bond Market. (2023). , Jens. In: Working Paper Series. RePEc:fip:fedfwp:95617. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Does 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. Full description at Econpapers || Download paper | |
2023 | After 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. Full description at Econpapers || Download paper | |
2023 | Do 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. Full description at Econpapers || Download paper | |
2023 | Oil Prices Uncertainty, Endogenous Regime Switching, and Inflation Anchoring. (2023). Pesavento, Elena ; Herrera, Ana Maria ; Chang, Yoosoon. In: CAEPR Working Papers. RePEc:inu:caeprp:2023002. Full description at Econpapers || Download paper | |
2023 | US 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. Full description at Econpapers || Download paper | |
2023 | Comparing 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. Full description at Econpapers || Download paper | |
2023 | An 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. Full description at Econpapers || Download paper | |
2023 | Effects 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. Full description at Econpapers || Download paper | |
2023 | US 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. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2023 | Time-varying ambiguity shocks and business cycles. (2023). Sakemoto, Ryuta ; Cai, Xiaojing ; Asano, Takao. In: KIER Working Papers. RePEc:kyo:wpaper:1094. Full description at Econpapers || Download paper | |
2023 | Bayesian 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. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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2016 | Measuring Uncertainty and Its Impact on the Economy In: BAFFI CAREFIN Working Papers. [Full Text][Citation analysis] | paper | 156 |
2016 | Measuring Uncertainty and Its Impact on the Economy.(2016) In: Working Papers (Old Series). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 156 | paper | |
2018 | Measuring Uncertainty and Its Impact on the Economy.(2018) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 156 | article | |
2018 | The global component of inflation volatility In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 20 |
2016 | UK term structure decompositions at the zero lower bound. In: Working papers. [Full Text][Citation analysis] | paper | 14 |
2015 | UK Term Structure Decompositions at the Zero Lower Bound.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2018 | UK term structure decompositions at the zero lower bound.(2018) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
2015 | Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility In: Journal of the Royal Statistical Society Series A. [Full Text][Citation analysis] | article | 82 |
2013 | Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility.(2013) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 82 | paper | |
2012 | Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility.(2012) In: Working Papers (Old Series). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 82 | paper | |
2006 | Explaining 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] | article | 8 |
2011 | Sectoral Survey?based Confidence Indicators for Europe In: Oxford Bulletin of Economics and Statistics. [Citation analysis] | article | 10 |
2007 | Sectoral Survey-based Confidence Indicators for Europe.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2014 | Have standard VARs remained stable since the crisis? In: Working Paper. [Full Text][Citation analysis] | paper | 47 |
2016 | Have Standard VARs Remained Stable Since the Crisis?.(2016) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | paper | |
2014 | Have Standard VARs Remained Stable since the Crisis?.(2014) In: Working Papers (Old Series). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | paper | |
2017 | Have Standard VARS Remained Stable Since the Crisis?.(2017) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | article | |
2015 | Structural Analysis with Multivariate Autoregressive Index Models In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 22 |
2016 | Structural analysis with Multivariate Autoregressive Index models.(2016) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | article | |
2019 | Assessing International Commonality in Macroeconomic Uncertainty and Its Effects In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 23 |
2018 | Assessing International Commonality in Macroeconomic Uncertainty and Its Effects.(2018) In: Working Papers (Old Series). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
2019 | Assessing International Commonality in Macroeconomic Uncertainty and Its Effects.(2019) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
2020 | Assessing international commonality in macroeconomic uncertainty and its effects.(2020) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | article | |
2004 | Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 37 |
2006 | Financial 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 nother version. Agregated cites: 37 | article | |
2004 | Financial 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 nother version. Agregated cites: 37 | paper | |
2004 | Financial 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 nother version. Agregated cites: 37 | paper | |
2008 | Forecasting Exchange Rates with a Large Bayesian VAR In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 144 |
2009 | Forecasting 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 | |
2008 | Forecasting Exchange Rates with a Large Bayesian VAR.(2008) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 144 | paper | |
2008 | Forecasting Exchange Rates with a Large Bayesian VAR.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 144 | paper | |
2009 | Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 68 |
2009 | Forecasting 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 | |
2011 | Forecasting 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 | |
2010 | Forecasting Government Bond Yields with Large Bayesian VARs In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 8 |
2010 | Forecasting Government Bond Yields with Large Bayesian VARs.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2011 | Bayesian VARs: Specification Choices and Forecast Accuracy In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 158 |
2011 | Bayesian 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 | |
2015 | Bayesian 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 | |
2012 | Common Drifting Volatility in Large Bayesian VARs In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 153 |
2012 | Common Drifting Volatility in Large Bayesian VARs.(2012) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 153 | paper | |
2012 | Common 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 | |
2016 | Common Drifting Volatility in Large Bayesian VARs.(2016) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 153 | article | |
2014 | No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
2021 | No?arbitrage priors, drifting volatilities, and the term structure of interest rates.(2021) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
2008 | A simple test of the New Keynesian Phillips Curve In: Economics Letters. [Full Text][Citation analysis] | article | 10 |
2007 | A Simple Test of the New Keynesian Phillips Curve.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2011 | How useful are no-arbitrage restrictions for forecasting the term structure of interest rates? In: Journal of Econometrics. [Full Text][Citation analysis] | article | 30 |
2011 | How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?.(2011) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | paper | |
2019 | Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors In: Journal of Econometrics. [Full Text][Citation analysis] | article | 117 |
2021 | Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty In: Journal of Econometrics. [Full Text][Citation analysis] | article | 7 |
2007 | A comparison of methods for the construction of composite coincident and leading indexes for the UK In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 13 |
2007 | A 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 | |
2015 | Macroeconomic information, structural change, and the prediction of fiscal aggregates In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
2015 | Forecasting with Bayesian multivariate vintage-based VARs In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 11 |
2019 | A comprehensive evaluation of macroeconomic forecasting methods In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 30 |
2016 | A comprehensive evaluation of macroeconomic forecasting methods.(2016) In: EMF Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | paper | |
2012 | Forecasting government bond yields with large Bayesian vector autoregressions In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 50 |
2014 | Tracing Out Capital Flows: How Financially Integrated Banks Respond to Natural Disasters In: Working Papers (Old Series). [Full Text][Citation analysis] | paper | 134 |
2016 | Large Vector Autoregressions with Stochastic Volatility and Flexible Priors In: Working Papers (Old Series). [Full Text][Citation analysis] | paper | 13 |
2018 | Endogenous Uncertainty In: Working Papers (Old Series). [Full Text][Citation analysis] | paper | 4 |
2022 | Measuring Uncertainty and Its Effects in the COVID-19 Era In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2022 | Macroeconomic Forecasting in a Multi-country Context In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2011 | FORECASTING THE YIELD CURVE USING PRIORS FROM NOâ€ARBITRAGE AFFINE TERM STRUCTURE MODELS In: International Economic Review. [Citation analysis] | article | 13 |
2007 | Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
2007 | Monitoring the Economy of the Euro Area: A Comparison of Composite Coincident Indexes In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2015 | A Shrinkage Instrumental Variable Estimator for Large Datasets In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2008 | A Shrinkage Instrumental Variable Estimator for Large Datasets.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2015 | A SHRINKAGE INSTRUMENTAL VARIABLE ESTIMATOR FOR LARGE DATASETS.(2015) In: L'Actualité Economique. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2007 | A 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] | paper | 0 |
2007 | Forecasting Large Datasets with Reduced Rank Multivariate Models In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2008 | Forecasting with Dynamic Models using Shrinkage-based Estimation In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2013 | The Impact of Uncertainty Shocks under Measurement Error. A Proxy SVAR Approach In: Working Papers. [Full Text][Citation analysis] | paper | 100 |
2015 | The 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 nother version. Agregated cites: 100 | article | |
2015 | Large Vector Autoregressions with Asymmetric Priors In: Working Papers. [Full Text][Citation analysis] | paper | 22 |
2007 | A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
2007 | A 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] | paper | 0 |
2007 | A Simple Test of the New Keynesian Phillips Curve In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2007 | Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2007 | Forecasting Large Datasets with Reduced Rank Multivariate Models In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2008 | A Shrinkage Instrumental Variable Estimator for Large Datasets In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2008 | Forecasting Exchange Rates with a Large Bayesian VAR In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2008 | Forecasting with Dynamic Models using Shrinkage-based Estimation In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2010 | Forecasting Government Bond Yields with Large Bayesian VARs In: Working Papers. [Full Text][Citation analysis] | paper | 7 |
2013 | The Impact of Uncertainty Shocks under Measurement Error. A Proxy SVAR Approach In: Working Papers. [Full Text][Citation analysis] | paper | 12 |
2015 | UK Term Structure Decompositions at the Zero Lower Bound In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2015 | Large Vector Autoregressions with Asymmetric Priors In: Working Papers. [Full Text][Citation analysis] | paper | 22 |
2022 | Generalizing the Max Share Identification to multiple shocks identification: an Application to Uncertainty In: School of Economics Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2018 | Credit Conditions and the Asymmetric Effects of Monetary Policy Shocks In: EMF Research Papers. [Full Text][Citation analysis] | paper | 1 |
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