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Andrea Carriero

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This is information that was supplied by Andrea Carriero in registering through RePEc. If you are Andrea Carriero , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Andrea
Middle Name:
Last Name: Carriero
Suffix:

RePEc Short-ID: pca105

Email:
Homepage: http://www.econ.qmul.ac.uk/people/andrea-carriero
Postal Address:
Phone:

Affiliation

School of Economics and Finance
Queen Mary
Location: London, United Kingdom
Homepage: http://www.econ.qmul.ac.uk/
Email:
Phone: +44 (0) 20 7882 5096
Fax: +44 (0) 20 8983 3580
Postal: London E1 4NS
Handle: RePEc:edi:deqmwuk (more details at EDIRC)

Works

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Working papers

  1. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2012. "Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility," Working Paper 1227, Federal Reserve Bank of Cleveland.
  2. Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2012. "Common Drifting Volatility in Large Bayesian VARs," CEPR Discussion Papers 8894, C.E.P.R. Discussion Papers.
  3. Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2011. "Bayesian VARs: Specification Choices and Forecast Accuracy," CEPR Discussion Papers 8273, C.E.P.R. Discussion Papers.
  4. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2010. "Forecasting Government Bond Yields with Large Bayesian VARs," Working Papers 662, Queen Mary, University of London, School of Economics and Finance.
  5. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2009. "Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models," Economics Working Papers ECO2009/31, European University Institute.
  6. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2008. "Forecasting Exchange Rates with a Large Bayesian VAR," Working Papers 634, Queen Mary, University of London, School of Economics and Finance.
  7. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2008. "Forecasting with Dynamic Models using Shrinkage-based Estimation," Working Papers 635, Queen Mary, University of London, School of Economics and Finance.
  8. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2008. "A Shrinkage Instrumental Variable Estimator for Large Datasets," Working Papers 626, Queen Mary, University of London, School of Economics and Finance.
  9. Andrea Carriero, 2007. "A Bayesian Framework for the Expectations Hypothesis. How to Extract Additional Information from the Term Structure of Interest Rates," Working Papers 591, Queen Mary, University of London, School of Economics and Finance.
  10. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2007. "Forecasting Large Datasets with Reduced Rank Multivariate Models," Working Papers 617, Queen Mary, University of London, School of Economics and Finance.
  11. Andrea Carriero, 2007. "Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models," Working Papers 612, Queen Mary, University of London, School of Economics and Finance.
  12. Andrea Carriero & Massimiliano Marcellino, 2007. "Monitoring the Economy of the Euro Area: A Comparison of Composite Coincident Indexes," Working Papers 319, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  13. Andrea Carriero & Massimiliano Marcellino, 2007. "A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK," Working Papers 590, Queen Mary, University of London, School of Economics and Finance.
  14. Andrea Carriero, 2007. "A Simple Test of the New Keynesian Phillips Curve," Working Papers 592, Queen Mary, University of London, School of Economics and Finance.
  15. Andrea Carriero & Massimiliano Marcellino, 2007. "Sectoral Survey-based Confidence Indicators for Europe," Working Papers 320, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  16. Carriero, Andrea & Favero, Carlo A & Kaminska, Iryna, 2004. "Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates," CEPR Discussion Papers 4301, C.E.P.R. Discussion Papers.

Articles

  1. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2012. "Forecasting government bond yields with large Bayesian vector autoregressions," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2026-2047.
  2. Andrea Carriero, 2011. "Forecasting The Yield Curve Using Priors From No‐Arbitrage Affine Term Structure Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(2), pages 425-459, 05.
  3. Carriero, Andrea & Giacomini, Raffaella, 2011. "How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?," Journal of Econometrics, Elsevier, vol. 164(1), pages 21-34, September.
  4. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2011. "Forecasting large datasets with Bayesian reduced rank multivariate models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(5), pages 735-761, 08.
  5. Andrea Carriero & Massimiliano Marcellino, 2011. "Sectoral Survey‐based Confidence Indicators for Europe," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(2), pages 175-206, 04.
  6. Carriero, A. & Kapetanios, G. & Marcellino, M., 2009. "Forecasting exchange rates with a large Bayesian VAR," International Journal of Forecasting, Elsevier, vol. 25(2), pages 400-417.
  7. Carriero, Andrea, 2008. "A simple test of the New Keynesian Phillips Curve," Economics Letters, Elsevier, vol. 100(2), pages 241-244, August.
  8. Carriero, Andrea & Marcellino, Massimiliano, 2007. "A comparison of methods for the construction of composite coincident and leading indexes for the UK," International Journal of Forecasting, Elsevier, vol. 23(2), pages 219-236.
  9. Andrea Carriero, 2006. "Explaining US-UK Interest Rate Differentials: A Reassessment of the Uncovered Interest Rate Parity in a Bayesian Framework," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 879-899, December.
  10. Carriero, Andrea & Favero, Carlo A. & Kaminska, Iryna, 2006. "Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 339-358.

NEP Fields

25 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (10) 2007-03-10 2007-03-10 2007-03-17 2007-11-03 2008-10-28 2009-01-17 2009-02-28 2009-11-27 2010-04-24 2010-06-11. Author is listed
  2. NEP-ECM: Econometrics (12) 2007-03-10 2007-10-20 2007-11-03 2008-04-04 2008-10-28 2008-11-04 2009-09-26 2009-11-27 2010-06-11 2011-05-30 2012-03-28 2012-12-15. Author is listed
  3. NEP-EEC: European Economics (3) 2007-03-10 2007-03-17 2007-03-17
  4. NEP-ETS: Econometric Time Series (8) 2007-03-10 2007-03-10 2009-09-26 2010-06-11 2011-05-30 2012-03-28 2012-04-10 2012-12-15. Author is listed
  5. NEP-FIN: Finance (1) 2004-01-25
  6. NEP-FMK: Financial Markets (1) 2010-04-24
  7. NEP-FOR: Forecasting (18) 2007-03-10 2007-03-10 2007-10-20 2007-11-03 2008-10-28 2008-11-04 2009-01-17 2009-02-28 2009-09-26 2009-11-27 2010-04-24 2010-06-11 2011-05-30 2012-03-28 2012-04-10 2012-04-10 2012-12-15 2013-04-13. Author is listed
  8. NEP-IFN: International Finance (2) 2008-10-28 2009-01-17
  9. NEP-MAC: Macroeconomics (6) 2004-01-25 2004-06-13 2007-03-10 2007-03-10 2007-03-10 2007-10-20. Author is listed
  10. NEP-MON: Monetary Economics (3) 2004-01-25 2007-03-10 2007-10-20
  11. NEP-ORE: Operations Research (1) 2012-03-28

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