Andrea Carriero

Queen Mary, University of London

Mile End Road

London, London E1 4NS

United Kingdom

SCHOLARLY PAPERS

11

DOWNLOADS

413

SSRN CITATIONS
Rank 14,061

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Top 14,061

in Total Papers Citations

54

CROSSREF CITATIONS

30

Scholarly Papers (11)

1.

Endogenous Uncertainty

FRB of Cleveland Working Paper No. 18-05
Number of pages: 57 Posted: 30 Mar 2018
Queen Mary, University of London, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 117 (289,318)
Citation 2

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Uncertainty, Endogeneity, Identification, Stochastic Volatility, Bayesian Methods

2.

Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions

FRB of Cleveland Working Paper No. 20-02R
Number of pages: 79 Posted: 17 Jan 2020 Last Revised: 22 Sep 2020
Queen Mary, University of London, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 88 (349,392)
Citation 1

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forecasting, downside risk, asymmetries

Have Standard VARs Remained Stable Since the Crisis?

CEPR Discussion Paper No. DP11558
Number of pages: 70 Posted: 10 Oct 2016
Norges Bank, Queen Mary, University of London, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
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Citation 7
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Addressing COVID-19 Outliers in BVARs with Stochastic Volatility

FRB of Cleveland Working Paper No. 21-02
Number of pages: 129 Posted: 03 Feb 2021
Federal Reserve Bank of Cleveland, Queen Mary, University of London, Bocconi University - Department of Economics and Deutsche Bundesbank
Downloads 54 (460,706)

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Bayesian VARs, stochastic volatility, outliers, pandemics, forecasts

Addressing COVID-19 Outliers in BVARs with Stochastic Volatility

CEPR Discussion Paper No. DP15964
Number of pages: 130 Posted: 31 Mar 2021
Queen Mary, University of London, Federal Reserve Bank of Cleveland, Bocconi University - Department of Economics and Deutsche Bundesbank
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5.
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Citation 22

The Global Component of Inflation Volatility

Bank of Italy Temi di Discussione (Working Paper) No. 1170
Number of pages: 72 Posted: 14 May 2018
Queen Mary, University of London, Bank of Italy and Bocconi University - Department of Economics
Downloads 45 (499,091)
Citation 23

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inflation, volatility, global factors, large datasets, multivariate autoregressive index models, reduced rank regressions, forecasting

The Global Component of Inflation Volatility

CEPR Discussion Paper No. DP13470
Number of pages: 71 Posted: 28 Jan 2019
Queen Mary, University of London, Bank of Italy and Bocconi University - Department of Economics
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Forecasting, Global factors, inflation, large datasets, Multivariate Autoregressive Index models, Reduced Rank Regressions, volatility

Measuring Uncertainty and Its Effects in the COVID-19 Era

FRB of Cleveland Working Paper No. 20-32
Number of pages: 35 Posted: 26 Oct 2020
Queen Mary, University of London, Federal Reserve Bank of Cleveland, Bocconi University - Department of Economics and Deutsche Bundesbank
Downloads 43 (508,559)

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Bayesian VARs, stochastic volatility, pandemics

Measuring Uncertainty and its Effects in the COVID-19 Era

CEPR Discussion Paper No. DP15965
Number of pages: 40 Posted: 31 Mar 2021
Queen Mary, University of London, Federal Reserve Bank of Cleveland, Bocconi University - Department of Economics and Deutsche Bundesbank
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7.

The Economic Drivers of Volatility and Uncertainty

Bank of Italy Temi di Discussione (Working Paper) No. 1285
Number of pages: 73 Posted: 25 Aug 2020
Queen Mary, University of London, Bank of Italy and Bocconi University - Department of Economics
Downloads 42 (503,049)
Citation 13

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multivariate autoregressive index models, stochastic volatility, reduced rank regressions, Bayesian VARs, factor models, structural analysis

8.

No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates

FRB of Cleveland Working Paper No. 20-27
Number of pages: 40 Posted: 22 Sep 2020
Queen Mary, University of London, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 24 (601,076)

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term structure, volatility, density forecasting, no arbitrage

9.

Using Time-Varying Volatility for Identification in Vector Autoregressions: An Application to Endogenous Uncertainty

CEPR Discussion Paper No. DP16346
Number of pages: 76 Posted: 14 Jul 2021
Queen Mary, University of London, Federal Reserve Banks - Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
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10.

Assessing International Commonality in Macroeconomic Uncertainty and its Effects

CEPR Discussion Paper No. DP13970
Number of pages: 67 Posted: 07 Oct 2019
Queen Mary, University of London, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
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Citation 1
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Business cycle uncertainty, large datasets, stochastic volatility

11.

Structural Analysis with Multivariate Autoregressive Index Models

CEPR Discussion Paper No. DP10801
Number of pages: 53 Posted: 08 Sep 2015
Queen Mary, University of London, King's College, London and Bocconi University - Department of Economics
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Bayesian VARs, factor models, forecasting, large datasets, Multivariate Autoregressive Index models, Reduced Rank Regressions, structural analysis