Andrea Carriero

Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research

Via Roentgen 1

Milan, 20136

Italy

SCHOLARLY PAPERS

19

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1,521

SSRN CITATIONS
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Top 2,656

in Total Papers Citations

240

CROSSREF CITATIONS

255

Scholarly Papers (19)

1.

Nowcasting Tail Risks to Economic Activity with Many Indicators

FRB of Cleveland Working Paper No. 20-13R2
Number of pages: 63 Posted: 14 May 2020 Last Revised: 22 Sep 2020
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 255 (168,566)
Citation 2

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forecasting, downside risk, pandemics, big data, mixed frequency, quantile regression

Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates

IGIER Working Paper No. 253
Number of pages: 28 Posted: 20 Jan 2004
Carlo A. Favero, Andrea Carriero and Iryna Kaminska
Bocconi University - Department of Finance, Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 232 (183,429)
Citation 1

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Expectations Theory, Macroeconomic information in Finance

Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates

Number of pages: 31 Posted: 19 Apr 2004
Carlo A. Favero, Andrea Carriero and Iryna Kaminska
Bocconi University - Department of Finance, Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 15 (768,436)
Citation 13
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Expectations theory, macroeconomic information in finance

3.
Downloads 219 (194,328)
Citation 55

Measuring Uncertainty and Its Impact on the Economy

BAFFI CAREFIN Centre Research Paper No. 2016-39
Number of pages: 62 Posted: 19 Oct 2016
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 130 (302,728)
Citation 3

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Bayesian VARs, stochastic volatility, large datasets

Measuring Uncertainty and Its Impact on the Economy

FRB of Cleveland Working Paper No. 16-22
Number of pages: 63 Posted: 19 Oct 2016
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 89 (392,942)
Citation 31

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Bayesian VARs, Stochastic Volatility, Large Datasets

4.

No-Arbitrage Restrictions and Yield Curve Forecasting

Number of pages: 17 Posted: 25 Jan 2008
Iryna Kaminska and Andrea Carriero
University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research
Downloads 169 (244,420)

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Bayesian methods, Interest rate forecasting, Essentially Affine Term Structure Models, Vector Autoregression Models

Bayesian VARs: Specification Choices and Forecast Accuracy

FRB of Cleveland Working Paper No. 1112
Number of pages: 52 Posted: 17 May 2011
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 144 (279,589)
Citation 4

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Bayesian VARs, forecasting, prior specification, lag length, marginal likelihood

Bayesian VARs: Specification Choices and Forecast Accuracy

CEPR Discussion Paper No. DP8273
Number of pages: 52 Posted: 14 Mar 2011
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 3 (897,433)
Citation 14
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Bayesian VARs, forecasting, marginal likelihood, prior specification

6.

Large Vector Autoregressions with Stochastic Volatility and Flexible Priors

FRB of Cleveland Working Paper No. 16-17
Number of pages: 55 Posted: 18 Sep 2016
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 104 (352,843)
Citation 5

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7.

Assessing International Commonality in Macroeconomic Uncertainty and Its Effects

FRB of Cleveland Working Paper No. 18-03R
Number of pages: 40 Posted: 26 Mar 2018 Last Revised: 10 Oct 2019
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 72 (439,915)
Citation 4

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Business cycle uncertainty, stochastic volatility, large datasets

Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility

FRB of Cleveland Working Paper No. 12-27
Number of pages: 58 Posted: 15 Nov 2012
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 68 (459,293)
Citation 4

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Prediction, forecasting, Bayesian methods, mixed frequency models

Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility

CEPR Discussion Paper No. DP9312
Number of pages: 59 Posted: 01 Feb 2013
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 4 (884,565)
Citation 7
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Bayesian methods, forecasting, mixed frequency models, Prediction

9.

UK Term Structure Decompositions at the Zero Lower Bound

Number of pages: 38 Posted: 15 Apr 2016 Last Revised: 24 Mar 2017
Andrea Carriero, Sarah Mouabbi and Elisabetta Vangelista
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, European Central Bank and Government of the United Kingdom - UK Debt Management Office (DMO)
Downloads 61 (478,879)
Citation 15

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Term structure, zero-lower bound, risk premiums, inflation expectations

10.
Downloads 61 (478,879)
Citation 18

Have Standard VARs Remained Stable Since the Crisis?

FRB of Cleveland Working Paper No. 14-11
Number of pages: 57 Posted: 12 Sep 2014
Norges Bank, Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 36 (607,090)
Citation 1

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Bayesian VAR, Forecasting, Time-varying parameters, Stochastic volatility

Have Standard VARs Remained Stable Since the Crisis?

Norges Bank Working Paper 13 | 2014
Number of pages: 57 Posted: 04 May 2015
Norges Bank, Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 25 (682,295)
Citation 1

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Bayesian VAR, Forecasting, Time-varying parameters, Stochastic volatility

11.

Forecasting with Shadow-Rate VARs

FRB of Cleveland Working Paper No. 21-09
Number of pages: 56 Posted: 01 Apr 2021
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland, Bocconi University and Deutsche Bundesbank
Downloads 50 (523,898)

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macroeconomic forecasting, effective lower bound, term structure, censored observations

12.
Downloads 28 (641,925)
Citation 36

Common Drifting Volatility in Large Bayesian VARs

FRB of Cleveland Working Paper No. 12-06
Number of pages: 70 Posted: 18 Mar 2012
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 27 (666,911)

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Bayesian VARs, stochastic volatility, forecasting, prior specification

Common Drifting Volatility in Large Bayesian Vars

CEPR Discussion Paper No. DP8894
Number of pages: 71 Posted: 04 Apr 2012
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 1 (928,575)
Citation 17
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Bayesian VARs, forecasting, prior specification, stochastic volatility

13.

Explaining Us-Uk Interest Rate Differentials: A Reassessment of the Uncovered Interest Rate Parity in a Bayesian Framework

Oxford Bulletin of Economics and Statistics, Vol. 68, No. S1, pp. 879-899, December 2006
Number of pages: 21 Posted: 24 Nov 2006
Andrea Carriero
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research
Downloads 21 (693,074)

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14.

Forecasting Exchange Rates with a Large Bayesian VAR

CEPR Discussion Paper No. DP7008
Number of pages: 33 Posted: 18 Dec 2008
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, King's College, London and Bocconi University - Department of Economics
Downloads 5 (838,885)
Citation 10
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Bayesian VAR, Exchange Rates, Forecasting

15.

Forecasting the Yield Curve Using Priors from No-Arbitrage Affine Term Structure Models

International Economic Review, Vol. 52, Issue 2, pp. 425-459, 2011
Number of pages: 35 Posted: 27 Apr 2011
Andrea Carriero
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research
Downloads 3 (861,533)
Citation 3

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16.

Sectoral Survey-Based Confidence Indicators for Europe

Oxford Bulletin of Economics and Statistics, Vol. 73, No. 2, pp. 175-206, 2011
Number of pages: 32 Posted: 01 Mar 2011
Andrea Carriero and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research and Bocconi University - Department of Economics
Downloads 3 (861,533)

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17.

Forecasting Government Bond Yields with Large Bayesian Vars

CEPR Discussion Paper No. DP7796
Number of pages: 54 Posted: 19 May 2010
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, King's College, London and Bocconi University - Department of Economics
Downloads 3 (861,533)
Citation 5
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Bayesian methods, Forecasting, Term Structure

18.

Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models

CEPR Discussion Paper No. DP7446
Number of pages: 36 Posted: 07 Oct 2009
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, King's College, London and Bocconi University - Department of Economics
Downloads 1 (888,791)
Citation 4
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Bayesian VARs, factor models, forecasting, reduced rank

19.

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

CEPR Discussion Paper No. DP9848
Number of pages: 58 Posted: 02 Jun 2014
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 0 (905,643)
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density forecasting, no arbitrage, stochastic volatility, Term structure