Andrea Carriero

Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research

Via Roentgen 1

Milan, 20136

Italy

SCHOLARLY PAPERS

16

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CITATIONS
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38

Scholarly Papers (16)

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 220 (113,245)
Citation 11

Abstract:

Expectations Theory, Macroeconomic information in Finance

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

CEPR Discussion Paper No. 4301
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 (484,964)
Citation 11

Abstract:

Expectations theory, macroeconomic information in finance

2.

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 158 (152,566)

Abstract:

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

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 European University Institute
Downloads 68 (281,988)

Abstract:

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 European University Institute
Downloads 35 (381,528)

Abstract:

Bayesian VARs, 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 European University Institute
Downloads 53 (320,738)

Abstract:

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 European University Institute
Downloads 4 (544,671)

Abstract:

Bayesian methods, forecasting, mixed frequency models, Prediction

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 European University Institute
Downloads 49 (333,010)
Citation 3

Abstract:

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 European University Institute
Downloads 3 (550,074)
Citation 3

Abstract:

Bayesian VARs, forecasting, marginal likelihood, prior specification

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 European University Institute
Downloads 31 (398,341)

Abstract:

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 European University Institute
Downloads 13 (496,497)

Abstract:

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

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 European University Institute
Downloads 20 (456,155)

Abstract:

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 European University Institute
Downloads 1 (568,003)

Abstract:

Bayesian VARs, forecasting, prior specification, stochastic volatility

8.

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 (435,837)
Citation 3

Abstract:

9.

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, University of London - Queen Mary College - Department of Economics and European University Institute
Downloads 5 (515,679)
Citation 9

Abstract:

Bayesian VAR, Exchange Rates, Forecasting

10.

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, University of London - Queen Mary College - Department of Economics and European University Institute
Downloads 3 (524,553)
Citation 5

Abstract:

Bayesian methods, Forecasting, Term Structure

11.

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 2 (530,936)
Citation 1

Abstract:

12.

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 European University Institute
Downloads 2 (530,936)
Citation 2

Abstract:

13.

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, University of London - Queen Mary College - Department of Economics and European University Institute
Downloads 1 (539,855)
Citation 3

Abstract:

Bayesian VARs, factor models, forecasting, reduced rank

14.

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 European University Institute
Downloads 0 (451,453)

Abstract:

15.

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, Banque de France and Government of the United Kingdom - UK Debt Management Office (DMO)
Downloads 0 (410,792)

Abstract:

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

16.

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 European University Institute
Downloads 0 (553,143)
Citation 1

Abstract:

density forecasting, no arbitrage, stochastic volatility, Term structure