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Andrea Carriero

Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research

Via Roentgen 1

Milan, 20136

Italy

  • Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research

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SCHOLARLY PAPERS

17

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38

Scholarly Papers (17)

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1.

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

Downloads 236 (117,235)
Citation 11

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 221 (124,718)
Citation 11

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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

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 (524,082)
Citation 11
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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 (166,353)

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

3.

Measuring Uncertainty and Its Impact on the Economy

Downloads 150 (178,585)

Measuring Uncertainty and Its Impact on the Economy

BAFFI CAREFIN Centre Research Paper No. 2016-39
Number of pages: 62 Posted: 19 Oct 2016
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 86 (270,507)

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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
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 64 (319,109)

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Bayesian VARs, Stochastic Volatility, Large Datasets

4.

Bayesian VARs: Specification Choices and Forecast Accuracy

Downloads 65 (312,613)
Citation 3

Bayesian VARs: Specification Choices and Forecast Accuracy

FRB of Cleveland Working Paper No. 1112
Number of pages: 52 Posted: 17 May 2011
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 62 (324,557)
Citation 3

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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
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 3 (595,408)
Citation 3
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Bayesian VARs, forecasting, marginal likelihood, prior specification

5.

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

Downloads 58 (331,089)

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
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 54 (347,890)

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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
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
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Bayesian methods, forecasting, mixed frequency models, Prediction

6.

Have Standard VARs Remained Stable Since the Crisis?

Downloads 46 (367,324)

Have Standard VARs Remained Stable Since the Crisis?

FRB of Cleveland Working Paper No. 14-11
Number of pages: 57 Posted: 12 Sep 2014
Knut Aastveit, Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Norges Bank, Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 32 (429,156)

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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
Knut Aastveit, Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Norges Bank, Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 14 (530,116)

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

7.

Common Drifting Volatility in Large Bayesian VARs

Downloads 22 (467,066)

Common Drifting Volatility in Large Bayesian VARs

FRB of Cleveland Working Paper No. 12-06
Number of pages: 70 Posted: 18 Mar 2012
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 21 (488,183)

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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
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
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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 (472,505)
Citation 3
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9.

Forecasting Exchange Rates with a Large Bayesian VAR

CEPR Discussion Paper No. DP7008
Number of pages: 33 Posted: 18 Dec 2008
Andrea Carriero, George Kapetanios and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, University of London - Queen Mary College - Department of Economics and European University Institute
Downloads 5 (557,324)
Citation 9
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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
Andrea Carriero, George Kapetanios and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, University of London - Queen Mary College - Department of Economics and European University Institute
Downloads 3 (568,375)
Citation 5
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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 (576,142)
Citation 1
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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 (576,142)
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13.

Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models

CEPR Discussion Paper No. DP7446
Number of pages: 36 Posted: 07 Oct 2009
Andrea Carriero, George Kapetanios and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, University of London - Queen Mary College - Department of Economics and European University Institute
Downloads 1 (586,547)
Citation 3
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Bayesian VARs, factor models, forecasting, reduced rank

14.

Assessing International Commonality in Macroeconomic Uncertainty and Its Effects

FRB of Cleveland Working Paper No. 18-03
Number of pages: 58 Posted: 26 Mar 2018
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 0 (499,279)

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Business cycle uncertainty, stochastic volatility, large datasets

15.

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
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 0 (423,208)

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16.

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 (360,934)

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

17.

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
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 0 (601,374)
Citation 1
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density forecasting, no arbitrage, stochastic volatility, Term structure