Andrea Carriero

Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research

Via Roentgen 1

Milan, 20136

Italy

SCHOLARLY PAPERS

19

DOWNLOADS
Rank 43,452

SSRN RANKINGS

Top 43,452

in Total Papers Downloads

1,405

SSRN CITATIONS
Rank 2,684

SSRN RANKINGS

Top 2,684

in Total Papers Citations

241

CROSSREF CITATIONS

254

Scholarly Papers (19)

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 (170,948)
Citation 1

Abstract:

Loading...

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 (721,066)
Citation 13
  • Add to Cart

Abstract:

Loading...

Expectations theory, macroeconomic information in finance

2.
Downloads 212 (186,645)
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 124 (293,662)
Citation 3

Abstract:

Loading...

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 88 (371,131)
Citation 31

Abstract:

Loading...

Bayesian VARs, Stochastic Volatility, Large Datasets

3.

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 184 (212,309)
Citation 2

Abstract:

Loading...

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

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 167 (230,703)

Abstract:

Loading...

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 134 (276,929)
Citation 4

Abstract:

Loading...

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

Bayesian VARs: Specification Choices and Forecast Accuracy

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 (825,556)
Citation 14
  • Add to Cart

Abstract:

Loading...

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 99 (341,506)
Citation 5

Abstract:

Loading...

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 (413,256)
Citation 4

Abstract:

Loading...

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 67 (434,972)
Citation 4

Abstract:

Loading...

Prediction, forecasting, Bayesian methods, mixed frequency models

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

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 (816,433)
Citation 7
  • Add to Cart

Abstract:

Loading...

Bayesian methods, forecasting, mixed frequency models, Prediction

9.
Downloads 61 (450,252)
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 (571,955)
Citation 1

Abstract:

Loading...

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 (642,479)
Citation 1

Abstract:

Loading...

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

10.

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 60 (453,839)
Citation 15

Abstract:

Loading...

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

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 34 (569,613)

Abstract:

Loading...

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

12.
Downloads 27 (610,677)
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 26 (635,155)

Abstract:

Loading...

Bayesian VARs, stochastic volatility, forecasting, prior specification

Common Drifting Volatility in Large Bayesian Vars

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 (850,182)
Citation 17
  • Add to Cart

Abstract:

Loading...

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 (651,813)
  • Add to Cart

Abstract:

Loading...

14.

Forecasting Exchange Rates with a Large Bayesian VAR

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 (775,534)
Citation 10
  • Add to Cart

Abstract:

Loading...

Bayesian VAR, Exchange Rates, Forecasting

15.

Forecasting Government Bond Yields with Large Bayesian Vars

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 (791,640)
Citation 5
  • Add to Cart

Abstract:

Loading...

Bayesian methods, Forecasting, Term Structure

16.

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 (801,299)
Citation 3
  • Add to Cart

Abstract:

Loading...

17.

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 2 (801,299)
  • Add to Cart

Abstract:

Loading...

18.

Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models

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 (813,174)
Citation 4
  • Add to Cart

Abstract:

Loading...

Bayesian VARs, factor models, forecasting, reduced rank

19.

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

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 (830,837)
  • Add to Cart

Abstract:

Loading...

density forecasting, no arbitrage, stochastic volatility, Term structure