← All authors Andrea Carriero Queen Mary University of London (from arXiv:2605.15358, 2026) · ORCID · OpenAlex
41 papers in scope · 38 published · 3 on the econ.EM arXiv · 2,215 citations · h-index 21 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Shubhranshu Shekhar Davide Pettenuzzo Fengxiang He Gbenga Ibikunle Aijie Shu Wenbin Wu Alessio Brini Konstantin Boss Luigi Longo Dalibor Stevanović Philippe Goulet Coulombe Luca Onorante Florian Huber Stéphane Surprenant Maxime Leroux Josef Schreiner Joshua C. C. Chan Michael Pfarrhofer Gary Koop Luca Rossini Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (3 of 41)
working paper 2026 · arXiv
working paper 2026 · arXiv
Directed acyclic graph representation of the demand–Supply model
published 2025 · Economics Letters · 4 citations
Forecasting with shadow rate VARs
published 2025 · Quantitative Economics · 10 citations · first circulated 2021
Specification Choices in Quantile Regression for Empirical Macroeconomics
published 2024 · Journal of Applied Econometrics · 9 citations · first circulated 2022
working paper 2024 · arXiv · 11 citations
Blended identification in structural VARs
published 2024 · Journal of Monetary Economics · 12 citations · first circulated 2023
Max Share Identification of Multiple Shocks: An Application to Uncertainty and Financial Conditions
published 2024 · Journal of Business and Economic Statistics · 3 citations
with Alessio Volpicella
Capturing Macro‐Economic Tail Risks with Bayesian Vector Autoregressions
published 2023 · Journal of money credit and banking · 37 citations
Macro uncertainty in the long run
published 2023 · Economics Letters · 3 citations · first circulated 2022
Macroeconomic forecasting in a multi‐country context
published 2022 · Journal of Applied Econometrics · 8 citations
Addressing COVID-19 Outliers in BVARs with Stochastic Volatility
published 2022 · The Review of Economics and Statistics · 116 citations · first circulated 2021
Nowcasting tail risk to economic activity at a weekly frequency
published 2022 · Journal of Applied Econometrics · 38 citations
Measuring Uncertainty and Its Impact on the Economy
published 2022 · The Review of Economics and Statistics · 3 citations
The global component of inflation volatility
published 2022 · Journal of Applied Econometrics · 82 citations · first circulated 2018
Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty
published 2021 · Journal of Econometrics · 31 citations
No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates
published 2020 · Journal of Applied Econometrics · 9 citations
Assessing international commonality in macroeconomic uncertainty and its effects
published 2019 · Journal of Applied Econometrics · 36 citations · first circulated 2018
A comprehensive evaluation of macroeconomic forecasting methods
published 2019 · International Journal of Forecasting · 50 citations · first circulated 2016
Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors” [J. Econometrics 212 (1) (2019) 137–154
published 2019 · Journal of Econometrics · 210 citations
UK term structure decompositions at the zero lower bound
published 2018 · Journal of Applied Econometrics · 14 citations · first circulated 2015
with Sarah Mouabbi, Elisabetta Vangelista
Measuring Uncertainty and Its Impact on the Economy
published 2017 · The Review of Economics and Statistics · 246 citations · first circulated 2016
A Shrinkage Instrumental Variable Estimator for Large Datasets
published 2016 · L Actualité économique · 1 citations · first circulated 2008
Structural analysis with Multivariate Autoregressive Index models
published 2016 · Journal of Econometrics · 24 citations · first circulated 2015
The Impact of Uncertainty Shocks under Measurement Error: A Proxy SVAR Approach
published 2015 · Journal of money credit and banking · 127 citations · first circulated 2013
Common Drifting Volatility in Large Bayesian VARs
published 2015 · Journal of Business and Economic Statistics · 204 citations · first circulated 2012
Macroeconomic information, structural change, and the prediction of fiscal aggregates
published 2015 · International Journal of Forecasting · 8 citations
Realtime Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility
published 2015 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 104 citations
Forecasting with Bayesian multivariate vintage-based VARs
published 2014 · International Journal of Forecasting · 13 citations
with Michael P. Clements, Ana Beatriz Galvão
Have Standard VARS Remained Stable Since the Crisis?
published 2014 · Journal of Applied Econometrics · 51 citations
Bayesian VARs: Specification Choices and Forecast Accuracy
published 2013 · Journal of Applied Econometrics · 224 citations · first circulated 2011
Forecasting government bond yields with large Bayesian vector autoregressions
published 2012 · Journal of Banking & Finance · 91 citations
FORECASTING THE YIELD CURVE USING PRIORS FROM NO‐ARBITRAGE AFFINE TERM STRUCTURE MODELS*
published 2011 · International Economic Review · 13 citations · first circulated 2007
How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
published 2011 · Journal of Econometrics · 33 citations
Sectoral Survey-based Confidence Indicators for Europe*
published 2010 · Oxford Bulletin of Economics and Statistics · 15 citations · first circulated 2007
Forecasting large datasets with Bayesian reduced rank multivariate models
published 2010 · Journal of Applied Econometrics · 104 citations · first circulated 2007
Forecasting exchange rates with a large Bayesian VAR
published 2009 · International Journal of Forecasting · 172 citations · first circulated 2008
A simple test of the New Keynesian Phillips Curve
published 2008 · Economics Letters · 10 citations · first circulated 2007
A comparison of methods for the construction of composite coincident and leading indexes for the UK
published 2007 · International Journal of Forecasting · 25 citations
Explaining US–UK Interest Rate Differentials: A Reassessment of the Uncovered Interest Rate Parity in a Bayesian Framework*
published 2006 · Oxford Bulletin of Economics and Statistics · 10 citations
Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates
published 2005 · Journal of Econometrics · 54 citations · first circulated 2004
with Carlo A. Favero, Iryna Kaminska
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