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Forecasting exchange rates with a large Bayesian VAR

Carriero, Andrea; Kapetanios, George; Marcellino, … - In: International journal of forecasting 25 (2009) 2, pp. 400-417

Persistent link: https://www.econbiz.de/10003870070

Forecasting exchange rates with a large Bayesian VAR

Carriero, Andrea (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003787656

Forecasting exchange rates with a large Bayesian VAR

Carriero, Andrea; Kapetanios, George; Marcellino, … - 2008

Persistent link: https://www.econbiz.de/10003774002

Forecasting exchange rates with a large Bayesian VAR

Carriero, Andrea (contributor); … - 2008

this paper, we propose to forecast exchange rates with a large Bayesian VAR (BVAR), using a panel of 33 exchange rates vis … produces systematically better forecasts than a random walk for most of the countries, and at any forecast horizon, including …

Persistent link: https://www.econbiz.de/10003765975

Large vector autoregressions with stochastic volatility and flexible priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2016

Persistent link: https://www.econbiz.de/10011549652

Macroeconomic information, structural change, and the prediction of fiscal aggregates

Carriero, Andrea; Mumtaz, Haroon; Theophilopoulou, Angeliki - In: International journal of forecasting 31 (2015) 2, pp. 325-348

Persistent link: https://www.econbiz.de/10011474102

Forecasting with Bayesian multivariate vintage-based VARs

Carriero, Andrea; Clements, Michael P.; Galvão, Ana … - In: International journal of forecasting 31 (2015) 3, pp. 757-768

Persistent link: https://www.econbiz.de/10011474551

The global component of inflation volatility

Marcellino, Massimiliano; Carriero, Andrea; Corsello, … - 2019

Persistent link: https://www.econbiz.de/10012051863

Large vector autoregressions with asymmetric priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015

We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...

Persistent link: https://www.econbiz.de/10011389735

Capturing macroeconomic tail risks with Bayesian vector autoregressions

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2020

Persistent link: https://www.econbiz.de/10012153666