Browsing ECO Articles by Author "CARRIERO, Andrea"

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Browsing ECO Articles by Author "CARRIERO, Andrea"

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    Title: Sectoral Survey-based Confidence Indicators for Europe  Author(s): CARRIERO, Andrea; MARCELLINO, Massimiliano Date: 2011 Type of Publication: Article Abstract: We analyse a novel dataset of Business and Consumer Surveys, using dynamic factor techniques, to produce composite coincident indices (CCIs) at the sectoral level for the European countries and for Europe. Surveys are ...
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    Title: Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models  Author(s): CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano Date: 2011 Type of Publication: Article Abstract: The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and compare their predictive performance for US ...
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    Title: Forecasting Exchange Rates with a Large Bayesian VAR  Author(s): CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano Date: 2009 Type of Publication: Article Abstract: Models based on economic theory have serious problems forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the ...