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The global component of inflation volatility

Carriero, Andrea; Corsello, Francesco; Marcellino, … - 2018

Persistent link: https://www.econbiz.de/10011960151

The global component of inflation volatility

Carriero, Andrea; Corsello, Francesco; Marcellino, … - In: Journal of applied econometrics 37 (2022) 4, pp. 700-721

Persistent link: https://www.econbiz.de/10013332682

Common drifting volatility in lalrge Bayesian VARs

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2012

Persistent link: https://www.econbiz.de/10009526729

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

Common drifting volatility in large Bayesian VARs

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2012

Persistent link: https://www.econbiz.de/10009764709

No arbitrage priors, drifting volatilites, and the term structure of interest rates

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2014

Persistent link: https://www.econbiz.de/10010363319

Large vector autoregressions with stochastic volatility and flexible priors

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

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

Measuring uncertainty and its impact on the economy

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

Persistent link: https://www.econbiz.de/10011549654

Common drifting volatility in large bayesian VARs

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2012

Persistent link: https://www.econbiz.de/10009515236

Common Drifting Volatility in Large Bayesian VARs

Carriero, Andrea - 2014

The estimation of large vector autoregressions with stochastic volatility using standard methods is computationally … on a common stochastic volatility factor, we derive the posterior densities for the parameters of the resulting BVAR with … common stochastic volatility (BVAR-CSV). Under the chosen prior, the conditional posterior of the VAR coefficients features a …

Persistent link: https://www.econbiz.de/10013066409