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07/25/2022
Forecasting euro area inflation using a huge panel of survey expectations
In this paper, we forecast euro area inflation and its main components u...
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10/07/2021
Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model
We develop a Bayesian non-parametric quantile panel regression model. Wi...
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03/08/2021
Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs
The Panel Vector Autoregressive (PVAR) model is a popular tool for macro...
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03/05/2021
Tail forecasts of inflation using time-varying parameter quantile regressions
This paper proposes methods for Bayesian inference in time-varying param...
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02/26/2021
General Bayesian time-varying parameter VARs for predicting government bond yields
Time-varying parameter (TVP) regressions commonly assume that time-varia...
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11/09/2020
Sparse time-varying parameter VECMs with an application to modeling electricity prices
In this paper we propose a time-varying parameter (TVP) vector error cor...
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08/28/2020
Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs
This paper develops Bayesian econometric methods for posterior and predi...
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07/30/2020
Measuring the Effectiveness of US Monetary Policy during the COVID-19 Recession
The COVID-19 recession that started in March 2020 led to an unprecedente...
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05/14/2020
Dynamic shrinkage in time-varying parameter stochastic volatility in mean models
Successful forecasting models strike a balance between parsimony and fle...
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04/10/2020
Forecasts with Bayesian vector autoregressions under real time conditions
This paper investigates the sensitivity of forecast performance measures...
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08/17/2019