Published:
Here is a [draft] of our chapter “Bayesian nonparametric methods for macroeconomic forecasting” (joint work with Massimiliano Marcellino) prepared for the Handbook of Macroeconomic Forecasting which is edited by Mike Clements and Ana Galvao.
Published:
“General Bayesian time-varying parameter vector autoregressions for modeling government bond yields” [DOI], with Manfred M. Fischer, Niko Hauzenberger and Florian Huber, on flexibly modeling structural breaks in the dynamic evolution of government bond yields is now out in print in the January/February 2023 issue of Journal of Applied Econometrics.
Published:
“Nowcasting in a pandemic using non-parametric mixed frequency VARs” [DOI], with Florian Huber, Gary Koop, Luca Onorante and Josef Schreiner, on mixed-frequency econometrics for multivariate regression trees is now out in print in the January 2023 issue of Journal of Econometrics.
Published:
“Tail Forecasting with Multivariate Bayesian Additive Regression Trees” [DOI], with Todd Clark, Florian Huber, Gary Koop and Massimiliano Marcellino, on multivariate nonparametric methods for capturing macroeconomic tail risks is now forthcoming in the International Economic Review.
Published:
“A Bayesian panel VAR to analyze the impact of climate shocks on high-income economies” [DOI], with Tamás Krisztin and Florian Huber, on analyzing climate shocks in a multi-economy framework is published in the The Annals of Applied Statistics.
Published:
Here is a [draft] of our chapter “Bayesian nonparametric methods for macroeconomic forecasting” (joint work with Massimiliano Marcellino) prepared for the Handbook of Macroeconomic Forecasting which is edited by Mike Clements and Ana Galvao.
Published:
“General Bayesian time-varying parameter vector autoregressions for modeling government bond yields” [DOI], with Manfred M. Fischer, Niko Hauzenberger and Florian Huber, on flexibly modeling structural breaks in the dynamic evolution of government bond yields is now out in print in the January/February 2023 issue of Journal of Applied Econometrics.
Published:
“Nowcasting in a pandemic using non-parametric mixed frequency VARs” [DOI], with Florian Huber, Gary Koop, Luca Onorante and Josef Schreiner, on mixed-frequency econometrics for multivariate regression trees is now out in print in the January 2023 issue of Journal of Econometrics.
Published:
“Tail Forecasting with Multivariate Bayesian Additive Regression Trees” [DOI], with Todd Clark, Florian Huber, Gary Koop and Massimiliano Marcellino, on multivariate nonparametric methods for capturing macroeconomic tail risks is now forthcoming in the International Economic Review.
Published:
“A Bayesian panel VAR to analyze the impact of climate shocks on high-income economies” [DOI], with Tamás Krisztin and Florian Huber, on analyzing climate shocks in a multi-economy framework is published in the The Annals of Applied Statistics.