1.8k citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- University of ViennaAT14 papers
- Sapienza University of RomeIT12 papers
- Complexity Science HubAT11 papers
- University of SalzburgAT9 papers
- Johannes Kepler University of LinzAT8 papers
- Humboldt-Universität zu BerlinDE7 papers
- The University of MelbourneAU7 papers
- TU WienAT7 papers
- ETH ZurichCH6 papers
- Queensland University of TechnologyAU5 papers
- University College DublinIE5 papers
- University of AmsterdamNL5 papers
9 papers · 1 filter
High-frequency and heteroskedasticity identification in multicountry models: Revisiting spillovers of monetary shocks
Michael Pfarrhofer, Anna Stelzer
We explore the international transmission of monetary policy and central bank information shocks originating from the United States and the euro area. Employing a panel vector auto…
Predicting credit default probabilities using machine learning techniques in the face of unequal class distributions
Anna Stelzer
This study conducts a benchmarking study, comparing 23 different statistical and machine learning methods in a credit scoring application. In order to do so, the models' performanc…
Shrinkage in the Time-Varying Parameter Model Framework Using the R Package shrinkTVP
Peter Knaus, Angela Bitto-Nemling, Annalisa Cadonna +1
Time-varying parameter (TVP) models are widely used in time series analysis to flexibly deal with processes which gradually change over time. However, the risk of overfitting in TV…
A Factor-Augmented Markov Switching (FAMS) Model
Gregor Zens, Maximilian Böck
This paper investigates the role of high-dimensional information sets in the context of Markov switching models with time varying transition probabilities. Markov switching models…
Model instability in predictive exchange rate regressions
Niko Hauzenberger, Florian Huber
In this paper we aim to improve existing empirical exchange rate models by accounting for uncertainty with respect to the underlying structural representation. Within a flexible Ba…
Bayesian shrinkage in mixture of experts models: Identifying robust determinants of class membership
Gregor Zens
A method for implicit variable selection in mixture of experts frameworks is proposed. We introduce a prior structure where information is taken from a set of independent covariate…
Flexible shrinkage in high-dimensional Bayesian spatial autoregressive models
Michael Pfarrhofer, Philipp Piribauer
This article introduces two absolutely continuous global-local shrinkage priors to enable stochastic variable selection in the context of high-dimensional matrix exponential spatia…
Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
Florian Huber, Gregor Kastner, Michael Pfarrhofer
We forecast S&P 500 excess returns using a flexible Bayesian econometric state space model with non-Gaussian features at several levels. More precisely, we control for overparamete…
The dynamic impact of monetary policy on regional housing prices in the US: Evidence based on factor-augmented vector autoregressions
Manfred M. Fischer, Florian Huber, Michael Pfarrhofer +1
In this study interest centers on regional differences in the response of housing prices to monetary policy shocks in the US. We address this issue by analyzing monthly home price…