86 citations · 156 across the 36 of their papers we have counts for
7 papers · 1 filter
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…
Stochastic model specification in Markov switching vector error correction models
Niko Hauzenberger, Florian Huber, Michael Pfarrhofer +1
This paper proposes a hierarchical modeling approach to perform stochastic model specification in Markov switching vector error correction models. We assume that a common distribut…
The transmission of uncertainty shocks on income inequality: State-level evidence from the United States
Manfred M. Fischer, Florian Huber, Michael Pfarrhofer
In this paper, we explore the relationship between state-level household income inequality and macroeconomic uncertainty in the United States. Using a novel large-scale macroeconom…
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…
A Bayesian panel VAR model to analyze the impact of climate change on high-income economies
Florian Huber, Tamás Krisztin, Michael Pfarrhofer
In this paper, we assess the impact of climate shocks on futures markets for agricultural commodities and a set of macroeconomic quantities for multiple high-income economies. To c…
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…
Predicting crypto-currencies using sparse non-Gaussian state space models
Christian Hotz-Behofsits, Florian Huber, Thomas O. Zörner
In this paper we forecast daily returns of crypto-currencies using a wide variety of different econometric models. To capture salient features commonly observed in financial time s…