86 citations · 156 across the 36 of their papers we have counts for
5 papers · 1 filter
Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty
Niko Hauzenberger, Florian Huber, Massimiliano Marcellino +1
We develop a non-parametric multivariate time series model that remains agnostic on the precise relationship between a (possibly) large set of macroeconomic time series and their l…
Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model
Todd E. Clark, Florian Huber, Gary Koop +2
We develop a Bayesian non-parametric quantile panel regression model. Within each quantile, the response function is a convex combination of a linear model and a non-linear functio…
Subspace Shrinkage in Conjugate Bayesian Vector Autoregressions
Florian Huber, Gary Koop
Macroeconomists using large datasets often face the choice of working with either a large Vector Autoregression (VAR) or a factor model. In this paper, we develop methods for combi…
Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs
Martin Feldkircher, Florian Huber, Gary Koop +1
Panel Vector Autoregressions (PVARs) are a popular tool for analyzing multi-country datasets. However, the number of estimated parameters can be enormous, leading to computational…
General Bayesian time-varying parameter VARs for predicting government bond yields
Manfred M. Fischer, Niko Hauzenberger, Florian Huber +1
Time-varying parameter (TVP) regressions commonly assume that time-variation in the coefficients is determined by a simple stochastic process such as a random walk. While such mode…