86 citations · 156 across the 36 of their papers we have counts for
4 papers · 1 filter
Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks
Florian Huber, Gary Koop
The shocks which hit macroeconomic models such as Vector Autoregressions (VARs) have the potential to be non-Gaussian, exhibiting asymmetries and fat tails. This consideration moti…
Coarsened Bayesian VARs -- Correcting BVARs for Incorrect Specification
Florian Huber, Massimiliano Marcellino, Tobias Scheckel
Model misspecification in multivariate econometric models can strongly influence estimates of quantities of interest such as structural parameters, forecast distributions or respon…
A tale of two tails: 130 years of growth-at-risk
Martin Gächter, Elias Hasler, Florian Huber
We extend the existing growth-at-risk (GaR) literature by examining a long time period of 130 years in a time-varying parameter regression model. We identify several important insi…
Nonlinearities in Macroeconomic Tail Risk through the Lens of Big Data Quantile Regressions
Jan Prüser, Florian Huber
Modeling and predicting extreme movements in GDP is notoriously difficult and the selection of appropriate covariates and/or possible forms of nonlinearities are key in obtaining p…