20 citations · 35 across the 29 of their papers we have counts for
4 papers · 1 filter
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…
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…
Modeling tail risks of inflation using unobserved component quantile regressions
Michael Pfarrhofer
This paper proposes methods for Bayesian inference in time-varying parameter (TVP) quantile regression (QR) models featuring conditional heteroskedasticity. I use data augmentation…
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…