activity
20142026
most citedHigh-dimensional macroeconomic forecasting using message passing algorithms

28 citations · 43 across the 10 of their papers we have counts for

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Showing 2023Show all

2 papers · 1 filter

econ.EM2023★ 1 cited

Monitoring multicountry macroeconomic risk

Dimitris Korobilis, Maximilian Schröder

We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions o…

econ.EM2023

Agreed and Disagreed Uncertainty

Luca Gambetti, Dimitris Korobilis, John Tsoukalas +1

When agents' information is imperfect and dispersed, existing measures of macroeconomic uncertainty based on the forecast error variance have two distinct drivers: the variance of…