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econ.EM2024
Asymmetries in Financial Spillovers
Florian Huber, Karin Klieber, Massimiliano Marcellino +2
This paper analyzes nonlinearities in the international transmission of financial shocks originating in the US. To do so, we develop a flexible nonlinear multi-country model. Our f…
econ.EM2020
Combining Shrinkage and Sparsity in Conjugate Vector Autoregressive Models
Niko Hauzenberger, Florian Huber, Luca Onorante
Conjugate priors allow for fast inference in large dimensional vector autoregressive (VAR) models but, at the same time, introduce the restriction that each equation features the s…