17 citations · 25 across the 10 of their papers we have counts for
10 papers
Macroprudential Policy and Downside Risk: Regime-Dependent Effects of Capital Regulation
Vivien Czofa, Tibor Szendrei, Katalin Varga
This paper employs a Threshold Bayesian Vector Autoregression (TBVAR) to estimate the regime-dependent macroeconomic effects of capital regulation in Hungary. Using the Factor-base…
A Roof Over Risk: A House Price-at-Risk Framework for Hungary
Tibor Szendrei, Nikolett Vágó, Katalin Varga
This paper develops a House Price-at-Risk framework to examine how housing subsidies, credit conditions, and supply factors influence the distribution of house price growth in Hung…
Joint Quantile Shrinkage: A State-Space Approach toward Non-Crossing Bayesian Quantile Models
David Kohns, Tibor Szendrei
Crossing of fitted conditional quantiles is a prevalent problem for quantile regression models. We propose a new Bayesian modelling framework that penalises multiple quantile regre…
Crossing penalised CAViaR
Tibor Szendrei
Dynamic quantiles, or Conditional Autoregressive Value at Risk (CAViaR) models, have been extensively studied at the individual level. However, efforts to estimate multiple dynamic…
Momentum Informed Inflation-at-Risk
Tibor Szendrei, Arnab Bhattacharjee
Growth-at-Risk has recently become a key measure of macroeconomic tail-risk, which has seen it be researched extensively. Surprisingly, the same cannot be said for Inflation-at-Ris…
MIDAS-QR with 2-Dimensional Structure
Tibor Szendrei, Arnab Bhattacharjee, Mark E. Schaffer
Mixed frequency data has been shown to improve the performance of growth-at-risk models in the literature. Most of the research has focused on imposing structure on the high-freque…
Non-stationary Financial Risk Factors and Macroeconomic Vulnerability for the UK
Katalin Varga, Tibor Szendrei
Tracking the build-up of financial vulnerabilities is a key component of financial stability policy. Due to the complexity of the financial system, this task is daunting, and there…
Fused LASSO as Non-Crossing Quantile Regression
Tibor Szendrei, Arnab Bhattacharjee, Mark E. Schaffer
Growth-at-Risk is vital for empirical macroeconomics but is often suspect to quantile crossing due to data limitations. While existing literature addresses this through post-proces…
Decoupling Shrinkage and Selection for the Bayesian Quantile Regression
David Kohns, Tibor Szendrei
This paper extends the idea of decoupling shrinkage and sparsity for continuous priors to Bayesian Quantile Regression (BQR). The procedure follows two steps: In the first step, we…
Horseshoe Prior Bayesian Quantile Regression
David Kohns, Tibor Szendrei
This paper extends the horseshoe prior of Carvalho et al. (2010) to Bayesian quantile regression (HS-BQR) and provides a fast sampling algorithm for computation in high dimensions.…