17 citations · 25 across the 10 of their papers we have counts for
7 papers · 1 filter
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…
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…
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.…