1 citations · 3 across the 6 of their papers we have counts for
4 papers · 1 filter
Nonlinear Drivers of Macroeconomic Tail Risk: A Threshold Stochastic Volatility-in-Mean VAR with Regime-Dependent Leverage
Haroon Mumtaz, Sofia Velasco
The tails of macroeconomic outcomes can respond differently from the centre of their distribution: shocks with modest effects on median growth or inflation can shift downside growt…
A Dynamic Factor Model for Level and Volatility
Haroon Mumtaz, Sofia Velasco
This paper develops a dynamic factor model in which common level and volatility factors evolve jointly, allowing conditional means and variances to interact endogenously within a l…
A Bayesian Gaussian Process Dynamic Factor Model
Tony Chernis, Niko Hauzenberger, Haroon Mumtaz +1
We propose a dynamic factor model (DFM) where the latent factors are linked to observed variables with unknown and potentially nonlinear functions. The key novelty and source of fl…
Impulse response estimation via flexible local projections
Haroon Mumtaz, Michele Piffer
This paper introduces a flexible local projection that generalizes the model by Jordá (2005) to a non-parametric setting using Bayesian Additive Regression Trees. Monte Carlo exper…