3 papers
econ.EM2024
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…
econ.EM2024
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…
econ.EM2024
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…