3 papers
econ.EM2026
Soft-Noncrossing Bayesian Panel Quantile Regression for Measuring Climate Tail Risk
Florian Huber, Aubrey Poon, Dan Zhu
We develop a hierarchical Bayesian panel quantile regression model in which unit-specific coefficient paths are smoothed across quantiles by Gaussian processes, while a common time…
stat.AP2025
A Quantile Nelson-Siegel model
Matteo Iacopini, Aubrey Poon, Luca Rossini +1
We propose a novel framework for modeling the yield curve from a quantile perspective. Building on the dynamic Nelson-Siegel model of Diebold et al. (2006), we extend its tradition…
econ.EM2024
Conditional Forecasts in Large Bayesian VARs with Multiple Equality and Inequality Constraints
Joshua C. C. Chan, Davide Pettenuzzo, Aubrey Poon +1
Conditional forecasts, i.e. projections of a set of variables of interest on the future paths of some other variables, are used routinely by empirical macroeconomists in a number o…