1 citations · 1 across the 2 of their papers we have counts for
2 papers
econ.EM2023★ 1 cited
Monitoring multicountry macroeconomic risk
Dimitris Korobilis, Maximilian Schröder
We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions o…
econ.EM2022
Probabilistic Quantile Factor Analysis
Dimitris Korobilis, Maximilian Schröder
This paper extends quantile factor analysis to a probabilistic variant that incorporates regularization and computationally efficient variational approximations. We establish throu…