2 papers
econ.EM2026
Forecasting Oil Prices Across the Distribution: A Quantile VAR Approach
Hilde C. Bjornland, Nicolas Hardy, Dimitris Korobilis
We develop a Quantile Bayesian Vector Autoregression (QBVAR) to forecast real oil prices across different quantiles of the conditional distribution. The model allows predictor effe…
econ.EM2025
Learning from crises: A new class of time-varying parameter VARs with observable adaptation
Nicolas Hardy, Dimitris Korobilis
We revisit macroeconomic time-varying parameter vector autoregressions (TVP-VARs), whose persistent coefficients may adapt too slowly to large, abrupt shifts such as those during m…