4 papers
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…
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…
Exploring Monetary Policy Shocks with Large-Scale Bayesian VARs
Dimitris Korobilis
I introduce a high-dimensional Bayesian vector autoregressive (BVAR) framework designed to estimate the effects of conventional monetary policy shocks. The model captures structura…
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…