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econ.GN2022
Learning Probability Distributions in Macroeconomics and Finance
Jozef Barunik, Lubos Hanus
We propose a deep learning approach to probabilistic forecasting of macroeconomic and financial time series. Being able to learn complex patterns from a data rich environment, our…
econ.GN2021
Dynamic industry uncertainty networks and the business cycle
Jozef Barunik, Mattia Bevilacqua, Robert Faff
We argue that uncertainty network structures extracted from option prices contain valuable information for business cycles. Classifying U.S. industries according to their contribut…