Details about Florian Huber

Access statistics for papers by Florian Huber.

Last updated 2025-01-26. Update your information in the RePEc Author Service.

Short-id: phu448

Working Papers

2024

1. Asymmetries in Financial Spillovers
   Papers, arXiv.org
2. Bayesian Neural Networks for Macroeconomic Analysis
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Papers, arXiv.org (2024) View citations (3)
3. Bayesian modelling of VAR precision matrices using stochastic block networks
   Papers, arXiv.org
4. Forecasting Natural Gas Prices in Real Time
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
5. General Seemingly Unrelated Local Projections
   Papers, arXiv.org View citations (2)
6. Machine Learning the Macroeconomic Effects of Financial Shocks
   Papers, arXiv.org
7. Nowcasting economic activity in European regions using a mixed-frequency dynamic factor model
   Papers, arXiv.org
8. Risky Oil: It's All in the Tails
   NBER Working Papers, National Bureau of Economic Research, Inc
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2024)
9. Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?
   Papers, arXiv.org View citations (18)
   Also in Department of Economics Working Paper Series, WU Vienna University of Economics and Business (2018) View citations (1)
   Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics (2018)
10. The Distributional Effects of Economic Uncertainty
    Papers, arXiv.org

2023

11. A tale of two tails: 130 years of growth-at-risk
    Papers, arXiv.org View citations (2)
    See also Journal Article A tale of two tails: 130 years of growth at risk, Macroeconomic Dynamics, Cambridge University Press (2025) (2025)
12. Bayesian Forecasting in Economics and Finance: A Modern Review
    Papers, arXiv.org View citations (4)
    See also Journal Article Bayesian forecasting in economics and finance: A modern review, International Journal of Forecasting, Elsevier (2024) View citations (2) (2024)
13. Bayesian Forecasting in the 21st Century: A Modern Review
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
14. Bayesian Modeling of TVP-VARs Using Regression Trees
    Papers, arXiv.org
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2023)
15. Bayesian Modeling of Time-Varying Parameters Using Regression Trees
    Working Papers, Federal Reserve Bank of Cleveland
16. Bayesian Nonlinear Regression using Sums of Simple Functions
    Papers, arXiv.org View citations (1)
17. Coarsened Bayesian VARs -- Correcting BVARs for Incorrect Specification
    Papers, arXiv.org
18. Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods
    Papers, arXiv.org View citations (3)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics
    See also Journal Article Dynamic Shrinkage Priors for Large Time-Varying Parameter Regressions Using Scalable Markov Chain Monte Carlo Methods, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2024) View citations (1) (2024)
19. Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks
    Papers, arXiv.org
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2023)
    See also Journal Article Fast and order‐invariant inference in Bayesian VARs with nonparametric shocks, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2024) (2024)
20. Forecasting US Inflation Using Bayesian Nonparametric Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in Working Papers, Federal Reserve Bank of Cleveland (2022) View citations (6)
    Papers, arXiv.org (2022) View citations (9)
21. Hawks vs. Doves: ECB’s Monetary Policy in Light of the Fed’s Policy Stance (Niko Hauzenberger, Florian Huber, Thomas Zörner)
    Working Papers, Oesterreichische Nationalbank (Austrian Central Bank)
22. Investigating Growth-at-Risk Using a Multicountry Non-parametric Quantile Factor Model
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2021) View citations (6)
    Papers, arXiv.org (2021) View citations (9)
    See also Journal Article Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model, Journal of Business & Economic Statistics, Taylor & Francis Journals (2024) View citations (7) (2024)
23. Nonlinearities in Macroeconomic Tail Risk through the Lens of Big Data Quantile Regressions
    Papers, arXiv.org View citations (1)
    See also Journal Article Nonlinearities in macroeconomic tail risk through the lens of big data quantile regressions, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2024) View citations (2) (2024)
24. Predictive Density Combination Using a Tree-Based Synthesis Function
    Working Papers, Federal Reserve Bank of Cleveland
    Also in Staff Working Papers, Bank of Canada (2023)
    Papers, arXiv.org (2023)

2022

25. Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs
    Papers, arXiv.org View citations (9)
    See also Journal Article APPROXIMATE BAYESIAN INFERENCE AND FORECASTING IN HUGE‐DIMENSIONAL MULTICOUNTRY VARs, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2022) View citations (6) (2022)
26. Forecasting euro area inflation using a huge panel of survey expectations
    Papers, arXiv.org
    See also Journal Article Forecasting euro area inflation using a huge panel of survey expectations, International Journal of Forecasting, Elsevier (2024) View citations (2) (2024)
27. Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in Papers, arXiv.org (2022) View citations (1)
    See also Journal Article Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty, Journal of Business & Economic Statistics, Taylor & Francis Journals (2025) View citations (2) (2025)
28. General Bayesian time-varying parameter VARs for modeling government bond yields
    Working Papers in Regional Science, WU Vienna University of Economics and Business View citations (2)
29. Measuring Shocks to Central Bank Independence using Legal Rulings
    Papers, arXiv.org
30. Tail Forecasting with Multivariate Bayesian Additive Regression Trees
    Working Papers, Federal Reserve Bank of Cleveland View citations (8)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2022)
    See also Journal Article TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2023) View citations (20) (2023)

2021

31. A Bayesian panel VAR model to analyze the impact of climate change on high-income economies
    Papers, arXiv.org
32. Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models
    Papers, arXiv.org View citations (10)
    See also Journal Article Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) View citations (12) (2022)
33. General Bayesian time-varying parameter VARs for predicting government bond yields
    Papers, arXiv.org View citations (1)
34. Inference in Bayesian Additive Vector Autoregressive Tree Models
    Papers, arXiv.org View citations (2)
35. Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs
    JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission View citations (1)
    Also in Working Paper Series, European Central Bank (2021) View citations (6)
    Papers, arXiv.org (2020) View citations (31)
    See also Journal Article Nowcasting in a pandemic using non-parametric mixed frequency VARs, Journal of Econometrics, Elsevier (2023) View citations (22) (2023)
36. Real-time Inflation Forecasting Using Non-linear Dimension Reduction Techniques
    Papers, arXiv.org
    See also Journal Article Real-time inflation forecasting using non-linear dimension reduction techniques, International Journal of Forecasting, Elsevier (2023) View citations (14) (2023)
37. Subspace Shrinkage in Conjugate Bayesian Vector Autoregressions
    Papers, arXiv.org View citations (2)
    See also Journal Article Subspace shrinkage in conjugate Bayesian vector autoregressions, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2023) (2023)
38. The impact of macroprudential policies on capital flows in CESEE
    ESRB Working Paper Series, European Systemic Risk Board View citations (7)
    See also Journal Article The impact of macroprudential policies on capital flows in CESEE, Journal of International Money and Finance, Elsevier (2021) View citations (4) (2021)

2020

39. A multi-country dynamic factor model with stochastic volatility for euro area business cycle analysis
    Papers, arXiv.org View citations (8)
    See also Journal Article A multi‐country dynamic factor model with stochastic volatility for euro area business cycle analysis, Journal of Forecasting, John Wiley & Sons, Ltd. (2020) View citations (7) (2020)
40. BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas View citations (1)
41. Bayesian Inference in High-Dimensional Time-varying Parameter Models using Integrated Rotated Gaussian Approximations
    Papers, arXiv.org View citations (7)
42. Capital Flows and the Stabilizing Role of Macroprudential Policies in CESEE
    Papers, arXiv.org View citations (3)
43. Combining Shrinkage and Sparsity in Conjugate Vector Autoregressive Models
    Papers, arXiv.org View citations (1)
    See also Journal Article Combining shrinkage and sparsity in conjugate vector autoregressive models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2021) View citations (8) (2021)
44. Dynamic shrinkage in time-varying parameter stochastic volatility in mean models
    Papers, arXiv.org View citations (2)
    See also Journal Article Dynamic shrinkage in time‐varying parameter stochastic volatility in mean models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2021) View citations (10) (2021)
45. Measuring the Effectiveness of US Monetary Policy during the COVID-19 Recession
    Papers, arXiv.org View citations (3)
    See also Journal Article Measuring the effectiveness of US monetary policy during the COVID‐19 recession, Scottish Journal of Political Economy, Scottish Economic Society (2021) View citations (7) (2021)

2019

46. Exchange rate dynamics and monetary policy - Evidence from a non-linear DSGE-VAR approach
    Department of Economics Working Paper Series, WU Vienna University of Economics and Business
    Also in Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics (2019)
    Working Papers in Economics, University of Salzburg (2019)
47. Inducing Sparsity and Shrinkage in Time-Varying Parameter Models
    Papers, arXiv.org View citations (20)
    Also in Working Paper Series, European Central Bank (2019) View citations (9)
    Working Papers in Economics, University of Salzburg (2019) View citations (11)
    See also Journal Article Inducing Sparsity and Shrinkage in Time-Varying Parameter Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2021) View citations (27) (2021)
48. International effects of a compression of euro area yield curves
    Working Papers in Economics, University of Salzburg View citations (11)
    Also in Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics (2017) View citations (18)
    Department of Economics Working Paper Series, WU Vienna University of Economics and Business (2017) View citations (18)
    VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking, Verein für Socialpolitik / German Economic Association (2017) View citations (19)
    See also Journal Article International effects of a compression of euro area yield curves, Journal of Banking & Finance, Elsevier (2020) View citations (18) (2020)
49. Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
    Papers, arXiv.org
50. Sparse Bayesian vector autoregressions in huge dimensions
    Papers, arXiv.org View citations (18)
    See also Journal Article Sparse Bayesian vector autoregressions in huge dimensions, Journal of Forecasting, John Wiley & Sons, Ltd. (2020) View citations (39) (2020)
51. Stochastic model specification in Markov switching vector error correction models
    Papers, arXiv.org View citations (1)
    Also in Working Papers in Economics, University of Salzburg (2018) View citations (1)
    See also Journal Article Stochastic model specification in Markov switching vector error correction models, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2021) View citations (5) (2021)
52. The macroeconomic effects of international uncertainty
    Working Paper Series, European Central Bank View citations (8)
53. The regional transmission of uncertainty shocks on income inequality in the United States
    Working Papers in Regional Science, WU Vienna University of Economics and Business View citations (8)
    See also Journal Article The regional transmission of uncertainty shocks on income inequality in the United States, Journal of Economic Behavior & Organization, Elsevier (2021) View citations (7) (2021)
54. Trend Fundamentals and Exchange Rate Dynamics
    Working Papers in Economics, University of Salzburg
    Also in KOF Working papers, KOF Swiss Economic Institute, ETH Zurich (2015)
    Department of Economics Working Paper Series, WU Vienna University of Economics and Business (2016)
    Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics (2016)
    See also Journal Article Trend Fundamentals and Exchange Rate Dynamics, Economica, London School of Economics and Political Science (2020) View citations (1) (2020)

2018

55. A Multi-country Approach to Analysing the Euro Area Output Gap
    WIFO Working Papers, WIFO
56. Dealing with heterogeneity in panel VARs using sparse finite mixtures
    Department of Economics Working Paper Series, WU Vienna University of Economics and Business
57. How Important are Global Factors for Understanding the Dynamics of International Capital Flows?
    Working Papers in Economics, University of Salzburg
    See also Journal Article How important are global factors for understanding the dynamics of international capital flows?, Journal of International Money and Finance, Elsevier (2020) View citations (16) (2020)
58. Model instability in predictive exchange rate regressions
    Department of Economics Working Paper Series, WU Vienna University of Economics and Business View citations (2)
    Also in Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics (2018) View citations (2)
    Papers, arXiv.org (2018) View citations (2)
    Working Papers in Economics, University of Salzburg (2018) View citations (2)
    See also Journal Article Model instability in predictive exchange rate regressions, Journal of Forecasting, John Wiley & Sons, Ltd. (2020) View citations (3) (2020)
59. Predicting International Equity Returns: Evidence from Time-Varying Parameter Vector Autoregressive Models
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Predicting international equity returns: Evidence from time-varying parameter vector autoregressive models, International Review of Financial Analysis, Elsevier (2020) View citations (11) (2020)
60. Predicting crypto-currencies using sparse non-Gaussian state space models
    Papers, arXiv.org View citations (24)
    See also Journal Article Predicting crypto‐currencies using sparse non‐Gaussian state space models, Journal of Forecasting, John Wiley & Sons, Ltd. (2018) View citations (18) (2018)
61. Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models
    Papers, arXiv.org View citations (4)
    Also in Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics (2016) View citations (1)
    Working Papers in Economics, University of Salzburg (2018) View citations (3)
    Department of Economics Working Paper Series, WU Vienna University of Economics and Business (2016) View citations (1)
    See also Journal Article Should I stay or should I go? A latent threshold approach to large‐scale mixture innovation models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2019) View citations (10) (2019)
62. Spillovers from US monetary policy: Evidence from a time-varying parameter GVAR model
    Working Papers in Economics, University of Salzburg View citations (1)
    Also in Discussion Paper Series in Economics, Norwegian School of Economics, Department of Economics (2018) View citations (1)
63. The dynamic impact of monetary policy on regional housing prices in the US: Evidence based on factor-augmented vector autoregressions
    Working Papers in Regional Science, WU Vienna University of Economics and Business
    Also in Papers, arXiv.org (2018) View citations (2)
64. The dynamic impact of monetary policy on regional housing prices in the United States
    Working Papers in Economics, University of Salzburg View citations (5)
    Also in Working Papers in Regional Science, WU Vienna University of Economics and Business (2018) View citations (6)
    See also Journal Article The Dynamic Impact of Monetary Policy on Regional Housing Prices in the United States, Real Estate Economics, American Real Estate and Urban Economics Association (2021) View citations (8) (2021)
65. The transmission of uncertainty shocks on income inequality: State-level evidence from the United States
    Papers, arXiv.org View citations (1)
    Also in Working Papers in Economics, University of Salzburg (2018) View citations (3)
    Working Papers in Regional Science, WU Vienna University of Economics and Business (2018) View citations (1)

2017

66. Structural breaks in Taylor rule based exchange rate models - Evidence from threshold time varying parameter models
    Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics View citations (6)
    Also in Department of Economics Working Paper Series, WU Vienna University of Economics and Business (2017) View citations (6)
    See also Journal Article Structural breaks in Taylor rule based exchange rate models — Evidence from threshold time varying parameter models, Economics Letters, Elsevier (2017) View citations (6) (2017)
67. The macroeconomic effects of international uncertainty shocks
    Department of Economics Working Paper Series, WU Vienna University of Economics and Business View citations (13)
    Also in Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics (2017) View citations (13)
68. The role of US based FDI flows for global output dynamics
    Department of Economics Working Paper Series, WU Vienna University of Economics and Business View citations (4)
    Also in Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics (2017) View citations (4)
    See also Journal Article THE ROLE OF US-BASED FDI FLOWS FOR GLOBAL OUTPUT DYNAMICS, Macroeconomic Dynamics, Cambridge University Press (2019) (2019)
69. The shortage of safe assets in the US investment portfolio: Some international evidence
    Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics View citations (7)
    Also in Department of Economics Working Paper Series, WU Vienna University of Economics and Business (2017) View citations (7)
    See also Journal Article The shortage of safe assets in the US investment portfolio: Some international evidence, Journal of International Money and Finance, Elsevier (2017) View citations (7) (2017)
70. Threshold cointegration and adaptive shrinkage
    Department of Economics Working Paper Series, WU Vienna University of Economics and Business View citations (2)
    Also in Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics (2017) View citations (2)

2016

71. Adaptive Shrinkage in Bayesian Vector Autoregressive Models
    Department of Economics Working Paper Series, WU Vienna University of Economics and Business View citations (46)
    Also in Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics (2016) View citations (8)
    See also Journal Article Adaptive Shrinkage in Bayesian Vector Autoregressive Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2019) View citations (89) (2019)
72. International Housing Markets, Unconventional Monetary Policy and the Zero Lower Bound
    Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics View citations (9)
    Also in FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2016) View citations (6)
    Department of Economics Working Paper Series, WU Vienna University of Economics and Business (2016) View citations (17)
    See also Journal Article INTERNATIONAL HOUSING MARKETS, UNCONVENTIONAL MONETARY POLICY, AND THE ZERO LOWER BOUND, Macroeconomic Dynamics, Cambridge University Press (2020) View citations (12) (2020)
73. US Monetary Policy in a Globalized World
    Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) View citations (5)
    Also in Department of Economics Working Paper Series, WU Vienna University of Economics and Business (2015)
    Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics (2015)
    CESifo Working Paper Series, CESifo (2016) View citations (5)
74. Unconventional US Monetary Policy: New Tools Same Channels?
    Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) View citations (7)
    Also in Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics (2016) View citations (7)
    Department of Economics Working Paper Series, WU Vienna University of Economics and Business (2016) View citations (6)
    See also Journal Article Unconventional U.S. Monetary Policy: New Tools, Same Channels?, JRFM, MDPI (2018) View citations (8) (2018)

2015

75. A Markov switching factor-augmented VAR model for analyzing US business cycles and monetary policy
    Department of Economics Working Paper Series, WU Vienna University of Economics and Business View citations (2)
    Also in Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics (2015) View citations (5)
    See also Journal Article A Markov Switching Factor‐Augmented VAR Model for Analyzing US Business Cycles and Monetary Policy, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2018) View citations (15) (2018)
76. Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR
    Working Papers, University of Heidelberg, Department of Economics View citations (10)
    Also in Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) (2015) View citations (10)
    See also Journal Article Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR, Journal of Economic Dynamics and Control, Elsevier (2016) View citations (24) (2016)
77. Does Joint Modelling of the World Economy Pay Off? Evaluating Multivariate Forecasts from a Bayesian GVAR
    VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association View citations (9)
78. Global Prediction of Recessions
    Working Papers, University of Heidelberg, Department of Economics View citations (5)
    See also Journal Article Global prediction of recessions, Economics Letters, Elsevier (2015) View citations (5) (2015)
79. Growing Together? Projecting Income Growth in Europe at the Regional Level
    Department of Economics Working Paper Series, WU Vienna University of Economics and Business
    Also in Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics (2015)
80. Measuring the impact of unconventional monetary policy on the US business cycle
    Working Papers in Regional Science, WU Vienna University of Economics and Business
81. Small-scale nowcasting models of GDP for selected CESEE countries
    Working and Discussion Papers, Research Department, National Bank of Slovakia View citations (3)

2014

82. Density Forecasting using Bayesian Global Vector Autoregressions with Common Stochastic Volatility
    Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics View citations (3)
    Also in Department of Economics Working Paper Series, WU Vienna University of Economics and Business (2014) View citations (1)
83. Forecasting Global Equity Indices Using Large Bayesian VARs
    Department of Economics Working Paper Series, WU Vienna University of Economics and Business
    Also in Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics (2014)
    See also Journal Article FORECASTING GLOBAL EQUITY INDICES USING LARGE BAYESIAN VARS, Bulletin of Economic Research, Wiley Blackwell (2017) View citations (5) (2017)
84. Forecasting with Bayesian Global Vector Autoregressive Models: A Comparison of Priors
    Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) View citations (15)
85. The International Transmission of U.S. Structural Shocks – Evidence from Global Vector Autoregressions
    Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) View citations (12)

Journal Articles

2025

1. A tale of two tails: 130 years of growth at risk
   Macroeconomic Dynamics, 2025, 29, -
   See also Working Paper A tale of two tails: 130 years of growth-at-risk, Papers (2023) View citations (2) (2023)
2. Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty
   Journal of Business & Economic Statistics, 2025, 43, (1), 27-43 View citations (2)
   See also Working Paper Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty, CEPR Discussion Papers (2022) (2022)

2024

3. Bayesian forecasting in economics and finance: A modern review
   International Journal of Forecasting, 2024, 40, (2), 811-839 View citations (2)
   See also Working Paper Bayesian Forecasting in Economics and Finance: A Modern Review, Papers (2023) View citations (4) (2023)
4. Dynamic Shrinkage Priors for Large Time-Varying Parameter Regressions Using Scalable Markov Chain Monte Carlo Methods
   Studies in Nonlinear Dynamics & Econometrics, 2024, 28, (2), 201-225 View citations (1)
   See also Working Paper Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods, Papers (2023) View citations (3) (2023)
5. Fast and order‐invariant inference in Bayesian VARs with nonparametric shocks
   Journal of Applied Econometrics, 2024, 39, (7), 1301-1320
   See also Working Paper Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks, Papers (2023) (2023)
6. Financial markets and legal challenges to unconventional monetary policy
   European Economic Review, 2024, 163, (C)
7. Forecasting euro area inflation using a huge panel of survey expectations
   International Journal of Forecasting, 2024, 40, (3), 1042-1054 View citations (2)
   See also Working Paper Forecasting euro area inflation using a huge panel of survey expectations, Papers (2022) (2022)
8. Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model
   Journal of Business & Economic Statistics, 2024, 42, (4), 1302-1317 View citations (7)
   See also Working Paper Investigating Growth-at-Risk Using a Multicountry Non-parametric Quantile Factor Model, CEPR Discussion Papers (2023) (2023)
9. Nonlinearities in macroeconomic tail risk through the lens of big data quantile regressions
   Journal of Applied Econometrics, 2024, 39, (2), 269-291 View citations (2)
   See also Working Paper Nonlinearities in Macroeconomic Tail Risk through the Lens of Big Data Quantile Regressions, Papers (2023) View citations (1) (2023)
10. Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian vector autoregressions?
    Journal of Forecasting, 2024, 43, (6), 2126-2145

2023

11. Are Phillips curves in CESEE still alive and well behaved?
    Focus on European Economic Integration, 2023, (Q3/23), 7-27
12. General Bayesian time‐varying parameter vector autoregressions for modeling government bond yields
    Journal of Applied Econometrics, 2023, 38, (1), 69-87 View citations (2)
13. Nowcasting in a pandemic using non-parametric mixed frequency VARs
    Journal of Econometrics, 2023, 232, (1), 52-69 View citations (22)
    See also Working Paper Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs, JRC Working Papers in Economics and Finance (2021) View citations (1) (2021)
14. Real-time inflation forecasting using non-linear dimension reduction techniques
    International Journal of Forecasting, 2023, 39, (2), 901-921 View citations (14)
    See also Working Paper Real-time Inflation Forecasting Using Non-linear Dimension Reduction Techniques, Papers (2021) (2021)
15. Subspace shrinkage in conjugate Bayesian vector autoregressions
    Journal of Applied Econometrics, 2023, 38, (4), 556-576
    See also Working Paper Subspace Shrinkage in Conjugate Bayesian Vector Autoregressions, Papers (2021) View citations (2) (2021)
16. TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES
    International Economic Review, 2023, 64, (3), 979-1022 View citations (20)
    See also Working Paper Tail Forecasting with Multivariate Bayesian Additive Regression Trees, Working Papers (2022) View citations (8) (2022)

2022

17. A shot for the US economy
    Finance Research Letters, 2022, 47, (PA) View citations (1)
18. APPROXIMATE BAYESIAN INFERENCE AND FORECASTING IN HUGE‐DIMENSIONAL MULTICOUNTRY VARs
    International Economic Review, 2022, 63, (4), 1625-1658 View citations (6)
    See also Working Paper Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs, Papers (2022) View citations (9) (2022)
19. Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models
    Journal of Business & Economic Statistics, 2022, 40, (4), 1904-1918 View citations (12)
    See also Working Paper Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models, Papers (2021) View citations (10) (2021)

2021

20. Combining shrinkage and sparsity in conjugate vector autoregressive models
    Journal of Applied Econometrics, 2021, 36, (3), 304-327 View citations (8)
    See also Working Paper Combining Shrinkage and Sparsity in Conjugate Vector Autoregressive Models, Papers (2020) View citations (1) (2020)
21. Dynamic shrinkage in time‐varying parameter stochastic volatility in mean models
    Journal of Applied Econometrics, 2021, 36, (2), 262-270 View citations (10)
    See also Working Paper Dynamic shrinkage in time-varying parameter stochastic volatility in mean models, Papers (2020) View citations (2) (2020)
22. Inducing Sparsity and Shrinkage in Time-Varying Parameter Models
    Journal of Business & Economic Statistics, 2021, 39, (3), 669-683 View citations (27)
    See also Working Paper Inducing Sparsity and Shrinkage in Time-Varying Parameter Models, Papers (2019) View citations (20) (2019)
23. Measuring the effectiveness of US monetary policy during the COVID‐19 recession
    Scottish Journal of Political Economy, 2021, 68, (3), 287-297 View citations (7)
    See also Working Paper Measuring the Effectiveness of US Monetary Policy during the COVID-19 Recession, Papers (2020) View citations (3) (2020)
24. Stochastic model specification in Markov switching vector error correction models
    Studies in Nonlinear Dynamics & Econometrics, 2021, 25, (2), 17 View citations (5)
    See also Working Paper Stochastic model specification in Markov switching vector error correction models, Papers (2019) View citations (1) (2019)
25. The Dynamic Impact of Monetary Policy on Regional Housing Prices in the United States
    Real Estate Economics, 2021, 49, (4), 1039-1068 View citations (8)
    See also Working Paper The dynamic impact of monetary policy on regional housing prices in the United States, Working Papers in Economics (2018) View citations (5) (2018)
26. The Transmission of Euro Area Interest Rate Shocks to Asia -- Do Effects Differ When Nominal Interest Rates are Negative?
    Emerging Markets Finance and Trade, 2021, 57, (13), 3818-3834
27. The impact of macroprudential policies on capital flows in CESEE
    Journal of International Money and Finance, 2021, 119, (C) View citations (4)
    See also Working Paper The impact of macroprudential policies on capital flows in CESEE, ESRB Working Paper Series (2021) View citations (7) (2021)
28. The regional transmission of uncertainty shocks on income inequality in the United States
    Journal of Economic Behavior & Organization, 2021, 183, (C), 887-900 View citations (7)
    See also Working Paper The regional transmission of uncertainty shocks on income inequality in the United States, Working Papers in Regional Science (2019) View citations (8) (2019)

2020

29. A multi‐country dynamic factor model with stochastic volatility for euro area business cycle analysis
    Journal of Forecasting, 2020, 39, (6), 911-926 View citations (7)
    See also Working Paper A multi-country dynamic factor model with stochastic volatility for euro area business cycle analysis, Papers (2020) View citations (8) (2020)
30. Country-Level Relationships of the Human Intake of N and P, Animal and Vegetable Food, and Alcoholic Beverages with Cancer and Life Expectancy
    IJERPH, 2020, 17, (19), 1-15 View citations (1)
31. Fragility and the effect of international uncertainty shocks
    Journal of International Money and Finance, 2020, 108, (C) View citations (15)
32. How important are global factors for understanding the dynamics of international capital flows?
    Journal of International Money and Finance, 2020, 109, (C) View citations (16)
    See also Working Paper How Important are Global Factors for Understanding the Dynamics of International Capital Flows?, Working Papers in Economics (2018) (2018)
33. INTERNATIONAL HOUSING MARKETS, UNCONVENTIONAL MONETARY POLICY, AND THE ZERO LOWER BOUND
    Macroeconomic Dynamics, 2020, 24, (4), 774-806 View citations (12)
    See also Working Paper International Housing Markets, Unconventional Monetary Policy and the Zero Lower Bound, Department of Economics Working Papers (2016) View citations (9) (2016)
34. International effects of a compression of euro area yield curves
    Journal of Banking & Finance, 2020, 113, (C) View citations (18)
    See also Working Paper International effects of a compression of euro area yield curves, Working Papers in Economics (2019) View citations (11) (2019)
35. Model instability in predictive exchange rate regressions
    Journal of Forecasting, 2020, 39, (2), 168-186 View citations (3)
    See also Working Paper Model instability in predictive exchange rate regressions, Department of Economics Working Paper Series (2018) View citations (2) (2018)
36. Predicting international equity returns: Evidence from time-varying parameter vector autoregressive models
    International Review of Financial Analysis, 2020, 68, (C) View citations (11)
    See also Working Paper Predicting International Equity Returns: Evidence from Time-Varying Parameter Vector Autoregressive Models, Working Papers (2018) (2018)
37. Sparse Bayesian vector autoregressions in huge dimensions
    Journal of Forecasting, 2020, 39, (7), 1142-1165 View citations (39)
    See also Working Paper Sparse Bayesian vector autoregressions in huge dimensions, Papers (2019) View citations (18) (2019)
38. Trend Fundamentals and Exchange Rate Dynamics
    Economica, 2020, 87, (348), 1016-1036 View citations (1)
    See also Working Paper Trend Fundamentals and Exchange Rate Dynamics, Working Papers in Economics (2019) (2019)

2019

39. Adaptive Shrinkage in Bayesian Vector Autoregressive Models
    Journal of Business & Economic Statistics, 2019, 37, (1), 27-39 View citations (89)
    See also Working Paper Adaptive Shrinkage in Bayesian Vector Autoregressive Models, Department of Economics Working Paper Series (2016) View citations (46) (2016)
40. Changes in US Monetary Policy and Its Transmission over the Last Century
    German Economic Review, 2019, 20, (4), 447-470 View citations (3)
    Also in German Economic Review, 2019, 20, (4), 447-470 (2019) View citations (1)
41. Should I stay or should I go? A latent threshold approach to large‐scale mixture innovation models
    Journal of Applied Econometrics, 2019, 34, (5), 621-640 View citations (10)
    See also Working Paper Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models, Papers (2018) View citations (4) (2018)
42. Spillovers from US monetary policy: evidence from a time varying parameter global vector auto‐regressive model
    Journal of the Royal Statistical Society Series A, 2019, 182, (3), 831-861 View citations (21)
43. THE ROLE OF US-BASED FDI FLOWS FOR GLOBAL OUTPUT DYNAMICS
    Macroeconomic Dynamics, 2019, 23, (3), 943-973
    See also Working Paper The role of US based FDI flows for global output dynamics, Department of Economics Working Paper Series (2017) View citations (4) (2017)
44. The impact of labor cost growth on inflation in selected CESEE countries
    Focus on European Economic Integration, 2019, (Q4/19), 56-78 View citations (3)
45. Threshold cointegration in international exchange rates:A Bayesian approach
    International Journal of Forecasting, 2019, 35, (2), 458-473 View citations (11)

2018

46. A Markov Switching Factor‐Augmented VAR Model for Analyzing US Business Cycles and Monetary Policy
    Oxford Bulletin of Economics and Statistics, 2018, 80, (3), 575-604 View citations (15)
    See also Working Paper A Markov switching factor-augmented VAR model for analyzing US business cycles and monetary policy, Department of Economics Working Paper Series (2015) View citations (2) (2015)
47. Debt regimes and the effectiveness of monetary policy
    Journal of Economic Dynamics and Control, 2018, 93, (C), 218-238 View citations (14)
48. Human capital accumulation and long†term income growth projections for European regions
    Journal of Regional Science, 2018, 58, (1), 81-99 View citations (13)
49. Predicting crypto‐currencies using sparse non‐Gaussian state space models
    Journal of Forecasting, 2018, 37, (6), 627-640 View citations (18)
    See also Working Paper Predicting crypto-currencies using sparse non-Gaussian state space models, Papers (2018) View citations (24) (2018)
50. Unconventional U.S. Monetary Policy: New Tools, Same Channels?
    JRFM, 2018, 11, (4), 1-31 View citations (8)
    See also Working Paper Unconventional US Monetary Policy: New Tools Same Channels?, Working Papers (2016) View citations (7) (2016)

2017

51. FORECASTING GLOBAL EQUITY INDICES USING LARGE BAYESIAN VARS
    Bulletin of Economic Research, 2017, 69, (3), 288-308 View citations (5)
    See also Working Paper Forecasting Global Equity Indices Using Large Bayesian VARs, Department of Economics Working Paper Series (2014) (2014)
52. How would a fiscal shock in Germany affect other European countries? Evidence from a Bayesian GVAR model with sign restrictions
    Focus on European Economic Integration, 2017, (1), 54–77 View citations (9)
53. Structural breaks in Taylor rule based exchange rate models — Evidence from threshold time varying parameter models
    Economics Letters, 2017, 150, (C), 48-52 View citations (6)
    See also Working Paper Structural breaks in Taylor rule based exchange rate models - Evidence from threshold time varying parameter models, Department of Economics Working Papers (2017) View citations (6) (2017)
54. The shortage of safe assets in the US investment portfolio: Some international evidence
    Journal of International Money and Finance, 2017, 74, (C), 318-336 View citations (7)
    See also Working Paper The shortage of safe assets in the US investment portfolio: Some international evidence, Department of Economics Working Papers (2017) View citations (7) (2017)

2016

55. Density forecasting using Bayesian global vector autoregressions with stochastic volatility
    International Journal of Forecasting, 2016, 32, (3), 818-837 View citations (49)
56. Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR
    Journal of Economic Dynamics and Control, 2016, 70, (C), 86-100 View citations (24)
    See also Working Paper Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR, Working Papers (2015) View citations (10) (2015)
57. Forecasting exchange rates using multivariate threshold models
    The B.E. Journal of Macroeconomics, 2016, 16, (1), 193-210 View citations (14)
58. Forecasting with Global Vector Autoregressive Models: a Bayesian Approach
    Journal of Applied Econometrics, 2016, 31, (7), 1371-1391 View citations (39)
59. Modeling the evolution of monetary policy rules in CESEE
    Focus on European Economic Integration, 2016, (1), 8–27 View citations (9)
60. The international transmission of US shocks—Evidence from Bayesian global vector autoregressions
    European Economic Review, 2016, 81, (C), 167-188 View citations (113)
61. Understanding the drivers of capital flows into the CESEE countries
    Focus on European Economic Integration, 2016, (2), 79–104 View citations (10)
62. Weathering global shocks and macrofinancial vulnerabilities in emerging Europe: Comparing Turkey and Poland
    Focus on European Economic Integration, 2016, (1), 46–65 View citations (1)

2015

63. Bridging the information gap: small-scale nowcasting models of GDP growth for selected CESEE countries
    Focus on European Economic Integration, 2015, (2), 56-75 View citations (3)
64. Global prediction of recessions
    Economics Letters, 2015, 133, (C), 81-84 View citations (5)
    See also Working Paper Global Prediction of Recessions, Working Papers (2015) View citations (5) (2015)
65. Price and Wage Rigidities in the Republic of Macedonia: Survey Evidence from Micro- Level Data
    Focus on European Economic Integration, 2015, (1), 49-64 View citations (4)
66. Towards a New Normal: How Different Paths of US Monetary Policy Affect the World Economy
    Economic Notes, 2015, 44, (3), 409-418 View citations (1)

Chapters

2024

1. Macroeconomic forecasting using BVARs
   Chapter 2 in Handbook of Research Methods and Applications in Macroeconomic Forecasting, 2024, pp 15-42