[HTML][HTML] On the effectiveness of the European Central Bank's conventional and unconventional policies under uncertainty
N Hauzenberger, M Pfarrhofer, A Stelzer - Journal of Economic Behavior & …, 2021 - Elsevier
In this paper, we investigate the effectiveness of conventional and unconventional monetary
policy measures by the European Central Bank (ECB) conditional on the prevailing level of …
policy measures by the European Central Bank (ECB) conditional on the prevailing level of …
Bayesian modeling of time-varying parameters using regression trees
In light of widespread evidence of parameter instability in macroeconomic models, many
time-varying parameter (TVP) models have been proposed. This paper proposes a …
time-varying parameter (TVP) models have been proposed. This paper proposes a …
[HTML][HTML] Dynamic shrinkage priors for large time-varying parameter regressions using scalable Markov chain Monte Carlo methods
Time-varying parameter (TVP) regression models can involve a huge number of coefficients.
Careful prior elicitation is required to yield sensible posterior and predictive inferences. In …
Careful prior elicitation is required to yield sensible posterior and predictive inferences. In …
Bayesian Modeling of TVP-VARs Using Regression Trees
In light of widespread evidence of parameter instability in macroeconomic models, many
time-varying parameter (TVP) models have been proposed. This paper proposes a …
time-varying parameter (TVP) models have been proposed. This paper proposes a …
Forecasts with Bayesian vector autoregressions under real time conditions
M Pfarrhofer - Journal of Forecasting, 2024 - Wiley Online Library
This paper investigates the sensitivity of forecast performance metrics to taking a real time
versus pseudo out‐of‐sample perspective. I use monthly vintages of two popular datasets …
versus pseudo out‐of‐sample perspective. I use monthly vintages of two popular datasets …
[HTML][HTML] Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
We forecast excess returns of the S &P 500 index using a flexible Bayesian econometric
state space model with non-Gaussian features at several levels. More precisely, we control …
state space model with non-Gaussian features at several levels. More precisely, we control …