Zobrazeno 1 - 10
of 175
pro vyhledávání: '"Onorante, A"'
Autor:
Huber, Florian, Klieber, Karin, Marcellino, Massimiliano, Onorante, Luca, Pfarrhofer, Michael
This paper analyzes nonlinearities in the international transmission of financial shocks originating in the US. To do so, we develop a flexible nonlinear multi-country model. Our framework is capable of producing asymmetries in the responses to finan
Externí odkaz:
http://arxiv.org/abs/2410.16214
In this paper, we forecast euro area inflation and its main components using an econometric model which exploits a massive number of time series on survey expectations for the European Commission's Business and Consumer Survey. To make estimation of
Externí odkaz:
http://arxiv.org/abs/2207.12225
Publikováno v:
In International Journal of Forecasting July-September 2024 40(3):1042-1054
Publikováno v:
In Economic Modelling May 2024 134
This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using additive regression trees. We argue that regression tree models are ideally suited for macroeconomic nowcasting in the face of extre
Externí odkaz:
http://arxiv.org/abs/2008.12706
Conjugate priors allow for fast inference in large dimensional vector autoregressive (VAR) models but, at the same time, introduce the restriction that each equation features the same set of explanatory variables. This paper proposes a straightforwar
Externí odkaz:
http://arxiv.org/abs/2002.08760
Autor:
Barbaglia, Luca, Frattarolo, Lorenzo, Onorante, Luca, Pericoli, Filippo Maria, Ratto, Marco, Tiozzo Pezzoli, Luca
Publikováno v:
In International Journal of Forecasting October-December 2023 39(4):1548-1563
In this paper, we write the time-varying parameter (TVP) regression model involving K explanatory variables and T observations as a constant coefficient regression model with KT explanatory variables. In contrast with much of the existing literature
Externí odkaz:
http://arxiv.org/abs/1910.10779
Time-varying parameter (TVP) models have the potential to be over-parameterized, particularly when the number of variables in the model is large. Global-local priors are increasingly used to induce shrinkage in such models. But the estimates produced
Externí odkaz:
http://arxiv.org/abs/1905.10787
Publikováno v:
In European Economic Review February 2023 152