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Found 11 papers, 2 papers with code
Nowcasting with mixed frequency data using Gaussian processes
We propose and discuss Bayesian machine learning methods for mixed data sampling (MIDAS) regressions.
Nowcasting economic activity in European regions using a mixed-frequency dynamic factor model
Timely information about the state of regional economies can be essential for planning, implementing and evaluating locally targeted economic policies.
Forecasting euro area inflation using a huge panel of survey expectations
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.
Measuring Shocks to Central Bank Independence using Legal Rulings
We investigate the consequences of legal rulings on the conduct of monetary policy.
Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model
We develop a Bayesian non-parametric quantile panel regression model.
Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs
Panel Vector Autoregressions (PVARs) are a popular tool for analyzing multi-country datasets.
Modeling tail risks of inflation using unobserved component quantile regressions
This paper proposes methods for Bayesian inference in time-varying parameter (TVP) quantile regression (QR) models featuring conditional heteroskedasticity.
General Bayesian time-varying parameter VARs for predicting government bond yields
Time-varying parameter (TVP) regressions commonly assume that time-variation in the coefficients is determined by a simple stochastic process such as a random walk.
Sparse time-varying parameter VECMs with an application to modeling electricity prices
In this paper we propose a time-varying parameter (TVP) vector error correction model (VECM) with heteroskedastic disturbances.
Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs
This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using additive regression trees.
A Bayesian panel VAR model to analyze the impact of climate change on high-income economies
In this paper, we assess the impact of climate shocks on futures markets for agricultural commodities and a set of macroeconomic quantities for multiple high-income economies.
