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Michael Pfarrhofer
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Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs
F Huber, G Koop, L Onorante, M Pfarrhofer, J Schreiner
Journal of Econometrics 232 (1), 52-69, 2023
932023
Measuring the Effectiveness of US Monetary Policy during the COVID-19 Recession
M Feldkircher, F Huber, M Pfarrhofer
Scottish Journal of Political Economy 68 (3), 287-297, 2021
632021
Tail Forecasting with Multivariate Bayesian Additive Regression Trees
TE Clark, F Huber, G Koop, M Marcellino, M Pfarrhofer
International Economic Review 64 (3), 979-1022, 2023
452023
The dynamic impact of monetary policy on regional housing prices in the United States
MM Fischer, F Huber, M Pfarrhofer, P Staufer-Steinnocher
Real Estate Economics 49 (4), 1039-1068, 2021
442021
Factor Augmented Vector Autoregressions, Panel VARs, and Global VARs
M Feldkircher, F Huber, M Pfarrhofer
Macroeconomic Forecasting in the Era of Big Data, 65-93, 2020
42*2020
Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs
M Feldkircher, F Huber, G Koop, M Pfarrhofer
International Economic Review 63 (4), 1625-1658, 2022
202022
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 & Organization 191, 822-845, 2021
192021
The regional transmission of uncertainty shocks on income inequality in the United States
MM Fischer, F Huber, M Pfarrhofer
Journal of Economic Behavior & Organization 183, 887-900, 2019
18*2019
Flexible shrinkage in high-dimensional Bayesian spatial autoregressive models
M Pfarrhofer, P Piribauer
Spatial Statistics 29, 109-128, 2019
172019
Investigating growth-at-risk using a multicountry nonparametric quantile factor model
TE Clark, F Huber, G Koop, M Marcellino, M Pfarrhofer
Journal of Business & Economic Statistics, 2024
162024
Modeling tail risks of inflation using unobserved component quantile regressions
M Pfarrhofer
Journal of Economic Dynamics and Control 143 (104493), 2022
16*2022
Dynamic shrinkage in time-varying parameter stochastic volatility in mean models
F Huber, M Pfarrhofer
Journal of Applied Econometrics 36 (2), 262-270, 2021
142021
Measuring international uncertainty using global vector autoregressions with drifting parameters
M Pfarrhofer
Macroeconomic Dynamics 27 (3), 770-793, 2023
132023
Stochastic model specification in Markov switching vector error correction models
N Hauzenberger, F Huber, M Pfarrhofer, TO Zörner
Studies in Nonlinear Dynamics & Econometrics 25 (2), 2021
102021
Bayesian Inference in High-Dimensional Time-varying Parameter Models using Integrated Rotated Gaussian Approximations
F Huber, G Koop, M Pfarrhofer
arXiv preprint arXiv:2002.10274, 2020
102020
A Bayesian panel vector autoregression to analyze the impact of climate shocks on high-income economies
F Huber, T Krisztin, M Pfarrhofer
The Annals of Applied Statistics 17 (2), 1543-157, 2023
8*2023
General Bayesian time‐varying parameter vector autoregressions for modeling government bond yields
MM Fischer, N Hauzenberger, F Huber, M Pfarrhofer
Journal of Applied Econometrics 38 (1), 69-87, 2023
7*2023
A multi‐country dynamic factor model with stochastic volatility for euro area business cycle analysis
F Huber, M Pfarrhofer, P Piribauer
Journal of Forecasting 39, 911–926, 2020
62020
Implications of Macroeconomic Volatility in the Euro Area
N Hauzenberger, M Böck, M Pfarrhofer, A Stelzer, G Zens
European System Risk Board WP 80, 2019
62019
Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy
N Hauzenberger, M Pfarrhofer
The Scandinavian Journal of Economics 123 (4), 1261-1291, 2021
52021
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