• Monitoring multicountry macroeconomic risk 

      Korobilis, Dimitris; Schröder, Maximilian (CAMP Working Paper Series;06/2023, Working paper, 2023-08-03)
      We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence ...
    • Nowcasting GDP with a pool of factor models and a fast estimation algorithm 

      Eraslan, Sercan; Schröder, Maximilian (Peer reviewed; Journal article, 2022)
      We propose a novel mixed-frequency dynamic factor model with time-varying parameters and stochastic volatility for macroeconomic nowcasting and develop a fast estimation algorithm. This enables us to generate forecast ...
    • Probabilistic Quantile Factor Analysis 

      Korobilis, Dimitris; Schröder, Maximilian (CAMP Working Paper Series;05/2023, Working paper, 2023-08-03)
      This paper extends quantile factor analysis to a probabilistic variant that incorporates regularization and computationally efficient variational approximations. By means of synthetic and real data experiments it is ...