Browsing BI Open by Author "Schröder, Maximilian"
Now showing items 1-3 of 3
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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 ...