Browsing Centre for Applied Macro- and Petroleum economics (CAMP) by Author "Korobilis, Dimitris"

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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 ...

    • 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 ...