Blar i Centre for Applied Macro- and Petroleum economics (CAMP) på forfatter "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 ...