Michael Pfarrhofer
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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
Stochastic model specification in Markov switching vector error correction models
N Hauzenberger, F Huber, M Pfarrhofer, TO Zörner
Studies in Nonlinear Dynamics & Econometrics, 2019
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, 2019
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
The regional transmission of uncertainty shocks on income inequality in the United States
MM Fischer, F Huber, M Pfarrhofer
Journal of Economic Behavior & Organization, 2019
Flexible shrinkage in high-dimensional Bayesian spatial autoregressive models
M Pfarrhofer, P Piribauer
Spatial Statistics 29, 109-128, 2019
Implications of Macroeconomic Volatility in the Euro Area
N Hauzenberger, M Böck, M Pfarrhofer, A Stelzer, G Zens
arXiv preprint arXiv:1801.02925, 2018
Forecasts with Bayesian vector autoregressions under real time conditions
M Pfarrhofer
arXiv preprint arXiv:2004.04984, 2020
Measuring international uncertainty using global vector autoregressions with drifting parameters
M Pfarrhofer
arXiv preprint arXiv:1908.06325, 2019
Sparse time-varying parameter VECMs with an application to modeling electricity prices
N Hauzenberger, M Pfarrhofer, L Rossini
arXiv preprint arXiv:2011.04577, 2020
Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs
F Huber, G Koop, L Onorante, M Pfarrhofer, J Schreiner
arXiv preprint arXiv:2008.12706, 2020
Measuring the Effectiveness of US Monetary Policy during the COVID-19 Recession
M Feldkircher, F Huber, M Pfarrhofer
arXiv preprint arXiv:2007.15419, 2020
Dynamic shrinkage in time-varying parameter stochastic volatility in mean models
F Huber, M Pfarrhofer
arXiv preprint arXiv:2005.06851, 2020
A multi‐country dynamic factor model with stochastic volatility for euro area business cycle analysis
F Huber, M Pfarrhofer, P Piribauer
Journal of Forecasting, 2020
The international effects of central bank information shocks
M Pfarrhofer, A Stelzer
arXiv preprint arXiv:1912.03158, 2019
Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy
N Hauzenberger, M Pfarrhofer
arXiv preprint arXiv:1911.06206, 2019
Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
F Huber, G Kastner, M Pfarrhofer
arXiv preprint arXiv:1805.12217v2, 2019
Dealing with cross-country heterogeneity in panel VARs using finite mixture models
F Huber, M Pfarrhofer
arXiv preprint arXiv:1804.01554, 2019
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