A Bayesian Gaussian Process Dynamic Factor Model.
with T. Chernis, H. Mumtaz, and M. Pfarrhofer
arxiv:2509.04928, 2025.
[WP] [Slides]
Working papers
Interpretable Bayesian machine learning for assessing the effects of climate news shocks on firm-level returns.
with L. Barbaglia, L. Frattarolo, D. Hirschbuehl, F. Huber, L. Onorante, M. Pfarrhofer, and L. Tiozzo Pezzoli
SSRN.5133162, 2025.
[WP]
Nowcasting with mixed frequency data using Gaussian processes.
with M. Marcellino, M. Pfarrhofer, and A. Stelzer
arXiv:2401.10054, 2024.
[WP]
Hawks vs. Doves: ECB’s monetary policy in light of the Fed’s policy stance.
with F. Huber and T.O. Zörner
OeNB WP 252, 2023.
[WP]
Bayesian modeling of TVP-VARs using regression trees.
with F. Huber, G. Koop, and J. Mitchell
FRBC WP 23-05, 2023.
[WP] [Slides]
What drives long-term interest rates? Evidence from the entire Swiss Franc history.
with D. Kaufmann, R. Stuart, and C. Tille
IRENE Working Paper, 2022.
[WP]
Publications in refereed journals
Nowcasting economic activity in European regions using a mixed-frequency DFM.
with L. Barbaglia, L. Frattarolo, D. Hirschbühl, F. Huber, L. Onorante, M. Pfarrhofer, and L. Tiozzo Pezzoli
International Journal of Forecasting, in-press, 2025.
[DOI]
Predictive density combination using Bayesian machine learning.
with T. Chernis, F. Huber, G. Koop, and J. Mitchell
International Economic Review 66(3):1287-1315, 2025.
[DOI] [Slides]
Bayesian neural networks for macroeconomic analysis.
with F. Huber, K. Klieber, and M. Marcellino
Journal of Econometrics 249(Part C):105843, 2025.
[DOI] [Slides]
Machine learning the macroeconomic effects of financial shocks.
with F. Huber, M. Marcellino, and K. Klieber
Economics Letters 250:112260, 2025.
[DOI]
Sparse time-varying parameter VECMs with an application to modeling electricity prices.
with M. Pfarrhofer and L. Rossini
International Journal of Forecasting 41(1):361-376, 2025.
[DOI]
Gaussian process VARs and macroeconomic uncertainty.
with F. Huber, M. Marcellino, and N. Petz
Journal of Business & Economic Statistics 43(1):27-43, 2025.
[DOI] [Slides]
Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods.
with F. Huber and G. Koop
Studies in Nonlinear Dynamics & Econometrics 28(2):201-225, 2024.
[DOI]
General Bayesian TVP-VARs for modeling government bond yields.
with M. M. Fischer, F. Huber, and M. Pfarrhofer
Journal of Applied Econometrics 38(1):69-87, 2023.
[DOI]
Real-time inflation forecasting using non-linear dimension reduction techniques.
with F. Huber and K. Klieber
International Journal of Forecasting 39(2):901-921, 2023.
[DOI]
Macroeconomic forecasting in the EA using predictive combinations of DSGE models.
with J. Čapek, J. Crespo Cuaresma, and V. Reichel
International Journal of Forecasting 39(4):1820-1838, 2023.
[DOI]
Fast and flexible Bayesian inference in TVP regression models.
with F. Huber, G. Koop, and L. Onorante
Journal of Business & Economic Statistics 40(4):1904-1918, 2022.
[DOI] [Code]
On the effectiveness of the ECB’s conventional and unconventional policies under uncertainty.
with M. Pfarrhofer and A. Stelzer
Journal of Economic Behavior & Organization 191:822-845, 2021.
[DOI]
Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy.
with M. Pfarrhofer
Scandinavian Journal of Economics 123(4):1261-1291, 2021.
[DOI] [Code]
Flexible mixture priors for large TVP models.
Econometrics & Statistics 20:87-108, 2021.
[DOI]
Combining shrinkage and sparsity in conjugate VARs.
with F. Huber and L. Onorante
Journal of Applied Econometrics 36(3):304-327, 2021.
[DOI] [Code]
The impact of macroprudential policies on capital flows in CESEE.
with M. Eller, F. Huber, H. Schuberth, and L. Vashold
Journal of International Money & Finance 119:102495, 2021.
[DOI]
Stochastic model specification in Markov switching VECMs.
with F. Huber, M. Pfarrhofer, and T.O. Zörner
Studies in Nonlinear Dynamics & Econometrics 25(2):20180069, 2021.
[DOI] [Code]
Model instability in predictive exchange rate regressions.
with F. Huber
Journal of Forecasting 39(2):168-186, 2020.
[DOI]
Book chapters
Macroeconomic forecasting using BVARs.
with F. Huber and G. Koop, in
Handbook of Research Methods and Applications in Macroeconomic Forecasting, edited by Mike Clements and Ana Galvão, 2024.
[DOI] [Draft] [Code]
Publications in institutional journals
Interest rates in Switzerland 1852-2020.
with F. Huber, D. Kaufmann, R. Stuart, and C. Tille
Grundlagen für die Wirtschaftspolitik Nr. 24, 2021.
[DOI]
How useful are TVP models for forecasting economic growth in CESEE?
with M. Feldkircher
Focus on European Economic Integration (Q1/19):29–48, 2019.
[DOI]
Implications of macroeconomic volatility in the EA.
with M. Böck, M. Pfarrhofer, A. Stelzer, and G. Zens
ESRB Working Paper Series No. 80, 2018.
[DOI]