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A list of all the posts and pages found on the site. For you robots out there is an XML version available for digesting as well.
Pages
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Posts
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Blog Post number 4
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Blog Post number 3
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Blog Post number 1
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book
Macroeconomic forecasting using BVARs. doi
with F. Huber and G. Koop, in Handbook of Research Methods and Applications in Macroeconomic Forecasting, edited by Mike Clements and Ana Galvão, 2024.
institutional
Implications of macroeconomic volatility in the EA. doi
with M. Böck, M. Pfarrhofer, A. Stelzer, and G. Zens, ESRB Working Paper Series No. 80, 2018.
How useful are TVP models for forecasting economic growth in CESEE? doi
with M. Feldkircher, Focus on European Economic Integration (Q1/19):29–48, 2019.
Interest rates in Switzerland 1852-2020. doi
with F. Huber, D. Kaufmann, R. Stuart, and C. Tille, Grundlagen für die Wirtschaftspolitik Nr. 24, 2021.
portfolio
Non-parametric volatility modeling in macroeconomics and finance.
Role: principal investigator. Funding: EUR 232,000.00 from the Anniversary Fund of the Austrian Central Bank (OeNB). Project duration: Nov 2022 - Oct 2026.
Textual inference for central bank communication.
with B. Grün and P. Hofmarcher (principal investigator). Role: co-investigator. Funding: EUR 240,910.00 from the Anniversary Fund of the Austrian Central Bank (OeNB). Project duration: Jul 2022 - Jun 2025.
Interest rate and exchange rate fluctuations over two centuries.
with F. Huber, D. Kaufmann (principal investigator), R. Stuart, and C. Tille. Role: co-investigator. Funding: State Secretariat for Economic Affairs (SECO). Project duration: Aug 2020 - Jun 2021.
publications
Model instability in predictive exchange rate regressions. doi
with F. Huber, Journal of Forecasting 39(2):168-186, 2020.
Stochastic model specification in Markov switching VECMs. doi
with F. Huber, M. Pfarrhofer, and T.O. Zörner, Studies in Nonlinear Dynamics & Econometrics 25(2):20180069, 2021.
The impact of macroprudential policies on capital flows in CESEE. doi
with M. Eller, F. Huber, H. Schuberth, and L. Vashold, Journal of International Money & Finance 119:102495, 2021.
Combining shrinkage and sparsity in conjugate VARs. doi
with F. Huber and L. Onorante, Journal of Applied Econometrics 36(3):304-327, 2021.
Flexible mixture priors for large TVP models. doi
Econometrics & Statistics 20:87-108, 2021.
Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy. doi
with M. Pfarrhofer, Scandinavian Journal of Economics 123(4):1261-1291, 2021.
On the effectiveness of the ECB’s conventional and unconventional policies under uncertainty. doi
with M. Pfarrhofer and A. Stelzer, Journal of Economic Behavior & Organization 191:822-845, 2021.
Fast and flexible Bayesian inference in TVP regression models. doi
with F. Huber, G. Koop, and L. Onorante, Journal of Business & Economic Statistics 40(4):1904-1918, 2022.
Macroeconomic forecasting in the EA using predictive combinations of DSGE models. doi
with J. Čapek, J. Crespo Cuaresma, and V. Reichel, International Journal of Forecasting 39(4):1820-1838, 2023.
Real-time inflation forecasting using non-linear dimension reduction techniques. doi
with F. Huber and K. Klieber, International Journal of Forecasting 39(2):901-921, 2023.
General Bayesian TVP-VARs for modeling government bond yields. doi
with M. M. Fischer, F. Huber, and M. Pfarrhofer, Journal of Applied Econometrics 38(1):69-87, 2023.
Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods. doi
with F. Huber and G. Koop, Studies in Nonlinear Dynamics & Econometrics 28(2):201-225, 2024.
Gaussian process VARs and macroeconomic uncertainty. doi
with F. Huber, M. Marcellino, and N. Petz, Journal of Business & Economic Statistics 43(1):27-43, 2025.
Sparse time-varying parameter VECMs with an application to modeling electricity prices. doi
with M. Pfarrhofer and L. Rossini, International Journal of Forecasting 41(1):361-376, 2025.
Bayesian neural networks for macroeconomic analysis. doi
with F. Huber, K. Klieber, and M. Marcellino, Journal of Econometrics, published online, 2024.
Predictive density combination using Bayesian machine learning. doi
with T. Chernis, F. Huber, G. Koop, and J. Mitchell, International Economic Review, in-press, 2025.
Machine learning the macroeconomic effects of financial shocks. doi
with F. Huber, M. Marcellino, and K. Klieber Economics Letters, in-press, 2025.
talks
Talk 1 on Relevant Topic in Your Field
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Conference Proceeding talk 3 on Relevant Topic in Your Field
This is a description of your conference proceedings talk, note the different field in type. You can put anything in this field.
teaching
Economic and financial policy for legal professionals.
Undergraduate course; Vienna University of Economics and Business (WU); Summer 2019.
Mathematical foundations.
Undergraduate course; University of Salzburg; Winter 2020/21, 2021/22, 2022/23.
Topics in macroeconomics with time series econometrics (EC316).
Undergraduate course; University of Strathclyde; Spring 2024, 2025 (with S. N. Davidson and P. Wu).
Advanced macroeconometrics.
Graduate course; Vienna University of Economics and Business (WU); Summer 2019 (with M. Pfarrhofer and T. O. Zörner).
Quantitative methods in economics.
Graduate course; University of Salzburg; Winter 2019/20, 2020/21, 2021/22, 2022/23, Summer 2023 (with K. Nowotny and H. Winner).
Macroeconometrics: structural and predictive inference.
Graduate course; University of Salzburg; Summer 2021, 2023 (with M. Pfarrhofer).
Bayesian econometrics.
Graduate course; University of Neuchâtel; Summer 2021 (with F. Huber).
Analysis of economic data (EC951, EC975).
Graduate Programme in Applied Economics course; University of Strathclyde; 2023/24, 2024/25 (with A. Romiti and L. McInally).
Advanced time series econometrics (ECNM11049).
Scottish Graduate Programme in Economics course; University of Edinburgh; Spring 2024, 2025 (with G. Koop and P. Wu).
Bayesian econometrics (ECNM11060).
Scottish Graduate Programme in Economics course; University of Edinburgh; Spring 2024, 2025 (with G. Koop and P. Wu).
Data Analytics I: Essentials in Economics and Finance (EC988).
Graduate Programme in Applied Economics course; University of Strathclyde; Fall 2024 (with P. Wu).
Data Analytics II: Advances in Economics and Finance (EC989).
Graduate Programme in Applied Economics course; University of Strathclyde; Spring 2025 (with P. Wu and L. Gifuni).
wps
What drives long-term interest rates? Evidence from the entire Swiss Franc history. WP
with D. Kaufmann, R. Stuart, and C. Tille, IRENE Working Paper, 2022.
Bayesian modeling of TVP-VARs using regression trees. WP
with F. Huber, G. Koop, and J. Mitchell, FRBC WP 23-05, 2023.
Hawks vs. Doves: ECB’s monetary policy in light of the Fed’s policy stance. WP
with F. Huber and T.O. Zörner, OeNB WP 252, 2023.
Nowcasting economic activity in European regions using a mixed-frequency dynamic factor model. WP
with L. Barbaglia, L. Frattarolo, D. Hirschbuehl, F. Huber, L. Onorante, M. Pfarrhofer, and L. Tiozzo Pezzoli arXiv:2401.10054, 2024.
Nowcasting with mixed frequency data using Gaussian processes. WP
with M. Marcellino, M. Pfarrhofer, and A. Stelzer arXiv:2401.10054, 2024.
Interpretable Bayesian machine learning for assessing the effects of climate news shocks on firm-level returns. WP
with L. Barbaglia, L. Frattarolo, D. Hirschbuehl, F. Huber, L. Onorante, M. Pfarrhofer, and L. Tiozzo Pezzoli SSRN.5133162, 2025.