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]