➡️ Nonparametric observation equation, specified via Gaussian process for each series
➡️ Factors modeled with a VAR (straightforward computation and interpretation)
➡️ Applications: (1) forecasting with FRED-QD, (2) extracting drivers of global inflation dynamics and measuring international asymmetries
11.09.2025 10:45 — 👍 0 🔁 0 💬 0 📌 0
New working paper "A Bayesian Gaussian Process Dynamic Factor Model" with T. Chernis (BMA), N. Hauzenberger (Uni Strathclyde), and H. Mumtaz (QMUL): arxiv.org/abs/2509.04928
Proposes a dynamic factor model where the latent factors are linked to observed variables with unknown nonlinear functions.
11.09.2025 10:45 — 👍 0 🔁 0 💬 1 📌 0
📆 Join us on Mar 19 at our economics research seminar with Michael Pfarrhofer (@mpfarrho.bsky.social), who will present "General Seemingly Unrelated Local Projections"
More info and abstract:
www.jku.at/en/departmen...
17.03.2025 16:08 — 👍 7 🔁 3 💬 0 📌 0
Scenario analysis with multivariate Bayesian machine learning models
We present an econometric framework that adapts tools for scenario analysis, such as conditional forecasts and generalized impulse response functions, for use with dynamic nonparametric multivariate m...
"Scenario analysis with multivariate Bayesian machine learning models"
▶️ Conditional forecasts, generalized IRFs in dynamic nonparametric models
▶️ Applications: Macroeconomic stress testing; macroeconomic risk and financial conditions; financial shock transmission
arxiv.org/abs/2502.08440
13.02.2025 10:00 — 👍 0 🔁 0 💬 1 📌 0
Interpretable Bayesian machine learning for assessing the effects of climate news shocks on firm-level returns
We propose a Bayesian Asset Pricing framework that uses machine learning to capture nonlinear interactions between firm exposures to climate change risks and a
“Interpretable Bayesian machine learning for assessing the effects of climate news shocks on firm-level returns,” at ssrn.com/abstract=513... where we:
▶️ use a Bayesian asset pricing framework & machine learning
▶️ have text-based climate risk indicators
▶️ find asymmetric impacts across firms
12.02.2025 20:31 — 👍 0 🔁 0 💬 0 📌 0
You want to do your #PhD in #Economics at one of Europe’s largest & most modern business & economics universities. Join us at WU Wien #Vienna 🇦🇹. Click here: econjobmarket.org/positions/11...
31.01.2025 17:01 — 👍 3 🔁 1 💬 0 📌 0
📣 NEW: Handbook of Research Methods and Applications in #Macroeconomic Forecasting by Michael P. Clements & Ana Beatriz Galvão
Chapter 14 is #OpenAccess at: doi.org/10.4337/9781...
More info: www.e-elgar.com/shop/isbn/97...
@mpfarrho.bsky.social @danilocascaldi.bsky.social #Econometrics
29.11.2024 09:39 — 👍 5 🔁 2 💬 0 📌 3
Science Communication at @wuvienna.bsky.social
Assistant Professor at WU Vienna University of Economics and Business
he/him 🇵🇱🏳️🌈
https://www.jgromadzki.com/
Econ prof @ WU Vienna | game theory | Vienna branch of GWUP (scientific skepticism) | Views are my own and not necessarily shared by WU or GWUP, but they should be.
Assistant Professor at Vienna University of Economics and Business | private homepage: https://sites.google.com/site/fabiansiuda
Trade expert & director at @wifo.bsky.social and economics professor at @wuvienna.bsky.social
Prof. of Economics @wuvienna.bsky.social
Lecturecasts: https://www.youtube.com/@KlausPrettner/featured
Environmental and Transportation Economist | Assistant Professor at WU Vienna University of Economics and Business, Department of Economics
https://davidecerruti.weebly.com/
Associate Professor at Vienna University of Economics and Business.
Born in Córdoba, Spain
AP @wuvienna.bsky.social | Prev. IAE-CSIC and BSE | Co-founder RareVoicesEcon
https://federicabraccioli.github.io/
Economist @jku_econ & @jkulinz | Previously @LMU_Muenchen | Public Economics | Behavioral Economics | glogowsky.com |
Applied Microeconomist | Focus on Health Economics | Postdoc @irdes-fr | PhD in Economic Sciences, University of Salzburg
The official Bluesky account of the Department of Economics at the Johannes Kepler University Linz
https://www.jku.at/en/department-of-economics/
Associate Professor JKU Linz | Previously LMU Munich | Affiliate CESifoNetwork | International Economics, IO, Labor
https://sites.google.com/site/irlachermichael/home
Elbows up, Professor @UVicEconomics: Music, Art, Literature, Rugby, Choco Frito, Alentejo and a few others that don't fit into 160 chars
econ assistant prof at wu vienna
causal inference, networks, and development
hesss.org
economist ~ applied micro pays the rent ~ prof @wuvienna.bsky.social (prior @jkulinz & @uniinnsbruck) ~ likes to run (regressions) ~ austrian politics 🇦🇹
www: https://sites.google.com/site/mhalla1980/
Vienna University of Economics and Business | Austrian Institute of Economic Research | Research Centre International Economics | Plattform Registerforschung | Empirica
Assoc. Professor at University of Salzburg and Researcher at Liechtenstein Institut; applied microeconomist interested in public econ, labor markets, and health
https://sites.google.com/view/joerg-paetzold/startseite
