Dimitris Korobilis
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View article: Exploring Monetary Policy Shocks with Large-Scale Bayesian VARs
Exploring Monetary Policy Shocks with Large-Scale Bayesian VARs Open
I introduce a high-dimensional Bayesian vector autoregressive (BVAR) framework designed to estimate the effects of conventional monetary policy shocks. The model captures structural shocks as latent factors, enabling computationally effici…
View article: Probabilistic Quantile Factor Analysis
Probabilistic Quantile Factor Analysis Open
This article extends quantile factor analysis to a probabilistic variant that incorporates regularization and computationally efficient variational approximations. We establish through synthetic and real data experiments that the proposed …
View article: Monitoring multi-country macroeconomic risk: A quantile factor-augmented vector autoregressive (QFAVAR) approach
Monitoring multi-country macroeconomic risk: A quantile factor-augmented vector autoregressive (QFAVAR) approach Open
A multi-country quantile factor-augmented vector autoregression is proposed to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence of quantile factors enabl…
View article: Monitoring multicountry macroeconomic risk
Monitoring multicountry macroeconomic risk Open
We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence of quantile facto…
View article: Discussion of “Multivariate dynamic modeling for Bayesian forecasting of business revenue”
Discussion of “Multivariate dynamic modeling for Bayesian forecasting of business revenue” Open
The paper by Yanchenko et al.1 presents a long-term business revenue forecast effort for a large retail company. We congratulate the authors for elaborating on a framework that is of theoretical interest while responding to specific needs …
View article: Agreed and Disagreed Uncertainty
Agreed and Disagreed Uncertainty Open
When agents' information is imperfect and dispersed, existing measures of macroeconomic uncertainty based on the forecast error variance have two distinct drivers: the variance of the economic shock and the variance of the information disp…
View article: BAYESIAN DYNAMIC VARIABLE SELECTION IN HIGH DIMENSIONS
BAYESIAN DYNAMIC VARIABLE SELECTION IN HIGH DIMENSIONS Open
This article addresses the issue of inference in time‐varying parameter regression models in the presence of many predictors and develops a novel dynamic variable selection strategy. The proposed variational Bayes dynamic variable selectio…
View article: Probabilistic Quantile Factor Analysis
Probabilistic Quantile Factor Analysis Open
This paper extends quantile factor analysis to a probabilistic variant that incorporates regularization and computationally efficient variational approximations. We establish through synthetic and real data experiments that the proposed es…
View article: A new algorithm for structural restrictions in Bayesian vector autoregressions
A new algorithm for structural restrictions in Bayesian vector autoregressions Open
A comprehensive methodology for inference in vector autoregressions (VARs) using sign and other structural restrictions is developed. The reduced-form VAR disturbances are driven by a few common factors and structural identification restri…
View article: Bayesian Approaches to Shrinkage and Sparse Estimation
Bayesian Approaches to Shrinkage and Sparse Estimation Open
In all areas of human knowledge, datasets are increasing in both size and complexity, creating the need for richer statistical models. This trend is also true for economic data, where high-dimensional and nonlinear/nonparametric inference …
View article: A new algorithm for structural restrictions in Bayesian vector autoregressions
A new algorithm for structural restrictions in Bayesian vector autoregressions Open
A comprehensive methodology for inference in vector autoregressions (VARs) using sign and other structural restrictions is developed. The reduced-form VAR disturbances are driven by a few common factors and structural identification restri…
View article: Bayesian Approaches to Shrinkage and Sparse Estimation
Bayesian Approaches to Shrinkage and Sparse Estimation Open
In all areas of human knowledge, datasets are increasing in both size and complexity, creating the need for richer statistical models. This trend is also true for economic data, where high-dimensional and nonlinear/nonparametric inference …
View article: High-Dimensional Macroeconomic Forecasting Using Message Passing Algorithms
High-Dimensional Macroeconomic Forecasting Using Message Passing Algorithms Open
This article proposes two distinct contributions to econometric analysis of large information sets and structural instabilities. First, it treats a regression model with time-varying coefficients, stochastic volatility, and exogenous predi…
View article: Replication Data for: Energy Markets and Global Economic Conditions
Replication Data for: Energy Markets and Global Economic Conditions Open
Baumeister, Christiane, Korobilis, Dimitris, and Lee, Thomas K., (2022) “Energy Markets and Global Economic Conditions.” Review of Economics and Statistics 104:4, 828–844.
View article: Bayesian dynamic variable selection in high dimensions
Bayesian dynamic variable selection in high dimensions Open
This paper proposes a variational Bayes algorithm for computationally efficient posterior and predictive inference in time-varying parameter (TVP) models. Within this context we specify a new dynamic variable/model selection strategy for T…
View article: Exchange rate predictability and dynamic Bayesian learning
Exchange rate predictability and dynamic Bayesian learning Open
Summary We consider how an investor in the foreign exchange market can exploit predictive information by means of flexible Bayesian inference. Using a variety of vector autoregressive models, the investor is able, each period, to learn abo…
View article: Energy Markets and Global Economic Conditions
Energy Markets and Global Economic Conditions Open
This paper evaluates alternative indicators of global economic activity and other market fundamentals in terms of their usefulness for forecasting real oil prices and global petroleum consumption. We find that world industrial production i…
View article: tables.tar
tables.tar Open
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