Michael Pfarrhofer

University of Salzburg - Department of Economics and Social Sciences

Residenzplatz 9

Salzburg, 5010

Austria

SCHOLARLY PAPERS

4

DOWNLOADS

198

SSRN CITATIONS

7

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Tail Forecasting with Multivariate Bayesian Additive Regression Trees

FRB of Cleveland Working Paper No. 21-08R
Number of pages: 61 Posted: 22 Mar 2021 Last Revised: 13 Jul 2022
Federal Reserve Bank of Cleveland, University of Salzburg, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, Bocconi University and University of Salzburg - Department of Economics and Social Sciences
Downloads 134 (309,618)
Citation 1

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Nonparametric VAR, regression trees, macroeconomic forecasting, scenario analysis

2.

Nowcasting in a Pandemic Using Non-Parametric Mixed Frequency VARs

ECB Working Paper No. 2021/2510
Number of pages: 42 Posted: 05 Mar 2021
University of Salzburg, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, Joint Research Centre, Italy, University of Salzburg - Department of Economics and Social Sciences and Oesterreichische Nationalbank (OeNB)
Downloads 25 (699,597)
Citation 7

Abstract:

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3.

The Dynamic Impact of Monetary Policy on Regional Housing Prices in the US: Evidence Based on Factor-augmented Vector Autoregressions

Number of pages: 22 Posted: 28 Feb 2018
Vienna University of Economics and Business - Institute for Economic Geography and GIScience, Department of Socioeconomics, University of Salzburg, University of Salzburg - Department of Economics and Social Sciences and University of Vienna - Department of Economics
Downloads 22 (723,336)

Abstract:

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Regional housing prices, metropolitan regions, Bayesian estimation

4.

Implications of Macroeconomic Volatility in the Euro Area

ESRB: Working Paper Series No. 2018/80
Number of pages: 18 Posted: 05 Nov 2020
University of Salzburg, Vienna University of Economics and Business, University of Salzburg - Department of Economics and Social Sciences, Vienna University of Economics and Business and Vienna University of Economics and Business
Downloads 17 (765,854)

Abstract:

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Bayesian vector autoregressive models, factor stochastic volatility, un-certainty shocks