The following contains a list of all academic papers published in international, peer-reviewed journals originating from research within the ZK35 project.
Hauzenberger, N., Huber, F., Koop, G., & Onorante, L. (2022). Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models. Journal of Business & Economic Statistics, Volume 40(4), 1904–1918. https://doi.org/10.1080/07350015.2021.1990772
@article{hhko2022jbes,
title = {Fast and Flexible {B}ayesian Inference in Time-varying Parameter Regression Models},
author = {Hauzenberger, Niko and Huber, Florian and Koop, Gary and Onorante, Luca},
journal = {Journal of Business \& Economic Statistics},
volume = {Volume 40},
number = {4},
pages = {1904-1918},
year = {2022},
doi = {10.1080/07350015.2021.1990772},
url = {https://doi.org/10.1080/07350015.2021.1990772}
}
Krisztin, T., & Piribauer, P. (2022). A Bayesian approach for the estimation of weight matrices in spatial autoregressive models. Spatial Economic Analysis, 1–20. https://doi.org/10.1080/17421772.2022.2095426
@article{krisztin2022bayesian,
title = {A Bayesian approach for the estimation of weight matrices in spatial autoregressive models},
author = {Krisztin, Tam{\'a}s and Piribauer, Philipp},
journal = {Spatial Economic Analysis},
pages = {1--20},
year = {2022},
publisher = {Taylor \& Francis},
url = {https://doi.org/10.1080/17421772.2022.2095426},
doi = {10.1080/17421772.2022.2095426}
}
Mozdzen, A., Cremaschi, A., Cadonna, A., Guglielmi, A., & Kastner, G. (2022). Bayesian modeling and clustering for spatio-temporal areal data: an application to Italian unemployment. Spatial Statistics, forthcoming.
@article{mccgk2022spasta,
title = {Bayesian modeling and clustering for spatio-temporal areal data: an application to Italian unemployment},
author = {Mozdzen, Alexander and Cremaschi, Andrea and Cadonna, Annalisa and Guglielmi, Alessandra and Kastner, Gregor},
journal = {Spatial Statistics},
volume = {forthcoming},
year = {2022}
}
Glocker, C., & Piribauer, P. (2021). Digitalization, retail trade and monetary policy. Journal of International Money and Finance, 112, 102340. https://doi.org/10.1016/j.jimonfin.2020.102340
@article{glocker2021digitalization,
title = {Digitalization, retail trade and monetary policy},
author = {Glocker, Christian and Piribauer, Philipp},
journal = {Journal of International Money and Finance},
volume = {112},
pages = {102340},
year = {2021},
url = {https://doi.org/10.1016/j.jimonfin.2020.102340},
doi = {10.1016/j.jimonfin.2020.102340},
publisher = {Elsevier}
}
Glocker, C., & Piribauer, P. (2021). The determinants of output losses during the Covid-19 pandemic. Economics Letters, 204, 109923. https://doi.org/10.1016/j.econlet.2021.109923
@article{glocker2021determinants,
title = {The determinants of output losses during the Covid-19 pandemic},
author = {Glocker, Christian and Piribauer, Philipp},
journal = {Economics Letters},
volume = {204},
pages = {109923},
year = {2021},
url = {https://doi.org/10.1016/j.econlet.2021.109923},
doi = {10.1016/j.econlet.2021.109923},
publisher = {Elsevier}
}
Hauzenberger, N. (2021). Flexible Mixture Priors for Large Time-varying Parameter Models. Econometrics and Statistics, 20, 87–108. https://doi.org/10.1016/j.ecosta.2021.06.001
@article{h2021ecosta,
title = {Flexible Mixture Priors for Large Time-varying Parameter Models},
author = {Hauzenberger, Niko},
journal = {Econometrics and Statistics},
volume = {20},
pages = {87--108},
year = {2021},
doi = {10.1016/j.ecosta.2021.06.001},
url = {https://www.sciencedirect.com/science/article/pii/S2452306221000654}
}
Hauzenberger, N., Huber, F., & Onorante, L. (2021). Combining shrinkage and sparsity in conjugate vector autoregressive models. Journal of Applied Econometrics, 36(3), 304–327. https://doi.org/10.1002/jae.2807
@article{hho2021combining,
author = {Hauzenberger, Niko and Huber, Florian and Onorante, Luca},
title = {Combining shrinkage and sparsity in conjugate vector autoregressive models},
journal = {Journal of Applied Econometrics},
volume = {36},
number = {3},
pages = {304-327},
doi = {10.1002/jae.2807},
url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/jae.2807},
year = {2021}
}
Hauzenberger, N., Pfarrhofer, M., & Stelzer, A. (2021). On the Effectiveness of the European Central Bank’s Conventional and Unconventional Policies under Uncertainty. Journal of Economic Behavior & Organization, 191, 822–845. https://doi.org/10.1016/j.jebo.2021.09.041
@article{hps2021jebo,
title = {On the Effectiveness of the {E}uropean Central Bank's Conventional and Unconventional Policies under Uncertainty},
author = {Hauzenberger, Niko and Pfarrhofer, Michael and Stelzer, Anna},
journal = {Journal of Economic Behavior \& Organization},
volume = {191},
pages = {822-845},
year = {2021},
doi = {10.1016/j.jebo.2021.09.041},
url = {https://www.sciencedirect.com/science/article/pii/S0167268121004261}
}
Hosszejni, D., & Kastner, G. (2021). Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol. Journal of Statistical Software, 100, 1–34. https://doi.org/10.18637/jss.v100.i12
@article{hk2021jstatsoft,
title = {Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol},
volume = {100},
url = {https://www.jstatsoft.org/index.php/jss/article/view/v100i12},
doi = {10.18637/jss.v100.i12},
journal = {Journal of Statistical Software},
author = {Hosszejni, Darjus and Kastner, Gregor},
year = {2021},
pages = {1–34}
}
Huber, F., & Pfarrhofer, M. (2021). Dynamic shrinkage in time-varying parameter stochastic volatility in mean models. Journal of Applied Econometrics, 36(2), 262–270. https://doi.org/10.1002/jae.2804
@article{hp2021jae,
author = {Huber, Florian and Pfarrhofer, Michael},
title = {Dynamic shrinkage in time-varying parameter stochastic volatility in mean models},
journal = {Journal of Applied Econometrics},
volume = {36},
number = {2},
pages = {262-270},
doi = {10.1002/jae.2804},
url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/jae.2804},
year = {2021}
}
Krisztin, T., & Piribauer, P. (2021). A Bayesian spatial autoregressive logit model with an empirical application to European regional FDI flows. Empirical Economics, 61(1), 231–257. https://doi.org/10.1007/s00181-020-01856-w
@article{krisztin2021bayesian,
author = {Krisztin, Tam{\'a}s and Piribauer, Philipp},
year = {2021},
title = {A Bayesian spatial autoregressive logit model with an empirical application to European regional FDI flows},
journal = {Empirical Economics},
doi = {10.1007/s00181-020-01856-w},
volume = {61},
number = {1},
pages = {231-257}
}
Krisztin, T., & Piribauer, P. (2021). Modelling European regional FDI flows using a Bayesian spatial Poisson interaction model. The Annals of Regional Science, 67(3), 593–616. https://doi.org/10.1007/s00181-020-01856-w
@article{krisztin2021modelling,
title = {Modelling European regional FDI flows using a Bayesian spatial Poisson interaction model},
author = {Krisztin, Tam{\'a}s and Piribauer, Philipp},
journal = {The Annals of Regional Science},
volume = {67},
number = {3},
pages = {593--616},
year = {2021},
url = {https://doi.org/10.1007/s00181-020-01856-w},
doi = {10.1007/s00181-020-01856-w},
publisher = {Springer}
}
Krisztin, T., Piribauer, P., & Wögerer, M. (2021). A spatial multinomial logit model for analysing urban expansion. Spatial Economic Analysis, 1–22. https://doi.org/10.1080/17421772.2021.1933579
@article{krisztin2021spatial,
title = {A spatial multinomial logit model for analysing urban expansion},
author = {Krisztin, Tam{\'a}s and Piribauer, Philipp and W{\"o}gerer, Michael},
journal = {Spatial Economic Analysis},
pages = {1--22},
year = {2021},
url = {https://doi.org/10.1080/17421772.2021.1933579},
doi = {10.1080/17421772.2021.1933579},
publisher = {Taylor \& Francis}
}
Rezitis, A. N., & Kastner, G. (2021). On the joint volatility dynamics in international dairy commodity markets. Australian Journal of Agricultural and Resource Economics, 65(3), 704–728. https://doi.org/10.1111/1467-8489.12433
@article{rezitis2021joint,
author = {Rezitis, Anthony N. and Kastner, Gregor},
title = {On the joint volatility dynamics in international dairy commodity markets},
journal = {Australian Journal of Agricultural and Resource Economics},
volume = {65},
number = {3},
pages = {704-728},
doi = {10.1111/1467-8489.12433},
url = {https://onlinelibrary.wiley.com/doi/abs/10.1111/1467-8489.12433},
year = {2021}
}
Bartocci, E., Bortolussi, L., Loreti, M., Nenzi, L., & Silvetti, S. (2020). MoonLight: A Lightweight Tool for Monitoring
Spatio-Temporal Properties. In J. Deshmukh & D. Nickovic (Eds.), Runtime Verification - 20th International Conference, RV 2020, Los Angeles, CA, USA, October 6-9, 2020, Proceedings (Vol. 12399, pp. 417–428). Springer. https://doi.org/10.1007/978-3-030-60508-7_23
@inproceedings{BBLNS_RV20,
author = {Bartocci, Ezio and Bortolussi, Luca and Loreti, Michele and Nenzi, Laura and Silvetti, Simone},
editor = {Deshmukh, Jyotirmoy and Nickovic, Dejan},
title = {MoonLight: {A} Lightweight Tool for Monitoring
Spatio-Temporal Properties},
booktitle = {Runtime Verification - 20th International Conference, {RV} 2020, Los Angeles, CA, USA, October 6-9, 2020, Proceedings},
series = {Lecture Notes in Computer Science},
volume = {12399},
pages = {417--428},
publisher = {Springer},
year = {2020},
url = {https://doi.org/10.1007/978-3-030-60508-7\_23},
doi = {10.1007/978-3-030-60508-7\_23},
timestamp = {Fri, 09 Oct 2020 16:55:46 +0200},
biburl = {https://dblp.org/rec/conf/rv/BartocciBLNS20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
Feldkircher, M., Gruber, T., & Huber, F. (2020). International effects of a compression of euro area yield curves. Journal of Banking & Finance, 113(4), 26–43. https://doi.org/10.1016/j.jbankfin.2019.03.017
@article{feldkircher2020international,
author = {Feldkircher, M. and Gruber, T. and Huber, F.},
year = {2020},
title = {International effects of a compression of euro area yield curves},
journal = {Journal of Banking \& Finance},
volume = {113},
number = {4},
pages = {26-43},
doi = {10.1016/j.jbankfin.2019.03.017}
}
Fischer, M. M., Huber, F., & Pfarrhofer, M. (2020). The regional transmission of uncertainty shocks on income inequality in the United States. Journal of Economic Behavior & Organization. https://doi.org/10.1016/j.jebo.2019.03.004
@article{fischer2019regional,
title = {The regional transmission of uncertainty shocks on income inequality in the United States},
journal = {Journal of Economic Behavior \& Organization},
year = {2020},
doi = {10.1016/j.jebo.2019.03.004},
author = {Fischer, Manfred M. and Huber, Florian and Pfarrhofer, Michael}
}
Hauzenberger, N., Huber, F., Pfarrhofer, M., & Zörner, T. O. (2020). Stochastic model specification in Markov switching vector error correction models. Studies in Nonlinear Dynamics and Econometrics. https://doi.org/10.1515/snde-2018-0069
@article{hauzenberger2020investigating,
author = {Hauzenberger, N. and Huber, F. and Pfarrhofer, M. and Zörner, T.O.},
title = {Stochastic model specification in Markov switching vector error correction models},
journal = {Studies in Nonlinear Dynamics and Econometrics},
doi = {10.1515/snde-2018-0069},
eprint = {1807.00529},
archiveprefix = {arXiv},
primaryclass = {econ.EM},
year = {2020}
}
Hauzenberger, N., & Huber, F. (2020). Model instability in predictive exchange rate regressions. Journal of Forecasting, 39(2), 168–186. https://doi.org/10.1002/for.2620
@article{hauzenberger2020model,
author = {Hauzenberger, Niko and Huber, Florian},
title = {Model instability in predictive exchange rate regressions},
journal = {Journal of Forecasting},
volume = {39},
number = {2},
pages = {168-186},
keywords = {empirical exchange rate models, exchange rate fundamentals, Markov switching},
doi = {10.1002/for.2620},
url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/for.2620},
year = {2020}
}
Hauzenberger, N., & Pfarrhofer, M. (2020). Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy. Scandinavian Journal of Economics, (forthcoming). https://arxiv.org/abs/1911.06206
@article{hauzenberger2020bayesianstatespace,
title = {Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy},
author = {Hauzenberger, Niko and Pfarrhofer, Michael},
year = {2020},
journal = {Scandinavian Journal of Economics},
number = {(forthcoming)},
url = {https://arxiv.org/abs/1911.06206}
}
Hirk, R., Kastner, G., & Vana, L. (2020). Investigating the dark figure of COVID-19 cases in Austria: Borrowing
from the deCODE genetics study in Iceland. Austrian Journal of Statistics, 49(5), 1–17. https://doi.org/10.17713/ajs.v49i4.1142
@article{hirk2020covid,
title = {Investigating the dark figure of {COVID-19} cases in {A}ustria: {B}orrowing
from the {deCODE} genetics study in {I}celand},
author = {Hirk, Rainer and Kastner, Gregor and Vana, Laura},
year = {2020},
journal = {Austrian Journal of Statistics},
volume = {49},
number = {5},
pages = {1--17},
url = {https://ajs.or.at/index.php/ajs/article/view/1142},
doi = {10.17713/ajs.v49i4.1142}
}
Huber, F., Koop, G., Pfarrhofer, M., Onorante, L., & Schreiner, J. (2020). Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs. Journal of Econometrics, (forthcoming). https://arxiv.org/pdf/2008.12706.pdf
@article{huber2020nowcasting,
author = {Huber, F. and Koop, G. and Pfarrhofer, M. and Onorante, L. and Schreiner, Josef},
year = {2020},
title = {Nowcasting in a Pandemic using Non-Parametric Mixed Frequency {VARs}},
journal = {Journal of Econometrics},
number = {(forthcoming)},
url = {https://arxiv.org/pdf/2008.12706.pdf}
}
Huber, F., Koop, G., & Onorante, L. (2020). Inducing Sparsity and Shrinkage in Time-Varying Parameter Models. Journal of Business & Economic Statistics, 1–15. https://doi.org/10.1080/07350015.2020.1713796
@article{huber2020inducing,
author = {Huber, Florian and Koop, Gary and Onorante, Luca},
title = {Inducing Sparsity and Shrinkage in Time-Varying Parameter Models},
journal = {Journal of Business \& Economic Statistics},
%volume = {0},
%number = {0},
pages = {1-15},
year = {2020},
publisher = {Taylor \& Francis},
doi = {10.1080/07350015.2020.1713796},
url = {https://doi.org/10.1080/07350015.2020.1713796}
}
Huber, F., Pfarrhofer, M., & Piribauer, P. (2020). A multi-country dynamic factor model with stochastic volatility for euro area business cycle analysis. Journal of Forecasting, 39(6), 911–926. https://doi.org/10.1002/for.2667
@article{huber2020multi,
author = {Huber, Florian and Pfarrhofer, Michael and Piribauer, Philipp},
title = {A multi-country dynamic factor model with stochastic volatility for euro area business cycle analysis},
journal = {Journal of Forecasting},
volume = {39},
number = {6},
pages = {911-926},
year = {2020},
keywords = {European business cycles, dynamic factor model, factor stochastic, volatility, inflation forecasting},
doi = {10.1002/for.2667},
url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/for.2667}
}
Kastner, G., & Huber, F. (2020). Sparse Bayesian Vector Autoregressions in Huge Dimensions. Journal of Forecasting. https://doi.org/10.1002/for.2680
@article{kastner2020sparse,
author = {Kastner, Gregor and Huber, Florian},
title = {Sparse {B}ayesian Vector Autoregressions in Huge Dimensions},
journal = {Journal of Forecasting},
year = {2020},
doi = {10.1002/for.2680},
url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/for.2680},
eprint = {1704.03239},
archiveprefix = {arXiv},
primaryclass = {stat.CO}
}
Krisztin, T., Piribauer, P., & Wögerer, M. (2020). The spatial econometrics of the coronavirus pandemic. Letters in Spatial and Resource Sciences, 13(3), 209–218. https://doi.org/10.1007/s12076-020-00254-1
@article{krisztin2020,
title = {The spatial econometrics of the coronavirus pandemic},
author = {Krisztin, T. and Piribauer, P. and Wögerer, M.},
year = {2020},
journal = {Letters in Spatial and Resource Sciences},
volume = {13},
number = {3},
pages = {209-218},
doi = {10.1007/s12076-020-00254-1}
}
Nenzi, L., Bartocci, E., Bortolussi, L., Loreti, M., & Visconti, E. (2020). Monitoring Spatio-Temporal Properties (Invited Tutorial). In J. Deshmukh & D. Nickovic (Eds.), Runtime Verification - 20th International Conference, RV
2020, Los
Angeles, CA, USA, October 6-9, 2020, Proceedings (Vol. 12399, pp. 21–46). Springer. https://doi.org/10.1007/978-3-030-60508-7_2
@inproceedings{NenziBBLV_RV20,
author = {Nenzi, Laura and Bartocci, Ezio and Bortolussi, Luca and Loreti, Michele and Visconti, Ennio},
editor = {Deshmukh, Jyotirmoy and Nickovic, Dejan},
title = {Monitoring Spatio-Temporal Properties (Invited Tutorial)},
booktitle = {Runtime Verification - 20th International Conference, {RV}
2020, Los
Angeles, CA, USA, October 6-9, 2020, Proceedings},
series = {Lecture Notes in Computer Science},
volume = {12399},
pages = {21--46},
publisher = {Springer},
year = {2020},
url = {https://doi.org/10.1007/978-3-030-60508-7\_2},
doi = {10.1007/978-3-030-60508-7\_2},
timestamp = {Fri, 09 Oct 2020 16:55:46 +0200},
biburl = {https://dblp.org/rec/conf/rv/NenziBBLV20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
Nikravech, M., Kwan, V., Dobernig, K., Wilhelm-Rechmann, A., & Langen, N. (2020). Limiting food waste via grassroots initiatives as a potential for climate change mitigation: a systematic review. Environmental Research Letters. https://doi.org/10.1088/1748-9326/aba2fe
@article{nikravech2020,
author = {Nikravech, Mariam and Kwan, Valerie and Dobernig, Karin and Wilhelm-Rechmann, Angelika and Langen, Nina},
title = {Limiting food waste via grassroots initiatives as a potential for climate change mitigation: a systematic review},
journal = {Environmental Research Letters},
url = {http://iopscience.iop.org/10.1088/1748-9326/aba2fe},
year = {2020},
doi = {10.1088/1748-9326/aba2fe}
}
Visconti, E., Tsigkanos, C., Hu, Z., & Ghezzi, C. (2019). Model-driven design of city spaces via bidirectional transformations. 2019 ACM/IEEE 22nd International Conference on Model Driven Engineering Languages and Systems (MODELS), 45–55. https://doi.org/10.1007/s10270-020-00851-0
@inproceedings{visconti2019model,
title = {Model-driven design of city spaces via bidirectional transformations},
author = {Visconti, Ennio and Tsigkanos, Christos and Hu, Zhenjiang and Ghezzi, Carlo},
booktitle = {2019 ACM/IEEE 22nd International Conference on Model Driven Engineering Languages and Systems (MODELS)},
pages = {45--55},
year = {2019},
organization = {IEEE},
doi = {10.1007/s10270-020-00851-0}
}
Vissat, L. L., Loreti, M., Nenzi, L., Hillston, J., & Marion, G. (2019). Analysis of Spatio-Temporal Properties of Stochastic Systems Using TSTL. ACM Trans. Model. Comput. Simul., 29(4). https://doi.org/10.1145/3326168
@article{vissat2019,
author = {Vissat, Ludovica Luisa and Loreti, Michele and Nenzi, Laura and Hillston, Jane and Marion, Glenn},
title = {Analysis of Spatio-Temporal Properties of Stochastic Systems Using TSTL},
year = {2019},
volume = {29},
number = {4},
issn = {1049-3301},
doi = {10.1145/3326168},
journal = {ACM Trans. Model. Comput. Simul.},
month = dec,
articleno = {Article 20}
}
Book chapters
Feldkircher, M., Huber, F., & Pfarrhofer, M. (2020). Factor Augmented Vector Autoregressions, Panel VARs, and Global VARs. In Macroeconomic Forecasting in the Era of Big Data (pp. 65–93). Springer.
@incollection{feldkircher2020factor,
title = {Factor Augmented Vector Autoregressions, Panel VARs, and Global VARs},
author = {Feldkircher, Martin and Huber, Florian and Pfarrhofer, Michael},
booktitle = {Macroeconomic Forecasting in the Era of Big Data},
pages = {65--93},
year = {2020},
publisher = {Springer}
}
