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Michael Pfarrhofer

University of Salzburg (from arXiv:2207.12225, 2022) · ORCID · OpenAlex

40 papers in scope · 26 published · 29 on the econ.EM arXiv · 307 citations · h-index 8 (over the papers listed here)

Related authors

The 20 authors closest to this one in our weighted citation graph, most related first.

  1. Florian Huber
  2. Niko Hauzenberger
  3. Gary Koop
  4. Sofia Rafaela Maito Velasco
  5. Gregor Kastner
  6. Luca Rossini
  7. Karin Klieber
  8. Haroon Mumtaz
  9. Sylvia Frühwirth-Schnatter
  10. Philippe Goulet Coulombe
  11. Luca Onorante
  12. Massimiliano Marcellino
  13. Ting Tian
  14. Yukang Jiang
  15. Haisheng Yang
  16. Xueqin Wang
  17. Zhixi Xiong
  18. Łukasz Kwiatkowski
  19. Justyna Wróblewska
  20. John M. Maheu

Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md.

Papers

(27 of 40)

Nowcasting economic activity in European regions using a mixed-frequency dynamic factor model
published2025 · International Journal of Forecasting · first circulated 2024
with Luca Barbaglia, Lorenzo Frattarolo, Niko Hauzenberger, Dominik Hirschbühl, Florian Huber, Luca Onorante, Luca Tiozzo Pezzoli, Dominik Hirschbuehl
Paper profile International Journal of Forecasting arXiv:2401.10054
A Bayesian Gaussian Process Dynamic Factor Model
working paper2025 · arXiv
with Tony Chernis, Niko Hauzenberger, Haroon Mumtaz
Paper profile arXiv arXiv:2509.04928
Nonparametric mixed frequency monitoring macro-at-risk
published2025 · Economics Letters · 1 citations
with Massimiliano Marcellino
Economics Letters
Large Bayesian VARs for Binary and Censored Variables
working paper2025 · arXiv
with Joshua C. C. Chan
Paper profile arXiv arXiv:2506.01422
Scenario Analysis with Multivariate Bayesian Machine Learning Models
working paper2025 · arXiv · 1 citations
with Anna Stelzer
Paper profile arXiv arXiv:2502.08440
Belief Shocks and Implications of Expectations About Growth‐at‐Risk
published2025 · Journal of Applied Econometrics
with Maximilian Boeck
Journal of Applied Econometrics
High-frequency and heteroskedasticity identification in multicountry models: Revisiting spillovers of monetary shocks
published2025 · Macroeconomic Dynamics · first circulated 2019
with Anna Stelzer
Paper profile Macroeconomic Dynamics arXiv:1912.03158
Predicting Tail-Risks for the Italian Economy
published2024 · Journal of Business Cycle Research · 2 citations
with Maximilian Boeck, Massimiliano Marcellino, Tommaso Tornese
Journal of Business Cycle Research
General Seemingly Unrelated Local Projections
working paper2024 · arXiv · 1 citations
with Florian Huber, Christian Matthes
Paper profile arXiv arXiv:2410.17105
Asymmetries in Financial Spillovers
working paper2024 · arXiv
with Florian Huber, Karin Klieber, Massimiliano Marcellino, Luca Onorante
Paper profile arXiv arXiv:2410.16214
Sparse time-varying parameter VECMs with an application to modeling electricity prices
published2024 · International Journal of Forecasting · 1 citations · first circulated 2020
with Niko Hauzenberger, Luca Rossini
Paper profile International Journal of Forecasting arXiv:2011.04577
Nowcasting with Mixed Frequency Data Using Gaussian Processes
working paper2024 · arXiv · 4 citations
with Niko Hauzenberger, Massimiliano Marcellino, Anna Stelzer, Niko Hausenberger
Paper profile arXiv arXiv:2402.10574
Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model
published2024 · Journal of Business and Economic Statistics · 17 citations
with Todd E. Clark, Florian Huber, Gary Koop, Massimiliano Marcellino
Journal of Business and Economic Statistics
Financial markets and legal challenges to unconventional monetary policy
published2024 · European Economic Review · 2 citations
with Stefan Griller, Florian Huber
European Economic Review
Forecasts with Bayesian vector autoregressions under real time conditions
published2023 · Journal of Forecasting · 2 citations · first circulated 2020
Paper profile Journal of Forecasting arXiv:2004.04984
Forecasting euro area inflation using a huge panel of survey expectations
published2023 · International Journal of Forecasting · 3 citations · first circulated 2022
with Florian Huber, Luca Onorante
Paper profile International Journal of Forecasting arXiv:2207.12225
Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
published2023 · Empirical Economics
with Florian Huber, Gregor Kastner
Empirical Economics
A Bayesian panel vector autoregression to analyze the impact of climate shocks on high-income economies
published2023 · The Annals of Applied Statistics · 7 citations
with Florian Huber, Tamás Krisztin
The Annals of Applied Statistics
TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES
published2022 · International Economic Review · 44 citations · first circulated 2021
with Todd E. Clark, Florian Huber, Gary Koop, Massimiliano Marcellino
International Economic Review
General Bayesian time‐varying parameter vector autoregressions for modeling government bond yields
published2022 · Journal of Applied Econometrics · 12 citations
with Manfréd M. Fischer, Niko Hauzenberger, Florian Huber
Journal of Applied Econometrics
Modeling tail risks of inflation using unobserved component quantile regressions
published2022 · Journal of Economic Dynamics and Control · 18 citations · first circulated 2021
Paper profile Journal of Economic Dynamics and Control arXiv:2103.03632
APPROXIMATE BAYESIAN INFERENCE AND FORECASTING IN HUGE‐DIMENSIONAL MULTICOUNTRY VARs
published2022 · International Economic Review · 3 citations
with Martin Feldkircher, Florian Huber, Gary Koop
International Economic Review
Measuring International Uncertainty Using Global Vector Autoregressions with Drifting Parameters
published2022 · Macroeconomic Dynamics · 4 citations · first circulated 2019
Paper profile Macroeconomic Dynamics arXiv:1908.06325
On the effectiveness of the European Central Bank’s conventional and unconventional policies under uncertainty
published2021 · 2 citations · first circulated 2020
with Niko Hauzenberger, Anna Stelzer
publisher
Bayesian State‐Space Modeling for Analyzing Heterogeneous Network Effects of US Monetary Policy*
published2021 · Scandinavian Journal of Economics · 1 citations · first circulated 2019
with Niko Hauzenberger
Paper profile Scandinavian Journal of Economics arXiv:1911.06206
Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs
working paper2021 · arXiv
with Martin Feldkircher, Florian Huber, Gary Koop
Paper profile arXiv arXiv:2103.04944
General Bayesian time-varying parameter VARs for predicting government bond yields
working paper2021 · arXiv
with Manfréd M. Fischer, Niko Hauzenberger, Florian Huber
Paper profile arXiv arXiv:2102.13393
Measuring the effectiveness of US monetary policy during the COVID‐19 recession
published2021 · Scottish Journal of Political Economy · 2 citations · first circulated 2020
with Martin Feldkircher, Florian Huber
Paper profile Scottish Journal of Political Economy arXiv:2007.15419
Nowcasting in a pandemic using non-parametric mixed frequency VARs
published2020 · Journal of Econometrics · 81 citations
with Florian Huber, Gary Koop, Luca Onorante, Josef Schreiner
Paper profile Journal of Econometrics arXiv:2008.12706
Dynamic shrinkage in time‐varying parameter stochastic volatility in mean models
published2020 · Journal of Applied Econometrics
with Florian Huber
Paper profile Journal of Applied Econometrics arXiv:2005.06851
Stochastic model specification in Markov switching vector error correction models
published2020 · Studies in Nonlinear Dynamics and Econometrics · 10 citations · first circulated 2018
with Niko Hauzenberger, Florian Huber, Thomas O. Zörner
Paper profile Studies in Nonlinear Dynamics and Econometrics arXiv:1807.00529
Bayesian Inference in High-Dimensional Time-varying Parameter Models using Integrated Rotated Gaussian Approximations
working paper2020 · arXiv · 7 citations
with Florian Huber, Gary Koop
Paper profile arXiv arXiv:2002.10274
A multi‐country dynamic factor model with stochastic volatility for euro area business cycle analysis
published2020 · Journal of Forecasting · 1 citations
with Florian Huber, Philipp Piribauer
Paper profile Journal of Forecasting arXiv:2001.03935
The regional transmission of uncertainty shocks on income inequality in the United States
published2019 · 35 citations
with Manfréd M. Fischer, Florian Huber
publisher
The Dynamic Impact of Monetary Policy on Regional Housing Prices in the United States
published2019 · Real Estate Economics · 45 citations · first circulated 2018
with Manfréd M. Fischer, Florian Huber, Petra Staufer-Steinnocher
Real Estate Economics
Flexible shrinkage in high-dimensional Bayesian spatial autoregressive models
working paper2018 · arXiv
with Philipp Piribauer
Paper profile arXiv arXiv:1805.10822
A Bayesian panel VAR model to analyze the impact of climate change on high-income economies
working paper2018 · arXiv
with Florian Huber, Tamás Krisztin
Paper profile arXiv arXiv:1804.01554
The dynamic impact of monetary policy on regional housing prices in the US: Evidence based on factor-augmented vector autoregressions
working paper2018 · arXiv
with Manfréd M. Fischer, Florian Huber, Petra Staufer-Steinnocher
Paper profile arXiv arXiv:1802.05870
The transmission of uncertainty shocks on income inequality: State-level evidence from the United States
working paper2018 · arXiv
with Manfréd M. Fischer, Florian Huber
Paper profile arXiv arXiv:1806.08278
Implications of Macroeconomic Volatility in the Euro Area
working paper2018 · arXiv · 1 citations
with Niko Hauzenberger, Maximilian Böck, Anna Stelzer, Gregor Zens
Paper profile arXiv arXiv:1801.02925

Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.