Classification: 1145: Time series analysis

Publications

Journal article

2019 Kubin, Ingrid, Zörner, Thomas, Gardini, Laura, Commendatore, Pasquale. 2019. A credit cycle model with market sentiments. Structural Change and Economic Dynamics. 50 159-174. (Details)
  Huber, Florian, Fischer, Manfred M., Piribauer, Philipp. 2019. The role of US-based FDI flows for global output dynamics. Macroeconomic Dynamics. 23 (3), 943-973. (Details)
2018 Huber, Florian, Fischer, Manfred M. 2018. A Markov switching factor-augmented VAR model for analyzing US business cycles and monetary policy. Oxford Bulletin of Economics and Statistics, 80 (3), 575-604. open access (Details)
  Breitfuß, Sebastian, Feldkircher, Martin, Huber, Florian. 2018. Changes in US Monetary Policy and its Transmission over the Last Century. German Economic Review, , (Details)
  Huber, Florian, De Luigi, Clara. 2018. Debt regimes and the effectiveness of monetary policy. Journal of Economic Dynamics & Control. 93 218-238. (Details)
  Meyer, Michael, Simsa, Ruth. 2018. Organizing the Unexpected: How Civil Society Organizations Dealt with the Refugee Crisis. Voluntas: International Journal of Voluntary and Nonprofit Organizations. 29 (6), 1159-1175. open access (Details)
2017 Huber, Florian, Piribauer, Philipp, Krisztin, Tamas. 2017. Forecasting Global Equity Indices using Large Bayesian VARs. Bulletin of Economic Research 69 (3), 288-308. (Details)
  Huber, Florian. 2017. Structural breaks in Taylor rule based exchange rate models - Evidence from threshold time varying parameter models. Economics Letters 150 (1), 48-52. (Details)
  Huber, Florian, Punzi, Maria Teresa. 2017. The shortage of safe assets in the US investment portfolio: Some international evidence. Journal of International Money and Finance 74, 318-336. (Details)
2016 Huber, Florian, Feldkircher, Martin. Forthcoming. Adaptive shrinkage in Bayesian vector autoregressive models. Journal of Business and Economic Statistics , (Details)
  Dovern, Jonas, Feldkircher, Martin, Huber, Florian. 2016. Does Joint Modeling of the World Economy Pay Off? Evaluating GVAR Forecasts from a Multivariate Perspective. Journal of Economic Dynamics & Control 70, 86-100. (Details)
2012 Taudes, Alfred, Rudloff, Christian. 2012. Integrating Inventory Control and a Price Change in the Presence of Reference Price Effects - A Two-Period Model. Mathematical Methods of Operations Reserarch (formerly: Zeitschrift für Operations Research (ZOR)) 75 (1): 29-65. (Details)

Contribution to conference proceedings

2018 Bala, Saimir, Mendling, Jan. 2018. Monitoring the Software Development Process with Process Mining. In Business Modeling and Software Design - 8th International Symposium, BMSD 2018, Vienna, Hrsg. Boris Shishkov, 432-442. Cham: Springer. (Details)
2017 Kusen, Ema, Strembeck, Mark, Cascavilla, Giuseppe, Conti, Mauro. 2017. Proceedings of the 2017 IEEE/ACM International Conference on Advances in Social Networks Analysis and Mining 2017. In On the Influence of Emotional Valence Shifts on the Spread of Information in Social Networks, Hrsg. Jana Diesner, Elena Ferrari, Guandong Xu , 321-324. Sydney, Australia: ACM Press. (Details)

Paper presented at an academic conference or symposium

2019 Zörner, Thomas. 2019. Predicting crypto-currencies using sparse non-Gaussian state space models. 2nd International Conference on Data Science in Finance with R, Vienna, Österreich, 18.09.-20.09. Invited Talk (Details)
  Zörner, Thomas. 2019. Stochastic model specification in Markov switching vector error correction models. Annual Meeting of the Austrian Economic Association (NOeG), Graz, Österreich, 25.04.-26.04. (Details)
  Zörner, Thomas. 2019. Stochastic model specification in Markov switching vector error correction models. 24th Spring Meeting of Young Economists (SMYE), Brüssel, Belgien, 11.04.-13.04. (Details)
  Zörner, Thomas. 2019. The Impact of Credit Market Sentiment Shocks: A TVAR approach. 11th NED (Conference on Nonlinear Economic Dynamics), Kiew, Ukraine, 04.09.-06.09. (Details)
1994 Hauser, Michael. 1994. A Note on the Generation, Estimation and Prediction of Stationary Processes. COMPSTAT 1994 - 11th Symposium on Computational Statistics, Wien, Österreich, 22.08.-26.08. (Details)
  Hauser, Michael, Kunst, Robert M. 1994. Forecasting the Arfima-Arch Model. European Meeting of the Econometric Society, Maastricht, Niederlande, 29.08.-02.09. (Details)
  Hauser, Michael. 1994. Small Sample Properties of the Kullback-Leibler Index for ARFIMA Models. ISF 94 - The Fourteenth Annual International Symposium on Forecasting, Stockholm, Schweden, 12.06.-15.06. (Details)
  Hauser, Michael, Hörmann, Wolfgang. 1994. The Simulation of Stationary Gaussian Processes. International Workshop on Mathematical Methods and Tools in Computer Simulations - MMTCS'94, St.Petersburg, Russische Föderation, 24.05.-28.05. (Details)

Poster presented at an academic conference or symposium

2016 Crespo Cuaresma, Jesus and Doppelhofer, Gernot and Feldkircher, Martin and Huber, Florian. 2016. US monetary policy in a globalized world. NBER-NSF time series workshop, Wien, Österreich, 25.9. - 26.9. (Details)

Working/discussion paper, preprint

2019 Böck, Maximilian, Zörner, Thomas. 2019. The Impact of Credit Market Sentiment Shocks – A TVAR Approach. WU Economics Working Paper Series, No. 288. (Details)

Projects

2018
Modeling and forecasting exchange rates in an unified econometric framework (2018-2020) (Details)
  • Geyer, Alois (Details)
  • Hristoforova, Sirma (Former researcher)
  • Huber, Florian (Former researcher)
  • Koller, Wolfgang (Former researcher)
  • Rudloff, Christian (Former researcher)
  • Wöckl, Jürgen (Details)
  • Zörner, Thomas (Details)