Non-stationary Financial Risk Factors and Macroeconomic Vulnerability for the UK
Joint work with K. Varga.
Published in International Review of Financial Analysis, 2025
Publications
You can also find my articles on my Google Scholar profile.
Journal Articles
NiReMS: A regional model at household level combining spatial econometrics with dynamic microsimulation
Joint work with A. Bhattacharjee, A. Pabst, G.J.D. Hewings.
Published in Spatial Economic Analysis, 2024
Horseshoe prior Bayesian quantile regression
Joint work with D. Kohns.
Published in Journal of the Royal Statistical Society Series C: Applied Statistics, 2024
Revisiting vulnerable growth in the Euro Area: Identifying the role of financial conditions in the distribution
Joint work with K. Varga.
Published in Economics Letters, 2023
Books & Chapters
Stacking Regression for Time-Series, with an Application to Forecasting Quarterly US GDP Growth
Joint work with E. Ersoy, H. Li, M.E. Schaffer.
Published in Optimal Transport Statistics for Economics and Related Topics, 2023
Working Papers
Momentum Informed Inflation-at-Risk
Joint work with A. Bhattacharjee.
Preprint available at arxiv, 2024
Fused LASSO as Non-Crossing Quantile Regression
Joint work with A. Bhattacharjee, M.E. Schaffer.
Preprint available at arxiv, 2024
MIDAS-QR with 2-Dimensional Structure
Joint work with A. Bhattacharjee, M.E. Schaffer.
Preprint available at arxiv, 2024
Shrink then Sparsify: Identifying Drivers of Tail Risk
Joint work with D. Kohns.
Preprint available at arxiv, 2021
Work in Progress
Factor model based regional indices
Joint work with A. Bhattacharjee, A. Pabst, E.S. Gomes, R. Smith.