Recent journal and book publications
“Constructing Fan Charts from the Ragged Edge of SPF Forecasts.” With Gergely Ganics and Elmar Mertens. Review of Economics and Statistics, forthcoming. DOI
"Forecasting Core Inflation and its Goods, Housing, and Supercore Components." With Matthew V. Gordon and Saeed Zaman. International Journal of Central Banking, forthcoming. Link. Online appendix.
“Forecasting with Shadow-Rate VARs.” With Andrea Carriero, Elmar Mertens, and Massimiliano Marcellino. Quantitative Economics, 2025, 16(3); 795-822. DOI
“Specification Choices in Quantile Regression for Empirical Macroeconomics.” With Andrea Carriero and Massimiliano Marcellino. Journal of Applied Econometrics, 2025, 40(1); 57-73. DOI
“Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions.” With Andrea Carriero and Massimiliano Marcellino. Journal of Money, Credit, and Banking, 2024, 56(5): 1099-1127. DOI
“Addressing COVID-19 Outliers in BVARs with Stochastic Volatility.” With Andrea Carriero, Massimiliano Marcellino, and Elmar Mertens. Review of Economics and Statistics, 2024, 106(5): 1403-1417. DOI
“Investigating Growth at Risk Using a Multi-Country Non-Parametric Quantile Factor Model.” With Florian Huber, Gary Koop, Massimiliano Marcellino, and Michael Pfarrhofer. Journal of Business and Economic Statistics, 2024, 42(4): 1302-1317. DOI
“Forecasting US Inflation Using Bayesian Nonparametric Models.” With Florian Huber, Gary Koop, and Massimiliano Marcellino. Annals of Applied Statistics, 2024, 18(2): 1421-1444. DOI
“Tail Forecasting with Multivariate Bayesian Additive Regression Trees.” With Florian Huber, Gary Koop, Massimiliano Marcellino, and Michael Pfarrhofer. International Economic Review, 2023, 64 (3): 979-1022. DOI
“Macroeconomic Forecasting in a Multi-Country Context.” With Yu Bai, Andrea Carriero, and Massimiliano Marcellino. Journal of Applied Econometrics, 2022, 37(6): 1230-1255. DOI
“Nowcasting Tail Risks to Economic Activity at a Weekly Frequency.” With Andrea Carriero and Massimiliano Marcellino. Journal of Applied Econometrics, 2022, 37(5): 843-866. DOI
“Corrigendum to ‘Large Bayesian Vector Autoregressions with Stochastic Volatility and Non-Conjugate Priors.’” With Andrea Carriero and Massimiliano Marcellino. Journal of Econometrics, 2022, 227(2): 506-512. DOI
“Using Time-Varying Volatility for Identification in Vector Autoregressions: Endogenous Uncertainty.” With Andrea Carriero and Massimiliano Marcellino. Journal of Econometrics, 2021, 225(1): 47-73. DOI
“No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates.” With Andrea Carriero and Massimiliano Marcellino. Journal of Applied Econometrics, 2021, 36(5): 495-516. DOI
“Assessing International Commonality in Macroeconomic Uncertainty and Its Effects.” With Andrea Carriero and Massimiliano Marcellino. Journal of Applied Econometrics, 2020, 35(3): 273-293. DOI
“Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors.” With Michael W. McCracken and Elmar Mertens. Review of Economics and Statistics, 2020, 102(1): 17–33. DOI
“Large Bayesian Vector Autoregressions with Stochastic Volatility and Non-Conjugate Priors.” With Andrea Carriero and Massimiliano Marcellino. Journal of Econometrics, 2019, 212(1): 137-154. DOI
“Measuring Uncertainty and Its Impact on the Economy.” With Andrea Carriero and Massimiliano Marcellino. The Review of Economics and Statistics, 2018, 100(5): 799–815. DOI
“A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations.” With Joshua Chan and Gary Koop. Journal of Money, Credit, and Banking, 2018, 50(1): 5-53. DOI