Flexible Bayesian MIDAS: Time-Variation, Group-Shrinkage and Sparsity. doi
with G. Potjagailo in Journal of Business and Economic Statistics 17(1), 2025.
Publications in refereed journals
The ARR2 Prior: Flexible Predictive Prior Definition for Bayesian Auto-Regressions. doi
with N. Kallioinen, Yann McLatchie and Aki Vehtari in Bayesian Analysis 1(1), 2025.
Horseshoe prior Bayesian quantile regression. doi
T. Szendrei in Journal of the Royal Statistical Society Series C: Applied Statistics 0035-9254, 2024.
Nowcasting growth using Google Trends data: A Bayesian Structural Time Series model. doi
with A. Bhattacharjee in International Journal of Forecasting 39(3), 2023.
A Theory-based Lasso for time-series data. doi
with A.Ahrens,C. Aitken, J. Ditzen, E. Ersoy, M.E. Schaffer in Data Science for Financial Econometrics vol 898, 2021.
Publications in institutional journals
Flexible Bayesian MIDAS: time‑variation, group‑shrinkage and sparsity.
with G. Potjagailo Bank of England Staff WP Series,No. 1,025, 2023.
Nowcasting Growth using Google Trends Data: A Bayesian Structural Time Series Model.
A. Bhattacharjee, NIESR Publications No. 538, 2022.