Joshua C.C. Chan : Citation Profile


Are you Joshua C.C. Chan?

Purdue University

19

H index

24

i10 index

1158

Citations

RESEARCH PRODUCTION:

38

Articles

77

Papers

2

Books

3

Chapters

RESEARCH ACTIVITY:

   17 years (2005 - 2022). See details.
   Cites by year: 68
   Journals where Joshua C.C. Chan has often published
   Relations with other researchers
   Recent citing documents: 195.    Total self citations: 65 (5.31 %)

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   Permalink: http://citec.repec.org/pch840
   Updated: 2022-10-01    RAS profile: 2022-08-26    
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Relations with other researchers


Works with:

Eisenstat, Eric (14)

Strachan, Rodney (10)

Koop, Gary (7)

Leon-Gonzalez, Roberto (5)

Grant, Angelia (3)

Cross, Jamie (2)

Yu, Xuewen (2)

Benati, Luca (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Joshua C.C. Chan.

Is cited by:

Koop, Gary (45)

Korobilis, Dimitris (40)

Poon, Aubrey (33)

Cross, Jamie (30)

Ricco, Giovanni (23)

Huber, Florian (23)

Rodríguez, Gabriel (21)

JAWADI, Fredj (21)

Ftiti, Zied (21)

Miranda-Agrippino, Silvia (20)

Barnett, William (19)

Cites to:

Koop, Gary (136)

Korobilis, Dimitris (60)

Strachan, Rodney (57)

Clark, Todd (49)

Sargent, Thomas (47)

Cogley, Timothy (46)

Eisenstat, Eric (45)

Giannone, Domenico (44)

Reichlin, Lucrezia (33)

Shephard, Neil (28)

Leon-Gonzalez, Roberto (27)

Main data


Where Joshua C.C. Chan has published?


Journals with more than one article published# docs
Journal of Applied Econometrics7
Journal of Business & Economic Statistics4
Journal of Econometrics3
Journal of Money, Credit and Banking3
Econometric Reviews3
Journal of Economic Dynamics and Control3
International Journal of Forecasting2
Computational Statistics & Data Analysis2
Studies in Nonlinear Dynamics & Econometrics2
Economics Letters2

Working Papers Series with more than one paper published# docs
Working Paper series / Rimini Centre for Economic Analysis7
Papers / arXiv.org7
Working Papers / University of Strathclyde Business School, Department of Economics4
SIRE Discussion Papers / Scottish Institute for Research in Economics (SIRE)4
Working Paper Series / Economics Discipline Group, UTS Business School, University of Technology, Sydney3
MPRA Paper / University Library of Munich, Germany3
GRIPS Discussion Papers / National Graduate Institute for Policy Studies2

Recent works citing Joshua C.C. Chan (2022 and 2021)


YearTitle of citing document
2021The Transmission of Monetary Policy Shocks. (2021). Ricco, Giovanni ; Miranda-Agrippino, Silvia. In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:13:y:2021:i:3:p:74-107.

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2022Online Inference for Advertising Auctions. (2019). Xu, Nan ; Carrion, Carlos ; Nair, Harikesh S ; Waisman, Caio. In: Papers. RePEc:arx:papers:1908.08600.

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2021The Macroeconomy as a Random Forest. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2006.12724.

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2021Inference in Bayesian Additive Vector Autoregressive Tree Models. (2020). Huber, Florian ; Rossini, Luca. In: Papers. RePEc:arx:papers:2006.16333.

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2021Time-Varying Parameters as Ridge Regressions. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2009.00401.

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2022Developments on the Bayesian Structural Time Series Model: Trending Growth. (2020). Kohns, David ; Bhattacharjee, Arnab. In: Papers. RePEc:arx:papers:2011.00938.

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2021Real-time Inflation Forecasting Using Non-linear Dimension Reduction Techniques. (2020). Huber, Florian ; Hauzenberger, Niko ; Klieber, Karin. In: Papers. RePEc:arx:papers:2012.08155.

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2021General Bayesian time-varying parameter VARs for predicting government bond yields. (2021). Pfarrhofer, Michael ; Huber, Florian ; Hauzenberger, Niko ; Fischer, Manfred M. In: Papers. RePEc:arx:papers:2102.13393.

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2021Forecasting high-frequency financial time series: an adaptive learning approach with the order book data. (2021). Yang, Parley Ruogu. In: Papers. RePEc:arx:papers:2103.00264.

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2021Tail forecasts of inflation using time-varying parameter quantile regressions. (2021). Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:2103.03632.

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2021Vector autoregression models with skewness and heavy tails. (2021). Karlsson, Sune ; Nguyen, Hoang ; Mazur, Stepan. In: Papers. RePEc:arx:papers:2105.11182.

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2022Variational Bayes in State Space Models: Inferential and Predictive Accuracy. (2022). Loaiza Maya, Rubén ; Martin, Gael M ; Loaiza-Maya, Ruben ; Frazier, David T. In: Papers. RePEc:arx:papers:2106.12262.

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2021Subspace Shrinkage in Conjugate Bayesian Vector Autoregressions. (2021). Huber, Florian ; Koop, Gary. In: Papers. RePEc:arx:papers:2107.07804.

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2021Estimating high-dimensional Markov-switching VARs. (2021). Maung, Kenwin. In: Papers. RePEc:arx:papers:2107.12552.

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2021Implicit Copulas: An Overview. (2021). Smith, Michael Stanley. In: Papers. RePEc:arx:papers:2109.04718.

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2022Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty. (2021). Marcellino, Massimiliano ; Petz, Nico ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2112.01995.

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2021Bayesian Approaches to Shrinkage and Sparse Estimation. (2021). Korobilis, Dimitris ; Shimizu, Kenichi. In: Papers. RePEc:arx:papers:2112.11751.

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2022The Time-Varying Multivariate Autoregressive Index Model. (2022). Cubadda, Gianluca ; Guardabascio, B ; Grassi, S. In: Papers. RePEc:arx:papers:2201.07069.

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2022A Neural Phillips Curve and a Deep Output Gap. (2022). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2202.04146.

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2022Neural Generalised AutoRegressive Conditional Heteroskedasticity. (2022). Yin, Zexuan ; Barucca, Paolo. In: Papers. RePEc:arx:papers:2202.11285.

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2022Sparse multivariate modeling for stock returns predictability. (2022). Bernardi, Mauro ; Bianco, Nicolas ; Bianchi, Daniele. In: Papers. RePEc:arx:papers:2202.12644.

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2022Variational Heteroscedastic Volatility Model. (2022). Barucca, Paolo ; Yin, Zexuan. In: Papers. RePEc:arx:papers:2204.05806.

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2022Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!. (2022). Kastner, Gregor ; Gruber, Luis. In: Papers. RePEc:arx:papers:2206.04902.

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2022Forecasting euro area inflation using a huge panel of survey expectations. (2022). Pfarrhofer, Michael ; onorante, luca ; Huber, Florian. In: Papers. RePEc:arx:papers:2207.12225.

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2022Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market. (2022). Grzeszkiewicz, Karolina ; Koziell, Warrick Poklewski ; de Iorio, Maria ; Beskos, Alexandros ; Franzolini, Beatrice. In: Papers. RePEc:arx:papers:2208.00952.

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2022Comparing Stochastic Volatility Specifications for Large Bayesian VARs. (2022). , Joshua. In: Papers. RePEc:arx:papers:2208.13255.

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2021Lessons from estimating the average option-implied volatility term structure for the Spanish banking sector. (2021). Gonzalez-Perez, Maria T. In: Working Papers. RePEc:bde:wpaper:2128.

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2021Do inflation expectations improve model-based inflation Forecasts?. (2021). Menz, Jan-Oliver ; Leiva-Leon, Danilo ; Babura, Marta. In: Working Papers. RePEc:bde:wpaper:2138.

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2022Assessing the impact of diversity and ageing population on health expenditure of United States. (2022). Arshed, Noman ; Anwar, Muhammad Awais ; Yousaf, Ruhamah ; Amin, Saqib. In: International Journal of Health Planning and Management. RePEc:bla:ijhplm:v:37:y:2022:i:2:p:913-929.

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2021Whole?life embodied carbon in multistory buildings: Steel, concrete and timber structures. (2021). Pomponi, Francesco ; D'Amico, Bernardino ; Hart, Jim. In: Journal of Industrial Ecology. RePEc:bla:inecol:v:25:y:2021:i:2:p:403-418.

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2021AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME?SERIES ECONOMETRICS. (2021). Nonejad, Nima. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:566-614.

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2021Bayesian criterion?based variable selection. (2021). Ghosh, Santu ; Basu, Sanjib ; Maity, Arnab Kumar. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:70:y:2021:i:4:p:835-857.

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2021A Trendy Approach to UK Inflation Dynamics. (2021). Theodoridis, Konstantinos ; Kirkham, Lewis ; Forbes, Kristin. In: Manchester School. RePEc:bla:manchs:v:89:y:2021:i:s1:p:23-75.

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2021Bayesian estimation of the Eurozone currency union effect. (2021). Guo, Meixin ; Carpio, Ronaldo. In: Review of International Economics. RePEc:bla:reviec:v:29:y:2021:i:3:p:511-532.

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2022Bayesian model selection for multilevel mediation models. (2022). Twisk, Jos ; Heymans, Martijn ; Huisman, Martijn ; Verbeke, Geert ; Lesaffre, Emmanuel ; Ariyo, Oludare. In: Statistica Neerlandica. RePEc:bla:stanee:v:76:y:2022:i:2:p:219-235.

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2021Quantifying time-varying forecast uncertainty and risk for the real price of oil. (2021). Cross, Jamie L ; Aastveit, Knut Are ; van Dijk, Herman K. In: Working Paper. RePEc:bno:worpap:2021_3.

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2021OPECs crude game: Strategic Competition and Regime-switching in Global Oil Markets. (2021). Gundersen, Thomas ; Hvinden, Even Soltvedt. In: Working Papers. RePEc:bny:wpaper:0096.

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2021Quantifying time-varying forecast uncertainty and risk for the real price of oil. (2021). Djik, Herman K ; Cross, Jamie ; Aastveit, Knut Are. In: Working Papers. RePEc:bny:wpaper:0099.

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2021Macroeconomic Forecasting with Large Stochastic Volatility in Mean VARs. (2021). Koop, Gary ; Hou, Chenghan ; Cross, Jamie L. In: Working Papers. RePEc:bny:wpaper:0100.

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2021The importance of supply and demand for oil prices: evidence from non-Gaussianity. (2021). Braun, Robin. In: Bank of England working papers. RePEc:boe:boeewp:0957.

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2021Inflation dynamics and forecast : frequency matters. (2021). Verona, Fabio ; Martins, Manuel. In: Research Discussion Papers. RePEc:bof:bofrdp:2021_008.

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2021Macroeconomic Changes with Declining Trend Inflation: Complementarity with the Superstar Firm Hypothesis. (2021). Kurozumi, Takushi ; van Zandweghe, Willem. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp21e13.

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2022Forecasting Inflation with a Zero Lower Bound or Negative Interest Rates: Evidence from Point and Density Forecasts. (2022). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9687.

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2022Quarterly GDP Estimates for the German States. (2022). Wikman, Ida ; Lehmann, Robert. In: ifo Working Paper Series. RePEc:ces:ifowps:_370.

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2021Understanding low inflation in the euro area from 2013 to 2019: cyclical and structural drivers. (2021). Smets, Frank ; Osbat, Chiara ; Koester, Gerrit ; Nickel, Christiane ; Lis, Eliza. In: Occasional Paper Series. RePEc:ecb:ecbops:2021280.

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2021Combining Bayesian VARs with survey density forecasts: does it pay off?. (2021). Ravazzolo, Francesco ; Paredes, Joan ; Brenna, Federica ; Babura, Marta. In: Working Paper Series. RePEc:ecb:ecbwps:20212543.

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2021The COVID-19 shock and challenges for time series models. (2021). Hartwig, Benny ; Bobeica, Elena. In: Working Paper Series. RePEc:ecb:ecbwps:20212558.

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2021ECB communication as a stabilization and coordination device: evidence from ex-ante inflation uncertainty. (2021). Fernandes, Cecilia Melo. In: Working Paper Series. RePEc:ecb:ecbwps:20212582.

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2021The time-varying evolution of inflation risks. (2021). Korobilis, Dimitris ; Phella, Anthoulla ; Musso, Alberto ; Landau, Bettina. In: Working Paper Series. RePEc:ecb:ecbwps:20212600.

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2021A mixed frequency BVAR for the euro area labour market. (2021). Foroni, Claudia ; Hernandez, Catalina Martinez ; Consolo, Agostino. In: Working Paper Series. RePEc:ecb:ecbwps:20212601.

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2021Do inflation expectations improve model-based inflation forecasts?. (2021). Menz, Jan-Oliver ; Leiva-Leon, Danilo ; Banbura, Marta ; Babura, Marta. In: Working Paper Series. RePEc:ecb:ecbwps:20212604.

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2022Measuring trend inflation in India. (2022). Behera, Harendra ; Patra, Michael Debabrata. In: Journal of Asian Economics. RePEc:eee:asieco:v:80:y:2022:i:c:s1049007822000331.

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2021Proxy Vector Autoregressions in a Data-rich Environment. (2021). Bruns, Martin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:123:y:2021:i:c:s0165188920302141.

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2021The horseshoe prior for time-varying parameter VARs and Monetary Policy. (2021). Pruser, Jan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:129:y:2021:i:c:s0165188921001238.

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2021Long-term inflation expectations and the transmission of monetary policy shocks: Evidence from a SVAR analysis. (2021). Nautz, Dieter ; Diegel, Max. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:130:y:2021:i:c:s0165188921001275.

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2022The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises. (2022). Shang, Fei. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:137:y:2022:i:c:s0165188922000604.

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2021Policy uncertainty and sectoral stock market volatility in China. (2021). Ding, Hui ; Li, Xiao-Lin ; Zhao, Bing ; Si, Deng-Kui. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:69:y:2021:i:c:p:557-573.

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2021Bayesian TVP-VARX models with time invariant long-run multipliers. (2021). Polbin, Andrey ; Belomestny, Denis ; Krymova, Ekaterina. In: Economic Modelling. RePEc:eee:ecmode:v:101:y:2021:i:c:s0264999321001206.

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2021Returns, volatility and the cryptocurrency bubble of 2017–18. (2021). Cross, Jamie ; Trinh, Kelly ; Hou, Chenghan. In: Economic Modelling. RePEc:eee:ecmode:v:104:y:2021:i:c:s0264999321002327.

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2021Forecasting natural gas prices using highly flexible time-varying parameter models. (2021). Nguyen, Bao H ; Hou, Chenghan ; Gao, Shen. In: Economic Modelling. RePEc:eee:ecmode:v:105:y:2021:i:c:s0264999321002418.

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2022Consumption–investment comovement and the dynamic impact of monetary policy uncertainty in China. (2022). Jianhao, Lin ; Zixiang, Zhu ; Ran, Gao. In: Economic Modelling. RePEc:eee:ecmode:v:113:y:2022:i:c:s0264999322001547.

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2021Mixed-frequency SV model for stock volatility and macroeconomics. (2021). Zheng, Tingguo ; Shang, Yuhuang. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:462-472.

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2021Is there one safe-haven for various turbulences? The evidence from gold, Bitcoin and Ether. (2021). Kliber, Agata ; Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000243.

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2021Jump Interdependencies: Stochastic linkages among international stock markets. (2021). Prasanna, Krishna ; Kshatriya, Saranya. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000528.

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2021Predicting equity premium using dynamic model averaging. Does the state–space representation matter?. (2021). Nonejad, Nima. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s106294082100070x.

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2021A Bayesian robust chi-squared test for testing simple hypotheses. (2021). Tapinar, Suleyman ; Doan, Osman ; Bera, Anil K. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:2:p:933-958.

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2021Simple estimators and inference for higher-order stochastic volatility models. (2021). Dufour, Jean-Marie ; Ahsan, Md Nazmul. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:181-197.

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2021Boosting high dimensional predictive regressions with time varying parameters. (2021). Ng, Serena ; Yousuf, Kashif. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:60-87.

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2021Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty. (2021). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea. In: Journal of Econometrics. RePEc:eee:econom:v:225:y:2021:i:1:p:47-73.

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2021Multivariate stochastic volatility using the HESSIAN method. (2021). Pelletier, Denis ; McCausland, William ; Miller, Shirley . In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:76-94.

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2021Bayesian inference for a single factor copula stochastic volatility model using Hamiltonian Monte Carlo. (2021). Czado, Claudia ; Kreuzer, Alexander. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:130-150.

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2021Flexible Mixture Priors for Large Time-varying Parameter Models. (2021). Hauzenberger, Niko. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:87-108.

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2022Estimation of large dimensional time varying VARs using copulas. (2022). Tsionas, Mike ; Trapani, Lorenzo ; Izzeldin, Marwan. In: European Economic Review. RePEc:eee:eecrev:v:141:y:2022:i:c:s0014292121002439.

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2022Macroeconomic changes with declining trend inflation: Complementarity with the superstar firm hypothesis. (2022). Kurozumi, Takushi ; van Zandweghe, Willem. In: European Economic Review. RePEc:eee:eecrev:v:141:y:2022:i:c:s0014292121002725.

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2021Large portfolio losses in a turbulent market. (2021). Yang, Yang ; Tong, Zhiwei ; Tang, Qihe. In: European Journal of Operational Research. RePEc:eee:ejores:v:292:y:2021:i:2:p:755-769.

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2022Fat tails, serial dependence, and implied volatility index connections. (2022). Ellington, Michael. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:2:p:768-779.

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2022Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model. (2022). Hambuckers, J ; Ulm, M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:65:y:2022:i:c:p:125-148.

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2021The risk spillover effect of the COVID-19 pandemic on energy sector: Evidence from China. (2021). Fang, YI ; Xu, Xuchuan ; Li, Xiao-Lin ; Si, Deng-Kui. In: Energy Economics. RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003832.

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2021Are there spillovers among Chinas pilots for carbon emission allowances trading?. (2021). Feng, Chao ; Guo, Li-Yang. In: Energy Economics. RePEc:eee:eneeco:v:103:y:2021:i:c:s014098832100445x.

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2021Predicting the return on the spot price of crude oil out-of-sample by conditioning on news-based uncertainty measures: Some new empirical results. (2021). Nonejad, Nima. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321004977.

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2021Do oil-price shocks predict the realized variance of U.S. REITs?. (2021). Pierdzioch, Christian ; GUPTA, RANGAN ; Epni, Ouzhan ; Bonato, Matteo. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321005429.

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2022Price discovery under model uncertainty. (2022). Linn, Scott ; Kim, Jaeho. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000202.

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2021Stochastic volatility, jumps and leverage in energy and stock markets: Evidence from high frequency data. (2021). Baum, Christopher ; Chen, Liyuan ; Zerilli, Paola. In: Energy Economics. RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988319302622.

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2021On the China factor in the world oil market: A regime switching approach11We thank Hilde Bjørnland, Tatsuyoshi Okimoto, Ippei Fujiwara, Knut Aastveit, Leif Anders Thorsrud, Francesco Ravazzolo, Renee . (2021). Nguyen, Bao H ; Hou, Chenghan ; Cross, Jamie L. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000244.

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2022Characterizing the dynamic evolutionary behavior of multivariate price movement fluctuation in the carbon-fuel energy markets system from complex network perspective. (2022). Chen, Quanyu ; Xiong, Shi. In: Energy. RePEc:eee:energy:v:239:y:2022:i:pa:s0360544221021447.

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2021Multi-objective portfolio optimization under tempered stable Lévy distribution with Copula dependence. (2021). Xiong, Xiong ; Gong, Xiao-Li. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320301343.

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2021Does the Financial Leverage Effect Depend on Volatility Regimes?. (2021). Kim, Jaeho ; Chon, Sora. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320301872.

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2021Does alternative finance moderate bank fragility? Evidence from the euro area. (2021). Ongena, Steven ; Mamatzakis, Emmanuel C ; Tsionas, Mike G. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000597.

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2021Variational Bayes approximation of factor stochastic volatility models. (2021). Nott, David ; Kohn, Robert ; Gunawan, David. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1355-1375.

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2021Factor extraction using Kalman filter and smoothing: This is not just another survey. (2021). Ruiz, Esther ; Miranda, Karen ; Poncela, Pilar. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1399-1425.

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2021On the effectiveness of the European Central Bank’s conventional and unconventional policies under uncertainty. (2021). Pfarrhofer, Michael ; Stelzer, Anna ; Hauzenberger, Niko. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:191:y:2021:i:c:p:822-845.

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2021Assessing the cyclical behaviour of bank capital buffers in a finance-augmented macro-economy. (2021). Mouratidis, Kostas ; Whyte, Kemar ; Montagnoli, Alberto. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302126.

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2021Anchoring of inflation expectations in large emerging economies. (2021). Alex, Dony. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:23:y:2021:i:c:s1703494921000074.

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2021Rare earth and financial markets: Dynamics of return and volatility connectedness around the COVID-19 outbreak. (2021). Kanjilal, Kakali ; Ghosh, Sajal ; Bouri, Elie ; Song, Ying. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003883.

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2022Economic theories and macroeconomic reality. (2022). Wang, Mu-Chun ; Matthes, Christian ; Loria, Francesca. In: Journal of Monetary Economics. RePEc:eee:moneco:v:126:y:2022:i:c:p:105-117.

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2021Stochastic Volatility in Mean: Empirical evidence from Latin-American stock markets using Hamiltonian Monte Carlo and Riemann Manifold HMC methods. (2021). Rodríguez, Gabriel ; Garrafa-Aragon, Hernan B ; Rodriguez, Gabriel ; Abanto-Valle, Carlos A. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:272-286.

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2021The contagious effect of China’s energy policy on stock markets: The case of the solar photovoltaic industry. (2021). Hsiao, Cody Yu-Ling ; Sheng, NI ; Wei, Xinyang ; Ai, Dan. In: Renewable Energy. RePEc:eee:renene:v:164:y:2021:i:c:p:74-86.

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2021A joint test of policy contagion with application to the solar sector. (2021). Shao, Chengwu ; Sheng, NI ; Wei, Xinyang ; Hsiao, Cody Yu-Ling. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:141:y:2021:i:c:s1364032121000587.

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2021Network effects of connected and autonomous vehicles in South Korea: A consumer preference approach. (2021). Cho, Youngsang ; Park, Taeho ; Jeon, Seung Ryong ; Maeng, Kyuho. In: Research in Transportation Economics. RePEc:eee:retrec:v:90:y:2021:i:c:s0739885920301967.

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2021Investor sentiment and predictability for volatility on energy futures Markets: Evidence from China. (2021). Jin, Chenglu ; Bao, Weiwei ; Chen, Rongda. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:112-129.

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2021Regime-switching energy price volatility: The role of economic policy uncertainty. (2021). Etienne, Xiaoli L ; Scarcioffolo, Alexandre R. In: International Review of Economics & Finance. RePEc:eee:reveco:v:76:y:2021:i:c:p:336-356.

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More than 100 citations found, this list is not complete...

Works by Joshua C.C. Chan:


YearTitleTypeCited
2010Time Varying Dimension Models In: ANU Working Papers in Economics and Econometrics.
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2010Time Varying Dimension Models.(2010) In: SIRE Discussion Papers.
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2011Time Varying Dimension Models.(2011) In: CAMA Working Papers.
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2010Time Varying Dimension Models.(2010) In: Working Paper series.
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2011Time Varying Dimension Models.(2011) In: Working Papers.
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2012Time Varying Dimension Models.(2012) In: Journal of Business & Economic Statistics.
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2012Monte Carlo Methods for Portfolio Credit Risk In: ANU Working Papers in Economics and Econometrics.
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2012Priors and Posterior Computation in Linear Endogenous Variable Models with Imperfect Instruments In: ANU Working Papers in Economics and Econometrics.
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paper2
2015Priors and Posterior Computation in Linear Endogenous Variable Models with Imperfect Instruments.(2015) In: Journal of Applied Econometrics.
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2012A Bounded Model of Time Variation in Trend Inflation, NAIRU and the Phillips Curve In: ANU Working Papers in Economics and Econometrics.
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2014A Bounded Model of Time Variation in Trend Inflation, NAIRU and the Phillips Curve.(2014) In: CAMA Working Papers.
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2016A Bounded Model of Time Variation in Trend Inflation, Nairu and the Phillips Curve.(2016) In: Journal of Applied Econometrics.
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article
2012Moving Average Stochastic Volatility Models with Application to Inflation Forecast In: ANU Working Papers in Economics and Econometrics.
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paper69
2013Moving average stochastic volatility models with application to inflation forecast.(2013) In: Journal of Econometrics.
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2013Moving Average Stochastic Volatility Models with Application to Inflation Forecast.(2013) In: CAMA Working Papers.
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2013Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables In: ANU Working Papers in Economics and Econometrics.
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2011Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables.(2011) In: SIRE Discussion Papers.
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2014Modelling breaks and clusters in the steady states of macroeconomic variables.(2014) In: Computational Statistics & Data Analysis.
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2012Modelling breaks and clusters in the steady states of macroeconomic variables.(2012) In: CAMA Working Papers.
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2011Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables.(2011) In: Working Papers.
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2013Gibbs Samplers for VARMA and Its Extensions In: ANU Working Papers in Economics and Econometrics.
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2021On Parameter Estimation in Unobserved Components Models subject to Linear Inequality Constraints In: Papers.
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2021Asymmetric Conjugate Priors for Large Bayesian VARs In: Papers.
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2019Asymmetric conjugate priors for large Bayesian VARs.(2019) In: CAMA Working Papers.
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2021Large Order-Invariant Bayesian VARs with Stochastic Volatility In: Papers.
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2021Efficient Estimation of State-Space Mixed-Frequency VARs: A Precision-Based Approach In: Papers.
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2022Large Hybrid Time-Varying Parameter VARs In: Papers.
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2019Large hybrid time-varying parameter VARs.(2019) In: CAMA Working Papers.
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2022Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility In: Papers.
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2020Fast and accurate variational inference for large Bayesian VARs with stochastic volatility.(2020) In: CAMA Working Papers.
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2022Large Bayesian VARs with Factor Stochastic Volatility: Identification, Order Invariance and Structural Analysis In: Papers.
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2019A regime switching skew-normal model of contagion In: Studies in Nonlinear Dynamics & Econometrics.
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2022Choosing between identification schemes in noisy-news models In: Studies in Nonlinear Dynamics & Econometrics.
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2019Bayesian Econometric Methods In: Cambridge Books.
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2012A New Model Of Trend Inflation In: SIRE Discussion Papers.
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2012A New Model of Trend Inflation.(2012) In: CAMA Working Papers.
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2012A new model of trend inflation.(2012) In: MPRA Paper.
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2012A New Model of Trend Inflation.(2012) In: Working Papers.
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2013A New Model of Trend Inflation.(2013) In: Journal of Business & Economic Statistics.
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2014Large Bayesian VARMAs In: SIRE Discussion Papers.
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paper21
2016Large Bayesian VARMAs.(2016) In: Journal of Econometrics.
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2015Large Bayesian VARMAs.(2015) In: Working Paper series.
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2014Large Bayesian VARMAs.(2014) In: Working Paper series.
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2014Large Bayesian VARMAs.(2014) In: Working Papers.
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2016Fast computation of the deviance information criterion for latent variable models In: Computational Statistics & Data Analysis.
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2020Identifying noise shocks In: Journal of Economic Dynamics and Control.
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2018Identifying Noise Shocks.(2018) In: Working Paper Series.
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2017Reconciling output gaps: Unobserved components model and Hodrick–Prescott filter In: Journal of Economic Dynamics and Control.
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2016Reconciling output gaps: unobserved components model and Hodrick-Prescott filter.(2016) In: CAMA Working Papers.
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2015Pitfalls of estimating the marginal likelihood using the modified harmonic mean In: Economics Letters.
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2015Pitfalls of Estimating the Marginal Likelihood Using the Modified Harmonic Mean.(2015) In: CAMA Working Papers.
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2018Comparing hybrid time-varying parameter VARs In: Economics Letters.
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2020Reducing the state space dimension in a large TVP-VAR In: Journal of Econometrics.
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2010Efficient estimation of large portfolio loss probabilities in t-copula models In: European Journal of Operational Research.
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2016Modeling energy price dynamics: GARCH versus stochastic volatility In: Energy Economics.
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2015Modeling energy price dynamics: GARCH versus stochastic volatility.(2015) In: CAMA Working Papers.
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2020Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts In: International Journal of Forecasting.
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2021Minnesota-type adaptive hierarchical priors for large Bayesian VARs In: International Journal of Forecasting.
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2019Minnesota-type adaptive hierarchical priors for large Bayesian VARs.(2019) In: CAMA Working Papers.
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2012Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods In: CAMA Working Papers.
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2012Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods.(2012) In: MPRA Paper.
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2012Marginal Likelihood Estimation with the Cross-Entropy Method In: CAMA Working Papers.
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paper26
2012Marginal Likelihood Estimation with the Cross-Entropy Method.(2012) In: MPRA Paper.
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2015Marginal Likelihood Estimation with the Cross-Entropy Method.(2015) In: Econometric Reviews.
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2013A Regime Switching Skew-normal Model for Measuring Financial Crisis and Contagion In: CAMA Working Papers.
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2013Invariant Inference and Efficient Computation in the Static Factor Model In: CAMA Working Papers.
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2018Invariant Inference and Efficient Computation in the Static Factor Model.(2018) In: Journal of the American Statistical Association.
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2013Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence In: CAMA Working Papers.
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2014Stochastic Model Specification Search for Time-Varying Parameter VARs In: CAMA Working Papers.
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2014Stochastic Model Specification Search for Time-Varying Parameter VARs.(2014) In: Working Paper series.
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2016Stochastic Model Specification Search for Time-Varying Parameter VARs.(2016) In: Econometric Reviews.
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2014Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion In: CAMA Working Papers.
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2015The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling In: CAMA Working Papers.
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2017The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling.(2017) In: Journal of Business & Economic Statistics.
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2015Efficient estimation of Bayesian VARMAs with time-varying coefficients In: CAMA Working Papers.
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2015A Bayesian model comparison for trend-cycle decompositions of output In: CAMA Working Papers.
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paper23
2017A Bayesian Model Comparison for Trend?Cycle Decompositions of Output.(2017) In: Journal of Money, Credit and Banking.
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2015Bayesian model comparison for time-varying parameter VARs with stochastic volatility In: CAMA Working Papers.
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2018Bayesian model comparison for time?varying parameter VARs with stochastic volatility.(2018) In: Journal of Applied Econometrics.
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2015Large Bayesian VARs: A flexible Kronecker error covariance structure In: CAMA Working Papers.
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2020Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure.(2020) In: Journal of Business & Economic Statistics.
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2015Specification tests for time-varying parameter models with stochastic volatility In: CAMA Working Papers.
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2018Specification tests for time-varying parameter models with stochastic volatility.(2018) In: Econometric Reviews.
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2017Measuring the output gap using stochastic model specification search In: CAMA Working Papers.
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2017Measuring inflation expectations uncertainty using high-frequency data In: CAMA Working Papers.
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2018Measuring Inflation Expectations Uncertainty Using High?Frequency Data.(2018) In: Journal of Money, Credit and Banking.
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2018How sensitive are VAR forecasts to prior hyperparameters? An automated sensitivity analysis In: CAMA Working Papers.
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2019How Sensitive Are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis.(2019) In: Advances in Econometrics.
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2018Composite likelihood methods for large Bayesian VARs with stochastic volatility In: CAMA Working Papers.
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2018Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility.(2018) In: Working Paper Series.
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2020Composite likelihood methods for large Bayesian VARs with stochastic volatility.(2020) In: Journal of Applied Econometrics.
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2018Reducing dimensions in a large TVP-VAR In: CAMA Working Papers.
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2018Reducing Dimensions in a Large TVP-VAR.(2018) In: Working Paper series.
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2018Reducing Dimensions in a Large TVP-VAR.(2018) In: Working Paper Series.
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2018Multivariate stochastic volatility with co-heteroscedasticity In: CAMA Working Papers.
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2018Multivariate Stochastic Volatility with Co-Heteroscedasticity.(2018) In: GRIPS Discussion Papers.
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2020Multivariate Stochastic Volatility with Co-Heteroscedasticity.(2020) In: GRIPS Discussion Papers.
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2018Multivariate Stochastic Volatility with Co-Heteroscedasticity.(2018) In: Working Paper series.
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2020Robust Estimation and Inference for Importance Sampling Estimators with Infinite Variance: * In: Advances in Econometrics.
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2015A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations In: Working Papers (Old Series).
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2018A New Model of Inflation, Trend Inflation, and Long?Run Inflation Expectations.(2018) In: Journal of Money, Credit and Banking.
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2005Replication of the results in learning about heterogeneity in returns to schooling In: Journal of Applied Econometrics.
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2005Replication of the results in ‘learning about heterogeneity in returns to schooling’.(2005) In: Journal of Applied Econometrics.
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2016On the Observed-Data Deviance Information Criterion for Volatility Modeling In: The Journal of Financial Econometrics.
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2014The Zero Lower Bound: Implications for Modelling the Interest Rate In: Working Paper series.
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2011Rare-event probability estimation with conditional Monte Carlo In: Annals of Operations Research.
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2017Efficient estimation of Bayesian VARMAs with time†varying coefficients In: Journal of Applied Econometrics.
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