Joshua C.C. Chan : Citation Profile


Are you Joshua C.C. Chan?

Purdue University (90% share)
University of Technology Sydney (8% share)
Australian National University (2% share)

13

H index

16

i10 index

449

Citations

RESEARCH PRODUCTION:

27

Articles

64

Papers

RESEARCH ACTIVITY:

   14 years (2005 - 2019). See details.
   Cites by year: 32
   Journals where Joshua C.C. Chan has often published
   Relations with other researchers
   Recent citing documents: 154.    Total self citations: 47 (9.48 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch840
   Updated: 2019-10-06    RAS profile: 2019-08-12    
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Relations with other researchers


Works with:

Koop, Gary (14)

Grant, Angelia (13)

Strachan, Rodney (11)

Eisenstat, Eric (5)

Leon-Gonzalez, Roberto (4)

Potter, Simon (2)

Clark, Todd (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 (31)

Korobilis, Dimitris (20)

Cross, Jamie (16)

Ricco, Giovanni (15)

Miranda-Agrippino, Silvia (15)

Mitchell, James (14)

Petrella, Ivan (10)

Pettenuzzo, Davide (10)

Delle Monache, Davide (10)

JAWADI, Fredj (9)

Holtemöller, Oliver (8)

Cites to:

Koop, Gary (97)

Korobilis, Dimitris (41)

Strachan, Rodney (36)

Clark, Todd (26)

Eisenstat, Eric (25)

Grant, Angelia (24)

Geweke, John (21)

Giannone, Domenico (20)

Shephard, Neil (20)

Leon-Gonzalez, Roberto (17)

McCausland, William (16)

Main data


Where Joshua C.C. Chan has published?


Journals with more than one article published# docs
Journal of Applied Econometrics4
Journal of Business & Economic Statistics3
Econometric Reviews3
Journal of Money, Credit and Banking3
Journal of Econometrics2
Computational Statistics & Data Analysis2
Economics Letters2

Working Papers Series with more than one paper published# docs
Working Paper series / Rimini Centre for Economic Analysis7
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

Recent works citing Joshua C.C. Chan (2019 and 2018)


YearTitle of citing document
2018INFLATION AND INFLATION UNCERTAINTY IN LATIN AMERICA: A TIME-VARYING STOCHASTIC VOLATILITY IN MEAN APPROACH. (2018). Ferreira, Diego ; Palma, Andreza Aparecida. In: Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting]. RePEc:anp:en2016:125.

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2018Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models. (2018). Kastner, Gregor ; Huber, Florian ; Feldkircher, Martin. In: Papers. RePEc:arx:papers:1607.04532.

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2019Efficient Simulation for Portfolio Credit Risk in Normal Mixture Copula Models. (2018). Fuh, Cheng-Der ; Wang, Chuan-Ju. In: Papers. RePEc:arx:papers:1711.03744.

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2018Does strategic commodities price respond to U.S. Partisan Conflict? Evidence from a parametric test of Granger causality in quantiles. (2018). Jiang, Yong. In: Papers. RePEc:arx:papers:1810.08396.

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2018Multilateral Index Number Systems for International Price Comparisons: Properties, Existence and Uniqueness. (2018). Hajargasht, Gholamreza ; Rao, Prasada . In: Papers. RePEc:arx:papers:1811.04197.

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2019Measuring international uncertainty using global vector autoregressions with drifting parameters. (2019). Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:1908.06325.

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2018R2 bounds for predictive models: what univariate properties tell us about multivariate predictability. (2018). wright, stephen ; Mitchell, James ; Robertson, Donald. In: Birkbeck Working Papers in Economics and Finance. RePEc:bbk:bbkefp:1804.

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2018State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models. (2018). Uzeda, Luis. In: Staff Working Papers. RePEc:bca:bocawp:18-14.

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2019Labor Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects. (2019). Tuzcuoglu, Kerem. In: Staff Working Papers. RePEc:bca:bocawp:19-16.

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2019Exploring trend inFLation dynamics in Euro Area countries. (2019). Correa-Lopez, Monica ; Schlepper, Kathi ; Pacce, Matias. In: Working Papers. RePEc:bde:wpaper:1909.

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2019A new approach to dating the reference cycle. (2019). Gomezloscos, Ana ; Gadea, Maria Dolores ; Camacho, Maximo. In: Working Papers. RePEc:bde:wpaper:1914.

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2018Global factors and trend inflation. (2018). Wong, Benjamin ; Kamber, Gunes. In: BIS Working Papers. RePEc:bis:biswps:688.

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2018A time series model of interest rates with the effective lower bound. (2018). Mertens, Elmar ; Johannsen, Benjamin K. In: BIS Working Papers. RePEc:bis:biswps:715.

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2018Assessing the Synchronicity and Nature of Australian State Business Cycles. (2018). Poon, Aubrey. In: The Economic Record. RePEc:bla:ecorec:v:94:y:2018:i:307:p:372-390.

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2018Why Has Australian Wages Growth Been So Low? A Phillips Curve Perspective. (2018). Robinson, Tim ; Chua, Chew. In: The Economic Record. RePEc:bla:ecorec:v:94:y:2018:i:s1:p:11-32.

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2018FACTOR MODELS AND TIME†VARYING PARAMETER FRAMEWORK FOR FORECASTING EXCHANGE RATES AND INFLATION: A SURVEY. (2018). Mokhtari, Manouchehr ; Kavtaradze, Lasha. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:302-334.

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2019Has the 2008 financial crisis and its aftermath changed the impact of inflation on inflation uncertainty in member states of the european monetary union?. (2019). Nonejad, Nima. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:66:y:2019:i:2:p:246-276.

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2018A composite likelihood approach for dynamic structural models. (2018). Canova, Fabio ; Matthes, Christian. In: Working Papers. RePEc:bny:wpaper:0068.

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2018On the China factor in international oil markets: A regime switching approach. (2018). Cross, Jamie L ; Nguyen, Bao H ; Hou, Chenghan. In: Working Papers. RePEc:bny:wpaper:0069.

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2018International Transmission of Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach. (2018). Cross, Jamie L ; Poon, Aubrey ; Hou, Chenghan. In: Working Papers. RePEc:bny:wpaper:0070.

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2019Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data. (2018). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:952.

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2018Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications. (2018). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:953.

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2017Inflation and the steeplechase between economic activity variables: evidence for G7 countries. (2017). Vašíček, Bořek ; Plašil, Miroslav ; Boek, Vaiek ; Miroslav, Plail ; Jaromir, Baxa . In: The B.E. Journal of Macroeconomics. RePEc:bpj:bejmac:v:17:y:2017:i:1:p:42:n:3.

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2018High-frequency Cash Flow Dynamics. (2018). Pettenuzzo, Davide ; Timmermann, Allan ; Sabbatucci, Riccardo. In: Working Papers. RePEc:brd:wpaper:120.

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2018Positive Liquidity Spillovers from Sovereign Bond-Backed Securities. (2018). Dunne, Peter G. In: Research Technical Papers. RePEc:cbi:wpaper:5/rt/18.

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2019The effect of news shocks and monetary policy. (2019). Zanetti, Francesco ; Korobilis, Dimitris ; Görtz, Christoph ; Tsoukalas, John D ; Gortz, Christoph ; Gambetti, Luca. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7578.

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2018Forecasting using mixed-frequency VARs with time-varying parameters. (2018). Reif, Magnus ; Heinrich, Markus. In: ifo Working Paper Series. RePEc:ces:ifowps:_273.

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2018Bayesian Vector Autoregressions. (2018). Ricco, Giovanni ; Miranda-Agrippino, Silvia. In: Discussion Papers. RePEc:cfm:wpaper:1808.

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2017System Priors for Econometric Time Series. (2017). Plašil, Miroslav ; Andrle, Michal ; Plasil, Miroslav . In: Working Papers. RePEc:cnb:wpaper:2017/01.

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2018A Trendy Approach to UK Inflation Dynamics. (2018). Theodoridis, Konstantinos ; Kirkham, Lewis ; Forbes, Kristin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12652.

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2018A composite likelihood approach for dynamic structural models. (2018). Canova, Fabio ; Matthes, Christian. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13245.

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2018The Transmission of Monetary Policy Shocks. (2018). Ricco, Giovanni ; Miranda-Agrippino, Silvia. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13396.

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2018Testing for time-varying stochastic volatility in Bitcoin returns. (2018). Salisu, Afees ; Adediran, Idris. In: Working Papers. RePEc:cui:wpaper:0060.

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2018Does time-variation matter in the stochastic volatility components for G7 stock returns. (2018). Salisu, Afees ; Ogbonna, Ahamuefula. In: Working Papers. RePEc:cui:wpaper:0062.

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2018Monetary Policy and Inflation Dynamics in ASEAN Economies. (2018). Dany-Knedlik, Geraldine ; Garcia, Juan Angel. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1755.

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2018Extending the state-space representation of the judgement-augmented Hodrick-Prescott filter. (2018). Jnsson, Kristian . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00650.

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2019The euro area labour market through the lens of the Beveridge curve. (2019). Sokol, Andrej ; Bobeica, Elena ; da Silva, Antonio Dias ; Consolo, Agostino. In: Economic Bulletin Articles. RePEc:ecb:ecbart:2019:0004:1.

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2018Semi-structural credit gap estimation. (2018). Welz, Peter ; Lang, Jan Hannes. In: Working Paper Series. RePEc:ecb:ecbwps:20182194.

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2019Forecasting occupancy rate with Bayesian compression methods. (2019). Tsionas, Mike ; Assaf, George A. In: Annals of Tourism Research. RePEc:eee:anture:v:75:y:2019:i:c:p:439-449.

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2018The Great Recession and Okuns law. (2018). Grant, Angelia L. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:291-300.

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2019On the reduced macroeconomic volatility of the Australian economy: Good policy or good luck?. (2019). Cross, Jamie. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:174-186.

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2019The role of monetary policy credibility in explaining the decline in exchange rate pass-through in South Africa. (2019). Kabundi, Alain ; Mlachila, Montfort. In: Economic Modelling. RePEc:eee:ecmode:v:79:y:2019:i:c:p:173-185.

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2018Econometrics with system priors. (2018). Plašil, Miroslav ; Plail, Miroslav ; Andrle, Michal. In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:134-137.

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2018Estimation and forecasting in vector autoregressive moving average models for rich datasets. (2018). Dias, Gustavo Fruet ; Kapetanios, George. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:75-91.

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2019Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification. (2019). Schumacher, Christian ; Kaufmann, Sylvia. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:116-134.

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2019Bayesian compressed vector autoregressions. (2019). Pettenuzzo, Davide ; Korobilis, Dimitris ; Koop, Gary. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:135-154.

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2019Forecast density combinations of dynamic models and data driven portfolio strategies. (2019). Hoogerheide, L ; Grassi, S ; Borowska, A ; Baturk, N ; van Dijk, H K. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:170-186.

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2019Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors. (2019). Jensen, Mark ; Fisher, Mark. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:187-202.

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2019Achieving shrinkage in a time-varying parameter model framework. (2019). Fruhwirth-Schnatter, Sylvia ; Bitto, Angela. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:75-97.

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2018Identifying asymmetric effects of labor market reforms. (2018). Gehrke, Britta ; Weber, Enzo. In: European Economic Review. RePEc:eee:eecrev:v:110:y:2018:i:c:p:18-40.

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2018Copula based multivariate semi-Markov models with applications in high-frequency finance. (2018). Damico, Guglielmo ; Petroni, Filippo. In: European Journal of Operational Research. RePEc:eee:ejores:v:267:y:2018:i:2:p:765-777.

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2019Sharp asymptotics for large portfolio losses under extreme risks. (2019). Yang, Yang ; Tang, Zhaofeng. In: European Journal of Operational Research. RePEc:eee:ejores:v:276:y:2019:i:2:p:710-722.

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2018A generalized Schwartz model for energy spot prices — Estimation using a particle MCMC method. (2018). Brix, Anne Floor ; Wei, Wei ; Lunde, Asger. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:560-582.

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2019Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models. (2019). Wang, Jin-Li ; Zhang, Yue-Jun. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:192-201.

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2019Forecasting volatility and correlation between oil and gold prices using a novel multivariate GAS model. (2019). Xu, Jianjun ; Chen, Rongda. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:379-391.

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2018The contagious effects on economic development after resuming construction policy for nuclear power plants in Coastal China. (2018). Hsiao, Cody Yu-Ling ; Chen, Hsing Hung. In: Energy. RePEc:eee:energy:v:152:y:2018:i:c:p:291-302.

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2018Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds. (2018). Molnár, Peter ; Lyócsa, Štefan. In: Energy. RePEc:eee:energy:v:155:y:2018:i:c:p:462-473.

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2018Déjà vol oil? Predicting S&P 500 equity premium using crude oil price volatility: Evidence from old and recent time-series data. (2018). Nonejad, Nima. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:260-270.

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2018Estimating stochastic volatility with jumps and asymmetry in Asian markets. (2018). Saranya, K ; Prasanna, Krishna P. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:145-153.

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2018Inversion copulas from nonlinear state space models with an application to inflation forecasting. (2018). Smith, Michael Stanley ; Maneesoonthorn, Worapree. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:389-407.

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2019Approximate Bayesian forecasting. (2019). , Brendan ; Martin, Gael M ; Maneesoonthorn, Worapree ; Frazier, David T. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:521-539.

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2018The eurozone (expected) inflation: An options eyes view. (2018). Ibáñez, Alfredo ; Gimeno, Ricardo ; Ibaez, Alfredo. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:70-92.

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2019Volatility forecasting of crude oil futures: The role of investor sentiment and leverage effect. (2019). Gong, XU ; Yang, Cai ; Zhang, Hongwei. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:548-563.

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2019The nexus between the oil price and its volatility risk in a stochastic volatility in the mean model with time-varying parameters. (2019). Balcilar, Mehmet ; Ozdemir, Zeynel Abidin. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:572-584.

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2018Clustering macroeconomic variables. (2018). Perricone, Chiara. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:44:y:2018:i:c:p:23-33.

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2019Disentangling the drivers of carbon prices in Chinas ETS pilots — An EEMD approach. (2019). Xu, Jia ; Liu, YU ; He, Gang ; Tan, Xiujie. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:139:y:2019:i:c:p:1-9.

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2018Measuring financial interdependence in asset returns with an application to euro zone equities. (2018). Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee ; Martin, Vance L. In: CAMA Working Papers. RePEc:een:camaaa:2018-05.

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2019Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage. (2019). Koop, Gary ; Gefang, Deborah ; Poon, Aubrey. In: CAMA Working Papers. RePEc:een:camaaa:2019-08.

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2019Minnesota-type adaptive hierarchical priors for large Bayesian VARs. (2019). , Joshua . In: CAMA Working Papers. RePEc:een:camaaa:2019-61.

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2018Bayesian vector autoregressions. (2018). Ricco, Giovanni ; Miranda-Agrippino, Silvia. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:87393.

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2018The volatility effect on precious metals prices in a stochastic volatility in mean model with time-varying parameters. (2018). Ozdemir, Zeynel ; Balcilar, Mehmet. In: Working Papers. RePEc:emu:wpaper:15-34.pdf.

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2018NKPC-Based Inflation Forecasts with a Time-Varying Trend. (2018). Rumler, Fabio ; Mihailov, Alexander ; McKnight, Stephen. In: Serie documentos de trabajo del Centro de Estudios Económicos. RePEc:emx:ceedoc:2018-05.

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2019Have Irish sovereign bonds decoupled from the euro area periphery, and why?. (2019). McQuinn, Kieran ; Dunne, Peter ; Cronin, David. In: Papers. RePEc:esr:wpaper:wp625.

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2018.

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2018Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors. (2018). Jensen, Mark ; Fisher, Mark. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2018-02.

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2018Combining Survey Long-Run Forecasts and Nowcasts with BVAR Forecasts Using Relative Entropy. (2018). Zaman, Saeed ; Tallman, Ellis. In: Working Papers (Old Series). RePEc:fip:fedcwp:1809.

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2019Identifying shocks via time-varying volatility. (2018). Lewis, Daniel. In: Staff Reports. RePEc:fip:fednsr:871.

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2019Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks and Their Macroeconomic Effects. (2019). Lewis, Daniel. In: Staff Reports. RePEc:fip:fednsr:891.

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2018A Composite Likelihood Approach for Dynamic Structural Models. (2018). Canova, Fabio ; Matthes, Christian. In: Working Paper. RePEc:fip:fedrwp:18-12.

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2018Estimating Unobservable Inflation Expectations in the New Keynesian Phillips Curve. (2018). Rondina, Francesca. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:1:p:6-:d:130264.

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2019Bayesian Analysis of Coefficient Instability in Dynamic Regressions. (2019). Taboga, Marco ; Ciapanna, Emanuela. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:3:p:29-:d:243958.

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2018A Trading-Based Evaluation of Density Forecasts in a Real-Time Electricity Market. (2018). Bunn, Derek W ; Kermer, Stefan ; Gianfreda, Angelica. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:10:p:2658-:d:173889.

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2018Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH. (2018). Walther, Thomas ; Nguyen, Nam H ; Klein, Tony ; Quang, Paul Bui. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:18-:d:139768.

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2019Positive Liquidity Spillovers from Sovereign Bond-Backed Securities. (2019). Dunne, Peter. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:58-:d:221149.

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2019Threshold Stochastic Conditional Duration Model for Financial Transaction Data. (2019). Wirjanto, Tony S ; Kolkiewicz, Adam W ; Men, Zhongxian. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:88-:d:230954.

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2019Evaluation of Land Intensive Use in Shanghai Pilot Free Trade Zone. (2019). Cao, Xiangyang ; Shi, Yishao ; Zhou, Liangliang. In: Land. RePEc:gam:jlands:v:8:y:2019:i:6:p:87-:d:236067.

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2018Time-Varying Volatility Feedback of Energy Prices: Evidence from Crude Oil, Petroleum Products, and Natural Gas Using a TVP-SVM Model. (2018). Jiang, Yong ; Ren, Yi-Shuai ; Yang, Xiao-Guang ; Ma, Chao-Qun. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:12:p:4705-:d:189489.

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2018Is the US Phillips Curve Stable? Evidence from Bayesian VARs. (2018). Österholm, Pär ; Karlsson, Sune ; Osterholm, Par. In: Working Papers. RePEc:hhs:oruesi:2018_005.

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2018A Note on the Stability of the Swedish Philips Curve. (2018). Österholm, Pär ; Karlsson, Sune ; Osterholm, Par. In: Working Papers. RePEc:hhs:oruesi:2018_006.

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2018Trend Inflation and Inflation Compensation. (2018). Poon, Aubrey ; Garcia, Juan Angel. In: IMF Working Papers. RePEc:imf:imfwpa:18/154.

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2018The Causal Relationships between Inflation and Inflation Uncertainty. (2018). JAWADI, Fredj ; Barnett, William ; Ftiti, Zied. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201803.

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2019Modeling Persistence and Parameter Instability in Historical Crude Oil Price Data Using a Gibbs Sampling Approach. (2019). Nonejad, Nima. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:4:d:10.1007_s10614-018-9835-4.

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2019Forecasting Inflation Uncertainty in the United States and Euro Area. (2019). JAWADI, Fredj ; Ftiti, Zied. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:1:d:10.1007_s10614-018-9794-9.

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2018Identification of Structural Vector Autoregressions by Stochastic Volatility. (2018). Braun, Robin ; Bertsche, Dominik. In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1803.

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2018Approximate Bayesian forecasting. (2018). McCabe, Brendan ; Martin, Gael M ; Maneesoonthorn, Worapree ; Frazier, David T. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-2.

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2018Are inflation and economic activity out of sync in the euro area?. (2018). Wauters, Joris ; Cordemans, N. In: Economic Review. RePEc:nbb:ecrart:y:2018:m:june:i:i:p:79-96.

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2018Can in?ation expectations in business or consumer surveys improve in?ation forecasts?. (2018). Basselier, Raisa ; Langenus, Geert ; Jonckheere, Jana ; de Antonio, David. In: Working Paper Research. RePEc:nbb:reswpp:201810-348.

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2018Is euro area lowflation here to stay ? Insights from a time-varying parameter model with survey data. (2018). Wauters, Joris ; Stevens, Arnoud. In: Working Paper Research. RePEc:nbb:reswpp:201810-355.

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2018Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimates, 1970-2017. (2018). Mitchell, James ; Poon, Aubrey ; McIntyre, Stuart ; Koop, Gary. In: Economic Statistics Centre of Excellence (ESCoE) Discussion Papers. RePEc:nsr:escoed:escoe-dp-2018-14.

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

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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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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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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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2012Moving Average Stochastic Volatility Models with Application to Inflation Forecast In: ANU Working Papers in Economics and Econometrics.
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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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2019A regime switching skew-normal model of contagion In: Studies in Nonlinear Dynamics & Econometrics.
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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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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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2014Fast Computation of the Deviance Information Criterion for Latent Variable Models.(2014) In: CAMA Working Papers.
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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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2018Comparing hybrid time-varying parameter VARs.(2018) In: CAMA Working Papers.
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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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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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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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2013Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence In: CAMA Working Papers.
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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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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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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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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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2018Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts In: CAMA Working Papers.
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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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2018Multivariate Stochastic Volatility with Co-Heteroscedasticity.(2018) In: Working Paper series.
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2019Large Bayesian vector autoregressions In: CAMA Working Papers.
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paper1
2019An automated prior robustness analysis in Bayesian model comparison In: CAMA Working Papers.
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2019Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation In: CAMA Working Papers.
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2019Asymmetric conjugate priors for large Bayesian VARs In: CAMA Working Papers.
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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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2005Replication of the results in learning about heterogeneity in returns to schooling In: Journal of Applied Econometrics.
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2016On the Observed-Data Deviance Information Criterion for Volatility Modeling In: 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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2018Identifying Noise Shocks In: Working Paper Series.
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2017Efficient estimation of Bayesian VARMAs with time†varying coefficients In: Journal of Applied Econometrics.
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2018A New Model of Inflation, Trend Inflation, and Long†Run Inflation Expectations In: Journal of Money, Credit and Banking.
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