Joshua C.C. Chan : Citation Profile


Are you Joshua C.C. Chan?

University of Technology Sydney (97% share)
Australian National University (3% share)

9

H index

8

i10 index

232

Citations

RESEARCH PRODUCTION:

19

Articles

48

Papers

RESEARCH ACTIVITY:

   12 years (2005 - 2017). See details.
   Cites by year: 19
   Journals where Joshua C.C. Chan has often published
   Relations with other researchers
   Recent citing documents: 63.    Total self citations: 36 (13.43 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pch840
   Updated: 2018-04-21    RAS profile: 2018-04-19    
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Relations with other researchers


Works with:

Grant, Angelia (13)

Koop, Gary (11)

Eisenstat, Eric (5)

Strachan, Rodney (5)

Potter, Simon (3)

Hsiao, Cody Yu-Ling (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:

Korobilis, Dimitris (15)

Koop, Gary (13)

Petrella, Ivan (9)

Delle Monache, Davide (9)

Eisenstat, Eric (7)

Strachan, Rodney (7)

Pettenuzzo, Davide (6)

Ricco, Giovanni (5)

mumtaz, haroon (4)

Wong, Benjamin (4)

Pinter, Gabor (4)

Cites to:

Koop, Gary (76)

Strachan, Rodney (32)

Korobilis, Dimitris (31)

Grant, Angelia (21)

Eisenstat, Eric (18)

McCausland, William (16)

Leon-Gonzalez, Roberto (16)

Potter, Simon (15)

Geweke, John (15)

Clark, Todd (14)

Cogley, Timothy (11)

Main data


Where Joshua C.C. Chan has published?


Journals with more than one article published# docs
Journal of Business & Economic Statistics3
Econometric Reviews2
Journal of Applied Econometrics2
Computational Statistics & Data Analysis2
Journal of Econometrics2

Working Papers Series with more than one paper published# docs
Working Paper series / Rimini Centre for Economic Analysis5
Working Papers / University of Strathclyde Business School, Department of Economics4
SIRE Discussion Papers / Scottish Institute for Research in Economics (SIRE)4
MPRA Paper / University Library of Munich, Germany3

Recent works citing Joshua C.C. Chan (2018 and 2017)


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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2018A New Approach To Time Varying Parameters in Vector Autoregressive Models. (2018). Huber, Florian ; Feldkircher, Martin ; Kastner, Gregor. In: Papers. RePEc:arx:papers:1607.04532.

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2017Cohort effects in mortality modelling: a Bayesian state-space approach. (2017). Fung, Man Chung ; Shevchenko, Pavel V ; Peters, Gareth W. In: Papers. RePEc:arx:papers:1703.08282.

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2017Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587.

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2017Efficient Simulation for Portfolio Credit Risk in Normal Mixture Copula Models. (2017). Fuh, Cheng-Der ; Wang, Chuan-Ju. In: Papers. RePEc:arx:papers:1711.03744.

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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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2017The transmission of monetary policy shocks. (2017). Ricco, Giovanni ; Miranda-Agrippino, Silvia. In: Bank of England working papers. RePEc:boe:boeewp:0657.

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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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2017Detecting time variation in the price puzzle: a less informative prior choice for time varying parameter VAR models. (2017). Peter, Reusens ; Christophe, Croux. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:4:p:18:n:1.

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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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2017The Transmission of Monetary Policy Shocks. (2017). Ricco, Giovanni ; Miranda-Agrippino, Silvia. In: Discussion Papers. RePEc:cfm:wpaper:1711.

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

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2017Deflating Inflation Expectations: The Implications of Inflations Simple Dynamics. (2017). Schoenholtz, Kermit ; Cecchetti, Stephen ; Kashyap, Anil K ; Hooper, Peter ; Feroli, Michael . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11925.

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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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2017Unconventional monetary policy and the anchoring of inflation expectations. (2017). Ciccarelli, Matteo ; Montes-Galdon, Carlos ; Garcia, Juan Angel . In: Working Paper Series. RePEc:ecb:ecbwps:20171995.

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2017Mind the output gap: the disconnect of growth and inflation during recessions and convex Phillips curves in the euro area. (2017). Semmler, Willi ; Gross, Marco. In: Working Paper Series. RePEc:ecb:ecbwps:20172004.

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2017Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market. (2017). Nonejad, Nima . In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:388-408.

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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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2017Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility. (2017). Dimitrakopoulos, Stefanos . In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:10-14.

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2017The semiparametric asymmetric stochastic volatility model with time-varying parameters: The case of US inflation. (2017). Dimitrakopoulos, Stefanos . In: Economics Letters. RePEc:eee:ecolet:v:155:y:2017:i:c:p:14-18.

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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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2017Estimating the real effects of uncertainty shocks at the Zero Lower Bound. (2017). Castelnuovo, Efrem ; Caggiano, Giovanni ; Pellegrino, Giovanni. In: European Economic Review. RePEc:eee:eecrev:v:100:y:2017:i:c:p:257-272.

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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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2017Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model. (2017). Pan, Zhiyuan ; Yin, Libo ; Wu, Chongfeng ; Wang, Yudong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:130-142.

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2017The relationship between global oil price shocks and Chinas output: A time-varying analysis. (2017). Cross, Jamie ; Nguyen, Bao H. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:79-91.

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2017Does the volatility of commodity prices reflect macroeconomic uncertainty?. (2017). Joets, Marc ; Razafindrabe, Tovonony ; Mignon, Valerie. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:313-326.

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2017Adaptive models and heavy tails with an application to inflation forecasting. (2017). Petrella, Ivan ; Delle Monache, Davide. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:482-501.

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2017Model and survey estimates of the term structure of US macroeconomic uncertainty. (2017). Galvão, Ana ; Clements, Michael ; Galvo, Ana Beatriz. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:591-604.

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2017Infinite hidden markov switching VARs with application to macroeconomic forecast. (2017). Hou, Chenghan. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:1025-1043.

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2017Short-term inflation forecasting: The M.E.T.A. approach. (2017). Silvestrini, Andrea ; Sbrana, Giacomo ; Venditti, Fabrizio. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:1065-1081.

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2017The G7 business cycle in a globalized world. (2017). Carstensen, Kai ; Salzmann, L. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pa:p:134-161.

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2017Computational techniques for assessing the reliability and sustainability of electrical power systems: A review. (2017). Kadhem, Athraa Ali ; Jasni, Jasronita ; Abdalla, Ahmed N ; Abdul, Noor Izzri ; Aris, Ishak. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:80:y:2017:i:c:p:1175-1186.

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2017Mutual information and persistence in the stochastic volatility of market returns: An emergent market example. (2017). Dima, Bogdan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:36-59.

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2017The transmission of monetary policy shocks. (2017). Ricco, Giovanni ; Miranda-Agrippino, Silvia. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:86163.

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2017A re-examination of growth and growth uncertainty relationship in a stochastic volatility in mean model with time-varying parameters. (2017). Ozdemir, Zeynel ; Balcilar, Mehmet. In: Working Papers. RePEc:emu:wpaper:15-32.pdf.

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2017The nexus between the oil price and its volatility in a stochastic volatility in mean model with time-varying parameters. (2017). Ozdemir, Zeynel ; Balcilar, Mehmet. In: Working Papers. RePEc:emu:wpaper:15-33.pdf.

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

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2017The transmission of monetary policy shocks. (2017). Ricco, Giovanni ; Miranda-Agrippino, Silvia. In: Documents de Travail de l'OFCE. RePEc:fce:doctra:1715.

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2017Inferring the Shadow Rate from Real Activity. (2017). Skaperdas, Arsenios ; Garcia, Benjamin . In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-106.

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2017Selecting Primal Innovations in DSGE models. (2017). Leon-Ledesma, Miguel ; Grassi, Stefano ; ferroni, filippo ; Benzoni, Luca. In: Working Paper Series. RePEc:fip:fedhwp:wp-2017-20.

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

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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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2017Identifying asymmetric effects of labor market reforms. (2017). Weber, Enzo ; Gehrke, Britta. In: IAB Discussion Paper. RePEc:iab:iabdpa:201723.

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2017Identification of Structural Vector Autoregressions by Stochastic Volatility. (2017). Braun, Robin ; Bertsche, Dominik. In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1711.

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

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2017A trendy approach to UK inflation dynamics. (2017). Theodoridis, Konstantinos ; Kirkham, Lewis ; Forbes, Kristin. In: Discussion Papers. RePEc:mpc:wpaper:0049.

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

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2018Estimating unobservable inflation expectations in the New Keynesian Phillips Curve. (2018). Rondina, Francesca. In: Working Papers. RePEc:ott:wpaper:1804e.

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2017Data Revisions and Real-time Probabilistic Forecasting of Macroeconomic Variables. (2017). Galvão, Ana ; Clements, Michael ; Galvao, Ana Beatriz . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2017-01.

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2018Integrated Deviance Information Criterion for Latent Variable Models. (2018). Yu, Jun ; Zeng, Tao ; JunYu, ; Li, Yong. In: Economics and Statistics Working Papers. RePEc:ris:smuesw:2018_006.

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2018THE TIME-VARYING ASYMMETRY OF EXCHANGE RATE RETURNS: A STOCHASTIC VOLATILITY – STOCHASTIC SKEWNESS MODEL. (2018). Iseringhausen, Martin. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:18/944.

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2017Changes in the Liquidity Effect Over Time: Evidence from Four Monetary Policy Regimes. (2017). van Lill, Dawid Johannes . In: Working Papers. RePEc:rza:wpaper:704.

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2018Estimating Elasticity of Transport Fuel Demand in Pakistan. (2018). Omer, Muhammad . In: SBP Working Paper Series. RePEc:sbp:wpaper:96.

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2018Efficient simulations for a Bernoulli mixture model of portfolio credit risk. (2018). Baolu, Smail ; Sak, Halis ; Hormann, Wolfgang. In: Annals of Operations Research. RePEc:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-016-2241-1.

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2017Why has the U.S. economy stagnated since the Great Recession?. (2017). Eo, Yunjong ; Morley, James. In: Working Papers. RePEc:syd:wpaper:2017-14.

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2017Marginalized Predictive Likelihood Comparisons of Linear Gaussian State‐Space Models with Applications to DSGE, DSGE‐VAR, and VAR Models. (2017). Warne, Anders ; Coenen, Günter ; Christoffel, Kai . In: Journal of Applied Econometrics. RePEc:wly:japmet:v:32:y:2017:i:1:p:103-119.

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2017The Early Millennium Slowdown: Replicating the Peersman (2005) Results. (2017). Grant, Angelia. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:32:y:2017:i:1:p:224-232.

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2017The Transmission of Monetary Policy Shocks. (2017). Ricco, Giovanni ; Miranda-Agrippino, Silvia. In: The Warwick Economics Research Paper Series (TWERPS). RePEc:wrk:warwec:1136.

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2017Importance Sampling for Credit Portfolio Risk with Risk Factors Having t-Copula. (2017). Chen, Rongda ; Yu, Lean ; Wang, ZE. In: International Journal of Information Technology & Decision Making (IJITDM). RePEc:wsi:ijitdm:v:16:y:2017:i:04:n:s0219622017500201.

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2017Inflation dynamics during the financial crisis in Europe: Cross-sectional identification of long-run inflation expectations. (2017). Holtemöller, Oliver ; Dany-Knedlik, Geraldine ; Holtemoller, Oliver. In: IWH Discussion Papers. RePEc:zbw:iwhdps:102017.

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2017Forecasting US inflation using Markov dimension switching. (2017). Pruser, Jan. In: Ruhr Economic Papers. RePEc:zbw:rwirep:710.

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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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paper0
2012Priors and Posterior Computation in Linear Endogenous Variable Models with Imperfect Instruments In: ANU Working Papers in Economics and Econometrics.
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paper1
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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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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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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2013Invariant Inference and Efficient Computation in the Static Factor Model 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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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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