Dimitris Korobilis : Citation Profile

Are you Dimitris Korobilis?

University of Glasgow

18

H index

25

i10 index

1700

Citations

RESEARCH PRODUCTION:

24

Articles

127

Papers

1

Chapters

RESEARCH ACTIVITY:

   12 years (2008 - 2020). See details.
   Cites by year: 141
   Journals where Dimitris Korobilis has often published
   Relations with other researchers
   Recent citing documents: 189.    Total self citations: 84 (4.71 %)

EXPERT IN:

   Bayesian Analysis: General
   Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
   Model Evaluation, Validation, and Selection
   Forecasting and Prediction Methods; Simulation Methods
   Financial Econometrics

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pko254
   Updated: 2021-03-01    RAS profile: 2021-02-21    
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Relations with other researchers

Works with:

Koop, Gary (18)

Pettenuzzo, Davide (13)

Gambetti, Luca (8)

Tsoukalas, John (8)

Zanetti, Francesco (8)

Byrne, Joseph (6)

Baumeister, Christiane (4)

Cao, Shuo (3)

Beckmann, Joscha (3)

Görtz, Christoph (2)

Yilmaz, Kamil (2)

Ribeiro, Pinho (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Dimitris Korobilis.

Is cited by:

GUPTA, RANGAN (147)

Koop, Gary (87)

Chan, Joshua (83)

Huber, Florian (80)

Balcilar, Mehmet (44)

Ravazzolo, Francesco (35)

Casarin, Roberto (32)

Eisenstat, Eric (31)

Marcellino, Massimiliano (30)

Rossi, Barbara (29)

Feldkircher, Martin (27)

Cites to:

Koop, Gary (69)

Giannone, Domenico (37)

Watson, Mark (24)

Diebold, Francis (19)

Rossi, Barbara (19)

Reichlin, Lucrezia (16)

Bacchetta, Philippe (15)

van Wincoop, Eric (15)

Strachan, Rodney (15)

Clark, Todd (13)

Kilian, Lutz (13)

Main data

Where Dimitris Korobilis has published?

Journals with more than one article published# docs
Journal of Applied Econometrics4
Journal of Econometrics3
Oxford Bulletin of Economics and Statistics2
European Economic Review2
International Journal of Forecasting2
International Economic Review2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany24
Working Paper series / Rimini Centre for Economic Analysis24
Working Papers / Business School - Economics, University of Glasgow19
SIRE Discussion Papers / Scottish Institute for Research in Economics (SIRE)17
Essex Finance Centre Working Papers / University of Essex, Essex Business School9
Working Papers / University of Strathclyde Business School, Department of Economics8
Working Papers / Brandeis University, Department of Economics and International Businesss School4
Papers / arXiv.org3
CESifo Working Paper Series / CESifo2

Recent works citing Dimitris Korobilis (2021 and 2020)

YearTitle of citing document
2020A Scoring Rule for Factor and Autoregressive Models Under Misspecification. (2020). Corradin, Fausto ; Casarin, Roberto ; Wong, Wing-Keung ; Sartore, Nguyen Domenico ; Ravazzolo, Francesco. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:2:p:66-103.

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2020Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings. (2020). Mikkelsen, Jakob ; Hillebrand, Eric ; Urga, Giovanni ; Spreng, Lars. In: CREATES Research Papers. RePEc:aah:create:2020-19.

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2020Model Averaging and Its Use in Economics. (2020). , Mark. In: Journal of Economic Literature. RePEc:aea:jeclit:v:58:y:2020:i:3:p:644-719.

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2020A Scoring Rule for Factor and Autoregressive Models Under Misspecification. (2020). Wong, Wing-Keung ; Sartore, Nguyen Domenico ; Ravazzolo, Francesco ; Corradin, Fausto ; Casarin, Roberto. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:24:y:2020:i:2:p:66-103.

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2021Dealing with cross-country heterogeneity in panel VARs using finite mixture models. (2018). Huber, Florian. In: Papers. RePEc:arx:papers:1804.01554.

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2020Bayesian MIDAS Penalized Regressions: Estimation, Selection, and Prediction. (2019). Mogliani, Matteo. In: Papers. RePEc:arx:papers:1903.08025.

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2020Shrinkage in the Time-Varying Parameter Model Framework Using the R Package shrinkTVP. (2019). Knaus, Peter ; Fruhwirth-Schnatter, Sylvia ; Cadonna, Annalisa ; Bitto-Nemling, Angela. In: Papers. RePEc:arx:papers:1907.07065.

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2020Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models. (2019). onorante, luca ; Koop, Gary ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:1910.10779.

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2020A multi-country dynamic factor model with stochastic volatility for euro area business cycle analysis. (2020). Huber, Florian ; Piribauer, Philipp ; Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:2001.03935.

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2020Bayesian Inference in High-Dimensional Time-varying Parameter Models using Integrated Rotated Gaussian Approximations. (2020). Pfarrhofer, Michael ; Koop, Gary ; Huber, Florian. In: Papers. RePEc:arx:papers:2002.10274.

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2020Forecasts with Bayesian vector autoregressions under real time conditions. (2020). Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:2004.04984.

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2020Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods. (2020). Huber, Florian ; Koop, Gary ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2005.03906.

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2020Horseshoe Prior Bayesian Quantile Regression. (2020). Kohns, David ; Szendrei, Tibor. In: Papers. RePEc:arx:papers:2006.07655.

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2020Flexible Mixture Priors for Time-varying Parameter Models. (2020). Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2006.10088.

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

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

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2020Are low frequency macroeconomic variables important for high frequency electricity prices?. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Papers. RePEc:arx:papers:2007.13566.

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2020Estimating TVP-VAR models with time invariant long-run multipliers. (2020). Polbin, Andrey ; Krymova, Ekaterina ; Belomestny, Denis. In: Papers. RePEc:arx:papers:2008.00718.

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

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2020Deep Distributional Time Series Models and the Probabilistic Forecasting of Intraday Electricity Prices. (2020). Nott, David J ; Smith, Michael Stanley ; Klein, Nadja. In: Papers. RePEc:arx:papers:2010.01844.

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2020Developments 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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2020Real-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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2020Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets. (2020). Pedio, Manuela ; Guidolin, Massimo ; Bianchi, Daniele. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20143.

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2020The New Benchmark for Forecasts of the Real Price of Crude Oil. (2020). Snudden, Stephen ; Ellwanger, Reinhard ; Benmoussa, Amor Aniss. In: Staff Working Papers. RePEc:bca:bocawp:20-39.

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2020Macro-financial interactions in a changing world. (2020). Leiva-Leon, Danilo ; Gerba, Eddie. In: Working Papers. RePEc:bde:wpaper:2018.

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2021Structural Estimation of Time-Varying Spillovers: An Application to International Credit Risk Transmission. (2021). Arthur, Stalla-Bourdillon ; Lukas, Boeckelmann. In: Working papers. RePEc:bfr:banfra:798.

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2020FISS – A Factor-based Index of Systemic Stress in the Financial System. (2020). Varga, Katalin ; Szendrei, Tibor . In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:79:y:2020:i:1:p:3-34.

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2020An empirical behavioral model of households’ deposit dollarization. (2020). Ponomarenko, Alexey ; Khabibullin, Ramis. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps67.

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2020Trend Fundamentals and Exchange Rate Dynamics. (2020). Kaufmann, Daniel ; Huber, Florian. In: Economica. RePEc:bla:econom:v:87:y:2020:i:348:p:1016-1036.

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2020A Factor Model Analysis of the Australian Economy and the Effects of Inflation Targeting. (2020). Hartigan, Luke ; Morley, James. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:271-293.

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2020Identifying the Dynamic Effects of Income Inequality on Crime. (2020). Atems, Bebonchu. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:82:y:2020:i:4:p:751-782.

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2020On the Time‐Varying Effects of Economic Policy Uncertainty on the US Economy. (2020). Schlosser, Alexander ; Pruser, Jan. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:82:y:2020:i:5:p:1217-1237.

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2020Large Time-Varying Volatility Models for Electricity Prices. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Gianfreda, Angelica. In: Working Papers. RePEc:bny:wpaper:0088.

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2020Identification of structural vector autoregressions by stochastic volatility. (2020). Braun, Robin ; Bertsche, Dominik. In: Bank of England working papers. RePEc:boe:boeewp:0869.

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2020Capital flows-at-risk: push, pull and the role of policy. (2020). Sokol, Andrej ; Eguren Martin, Fernando ; von Dem, Lukas ; O'Neill, Cian ; Eguren-Martin, Fernando. In: Bank of England working papers. RePEc:boe:boeewp:0881.

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2020A Comparison of Monthly Global Indicators for Forecasting Growth. (2020). Guérin, Pierre ; Baumeister, Christiane. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8656.

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2020Macroeconomics, Nonlinearities, and the Business Cycle. (2020). Reif, Magnus. In: ifo Beiträge zur Wirtschaftsforschung. RePEc:ces:ifobei:87.

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2020Growth-at-Risk: Bayesian Approach. (2020). Szabo, Milan. In: Working Papers. RePEc:cnb:wpaper:2020/3.

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2020Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2020). Rossi, Barbara. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14472.

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2020Exchange rate predictive densities and currency risks: A quantile regression approach. (2020). Joseph, Niango Ange. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-16.

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2020Price dividend ratio and long-run stock returns: a score driven state space model. (2020). Petrella, Ivan ; Delle Monache, Davide ; Venditti, Fabrizio. In: Working Paper Series. RePEc:ecb:ecbwps:20202369.

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2020Density forecast combinations: the real-time dimension. (2020). Warne, Anders ; McAdam, Peter. In: Working Paper Series. RePEc:ecb:ecbwps:20202378.

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2020Cyclical drivers of euro area consumption: what can we learn from durable goods?. (2020). Krustev, Georgi ; Casalis, André. In: Working Paper Series. RePEc:ecb:ecbwps:20202386.

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2020Attention to the tail(s): global financial conditions and exchange rate risks. (2020). Sokol, Andrej ; Eguren-Martin, Fernando. In: Working Paper Series. RePEc:ecb:ecbwps:20202387.

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2020On the inflation risks embedded in sovereign bond yields. (2020). Camba-Mendez, Gonzalo. In: Working Paper Series. RePEc:ecb:ecbwps:20202423.

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2020The simpler the better: measuring financial conditions for monetary policy and financial stability. (2020). Arrigoni, Simone ; Venditti, Fabrizio ; Bobasu, Alina. In: Working Paper Series. RePEc:ecb:ecbwps:20202451.

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2020Nowcasting with large Bayesian vector autoregressions. (2020). Sokol, Andrej ; Giannone, Domenico ; Cimadomo, Jacopo ; Monti, Francesca ; Lenza, Michele. In: Working Paper Series. RePEc:ecb:ecbwps:20202453.

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2020Weigh(t)ing the basket: aggregate and component-based inflation forecasts for the euro area. (2020). Sokol, Andrej ; Chalmoviansk, Jakub ; Porqueddu, Mario. In: Working Paper Series. RePEc:ecb:ecbwps:20202501.

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2020Global commodity prices and global stock market volatility shocks: Effects across countries. (2020). Vespignani, Joaquin ; Ratti, Ronald ; Kang, Wensheng . In: Journal of Asian Economics. RePEc:eee:asieco:v:71:y:2020:i:c:s1049007820301299.

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2020The heterogeneous impact of monetary policy on the US labor market. (2020). Zoerner, Thomas ; Böck, Maximilian ; Zorner, Thomas O ; Bock, Maximilian ; Zens, Gregor. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:119:y:2020:i:c:s0165188920301573.

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2020Energy consumption, economic growth and environmental degradation in OECD countries. (2020). Tzeremes, Nickolaos ; Ozcan, Burcu. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:203-213.

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2020Interdependence or contagion: A model switching approach with a focus on Latin America. (2020). Davidson, Sharada Nia. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:166-197.

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2020Inflation forecasting using the New Keynesian Phillips Curve with a time-varying trend. (2020). Rumler, Fabio ; Mihailov, Alexander ; McKnight, Stephen. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:383-393.

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2020Is the slope of the Phillips curve time-varying? Evidence from unobserved components models. (2020). Fu, Bowen. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:320-340.

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2020On the cross-sectional relation between exchange rates and future fundamentals. (2020). Fatnassi, Ibrahim ; Hammami, Yacine ; Kharrat, Sabrine. In: Economic Modelling. RePEc:eee:ecmode:v:89:y:2020:i:c:p:484-501.

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2020Monetary policy and systemic risk-taking in the euro area banking sector. (2020). Kabundi, Alain ; de Simone, Francisco Nadal . In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:736-758.

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2020Quantile spillovers and dependence between Bitcoin, equities and strategic commodities. (2020). Chevallier, Julien ; Guesmi, Khaled ; Abid, Ilyes ; Urom, Christian. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:230-258.

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2020Emerging economy business cycles: Interest rate shocks vs trend shocks. (2020). Obaid, Sabreena ; Letendre, Marc-Andre. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:526-545.

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2021Mortgage credit volumes and monetary policy after the Great Recession. (2021). Leu, Shawn ; Robertson, Mari L. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:483-500.

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2020The role of credit supply shocks in pacific alliance countries: A TVP-VAR-SV approach. (2020). Rodríguez, Gabriel ; Guevara, Carlos. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819304656.

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2020Contagion effects and risk transmission channels in the housing, stock, interest rate and currency markets: An Empirical Study in China and the U.S.. (2020). Zong, LU ; Wang, Peiwan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940819302864.

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2020Forecasting economic policy uncertainty of BRIC countries using Bayesian VARs. (2020). GUPTA, RANGAN ; Sun, Xiaojin. In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519303386.

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2020Computationally efficient inference in large Bayesian mixed frequency VARs. (2020). Poon, Aubrey ; Koop, Gary ; Gefang, Deborah. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176520301014.

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2020Relevant parameter changes in structural break models. (2020). Dufays, Arnaud. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:1:p:46-78.

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2020Reducing the state space dimension in a large TVP-VAR. (2020). Strachan, Rodney ; Eisenstat, Eric. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:1:p:105-118.

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2020Predicting exchange rate returns. (2020). Narayan, Paresh Kumar ; Liu, Guangqiang ; Bach, Dinh Hoang ; Sharma, Susan Sunila. In: Emerging Markets Review. RePEc:eee:ememar:v:42:y:2020:i:c:s1566014119303504.

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2020Analyzing time-varying volatility spillovers between the crude oil markets using a new method. (2020). Gong, XU ; Liu, Tangyong. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s0140988320300505.

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2020Can commodity prices forecast exchange rates?. (2020). Wang, Yudong ; Tan, Siming ; Liu, LI. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s014098832030058x.

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2020Crude oil price volatility and equity return predictability: A comparative out-of-sample study. (2020). Nonejad, Nima. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301654.

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2020Distant or close cousins: Connectedness between cryptocurrencies and traditional currencies volatilities. (2020). Sosvilla-Rivero, Simon ; Fernandez-Perez, Adrian ; Andrada-Felix, Julian. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s1042443120301037.

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2020From CIP-deviations to a market for risk premia: A dynamic investigation of cross-currency basis swaps. (2020). Gabauer, David ; Chatziantoniou, Ioannis ; Stenfors, Alexis. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:69:y:2020:i:c:s1042443120301293.

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2020Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy. (2020). Zaman, Saeed ; Tallman, Ellis W. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:373-398.

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2020A functional time series analysis of forward curves derived from commodity futures. (2020). Wang, Shixuan ; Horvath, Lajos ; Liu, Zhenya ; Rice, Gregory. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:646-665.

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2020Realized volatility forecast with the Bayesian random compressed multivariate HAR model. (2020). Chen, Langnan ; Luo, Jiawen. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:781-799.

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2020Macroeconomic forecasting with large Bayesian VARs: Global-local priors and the illusion of sparsity. (2020). Poon, Aubrey ; Hou, Chenghan ; Cross, Jamie L. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:899-915.

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2020Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks. (2020). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:933-948.

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2020Exchange rate forecasting on a napkin. (2020). Rubaszek, Michał ; Ca, Michele ; Michele Ca, . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:104:y:2020:i:c:s026156061830192x.

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2020The third round of euro area enlargement: Are the candidates ready?. (2020). Kunovac, Davor ; Kotarac, Karlo ; Deskar-Krbi, Milan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:107:y:2020:i:c:s0261560620301613.

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2020Fragility and the effect of international uncertainty shocks. (2020). onorante, luca ; Huber, Florian ; Cuaresma, Jesus Crespo. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:108:y:2020:i:c:s0261560620300838.

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2020Monetary policy news in the US: Effects on emerging market capital flows. (2020). Vasishtha, Garima ; Dahlhaus, Tatjana. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:109:y:2020:i:c:s0261560620302072.

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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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2020Transmission of monetary policy in times of high household debt. (2020). Lim, Hyunjoon ; Kim, Youngju. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:63:y:2020:i:c:s0164070418302015.

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2020Radial basis functions neural networks for nonlinear time series analysis and time-varying effects of supply shocks. (2020). Kanazawa, Nobuyuki. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:64:y:2020:i:c:s0164070420301361.

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2020Bayesian nonparametric analysis of multivariate time series: A matrix Gamma Process approach. (2020). Meyer, Renate ; Kirch, Claudia ; Meier, Alexander. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:175:y:2020:i:c:s0047259x18306225.

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2020Crude oil price changes and the United Kingdom real gross domestic product growth rate: An out-of-sample investigation. (2020). Nonejad, Nima. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:21:y:2020:i:c:s1703494920300013.

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2020Does economic policy uncertainty drive the dynamic connectedness between oil price shocks and gold price?. (2020). Ajmi, Ahdi Noomen ; Mokni, Khaled ; Youssef, Manel ; Hammoudeh, Shawkat. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720308515.

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2020Exchange rate predictability: A variable selection perspective. (2020). Kim, Young Min ; Lee, Seojin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:70:y:2020:i:c:p:117-134.

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2020The role of global economic conditions in forecasting gold market volatility: Evidence from a GARCH-MIDAS approach. (2020). Salisu, Afees ; GUPTA, RANGAN ; Bouri, Elie ; Ji, Qiang. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920307273.

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2020Spillovers across macroeconomic, financial and real estate uncertainties: A time-varying approach. (2020). GUPTA, RANGAN ; Gabauer, David. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:52:y:2020:i:c:p:167-173.

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2020Bayesian state space models in macroeconometrics. (2020). Strachan, Rodney. In: CAMA Working Papers. RePEc:een:camaaa:2020-90.

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2020Selective Attention in Exchange Rate Forecasting. (2020). Kucerova, Zuzana ; Kočenda, Evžen ; Kapounek, Svatopluk. In: Working Papers IES. RePEc:fau:wpaper:wp2020_42.

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2020Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions. (2020). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea. In: Working Papers. RePEc:fip:fedcwq:87375.

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2020Nowcasting Tail Risks to Economic Activity with Many Indicators. (2020). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea. In: Working Papers. RePEc:fip:fedcwq:87955.

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2020Real-Time Density Nowcasts of US Inflation: A Model-Combination Approach. (2020). Zaman, Saeed ; Knotek, Edward. In: Working Papers. RePEc:fip:fedcwq:88961.

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2020BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R. (2020). Huber, Florian ; Feldkircher, Martin ; Böck, Maximilian ; Bock, Maximilian. In: Globalization Institute Working Papers. RePEc:fip:feddgw:88639.

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2020Inflation at Risk. (2020). Lopez-Salido, David ; Loria, Francesca. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-13.

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2020Can Forecast Errors Predict Financial Crises? Exploring the Properties of a New Multivariate Credit Gap. (2020). Afanasyeva, Elena. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-45.

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2020Financial Conditions and Economic Activity: Insights from Machine Learning. (2020). Kiley, Michael. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-95.

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2020Should We Be Puzzled by Forward Guidance?. (2020). Smith, Andrew ; Bundick, Brent. In: Research Working Paper. RePEc:fip:fedkrw:87883.

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2020Spillover index for European business cycle. (2020). Acatrinei, Marius Cristian. In: Journal of Financial Studies. RePEc:fst:rfsisf:v:5:y:2020:i:9:p:49-57.

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2020Triple the Gamma—A Unifying Shrinkage Prior for Variance and Variable Selection in Sparse State Space and TVP Models. (2020). Knaus, Peter ; Fruhwirth-Schnatter, Sylvia ; Cadonna, Annalisa. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:2:p:20-:d:360596.

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

Works by Dimitris Korobilis:

YearTitleTypeCited
2014Exchange Rate Predictability in a Changing World In: Papers.
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2014Exchange Rate Predictability in a Changing World.(2014) In: SIRE Discussion Papers.
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2016Exchange rate predictability in a changing world.(2016) In: Journal of International Money and Finance.
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2014Exchange Rate Predictability in a Changing World.(2014) In: Working Papers.
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2014Exchange Rate Predictability in a Changing World.(2014) In: MPRA Paper.
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2014Exchange Rate Predictability in a Changing World.(2014) In: Working Paper series.
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2020High-dimensional macroeconomic forecasting using message passing algorithms In: Papers.
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2019High-dimensional macroeconomic forecasting using message passing algorithms.(2019) In: Working Papers.
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2019High-dimensional macroeconomic forecasting using message passing algorithms.(2019) In: MPRA Paper.
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2019High-dimensional macroeconomic forecasting using message passing algorithms.(2019) In: Working Paper series.
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2020Machine Learning Econometrics: Bayesian algorithms and methods In: Papers.
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2020Machine Learning Econometrics: Bayesian algorithms and methods.(2020) In: Working Papers.
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2020Machine Learning Econometrics: Bayesian algorithms and methods.(2020) In: MPRA Paper.
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2017The Effect of News Shocks and Monetary Policy In: BCAM Working Papers.
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2019The Effect of News Shocks and Monetary Policy.(2019) In: Discussion Papers.
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2019The effect of news shocks and monetary policy.(2019) In: CESifo Working Paper Series.
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2017The Effect of News Shocks and Monetary Policy.(2017) In: Discussion Papers.
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2017The effect of news shocks and monetary policy.(2017) In: LSE Research Online Documents on Economics.
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2017The Effect of News Shocks and Monetary Policy.(2017) In: Working Papers.
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2017The Effect of News Shocks and Monetary Policy.(2017) In: Economics Series Working Papers.
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2018The Effect of News Shocks and Monetary Policy.(2018) In: Working Paper series.
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2013Assessing the Transmission of Monetary Policy Using Time-varying Parameter Dynamic Factor Models-super- In: Oxford Bulletin of Economics and Statistics.
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2010Assessing the transmission of monetary policy using dynamic factor models.(2010) In: MPRA Paper.
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2009Assessing the Transmission of Monetary Policy Shocks Using Dynamic Factor Models.(2009) In: Working Paper series.
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2009Assessing the Transmission of Monetary Policy Shocks Using Dynamic Factor Models.(2009) In: Working Papers.
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2019Forecasting with High‐Dimensional Panel VARs In: Oxford Bulletin of Economics and Statistics.
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2018Forecasting with High-Dimensional Panel VARs.(2018) In: Essex Finance Centre Working Papers.
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2015Forecasting With High Dimensional Panel VARs.(2015) In: Working Papers.
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2018Forecasting with High-Dimensional Panel VARs.(2018) In: MPRA Paper.
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2018Forecasting with High-Dimensional Panel VARs.(2018) In: Working Paper series.
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2012On Regional Unemployment: An Empirical Examination of the Determinants of Geographical Differentials in the UK In: Scottish Journal of Political Economy.
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2010On regional unemployment: an empirical examination of the determinants of geographical differentials in the UK.(2010) In: MPRA Paper.
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2011On Regional Unemployment: An Empirical Examination of the Determinants of Geographical Differentials in the UK.(2011) In: Working Paper series.
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2016Bayesian Compressed Vector Autoregressions In: Working Papers.
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2019Bayesian compressed vector autoregressions.(2019) In: Journal of Econometrics.
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2016Bayesian Compressed Vector Autoregressions.(2016) In: Working Papers.
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2017Bayesian Compressed Vector Autoregressions.(2017) In: Working Paper series.
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2017Adaptive Hierarchical Priors for High-Dimensional Vector Autoregessions In: Working Papers.
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2019Adaptive hierarchical priors for high-dimensional vector autoregressions.(2019) In: Journal of Econometrics.
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2018Adaptive Hierarchical Priors for High-Dimensional Vector Autoregressions.(2018) In: Working Paper series.
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2020Energy Markets and Global Economic Conditions In: CESifo Working Paper Series.
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2020Energy Markets and Global Economic Conditions.(2020) In: Working Papers.
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2020Energy Markets and Global Economic Conditions.(2020) In: NBER Working Papers.
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2011A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models In: CIRANO Working Papers.
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2011A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models.(2011) In: LIDAM Discussion Papers CORE.
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2011A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models.(2011) In: SIRE Discussion Papers.
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2011A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models.(2011) In: Cahiers de recherche.
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2011The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2011) In: Working Paper series.
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2011A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models.(2011) In: Working Papers.
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2015The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2015) In: Journal of Applied Econometrics.
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2011Hierarchical shrinkage priors for dynamic regressions with many predictors In: LIDAM Discussion Papers CORE.
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2013Hierarchical shrinkage priors for dynamic regressions with many predictors.(2013) In: International Journal of Forecasting.
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2011Hierarchical shrinkage priors for dynamic regressions with many predictors.(2011) In: MPRA Paper.
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2011Hierarchical Shrinkage Priors for Dynamic Regressions with Many Predictors.(2011) In: Working Paper series.
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2011VAR forecasting using Bayesian variable selection In: LIDAM Discussion Papers CORE.
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2009VAR forecasting using Bayesian variable selection.(2009) In: MPRA Paper.
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2011VAR Forecasting Using Bayesian Variable Selection.(2011) In: Working Paper series.
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2013VAR FORECASTING USING BAYESIAN VARIABLE SELECTION.(2013) In: Journal of Applied Econometrics.
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2011Hierarchical shrinkage in time-varying parameter models In: LIDAM Discussion Papers CORE.
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2011Hierarchical Shrinkage in Time-Varying Parameter Models.(2011) In: SIRE Discussion Papers.
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2011Hierarchical shrinkage in time-varying parameter models.(2011) In: MPRA Paper.
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2011Hierarchical Shrinkage in Time-Varying Parameter Models.(2011) In: Working Paper series.
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2011Hierarchical Shrinkage in Time-Varying Parameter Models.(2011) In: Working Papers.
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2014Hierarchical Shrinkage in Time‐Varying Parameter Models.(2014) In: Journal of Forecasting.
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2011Bayesian methods In: LIDAM Discussion Papers CORE.
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2013Bayesian methods.(2013) In: Chapters.
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2015The Contribution of Structural Break Models to Forecating Macroeconomic Series In: LIDAM Reprints CORE.
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2011The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2011) In: Working Paper series.
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2015The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2015) In: Journal of Applied Econometrics.
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2010Forecasting Inflation Using Dynamic Model Averaging In: SIRE Discussion Papers.
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2011Forecasting Inflation Using Dynamic Model Averaging.(2011) In: SIRE Discussion Papers.
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2009Forecasting Inflation Using Dynamic Model Averaging.(2009) In: Working Paper series.
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2011Forecasting Inflation Using Dynamic Model Averaging*.(2011) In: Working Papers.
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2012FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING.(2012) In: International Economic Review.
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2011UK Macroeconomic Forecasting with Many Predictors: Which Models Forecast Best and When Do They Do So? In: SIRE Discussion Papers.
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2009UK Macroeconomic Forecasting with Many Predictors: Which Models Forecast Best and When Do They Do So?.(2009) In: SIRE Discussion Papers.
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2011UK macroeconomic forecasting with many predictors: Which models forecast best and when do they do so?.(2011) In: Economic Modelling.
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2009UK Macroeconomic Forecasting with Many Predictors: Which Models Forecast Best and When Do They Do So?.(2009) In: Working Papers.
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2011UK Macroeconomic Forecasting with Many Predictors: Which Models Forecast Best and When Do They Do So?*.(2011) In: Working Papers.
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2012Large Time-Varying Parameter VARs In: SIRE Discussion Papers.
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2013Large time-varying parameter VARs.(2013) In: Journal of Econometrics.
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2012Large time-varying parameter VARs.(2012) In: Working Papers.
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2012Large time-varying parameter VARs.(2012) In: MPRA Paper.
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2012Large Time-Varying Parameter VARs.(2012) In: Working Paper series.
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2012Bayesian forecasting with highly correlated predictors In: SIRE Discussion Papers.
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2013Bayesian forecasting with highly correlated predictors.(2013) In: Economics Letters.
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2012Bayesian forecasting with highly correlated predictors.(2012) In: Working Papers.
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2012Bayesian Forecasting with Highly Correlated Predictors.(2012) In: Working Paper series.
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2013A New Index of Financial Conditions In: SIRE Discussion Papers.
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2014A new index of financial conditions.(2014) In: European Economic Review.
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2013A new index of financial conditions.(2013) In: Working Papers.
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2014Data-based priors for vector autoregressions with drifting coefficients In: SIRE Discussion Papers.
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2014Data-based priors for vector autoregressions with drifting coefficients.(2014) In: MPRA Paper.
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2014Model Uncertainty in Panel Vector Autoregressive Models. In: SIRE Discussion Papers.
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2014Model Uncertainty in Panel Vector Autoregressive Models.(2014) In: MPRA Paper.
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2015Model Uncertainty in Panel Vector Autoregressive Models.(2015) In: Working Paper series.
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2014Model Uncertainty in Panel Vector Autoregressive Models.(2014) In: Working Paper series.
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2014Model uncertainty in panel vector autoregressive models.(2014) In: Working Papers.
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2014On the Sources of Uncertainty in Exchange Rate Predictability In: SIRE Discussion Papers.
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2014On the Sources of Uncertainty in Exchange Rate Predictability.(2014) In: MPRA Paper.
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2018ON THE SOURCES OF UNCERTAINTY IN EXCHANGE RATE PREDICTABILITY.(2018) In: International Economic Review.
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2015Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty In: SIRE Discussion Papers.
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2016Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty.(2016) In: Essex Finance Centre Working Papers.
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2015Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty.(2015) In: Working Papers.
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2015Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty.(2015) In: MPRA Paper.
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2015Quantile forecasts of inflation under model uncertainty In: SIRE Discussion Papers.
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2015Prior selection for panel vector autoregressions In: SIRE Discussion Papers.
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2016Prior selection for panel vector autoregressions.(2016) In: Computational Statistics & Data Analysis.
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2015Prior selection for panel vector autoregressions.(2015) In: Working Papers.
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2015Prior selection for panel vector autoregressions.(2015) In: MPRA Paper.
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2015Co-Movement, Spillovers and Excess Returns in Global Bond Markets In: SIRE Discussion Papers.
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2015Co-Movement, Spillovers and Excess Returns in Global Bond Markets?.(2015) In: Working Papers.
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2017Forecasting the term structure of government bond yields in unstable environments In: Journal of Empirical Finance.
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2017Quantile regression forecasts of inflation under model uncertainty In: International Journal of Forecasting.
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2019Decomposing global yield curve co-movement In: Journal of Banking & Finance.
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2016Decomposing Global Yield Curve Co-Movement.(2016) In: Essex Finance Centre Working Papers.
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2016Adaptive Minnesota Prior for High-Dimensional Vector Autoregressions In: Essex Finance Centre Working Papers.
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2017Forecasting with many predictors using message passing algorithms In: Essex Finance Centre Working Papers.
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2017Exchange rate predictability and dynamic Bayesian learning In: Essex Finance Centre Working Papers.
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2020Exchange rate predictability and dynamic Bayesian learning.(2020) In: Journal of Applied Econometrics.
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2018Exchange rate predictability and dynamic Bayesian learning.(2018) In: VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy.
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2018Measuring Dynamic Connectedness with Large Bayesian VAR Models In: Essex Finance Centre Working Papers.
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2018Measuring Dynamic Connectedness with Large Bayesian VAR Models.(2018) In: Koç University-TUSIAD Economic Research Forum Working Papers.
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2018Variational Bayes inference in high-dimensional time-varying parameter models In: Essex Finance Centre Working Papers.
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2018Machine Learning Macroeconometrics A Primer In: Essex Finance Centre Working Papers.
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