Joshua C.C. Chan : Citation Profile

Are you Joshua C.C. Chan?

Purdue University

22

H index

30

i10 index

1401

Citations

RESEARCH PRODUCTION:

44

Articles

80

Papers

2

Books

5

Chapters

RESEARCH ACTIVITY:

   18 years (2005 - 2023). See details.
   Cites by year: 77
   Journals where Joshua C.C. Chan has often published
   Relations with other researchers
   Recent citing documents: 214.    Total self citations: 70 (4.76 %)

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   Permalink: http://citec.repec.org/pch840
   Updated: 2023-11-04    RAS profile: 2023-03-16    
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Relations with other researchers

Works with:

Eisenstat, Eric (13)

Strachan, Rodney (11)

Koop, Gary (8)

Leon-Gonzalez, Roberto (5)

Yu, Xuewen (5)

Poon, Aubrey (2)

Cross, Jamie (2)

Benati, Luca (2)

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

Is cited by:

Koop, Gary (59)

Huber, Florian (57)

Korobilis, Dimitris (48)

Poon, Aubrey (42)

Rodríguez, Gabriel (32)

Cross, Jamie (30)

Ricco, Giovanni (28)

Mitchell, James (25)

Pfarrhofer, Michael (22)

Österholm, Pär (22)

Ftiti, Zied (21)

Cites to:

Koop, Gary (152)

Korobilis, Dimitris (69)

Strachan, Rodney (68)

Clark, Todd (60)

Eisenstat, Eric (52)

Sargent, Thomas (51)

Cogley, Timothy (50)

Giannone, Domenico (48)

Reichlin, Lucrezia (38)

Shephard, Neil (36)

Primiceri, Giorgio (36)

Main data

Where Joshua C.C. Chan has published?

Journals with more than one article published# docs
Journal of Applied Econometrics7
Journal of Business & Economic Statistics5
Journal of Econometrics5
Journal of Economic Dynamics and Control4
Journal of Money, Credit and Banking3
Econometric Reviews3
Computational Statistics & Data Analysis2
Economics Letters2
International Journal of Forecasting2
Studies in Nonlinear Dynamics & Econometrics2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org10
Working Paper series / Rimini Centre for Economic Analysis7
SIRE Discussion Papers / Scottish Institute for Research in Economics (SIRE)4
Working Papers / University of Strathclyde Business School, Department of Economics4
MPRA Paper / University Library of Munich, Germany3
Working Paper Series / Economics Discipline Group, UTS Business School, University of Technology, Sydney3
GRIPS Discussion Papers / National Graduate Institute for Policy Studies2

Recent works citing Joshua C.C. Chan (2023 and 2022)

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

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2023Dynamic 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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2023Time-Varying Parameters as Ridge Regressions. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2009.00401.

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

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

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

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

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

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

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2023Sparse multivariate modeling for stock returns predictability. (2022). Bernardi, Mauro ; Bianco, Nicolas ; Bianchi, Daniele. In: Papers. RePEc:arx:papers:2202.12644.

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

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2023Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!. (2022). Kastner, Gregor ; Gruber, Luis. In: Papers. RePEc:arx:papers:2206.04902.

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2022Sparse Bayesian State-Space and Time-Varying Parameter Models. (2022). Knaus, Peter ; Fruhwirth-Schnatter, Sylvia. In: Papers. RePEc:arx:papers:2207.12147.

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

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2023Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market. (2022). Grzeszkiewicz, Karolina ; Koziell, Warrick Poklewski ; de Iorio, Maria ; Beskos, Alexandros ; Franzolini, Beatrice. In: Papers. RePEc:arx:papers:2208.00952.

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2022Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP. (2022). Zhu, Dan ; Rossini, Luca ; Poon, Aubrey ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:2209.01910.

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2023Bayesian Modeling of Time-varying Parameters Using Regression Trees. (2022). Mitchell, James ; Koop, Gary ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2209.11970.

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2023Efficient variational approximations for state space models. (2022). Nibbering, Didier ; Loaiza-Maya, Rub'En. In: Papers. RePEc:arx:papers:2210.11010.

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2023Score-based calibration testing for multivariate forecast distributions. (2022). Pohle, Marc-Oliver ; Kruger, Fabian ; Knuppel, Malte. In: Papers. RePEc:arx:papers:2211.16362.

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2023Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471.

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2022Smoothing volatility targeting. (2022). Bianco, Nicolas ; Bianchi, Daniele ; Bernardi, Mauro. In: Papers. RePEc:arx:papers:2212.07288.

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2023When it counts -- Econometric identification of the basic factor model based on GLT structures. (2023). Lopes, Hedibert Freitas ; Hosszejni, Darjus ; Fruhwirth-Schnatter, Sylvia. In: Papers. RePEc:arx:papers:2301.06354.

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2023Nonlinearities in Macroeconomic Tail Risk through the Lens of Big Data Quantile Regressions. (2023). Huber, Florian ; Pruser, Jan. In: Papers. RePEc:arx:papers:2301.13604.

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2023Constructing High Frequency Economic Indicators by Imputation. (2023). Scanlan, Susannah ; Ng, Serena. In: Papers. RePEc:arx:papers:2303.01863.

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2023Monitoring multicountry macroeconomic risk. (2023). Korobilis, Dimitris ; Schroder, Maximilian. In: Papers. RePEc:arx:papers:2305.09563.

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2023Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks. (2023). Huber, Florian ; Koop, Gary. In: Papers. RePEc:arx:papers:2305.16827.

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2023Modelling and Forecasting Macroeconomic Risk with Time Varying Skewness Stochastic Volatility Models. (2023). Renzetti, Andrea. In: Papers. RePEc:arx:papers:2306.09287.

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2023Efficient Variational Inference for Large Skew-t Copulas with Application to Intraday Equity Returns. (2023). Maneesoonthorn, Worapree ; Smith, Michael Stanley ; Deng, Lin. In: Papers. RePEc:arx:papers:2308.05564.

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2023Spatial and Spatiotemporal Volatility Models: A Review. (2023). Bera, Anil K ; Schmid, Wolfgang ; Tacspinar, Suleyman ; Dougan, Osman ; Otto, Philipp. In: Papers. RePEc:arx:papers:2308.13061.

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2023Non-linear dimension reduction in factor-augmented vector autoregressions. (2023). Klieber, Karin. In: Papers. RePEc:arx:papers:2309.04821.

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2022.

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2023Bayesian Local Projections. (2023). Ricco, Giovanni ; Ferreira, Leonardo ; Miranda-Agrippino, Silvia. In: Working Papers Series. RePEc:bcb:wpaper:581.

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2023Underlying inflation and asymetric risks. (2023). Leiva-Leon, Danilo ; LE BIHAN, Hervé ; Pacce, Matias. In: Working Papers. RePEc:bde:wpaper:2319.

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

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2023A pulse check on recent developments in time series econometrics. (2023). Chan, Felix ; Oxley, Les. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:3-6.

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2022Growth Prospects and the Trade Balance in Advanced Economies. (2022). Rujin, Svetlana ; Elstner, Steffen ; Belke, Ansgar. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:5:p:1209-1234.

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2023Actions speak louder than words: Imputing users’ reputation from transaction history. (2023). Tripathi, Arvind K ; Tan, Yong ; Ghasemkhani, Hossein ; Deng, Jiaying. In: Production and Operations Management. RePEc:bla:popmgt:v:32:y:2023:i:4:p:1096-1111.

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2023Is the US Phillips curve stable? Evidence from Bayesian vector autoregressions. (2023). Österholm, Pär ; Karlsson, Sune ; Osterholm, Par. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:125:y:2023:i:1:p:287-314.

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

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2023Monitoring multicountry macroeconomic risk. (2023). Schroder, Maximilian ; Korobilis, Dimitris. In: Working Paper. RePEc:bno:worpap:2023_9.

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2023Monitoring multicountry macroeconomic risk. (2023). Schrder, Maximilian ; Korobilis, Dimitris. In: Working Papers. RePEc:bny:wpaper:0117.

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2023Quarterly GDP Estimates for the German States: New Data for Business Cycle Analyses and Long-Run Dynamics. (2023). Lehmann, Robert ; Wikman, Ida. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10280.

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

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

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2023Robust dynamic space-time panel data models using ?-contamination: An application to crop yields and climate change. (2023). Chaturvedi, Anoop ; Lacroix, Guy ; Bresson, Georges ; Baltagi, Badi H. In: CIRANO Working Papers. RePEc:cir:cirwor:2023s-01.

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2023The Global Transmission of U.S. Monetary Policy. (2022). Ricco, Giovanni ; Hong, Seokki Simon ; Degasperi, Riccardo. In: Working Papers. RePEc:crs:wpaper:2023-02.

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2023Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:768.

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

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

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2022Modeling tail risks of inflation using unobserved component quantile regressions. (2022). Pfarrhofer, Michael. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:143:y:2022:i:c:s016518892200197x.

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2023Vector autoregression models with skewness and heavy tails. (2023). Karlsson, Sune ; Nguyen, Hoang ; Mazur, Stepan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002834.

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2023Monetary policy and the term structure of inflation expectations with information frictions. (2023). McNeil, James. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002913.

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2023Measuring the trend real interest rate in a data-rich environment. (2023). Fu, Bowen. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s016518892300012x.

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2023Duration structure of unemployment hazards and the trend unemployment rate. (2023). Ahn, Hie Joo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:151:y:2023:i:c:s0165188923000702.

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

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2022How does oil price volatility affect unemployment rates? A dynamic stochastic general equilibrium model. (2022). Dong, Yilin ; Chan, Ying Tung. In: Economic Modelling. RePEc:eee:ecmode:v:114:y:2022:i:c:s026499932200181x.

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2023The global component of headline and core inflation in emerging market economies and its ability to improve forecasting performance. (2023). Molina, Stefano G ; Orraca, Maria Jose ; Arango-Castillo, Lenin. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003583.

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2023Effects of external shocks on macroeconomic fluctuations in Pacific Alliance countries. (2023). Castillo, Paul ; Vassallo, Renato ; Rodriguez, Gabriel. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001141.

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2022Learning, disagreement and inflation forecasting. (2022). Liu, Xiliang ; Yang, Xinglin ; Chen, JI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001693.

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2023Time-varying risk spillovers in Chinese stock market – New evidence from high-frequency data. (2023). Yang, Guang-Yi ; Tang, Chun ; Liu, Xiao-Xing ; Zhou, Dong-Hai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002054.

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2023Modified harmonic mean method for spatial autoregressive models. (2023). Doan, Osman. In: Economics Letters. RePEc:eee:ecolet:v:223:y:2023:i:c:s0165176523000034.

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2022Parsimony inducing priors for large scale state–space models. (2022). Tsay, Ruey S ; McCulloch, Robert E ; Lopes, Hedibert F. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:1:p:39-61.

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2023Nowcasting the output gap. (2023). Wong, Benjamin ; Morley, James ; Berger, Tino. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:1:p:18-34.

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

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

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2023Uncertainty shocks in emerging economies: A global to local approach for identification. (2023). Miescu, Mirela S. In: European Economic Review. RePEc:eee:eecrev:v:154:y:2023:i:c:s0014292123000661.

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2023A control-function correction for endogeneity in random coefficients models: The case of choice-based recommender systems. (2023). Ben-Akiva, Moshe ; Guevara, Angelo C ; Danaf, Mazen. In: Journal of choice modelling. RePEc:eee:eejocm:v:46:y:2023:i:c:s1755534522000562.

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

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2023A new taxonomy for vector exponential smoothing and its application to seasonal time series. (2023). Boylan, John E ; Chen, Huijing ; Svetunkov, Ivan. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:964-980.

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

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

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2022China’s government spending and global inflation dynamics: The role of the oil price channel. (2022). Zhang, Wen. In: Energy Economics. RePEc:eee:eneeco:v:110:y:2022:i:c:s0140988322001633.

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2022Forecasting the realized variance of oil-price returns using machine learning: Is there a role for U.S. state-level uncertainty?. (2022). GUPTA, RANGAN ; Pierdzioch, Christian ; Pienaar, Daniel ; Epni, Ouzhan. In: Energy Economics. RePEc:eee:eneeco:v:114:y:2022:i:c:s0140988322003723.

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2022Natural gas volatility prediction: Fresh evidence from extreme weather and extended GARCH-MIDAS-ES model. (2022). Wang, LU ; Lai, Xiaodong ; Xia, Zhenglan ; Liang, Chao. In: Energy Economics. RePEc:eee:eneeco:v:116:y:2022:i:c:s0140988322005667.

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2023Co-volatility and asymmetric transmission of risks between the global oil and Chinas futures markets. (2023). Klein, Tony ; Ji, Qiang ; Marfatia, Hardik A ; Luo, Jiawen. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005953.

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2023On the China factor in the world oil market: A regime switching approach11We thank Hilde Bjørnland, Tatsuyoshi Okimoto, Ippei Fujiwara, Knut Aastveit, Leif Anders Thorsrud, Francesco Ravazzolo, Renee . (2021). Nguyen, Bao H ; Hou, Chenghan ; Cross, Jamie L. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000244.

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2023Evaluations of policy contagion for new energy vehicle industry in China. (2023). Chiu, Yi-Bin ; Zheng, Xin ; Yang, Rui ; Hsiao, Cody Yu-Ling. In: Energy Policy. RePEc:eee:enepol:v:173:y:2023:i:c:s0301421522006218.

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

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2022Asymmetric dynamic spillover effect between cryptocurrency and Chinas financial market: Evidence from TVP-VAR based connectedness approach. (2022). Xie, Wenhao ; Cao, Guangxi. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003026.

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2022Searching the nature of uncertainty: Macroeconomic and financial risks VS geopolitical and pandemic risks. (2022). Himounet, Nicolas. In: International Economics. RePEc:eee:inteco:v:170:y:2022:i:c:p:1-31.

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2023Time-varying dependence between Bitcoin and green financial assets: A comparison between pre- and post-COVID-19 periods. (2023). Urquhart, Andrew ; Duan, Kun ; Huang, Yingying. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001597.

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2022Forecasting: theory and practice. (2022). Shang, Han Lin ; Rubaszek, Michał ; Martinez, Andrew ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Carnevale, Claudio ; Kolassa, Stephan ; Thorarinsdottir, Thordis ; Guo, Xiaojia ; Reade, James J ; Petropoulos, Fotios ; Nikolopoulos, Konstantinos ; Koehler, Anne B ; Thomakos, Dimitrios ; Browell, Jethro ; Rapach, David E ; Modis, Theodore ; Kang, Yanfei ; Tashman, Len ; Boylan, John E ; Gunter, Ulrich ; Ramos, Patricia ; Ellison, Joanne ; Meeran, Sheik ; Richmond, Victor ; Talagala, Thiyanga S ; Bijak, Jakub ; Guidolin, Massimo ; Pinson, Pierre ; Dokumentov, Alexander ; Jeon, Jooyoung ; Bessa, Ricardo J ; Pedregal, Diego J ; de Baets, Shari ; Ziel, Florian ; Syntetos, Aris A ; Bergmeir, Christoph
2023Data-based priors for vector error correction models. (2023). Pruser, Jan. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:209-227.

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2023Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage. (2023). Poon, Aubrey ; Koop, Gary ; Gefang, Deborah. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:346-363.

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2023Does the Phillips curve help to forecast euro area inflation?. (2023). Bobeica, Elena ; Babura, Marta. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:364-390.

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2023The COVID-19 shock and challenges for inflation modelling. (2023). Hartwig, Benny ; Bobeica, Elena. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:519-539.

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2023Real estate illiquidity and returns: A time-varying regional perspective. (2023). Zhu, Yunyi ; Fu, XI ; Ellington, Michael. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:58-72.

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2023Real-time inflation forecasting using non-linear dimension reduction techniques. (2023). Huber, Florian ; Klieber, Karin ; Hauzenberger, Niko. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:901-921.

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

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2022Inflation disasters and consumption. (2022). Ryngaert, Jane M. In: Journal of Monetary Economics. RePEc:eee:moneco:v:129:y:2022:i:s:p:s67-s81.

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2023Inflation volatility: A Bayesian approach. (2023). Nyiwul, Linus ; Koirala, Niraj P. In: Research in Economics. RePEc:eee:reecon:v:77:y:2023:i:1:p:185-201.

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2022Adaptive Kriging-based failure probability estimation for multiple responses. (2022). Li, Hong-Shuang ; Zhu, Yi-Chen ; Ma, Yuan-Zhuo ; Jin, Xiang-Xiang ; Zhao, Zhen-Zhou ; Nan, Hang. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:228:y:2022:i:c:s0951832022003945.

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2022Systematic variations in exchange rate returns. (2022). Chang, Yu-Chien ; Liu, De-Chih. In: International Review of Economics & Finance. RePEc:eee:reveco:v:82:y:2022:i:c:p:569-583.

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2022Equilibrium and efficiency in the first aid services market: The case of the emergency department of Sorrento. (2022). Agovino, Massimiliano ; Musella, Gaetano ; Scaletti, Alessandro. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:82:y:2022:i:pb:s0038012122000982.

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2023Time-varying impact of fiscal shocks over GDP growth in Peru: An empirical application using hybrid TVP-VAR-SV models. (2023). Rodríguez, Gabriel ; Jimenez, Alvaro ; Ataurima Arellano, Miguel. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:64:y:2023:i:c:p:314-332.

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

Works by Joshua C.C. Chan:

YearTitleTypeCited
2010Time Varying Dimension Models In: ANU Working Papers in Economics and Econometrics.
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2010Time Varying Dimension Models.(2010) In: SIRE Discussion Papers.
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2011Time Varying Dimension Models.(2011) In: CAMA Working Papers.
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2010Time Varying Dimension Models.(2010) In: Working Paper series.
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2011Time Varying Dimension Models.(2011) In: Working Papers.
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2012Time Varying Dimension Models.(2012) In: Journal of Business & Economic Statistics.
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2012Monte Carlo Methods for Portfolio Credit Risk In: ANU Working Papers in Economics and Econometrics.
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2012Priors and Posterior Computation in Linear Endogenous Variable Models with Imperfect Instruments In: ANU Working Papers in Economics and Econometrics.
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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.
[Full Text][Citation analysis]		paper77
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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2023On Parameter Estimation in Unobserved Components Models subject to Linear Inequality Constraints In: Papers.
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2021Asymmetric Conjugate Priors for Large Bayesian VARs In: Papers.
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2019Asymmetric conjugate priors for large Bayesian VARs.(2019) In: CAMA Working Papers.
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2022Asymmetric conjugate priors for large Bayesian VARs.(2022) In: Quantitative Economics.
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2021Large Order-Invariant Bayesian VARs with Stochastic Volatility In: Papers.
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2021Efficient Estimation of State-Space Mixed-Frequency VARs: A Precision-Based Approach In: Papers.
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2022Large Hybrid Time-Varying Parameter VARs In: Papers.
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2019Large hybrid time-varying parameter VARs.(2019) In: CAMA Working Papers.
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2023Large Hybrid Time-Varying Parameter VARs.(2023) In: Journal of Business & Economic Statistics.
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2022Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility In: Papers.
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2022Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility.(2022) In: Journal of Economic Dynamics and Control.
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2020Fast and accurate variational inference for large Bayesian VARs with stochastic volatility.(2020) In: CAMA Working Papers.
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2022Large Bayesian VARs with Factor Stochastic Volatility: Identification, Order Invariance and Structural Analysis In: Papers.
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2022Comparing Stochastic Volatility Specifications for Large Bayesian VARs In: Papers.
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2023Comparing stochastic volatility specifications for large Bayesian VARs.(2023) In: Journal of Econometrics.
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2023High-Dimensional Conditionally Gaussian State Space Models with Missing Data In: Papers.
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2023High-dimensional conditionally Gaussian state space models with missing data.(2023) In: Journal of Econometrics.
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2023BVARs and Stochastic Volatility In: Papers.
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2023BAYESIAN STATE SPACE MODELS IN MACROECONOMETRICS In: Journal of Economic Surveys.
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2020Bayesian state space models in macroeconometrics.(2020) In: CAMA Working Papers.
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2019A regime switching skew-normal model of contagion In: Studies in Nonlinear Dynamics & Econometrics.
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2022Choosing between identification schemes in noisy-news models In: Studies in Nonlinear Dynamics & Econometrics.
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2019Bayesian Econometric Methods In: Cambridge Books.
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2019Bayesian Econometric Methods.(2019) In: Cambridge Books.
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2012A New Model Of Trend Inflation In: SIRE Discussion Papers.
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2012A New Model of Trend Inflation.(2012) In: CAMA Working Papers.
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2012A new model of trend inflation.(2012) In: MPRA Paper.
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2012A New Model of Trend Inflation.(2012) In: Working Papers.
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2013A New Model of Trend Inflation.(2013) In: Journal of Business & Economic Statistics.
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2014Large Bayesian VARMAs In: SIRE Discussion Papers.
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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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2020Identifying noise shocks In: Journal of Economic Dynamics and Control.
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2018Identifying Noise Shocks.(2018) In: Working Paper Series.
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2021Speculative bubbles in present-value models: A Bayesian Markov-switching state space approach In: Journal of Economic Dynamics and Control.
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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.
[Full Text][Citation analysis]		article15
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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2020Reducing the state space dimension in a large TVP-VAR In: Journal of Econometrics.
[Full Text][Citation analysis]		article28
2010Efficient estimation of large portfolio loss probabilities in t-copula models In: European Journal of Operational Research.
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2016Modeling energy price dynamics: GARCH versus stochastic volatility In: Energy Economics.
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2015Modeling energy price dynamics: GARCH versus stochastic volatility.(2015) In: CAMA Working Papers.
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2020Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts In: International Journal of Forecasting.
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2018Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts.(2018) In: CAMA Working Papers.
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2021Minnesota-type adaptive hierarchical priors for large Bayesian VARs In: International Journal of Forecasting.
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2019Minnesota-type adaptive hierarchical priors for large Bayesian VARs.(2019) In: CAMA Working Papers.
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2012Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods In: CAMA Working Papers.
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2012Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods.(2012) In: MPRA Paper.
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2012Marginal Likelihood Estimation with the Cross-Entropy Method In: CAMA Working Papers.
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2012Marginal Likelihood Estimation with the Cross-Entropy Method.(2012) In: MPRA Paper.
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2015Marginal Likelihood Estimation with the Cross-Entropy Method.(2015) In: Econometric Reviews.
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2013A Regime Switching Skew-normal Model for Measuring Financial Crisis and Contagion In: CAMA Working Papers.
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2013Invariant Inference and Efficient Computation in the Static Factor Model In: CAMA Working Papers.
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2018Invariant Inference and Efficient Computation in the Static Factor Model.(2018) In: Journal of the American Statistical Association.
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2013Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence In: CAMA Working Papers.
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2014Stochastic Model Specification Search for Time-Varying Parameter VARs In: CAMA Working Papers.
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2014Stochastic Model Specification Search for Time-Varying Parameter VARs.(2014) In: Working Paper series.
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2016Stochastic Model Specification Search for Time-Varying Parameter VARs.(2016) In: Econometric Reviews.
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2014Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion In: CAMA Working Papers.
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2015The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling In: CAMA Working Papers.
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2017The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling.(2017) In: Journal of Business & Economic Statistics.
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2015Efficient estimation of Bayesian VARMAs with time-varying coefficients In: CAMA Working Papers.
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2015A Bayesian model comparison for trend-cycle decompositions of output In: CAMA Working Papers.
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2017A Bayesian Model Comparison for Trend?Cycle Decompositions of Output.(2017) In: Journal of Money, Credit and Banking.
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2015Bayesian model comparison for time-varying parameter VARs with stochastic volatility In: CAMA Working Papers.
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2018Bayesian model comparison for time?varying parameter VARs with stochastic volatility.(2018) In: Journal of Applied Econometrics.
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2015Large Bayesian VARs: A flexible Kronecker error covariance structure In: CAMA Working Papers.
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2020Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure.(2020) In: Journal of Business & Economic Statistics.
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2015Specification tests for time-varying parameter models with stochastic volatility In: CAMA Working Papers.
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2018Specification tests for time-varying parameter models with stochastic volatility.(2018) In: Econometric Reviews.
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2017Measuring the output gap using stochastic model specification search In: CAMA Working Papers.
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2017Measuring inflation expectations uncertainty using high-frequency data In: CAMA Working Papers.
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2018Measuring Inflation Expectations Uncertainty Using High?Frequency Data.(2018) In: Journal of Money, Credit and Banking.
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2018How sensitive are VAR forecasts to prior hyperparameters? An automated sensitivity analysis In: CAMA Working Papers.
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2019How Sensitive Are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis.(2019) In: Advances in Econometrics.
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2018Composite likelihood methods for large Bayesian VARs with stochastic volatility In: CAMA Working Papers.
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2018Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility.(2018) In: Working Paper Series.
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2020Composite likelihood methods for large Bayesian VARs with stochastic volatility.(2020) In: Journal of Applied Econometrics.
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2018Reducing dimensions in a large TVP-VAR In: CAMA Working Papers.
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2018Reducing Dimensions in a Large TVP-VAR.(2018) In: Working Paper series.
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2018Reducing Dimensions in a Large TVP-VAR.(2018) In: Working Paper Series.
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2018Multivariate stochastic volatility with co-heteroscedasticity In: CAMA Working Papers.
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2018Multivariate Stochastic Volatility with Co-Heteroscedasticity.(2018) In: GRIPS Discussion Papers.
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2020Multivariate Stochastic Volatility with Co-Heteroscedasticity.(2020) In: GRIPS Discussion Papers.
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2018Multivariate Stochastic Volatility with Co-Heteroscedasticity.(2018) In: Working Paper series.
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2019Large Bayesian vector autoregressions In: CAMA Working Papers.
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2019An automated prior robustness analysis in Bayesian model comparison In: CAMA Working Papers.
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2022An automated prior robustness analysis in Bayesian model comparison.(2022) In: Journal of Applied Econometrics.
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2019Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation In: CAMA Working Papers.
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2020Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation.(2020) In: Journal of Forecasting.
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2020An unobserved components model of total factor productivity and the relative price of investment In: CAMA Working Papers.
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2019An Alternate Parameterization for Bayesian Nonparametric/Semiparametric Regression In: Advances in Econometrics.
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2020Robust Estimation and Inference for Importance Sampling Estimators with Infinite Variance* In: Advances in Econometrics.
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2015A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations In: Working Papers (Old Series).
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2018A New Model of Inflation, Trend Inflation, and Long?Run Inflation Expectations.(2018) In: Journal of Money, Credit and Banking.
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2005Replication of the results in learning about heterogeneity in returns to schooling In: Journal of Applied Econometrics.
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2005Replication of the results in ‘learning about heterogeneity in returns to schooling’.(2005) In: Journal of Applied Econometrics.
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2016On the Observed-Data Deviance Information Criterion for Volatility Modeling In: The Journal of Financial Econometrics.
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2014The Zero Lower Bound: Implications for Modelling the Interest Rate In: Working Paper series.
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2011Rare-event probability estimation with conditional Monte Carlo In: Annals of Operations Research.
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2017Efficient estimation of Bayesian VARMAs with time†varying coefficients In: Journal of Applied Econometrics.
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