SIDDHARTHA CHIB : Citation Profile

Washington University in St. Louis

27

H index

40

i10 index

5520

Citations

RESEARCH PRODUCTION:

50

Articles

47

Papers

4

Chapters

RESEARCH ACTIVITY:

   41 years (1985 - 2026). See details.
   Cites by year: 134
   Journals where SIDDHARTHA CHIB has often published
   Relations with other researchers
   Recent citing documents: 133.    Total self citations: 43 (0.77 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pch2349
   Updated: 2026-06-06    RAS profile: 2026-03-22    
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Relations with other researchers

Works with:

Shin, Minchul (5)

Simoni, Anna (2)

Shimizu, Kenichi (2)

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

Is cited by:

Omori, Yasuhiro (219)

Maheu, John (113)

Koop, Gary (107)

Asai, Manabu (102)

Nakajima, Jouchi (93)

Chan, Joshua (90)

van Dijk, Herman (72)

Yu, Jun (59)

Jensen, Mark (54)

Shephard, Neil (53)

Clark, Todd (52)

Cites to:

Shephard, Neil (61)

Harvey, Andrew (23)

Smets, Frank (20)

Wouters, Raf (20)

Simoni, Anna (15)

Ghysels, Eric (14)

Engle, Robert (14)

Renault, Eric (14)

Schorfheide, Frank (14)

Diebold, Francis (12)

Jeliazkov, Ivan (12)

Main data

Where SIDDHARTHA CHIB has published?

Journals with more than one article published# docs
Journal of Econometrics20
Journal of the American Statistical Association4
Journal of Business & Economic Statistics3
Econometric Theory2
Economics Letters2
Statistics & Probability Letters2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org6
Econometrics / University Library of Munich, Germany5
Working Papers / Federal Reserve Bank of Philadelphia4
Post-Print / HAL3
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo2
OFRC Working Papers Series / Oxford Financial Research Centre2
Economics Series Working Papers / University of Oxford, Department of Economics2
CARF F-Series / Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo2

Recent works citing SIDDHARTHA CHIB (2026 and 2025)

YearTitle of citing document
2025Modeling European electricity market integration during turbulent times. (2025). Rossini, Luca ; Ravazzolo, Francesco ; Viselli, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:376266.

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2025Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!. (2025). Kastner, Gregor ; Gruber, Luis. In: Papers. RePEc:arx:papers:2206.04902.

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2025The Bayesian Context Trees State Space Model for time series modelling and forecasting. (2023). Papageorgiou, Ioannis ; Kontoyiannis, Ioannis. In: Papers. RePEc:arx:papers:2308.00913.

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2025Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference. (2024). Uzeda, Luis ; Lütkepohl, Helmut ; Wo, Tomasz ; Lutkepohl, Helmut ; Shang, Fei. In: Papers. RePEc:arx:papers:2404.11057.

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2025Bayesian Dynamic Factor Models for High-dimensional Matrix-valued Time Series. (2024). Zhang, Wei. In: Papers. RePEc:arx:papers:2409.08354.

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2025Fast and Efficient Bayesian Analysis of Structural Vector Autoregressions Using the R Package bsvars. (2025). Wo, Tomasz. In: Papers. RePEc:arx:papers:2410.15090.

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2026Semiparametric Bayesian Inference for a Conditional Moment Equality Model. (2024). Walker, Christopher D. In: Papers. RePEc:arx:papers:2410.16017.

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2026Probabilistic Predictions of Option Prices Using Multiple Sources of Data. (2024). Martin, Gael M ; Frazier, David T ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:2412.00658.

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2025Semiparametric Bayesian Difference-in-Differences. (2024). Yu, Zhengfei ; Liu, Ruixuan ; Breunig, Christoph. In: Papers. RePEc:arx:papers:2412.04605.

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2026Diffusion on the circle and a stochastic correlation model. (2025). Laha, Arnab Kumar ; Majumdar, Sourav. In: Papers. RePEc:arx:papers:2412.06343.

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2025Estimating Discrete Choice Demand Models with Sparse Market-Product Shocks. (2025). Shimizu, Kenichi ; Lu, Zhentong. In: Papers. RePEc:arx:papers:2501.02381.

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2025Time-Varying Identification of Structural Vector Autoregressions. (2025). Wo, Tomasz ; Camehl, Annika. In: Papers. RePEc:arx:papers:2502.19659.

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2025Minnesota BART. (2025). Carvalho, Carlos M ; Lima, Pedro A ; Herren, Andrew ; Lopes, Hedibert F. In: Papers. RePEc:arx:papers:2503.13759.

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2026To Buy an Electric Vehicle or Not? A Bayesian Analysis of Consumer Intent in the United States. (2025). Rahman, Mohammad Arshad ; Lohawala, Nafisa. In: Papers. RePEc:arx:papers:2504.09854.

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2025Export proceeds repatriation policies: A shield against exchange rate volatility in emerging markets?. (2025). Uli, Sondang Marsinta ; Djuranovik, Leslie ; Gitaharie, Beta Yulianita ; Ekananda, Mahjus. In: Papers. RePEc:arx:papers:2506.09168.

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2025Modeling European Electricity Market Integration during turbulent times. (2025). Rossini, Luca ; Ravazzolo, Francesco ; Viselli, Andrea. In: Papers. RePEc:arx:papers:2506.23289.

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2026Plausible GMM: A Quasi-Bayesian Approach. (2025). Hansen, Christian B ; Chernozhukov, Victor ; Wang, Weining ; Kong, Lingwei. In: Papers. RePEc:arx:papers:2507.00555.

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2025A New Perspective of the Meese-Rogoff Puzzle: Application of Sparse Dynamic Shrinkage. (2025). Song, Yong ; Maneesoonthorn, Worapree ; Fan, Zheng. In: Papers. RePEc:arx:papers:2507.14408.

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2025Interpretable Factors of Firm Characteristics. (2025). Zhu, Yingzi ; Zhou, Guofu ; Jiao, Yuxiao. In: Papers. RePEc:arx:papers:2508.02253.

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2026Possibilistic Instrumental Variable Regression. (2025). Steiner, Gregor ; Houssineau, Jeremie. In: Papers. RePEc:arx:papers:2511.16029.

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2025Stochastic Volatility Modelling with LSTM Networks: A Hybrid Approach for S&P 500 Index Volatility Forecasting. (2025). Ślepaczuk, Robert ; Perekhodko, Anna. In: Papers. RePEc:arx:papers:2512.12250.

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2025srvar-toolkit: A Python Implementation of Shadow-Rate Vector Autoregressions with Stochastic Volatility. (2025). Shaw, Charles. In: Papers. RePEc:arx:papers:2512.19589.

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2026Distribution-Matching Posterior Inference for Incomplete Structural Models. (2026). Kano, Takashi. In: Papers. RePEc:arx:papers:2601.01077.

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2026Selecting and Testing Asset Pricing Models: A Stepwise Approach. (2026). Lan, Wei ; Zhang, Jun ; Wang, Hansheng ; Feng, Guanhao. In: Papers. RePEc:arx:papers:2601.10279.

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2026Null-Validated Topological Signatures of Financial Market Dynamics. (2026). Akingbade, Samuel W. In: Papers. RePEc:arx:papers:2602.00383.

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2026Identification Verification for Structural Vector Autoregressions with Sparse Heterogeneous Markov Switching Heteroskedasticity. (2026). Wo, Tomasz ; Shang, Fei. In: Papers. RePEc:arx:papers:2603.16035.

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2026Mislearning of Factor Risk Premia under Structural Breaks: A Misspecified Bayesian Learning Framework. (2026). Qiu, Yimeng. In: Papers. RePEc:arx:papers:2603.21672.

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2026The Co-Pricing Factor Zoo. (2026). Mueller, Philippe ; Julliard, Christian ; Dickerson, Alexander. In: Papers. RePEc:arx:papers:2604.04430.

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2026Unified Mixture Sampler for State-Space Models: Application to Stochastic Conditional Duration Models. (2026). Omori, Yasuhiro ; Hiraki, Daichi. In: Papers. RePEc:arx:papers:2604.04517.

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2026Dynamic Factor Stochastic Volatility-in-Mean VAR for Large Macroeconomic Panels. (2026). Omori, Yasuhiro ; Chib, Siddhartha ; Hiraki, Daichi. In: Papers. RePEc:arx:papers:2604.04529.

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2026Bayesian Dynamic Modeling of Realized Volatility in Financial Asset Price Forecasting. (2026). West, Mike ; Woitschig, Patrick. In: Papers. RePEc:arx:papers:2605.12099.

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2026Demographic Transition and the Dynamics of Income Distribution in Japan: A Bayesian State-Space Approach. (2026). Kakamu, Kazuhiko. In: Papers. RePEc:arx:papers:2605.18138.

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2025Statistical Properties of Two Asymmetric Stochastic Volatility in Power Mean Models. (2025). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2546.

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2026Plausible GMM: a quasi-bayesian approach. (2026). Wang, Weining ; Kong, Lingwei ; Hansen, Christian ; Chernozhukov, Victor. In: CeMMAP working papers. RePEc:azt:cemmap:07/26.

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2025Plausible GMM: a quasi-bayesian approach. (2025). Chernozhukov, Victor ; Wang, Weining ; Kong, Lingwei ; Hansen, Christian. In: CeMMAP working papers. RePEc:azt:cemmap:14/25.

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2026Direct Gaussian Process Predictive Regressions with Mixed Frequency Data. (2026). Massimiliano, Niko Hauzenberger. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp26265.

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2025Understanding the Catalysts of Chinas Great Moderation During the Post‐Crisis Era: An Industrial Structure Evolution Perspective. (2025). Ma, Yongyuan ; Xue, Liguo. In: Australian Economic Papers. RePEc:bla:ausecp:v:64:y:2025:i:3:p:330-344.

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2026The Time‐Varying Anchoring of Inflation Expectations in Australia. (2026). Duong, Thuy Hang. In: Australian Economic Review. RePEc:bla:ausecr:v:59:y:2026:i:1:p:59-74.

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2025Exploring Monetary Policy Shocks with Large-Scale Bayesian VARs. (2025). Korobilis, Dimitris. In: Working Papers. RePEc:bny:wpaper:0140.

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2026Multivariate Stochastic Volatility Model with Block Correlations. (2026). Yu, Jun ; Fei, Yijie ; Chen, Han. In: Working Papers. RePEc:boa:wpaper:202638.

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2026What Drives Trend Inflation in Japan? : A Trend-Cycle BVAR Decomposition Approach. (2026). Takatomi, Kosuke ; Takano, Yutaro ; Hirano, Ryuichiro. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp26e01.

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2026Innovative computer experiment designs utilizing a three-marked Strauss point process. (2026). Nadia, Oukid ; Ahmed, Ait Ameur ; Hichem, Elmossaoui. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:32:y:2026:i:1:p:91-104:n:1006.

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2025Which Global Cycle? A Stochastic Factor Selection Approach for Global Macro-Financial Cycles. (2025). Sebastian, Hienzsch ; Tino, Berger. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:29:y:2025:i:5:p:541-559:n:1003.

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2025Plausible GMM: A Quasi-Bayesian Approach. (2025). Chernozhukov, Victor ; Wang, Weining ; Kong, Lingwei ; Hansen, Christian B. In: Bristol Economics Discussion Papers. RePEc:bri:uobdis:25/817.

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2025Multi-trait evaluation of oilseed rape varieties. (2025). Przystalski, Marcin ; Acka, Agnieszka ; Bujak, Henryk ; Lenartowicz, Tomasz ; Broniarz, Jacek ; Bana, Konrad ; Waszak, Katarzyna. In: Plant, Soil and Environment. RePEc:caa:jnlpse:v:71:y:2025:i:12:id:337-2025-pse.

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2025Beyond Aggregates: A Dual Lens on Eurozone Trend Inflation. (2025). Yakut, Dilan Aydin. In: Research Technical Papers. RePEc:cbi:wpaper:3/rt/25.

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2025Tail-Risk Indicators with Time-Variant Volatility Models: the case of the Chilean Peso. (2025). Estef, Catalina ; Alfaro, Rodrigo. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:1041.

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2025Dynare: Reference Manual, Version 6. (2025). Villemot, Sébastien ; Pfeifer, Johannes ; Mutschler, Willi ; Juillard, Michel ; Adjemian, Stéphane ; Rion, Normann ; Ratto, Marco ; Karame, Frederic. In: Dynare Working Papers. RePEc:cpm:dynare:080.

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2025Switching the leverage switch. (2025). Marn, Juan Miguel ; Romero, Eva ; Lopes, Mara Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:47005.

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2025Beyond GARCH: Bayesian Neural Stochastic Volatility. (2025). Marn, Juan Miguel ; Guo, Hongfei ; Veiga, Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:47944.

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2025Long-Run Inflation Expectations. (2025). Rast, Sebastian ; Melosi, Leonardo. In: Working Papers. RePEc:dnb:dnbwpp:829.

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2025Environmental information perception enhances cooperation in stochastic public goods games via Q-learning. (2025). Li, Yipeng ; Yang, Jiajia ; Zhang, Huizhen ; Wang, Zhen ; Jin, Xing ; Hu, Xiangyue. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:504:y:2025:i:c:s0096300325002310.

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2026Empirical likelihood based Bayesian variable selection. (2026). Zhao, Yichuan ; Cheng, Yichen. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:213:y:2026:i:c:s0167947325001343.

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2025Time-varying sources of fluctuations in global inflation. (2025). Ko, Juyoung ; Kim, Won Joong ; Piao, Chunyan ; Kwon, Won Soon. In: Economic Modelling. RePEc:eee:ecmode:v:143:y:2025:i:c:s0264999324003274.

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2025Efficient approximation of post-processing posterior predictive p value with economic applications. (2025). Zhang, Yonghui ; Zeng, Tao ; Yu, Muyao ; Wu, Zhou. In: Economic Modelling. RePEc:eee:ecmode:v:146:y:2025:i:c:s0264999325000185.

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2025Covered interest parity: A forecasting approach to estimate the neutral band. (2025). Hernandez, Juan ; Hernndez, Juan R. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000719.

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2025Volatility shocks in markets and policies: What matters for a small open economy like Canada?. (2025). Poon, Aubrey ; Kam, Timothy ; Cross, Jamie. In: Economic Modelling. RePEc:eee:ecmode:v:151:y:2025:i:c:s0264999325001191.

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2025Inflation targeting and the changing transmission mechanism of monetary policy in India. (2025). Alex, Dony. In: Economic Modelling. RePEc:eee:ecmode:v:151:y:2025:i:c:s0264999325001361.

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2025Time-varying transmission of external shocks in Peru: Reassessing the role of monetary policy. (2025). Rodríguez, Gabriel ; Castillo, Paul ; Salvatierra, Leonela Yamuca ; Rodrguez, Gabriel ; Ruiz, Brenda Guevara. In: Economic Modelling. RePEc:eee:ecmode:v:152:y:2025:i:c:s0264999325002366.

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2025Volatility estimation through stochastic processes: Evidence from cryptocurrencies. (2025). Harasheh, Murad ; Bouteska, Ahmed. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pb:s1062940824002456.

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2025Modelling large dimensional datasets with Markov switching factor models. (2025). Barigozzi, Matteo ; Massacci, Daniele. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002707.

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2025Multivariate stochastic volatility models based on generalized Fisher transformation. (2025). Yu, Jun ; Fei, Yijie ; Chen, Han. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625000958.

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2025Flexible and Robust Particle Tempering for State Space Models. (2025). Kohn, Robert ; Gunawan, David ; Tran, Minh Ngoc. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:35-55.

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2026A computationally efficient mixture innovation model for time-varying parameter regressions. (2026). He, Zhongfang. In: Econometrics and Statistics. RePEc:eee:ecosta:v:37:y:2026:i:c:p:250-269.

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2025The role of macro-finance factors in predicting stock market volatility: A latent threshold dynamic model. (2025). Zamenjani, Azam Shamsi ; Maheu, John M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:82:y:2025:i:c:s0927539825000428.

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2025Modelling time-varying volatility spillovers across crises: Evidence from major commodity futures and the US stock market. (2025). faff, robert ; Yew, Rand Kwong ; Ramesh, Shietal. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325000489.

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2025Compounding geopolitical and energy risks: A clustered stochastic multi-COVOL model. (2025). Billio, Monica ; Casarin, Roberto ; Lpez, Ovielt Baltodano ; Costola, Michele. In: Energy Economics. RePEc:eee:eneeco:v:149:y:2025:i:c:s0140988325005274.

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2025An infinite hidden Markov model with GARCH for short-term interest rates. (2025). Li, Chenxing ; Yang, Qiao. In: Finance Research Letters. RePEc:eee:finlet:v:80:y:2025:i:c:s1544612325005574.

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2025The short-run impact of investor expectations’ past volatility on current predictions: The case of VIX. (2025). Ioan, Roxana ; Dima, Tefana Maria. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:98:y:2025:i:c:s1042443124001501.

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2025ABC-based forecasting in misspecified state space models. (2025). Loaiza-Maya, Rubn ; Weerasinghe, Chaya ; Frazier, David T ; Martin, Gael M. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:270-289.

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2025Probabilistic forecasting of cross-sectional returns: A Bayesian dynamic factor model with heteroskedasticity. (2025). Weitzenfeld, Dan. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:4:p:1477-1484.

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2025Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!. (2025). Kastner, Gregor ; Gruber, Luis. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:4:p:1589-1619.

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2025Markov switching multiple-equation tensor regressions. (2025). Craiu, Radu V ; Casarin, Roberto ; Wang, Qing. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:208:y:2025:i:c:s0047259x25000223.

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2025Global money supply and energy and non-energy commodity prices: A MS-TV-VAR approach. (2025). Vespignani, Joaquin ; Grassi, Stefano ; Vocalelli, Giorgio ; Ravazzolo, Francesco. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:40:y:2025:i:c:s2405851325000467.

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2025Bayesian inference in proxy SVARs with incomplete identification: Re-evaluating the validity of monetary policy instruments. (2025). Nguyen, Lam. In: Journal of Monetary Economics. RePEc:eee:moneco:v:155:y:2025:i:c:s0304393225000844.

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2025Taming the factor zoo in China’s equity market: A Bayesian approach. (2025). Xia, Xiaobao ; Mao, Jie ; Zhuo, Haotian. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:93:y:2025:i:c:s0927538x2500229x.

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2025What events matter for exchange rate volatility?. (2025). Ferreira Batista Martins, Igor ; Lopes, Hedibert Freitas. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:104:y:2025:i:c:s1062976925001140.

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2026A copula-based transitional markov chain monte carlo method for bayesian model updating. (2026). Zhang, YI ; Guo, Tong ; Ma, Pengfei ; Luo, Min ; Cai, Enjian. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:265:y:2026:i:pb:s0951832025007720.

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2025Oil price uncertainty shock and Korean sectoral stock market: The role of common factor and asymmetry. (2025). Lee, Geonhee ; Kim, Young Min. In: Research in International Business and Finance. RePEc:eee:riibaf:v:78:y:2025:i:c:s0275531925002454.

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2025Modeling European electricity market integration during turbulent times. (2025). Rossini, Luca ; Ravazzolo, Francesco ; Viselli, Andrea. In: Working Papers. RePEc:fem:femwpa:2025.25.

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2025Long-Run Inflation Expectations. (2025). Melosi, Leonardo ; Fisher, Jonas ; Rast, Sebastian. In: Working Paper Series. RePEc:fip:fedhwp:99677.

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2025Resilience and Asset Pricing in COVID-19 Disaster. (2025). Daadmehr, Elham. In: Economies. RePEc:gam:jecomi:v:13:y:2025:i:5:p:123-:d:1647736.

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2025Assessment of Transmission Reliability Margin: Existing Methods and Challenges and Future Prospects. (2025). Edeh, Uchenna Emmanuel ; Lie, Tek Tjing ; Mahmud, Md Apel. In: Energies. RePEc:gam:jeners:v:18:y:2025:i:9:p:2267-:d:1645645.

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2025Stochastic Model and Rhythm-Adaptive Technologies of Statistical Analysis and Forecasting of Economic Processes with Cyclic Components. (2025). Lupenko, Serhii ; Horkunenko, Andrii. In: Forecasting. RePEc:gam:jforec:v:7:y:2025:i:2:p:20-:d:1659342.

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2025Bayesian Analysis of Bitcoin Volatility Using Minute-by-Minute Data and Flexible Stochastic Volatility Models. (2025). Nakatsuma, Teruo ; Nakakita, Makoto ; Toyabe, Tomoki. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:16:p:2691-:d:1729283.

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2025Adaptive Bayesian Nonparametric Regression via Stationary Smoothness Priors. (2025). Tobias, Justin L. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:7:p:1162-:d:1625305.

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2025Semiparametric Estimation and Application of Realized GARCH Model with Time-Varying Leverage Effect. (2025). Liu, Guangying ; Lin, Jinguan ; Mao, Yizhi ; Hao, Hongxia. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:9:p:1506-:d:1648583.

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2025Evaluating Monetary Policy using Deviation Errors. (2025). Korobilis, Dimitris ; Thorsrud, Leif Anders. In: Working Papers. RePEc:gla:glaewp:2025_08.

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2025Exploring Monetary Policy Shocks with Large-Scale Bayesian VARs. (2025). Korobilis, Dimitris. In: Working Papers. RePEc:gla:glaewp:2025_09.

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2025Fast and Slow Level Shifts in Intraday Stochastic Volatility. (2025). , Igor ; Virbickait, Audron ; Hedibert, Freitas Lopes ; Nguyen, Hoang. In: Working Papers. RePEc:hhs:oruesi:2025_012.

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2025Volume-driven time-of-day effects in intraday volatility models. (2025). Batista, Igor Ferreira ; Virbickait, Audron ; Nguyen, Hoang ; Lopes, Hedibert Freitas. In: Working Papers. RePEc:hhs:oruesi:2025_014.

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2025Bayesian Analysis of Business Cycles in Japan by Extending the Markov Switching Model. (2025). ワタナベ, トシアキ, ; 渡部, 敏明, ; Watanabe, Toshiaki. In: Discussion paper series. RePEc:hit:hiasdp:hias-e-148.

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2025Time-varying Local Projections with Stochastic Volatility. (2025). Nakajima, Jouchi. In: Discussion Paper Series. RePEc:hit:hituec:761.

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2025Detecting Multiple Changepoints by Exploiting Their Spatiotemporal Correlations: A Bayesian Hierarchical Approach. (2025). Chen, Xian ; Wu, Weichi ; Huang, Kun ; Jiang, Hai. In: INFORMS Joural on Data Science. RePEc:inm:orijds:v:4:y:2025:i:2:p:133-153.

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2025Fast Forecasting of Unstable Data Streams for On-Demand Service Platforms. (2025). Hu, Yu Jeffrey ; Rombouts, Jeroen ; Wilms, Ines. In: Information Systems Research. RePEc:inm:orisre:v:36:y:2025:i:1:p:552-571.

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2025Online Causal Inference for Advertising in Real-Time Bidding Auctions. (2025). Nair, Harikesh ; Carrion, Carlos ; Waisman, Caio. In: Marketing Science. RePEc:inm:ormksc:v:44:y:2025:i:1:p:176-195.

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2025Testing the equilibrium path of exchange rates, monetary policy, and trade balance in the Türkiye. (2025). Kocoglu, Mustafa ; Kula, Ferit. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:58:y:2025:i:3:d:10.1007_s10644-025-09874-3.

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2025Inflation forecasting in turbulent times. (2025). Kunst, Robert ; Sgner, Leopold ; Koch, Sebastian P ; Hlouskova, Jaroslava ; Fortin, Ines ; Ertl, Martin. In: Empirica. RePEc:kap:empiri:v:52:y:2025:i:1:d:10.1007_s10663-024-09633-z.

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2025(A)Synchronous Housing Markets of Global Cities. (2025). Bhatt, Vipul ; Kishor, Kundan N. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:71:y:2025:i:2:d:10.1007_s11146-022-09903-2.

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2025Nonparametric Continuous Time Regressions with Functional Coefficients. (2025). Nguyen, Nuong ; Kim, Jihyun ; Choi, Mijung. In: Korean Economic Review. RePEc:kea:keappr:ker-20250101-41-1-05.

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2025Gaps between market performance, government planning and social objectives: projections and comparisons of carbon price intervals. (2025). Zhang, Ming ; Xu, Jianze ; Lin, Chuxia ; Niu, Anyi ; Zhou, Xing. In: Humanities and Social Sciences Communications. RePEc:pal:palcom:v:12:y:2025:i:1:d:10.1057_s41599-025-05482-8.

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

Works by SIDDHARTHA CHIB:

YearTitleTypeCited
2021Bayesian Estimation and Comparison of Conditional Moment Models In: Papers.
[Full Text][Citation analysis]		paper4
2022Bayesian estimation and comparison of conditional moment models.(2022) In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2019Bayesian Estimation and Comparison of Conditional Moment Models.(2019) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2022Bayesian Estimation and Comparison of Conditional Moment Models.(2022) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2025Scalable Estimation of Multinomial Response Models with Random Consideration Sets In: Papers.
[Full Text][Citation analysis]		paper2
2024Stochastic Volatility in Mean: Efficient Analysis by a Generalized Mixture Sampler In: Papers.
[Full Text][Citation analysis]		paper0
2026Bayesian Estimation of Cohort-Time-Stratum Specific Effects in Staggered Difference-in-Differences In: Papers.
[Full Text][Citation analysis]		paper0
2025Learning the Macroeconomic Language In: Papers.
[Full Text][Citation analysis]		paper0
2026Testing for Endogeneity: A Moment-Based Bayesian Approach In: Papers.
[Full Text][Citation analysis]		paper1
2024Testing for Endogeneity: A Moment-Based Bayesian Approach.(2024) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2006Inference in Semiparametric Dynamic Models for Binary Longitudinal Data In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article27
2009Analysis of Multifactor Affine Yield Curve Models In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article42
2001Marginal Likelihood From the Metropolis-Hastings Output In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article302
2003Marginal Likelihood and Bayes Factors for Dirichlet Process Mixture Models In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article32
1993Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts. In: Journal of Business & Economic Statistics.
[Citation analysis]		article250
2001Markov Chain Monte Carlo Analysis of Correlated Count Data. In: Journal of Business & Economic Statistics.
[Citation analysis]		article74
2002Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]		article1
2001Sequential Ordinal Modeling with Applications to Survival Data In: Biometrics.
[Full Text][Citation analysis]		article23
2020On Comparing Asset Pricing Models In: Journal of Finance.
[Full Text][Citation analysis]		article26
2005Bayesian model selection for join point regression with application to age‐adjusted cancer rates In: Journal of the Royal Statistical Society Series C.
[Full Text][Citation analysis]		article10
2005Accept–reject Metropolis–Hastings sampling and marginal likelihood estimation In: Statistica Neerlandica.
[Full Text][Citation analysis]		article19
2004Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in Journal of Econometrics, 140, 425-449, 2007. ) In: CARF F-Series.
[Full Text][Citation analysis]		paper0
2007Multivariate stochastic volatility (Revised in May 2007, Handbook of Financial Time Series (Published in Handbook of Financial Time Series (eds T.G. Andersen, R.A. Davis, Jens-Peter Kreiss and T. Mikosch), 365-400. Springer-Verlag: New York. April 2009. ) In: CARF F-Series.
[Full Text][Citation analysis]		paper0
2016Bayesian Empirical Likelihood Estimation and Comparison of Moment Condition Models In: Working Papers.
[Full Text][Citation analysis]		paper1
1996Markov Chain Monte Carlo Simulation Methods in Econometrics In: Econometric Theory.
[Full Text][Citation analysis]		article226
1994Markov Chain Monte Carlo Simulation Methods in Econometrics.(1994) In: Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 226		paper
2023NONPARAMETRIC BAYES ANALYSIS OF THE SHARP AND FUZZY REGRESSION DISCONTINUITY DESIGNS In: Econometric Theory.
[Full Text][Citation analysis]		article2
2022NONPARAMETRIC BAYES ANALYSIS OF THE SHARP AND FUZZY REGRESSION DISCONTINUITY DESIGNS.(2022) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2001Likelihood Inference for Discretely Observed Nonlinear Diffusions. In: Econometrica.
[Citation analysis]		article174
1998Likelihood INference for Discretely Observed Non-linear Diffusions.(1998) In: Economics Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 174		paper
2000Likelihood inference for discretely observed non-linear diffusions.(2000) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 174		paper
2001Markov chain Monte Carlo methods: computation and inference In: Handbook of Econometrics.
[Full Text][Citation analysis]		chapter258
1985Equity premium in a production economy : A parametric example In: Economics Letters.
[Full Text][Citation analysis]		article1
1987Bayes prediction in the linear model with spherically symmetric errors In: Economics Letters.
[Full Text][Citation analysis]		article5
2002Markov chain Monte Carlo methods for stochastic volatility models In: Journal of Econometrics.
[Full Text][Citation analysis]		article278
2002Semiparametric Bayes analysis of longitudinal data treatment models In: Journal of Econometrics.
[Full Text][Citation analysis]		article60
2006Analysis of high dimensional multivariate stochastic volatility models In: Journal of Econometrics.
[Full Text][Citation analysis]		article177
2007Analysis of treatment response data without the joint distribution of potential outcomes In: Journal of Econometrics.
[Full Text][Citation analysis]		article29
2007Stochastic volatility with leverage: Fast and efficient likelihood inference In: Journal of Econometrics.
[Full Text][Citation analysis]		article317
2007Modeling and calculating the effect of treatment at baseline from panel outcomes In: Journal of Econometrics.
[Full Text][Citation analysis]		article8
2008Analysis of treatment response data from eligibility designs In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
2010Tailored randomized block MCMC methods with application to DSGE models In: Journal of Econometrics.
[Full Text][Citation analysis]		article101
2010Additive cubic spline regression with Dirichlet process mixture errors In: Journal of Econometrics.
[Full Text][Citation analysis]		article16
1988Bayes prediction in regressions with elliptical errors In: Journal of Econometrics.
[Full Text][Citation analysis]		article15
1989Predictive efficiency for simple non-linear models In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
1992Bayes inference in the Tobit censored regression model In: Journal of Econometrics.
[Full Text][Citation analysis]		article123
1993Bayes regression with autoregressive errors : A Gibbs sampling approach In: Journal of Econometrics.
[Full Text][Citation analysis]		article59
1994Bayes inference in regression models with ARMA (p, q) errors In: Journal of Econometrics.
[Full Text][Citation analysis]		article182
1995Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models In: Journal of Econometrics.
[Full Text][Citation analysis]		article129
1996Calculating posterior distributions and modal estimates in Markov mixture models In: Journal of Econometrics.
[Full Text][Citation analysis]		article318
1998Posterior simulation and Bayes factors in panel count data models In: Journal of Econometrics.
[Full Text][Citation analysis]		article32
1996Posterior Simulation and Bayes Factors in Panel Count Data Models.(1996) In: Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 32		paper
1998Estimation and comparison of multiple change-point models In: Journal of Econometrics.
[Full Text][Citation analysis]		article274
1998Markov chain Monte Carlo and models of consideration set and parameter heterogeneity In: Journal of Econometrics.
[Full Text][Citation analysis]		article41
2000Bayesian analysis of cross-section and clustered data treatment models In: Journal of Econometrics.
[Full Text][Citation analysis]		article38
2008Assessing the role of option grants to CEOs: How important is heterogeneity? In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article4
1994Outlier detection in the state space model In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article0
1987A new definition of the predictive likelihood In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article0
2008Causal effects from panel data in randomized experiments with partial compliance In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter0
2024Factor Selection and Structural Breaks In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper1
2004Non-Markovian regime switching with endogenous states and time-varying state strengths In: Working Papers.
[Full Text][Citation analysis]		paper15
2020High-Dimensional DSGE Models: Pointers on Prior, Estimation, Comparison, and Prediction∗ In: Working Papers.
[Full Text][Citation analysis]		paper0
2021DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors In: Working Papers.
[Citation analysis]		paper4
2023DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors.(2023) In: Computational Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
1990POSTERIOR INFERENCE ON THE DEGREES OF FREEDOM PARAMETER IN MULTIVARIATE-T REGRESSION MODELS. In: Tilburg - Center for Economic Research.
[Citation analysis]		paper4
1990Posterior inference on the degrees of freedom parameter in multivariate-t regression models.(1990) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
1990Posterior inference on the degrees of freedom parameter in multivariate-t regression models.(1990) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
1992Posterior inference on the degrees of freedom parameter in multivariate-t regression models.(1992) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
1991A Baysian Note on Competing Correlation Structures in the Dynamic Linear Regression Model. In: Tilburg - Center for Economic Research.
[Citation analysis]		paper2
1991A Bayesian note on competing correlation structures in the dynamic linear regression model.(1991) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
1991A Bayesian note on competing correlation structures in the dynamic linear regression model.(1991) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2018Bayesian Estimation and Comparison of Moment Condition Models In: Post-Print.
[Citation analysis]		paper25
2018Bayesian Estimation and Comparison of Moment Condition Models.(2018) In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 25		article
2024Winners from Winners: A Tale of Risk Factors In: Management Science.
[Full Text][Citation analysis]		article3
2011Returns to Compulsory Schooling in Britain: Evidence from a Bayesian Fuzzy Regression Discontinuity Analysis In: IZA Discussion Papers.
[Full Text][Citation analysis]		paper1
2005Models of Multi-Category Choice Behavior In: Marketing Letters.
[Full Text][Citation analysis]		article42
2001Comment on Garland B. Durham and A. Ronald Gallants Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes In: Economics Papers.
[Full Text][Citation analysis]		paper2
2004Stochastic volatility with leverage: fast likelihood inference In: Economics Papers.
[Full Text][Citation analysis]		paper8
2004Stochastic volatility with leverage: fast likelihood inference.(2004) In: Economics Series Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2004Stochastic Volatility with Leverage: Fast Likelihood Inference.(2004) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2004Likelihood based inference for diffusion driven models In: Economics Papers.
[Full Text][Citation analysis]		paper11
2004Likelihood based inference for diffusion driven models.(2004) In: Economics Series Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2004Likelihood based inference for diffusion driven models.(2004) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
1996Stochastic volatility: likelihood inference and comparison with ARCH models. In: Economics Papers.
[Full Text][Citation analysis]		paper1352
1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.(1998) In: The Review of Economic Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1352		article
1996STOCHASTIC VOLATILITY: LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS.(1996) In: Econometrics.
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This paper has nother version. Agregated cites: 1352		paper
2013Change-Points in Affine Arbitrage-Free Term Structure Models In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article11
2005Structural Breaks in Estimated DSGE Models with Indeterminacy In: Computing in Economics and Finance 2005.
[Citation analysis]		paper0
1999Windows Software for Bayesian MCMC Computations In: Computing in Economics and Finance 1999.
[Citation analysis]		paper0
1988Bayes Prediction Density and Regression Estimation--A Semiparametric Approach. In: Empirical Economics.
[Citation analysis]		article6
2009Stochastic Volatility Models with Long Memory In: Springer Books.
[Citation analysis]		chapter0
2009Multivariate Stochastic Volatility In: Springer Books.
[Citation analysis]		chapter269
2007Multivariate stochastic volatility.(2007) In: CIRJE F-Series.
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This paper has nother version. Agregated cites: 269		paper
2014DSGE Models with Student- t Errors In: Econometric Reviews.
[Full Text][Citation analysis]		article48
2020Which Factors are Risk Factors in Asset Pricing? A Model Scan Framework In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article6
1990Regression models under competing covariance matrices : A Bayesian perspective In: Discussion Paper.
[Full Text][Citation analysis]		paper4
1990Regression models under competing covariance matrices : A Bayesian perspective.(1990) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 4		paper
2016Bayesian Fuzzy Regression Discontinuity Analysis and Returns to Compulsory Schooling In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article10
1996Bayesian Analysis of Multivariate Probit Models In: Econometrics.
[Full Text][Citation analysis]		paper1
1998MCMC Methods for Fitting and Comparing Multinomial Response Models In: Econometrics.
[Full Text][Citation analysis]		paper11
2004Markov Chain Monte Carlo Technology In: Papers.
[Full Text][Citation analysis]		paper0

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