Joshua C.C. Chan : Citation Profile

Purdue University

25

H index

37

i10 index

1812

Citations

RESEARCH PRODUCTION:

48

Articles

84

Papers

3

Books

20

Chapters

RESEARCH ACTIVITY:

   20 years (2005 - 2025). See details.
   Cites by year: 90
   Journals where Joshua C.C. Chan has often published
   Relations with other researchers
   Recent citing documents: 223.    Total self citations: 77 (4.08 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pch840
   Updated: 2026-01-10    RAS profile: 2025-07-07    
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Relations with other researchers

Works with:

Strachan, Rodney (5)

Yu, Xuewen (5)

Koop, Gary (5)

Poon, Aubrey (5)

Eisenstat, Eric (4)

Leon-Gonzalez, Roberto (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 (79)

Huber, Florian (75)

Rodríguez, Gabriel (61)

Poon, Aubrey (49)

Korobilis, Dimitris (49)

Pfarrhofer, Michael (35)

Cross, Jamie (32)

Cross, Jamie (30)

Marcellino, Massimiliano (29)

Ricco, Giovanni (29)

Österholm, Pär (26)

Cites to:

Koop, Gary (153)

Korobilis, Dimitris (72)

Strachan, Rodney (68)

Clark, Todd (62)

Giannone, Domenico (53)

Eisenstat, Eric (52)

Reichlin, Lucrezia (44)

Primiceri, Giorgio (36)

Shephard, Neil (36)

Leon-Gonzalez, Roberto (35)

Poon, Aubrey (34)

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 Statistics6
Journal of Economic Dynamics and Control5
Journal of Econometrics5
Studies in Nonlinear Dynamics & Econometrics3
Journal of Money, Credit and Banking3
Econometric Reviews3
Computational Statistics & Data Analysis2
International Journal of Forecasting2
Economics Letters2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org14
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 (2025 and 2024)

YearTitle of citing document
2024Assessing the impact of energy and macroeconomic shocks on the Romanian economy: a Bayesian VAR approach. (2024). Mihai, Georgian Dnu ; Plea, Georgiana ; Neacu, Andrei Costin. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxxi:y:2024:i:4(641):p:109-118.

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2025Forecasting the Volatility of Energy Transition Metals. (2025). Bastianin, Andrea ; Shamsudin, Luqman ; Li, Xiao. In: FEEM Working Papers. RePEc:ags:feemwp:349169.

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2065The Transmission of World Maize Price to South African Maize Market: A Threshold Cointegration Approach. (2012). Marlene, Labuschagne ; Abidoye, Babatunde O.. In: Working Papers. RePEc:ags:upaewp:206515.

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2024Univariate inflation forecasts in Costa Rica: model evaluation and selection. (2024). Brenes-Soto, Carlos ; Jimnez-Montero, Susan ; Sand-Esquivel, Adriana ; Vindas-Quesada, Alberto. In: Notas Técnicas. RePEc:apk:nottec:2405.

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2024Time-varying parameters error correction model for real ruble exchange rate and oil prices: What has changed due to capital control and sanctions?. (2024). Fokin, Nikita ; Malikova, Ekaterina V ; Polbin, Andrey V. In: Russian Journal of Economics. RePEc:arh:jrujec:v:10:y:2024:i:1:p:20-33.

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2024Online Causal Inference for Advertising in Real-Time Bidding Auctions. (2024). Nair, Harikesh ; Xu, Nan ; Carrion, Carlos ; Waisman, Caio. In: Papers. RePEc:arx:papers:1908.08600.

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2024Time-Varying Parameters as Ridge Regressions. (2024). Goulet Coulombe, Philippe. In: Papers. RePEc:arx:papers:2009.00401.

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2024A Neural Phillips Curve and a Deep Output Gap. (2024). Goulet Coulombe, Philippe. In: Papers. RePEc:arx:papers:2202.04146.

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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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2024Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns. (2024). Maneesoonthorn, Worapree ; Smith, Michael Stanley ; Deng, Lin. In: Papers. RePEc:arx:papers:2308.05564.

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2024From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks. (2024). Goulet Coulombe, Philippe ; Frenette, Mikael ; Klieber, Karin. In: Papers. RePEc:arx:papers:2311.16333.

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2025A Quantile Nelson-Siegel model. (2024). Rossini, Luca ; Poon, Aubrey ; Iacopini, Matteo ; Zhu, Dan. In: Papers. RePEc:arx:papers:2401.09874.

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2024Nowcasting economic activity in European regions using a mixed-frequency dynamic factor model. (2024). Tiozzo Pezzoli, Luca ; Pfarrhofer, Michael ; onorante, luca ; Huber, Florian ; Hirschbühl, Dominik ; Barbaglia, Luca ; Hauzenberger, Niko ; Frattarolo, Lorenzo ; Hirschbuehl, Dominik. In: Papers. RePEc:arx:papers:2401.10054.

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2024What drives the European carbon market? Macroeconomic factors and forecasts. (2024). Rossini, Luca ; Bastianin, Andrea ; Qin, Yan ; Mirto, Elisabetta. In: Papers. RePEc:arx:papers:2402.04828.

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2024Inflation Target at Risk: A Time-varying Parameter Distributional Regression. (2024). Oka, Tatsushi ; Wang, Yunyun ; Zhu, Dan. In: Papers. RePEc:arx:papers:2403.12456.

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2024Bayesian Bi-level Sparse Group Regressions for Macroeconomic Density Forecasting. (2024). Mogliani, Matteo ; Simoni, Anna. In: Papers. RePEc:arx:papers:2404.02671.

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2024Maximally Forward-Looking Core Inflation. (2024). Goulet Coulombe, Philippe ; Goebel, Maximilian ; Klieber, Karin ; Barrette, Christophe. In: Papers. RePEc:arx:papers:2404.05209.

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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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2024Stochastic Volatility in Mean: Efficient Analysis by a Generalized Mixture Sampler. (2024). Omori, Yasuhiro ; Chib, Siddhartha ; Hiraki, Daichi. In: Papers. RePEc:arx:papers:2404.13986.

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2025Decision synthesis in monetary policy. (2025). Koop, Gary ; Chernis, Tony ; West, Mike ; Tallman, Emily. In: Papers. RePEc:arx:papers:2406.03321.

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2024Vector AutoRegressive Moving Average Models: A Review. (2024). Wilms, Ines ; Tsay, Ruey S ; Duker, Marie-Christine ; Matteson, David S. In: Papers. RePEc:arx:papers:2406.19702.

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2025Macroeconomic Forecasting with Large Language Models. (2025). Shekhar, Shubhranshu ; Carriero, Andrea ; Pettenuzzo, Davide. In: Papers. RePEc:arx:papers:2407.00890.

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2024Bayesian modelling of VAR precision matrices using stochastic block networks. (2024). Marcellino, Massimiliano ; Koop, Gary ; Huber, Florian ; Scheckel, Tobias. In: Papers. RePEc:arx:papers:2407.16349.

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2024The Transmission of Monetary Policy via Common Cycles in the Euro Area. (2024). Pruser, Jan ; Berend, Lukas. In: Papers. RePEc:arx:papers:2410.05741.

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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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2025The VIX as Stochastic Volatility for Corporate Bonds. (2025). Park, Ji Hyun ; Sarantsev, Andrey. In: Papers. RePEc:arx:papers:2410.22498.

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2024Nowcasting distributions: a functional MIDAS model. (2024). Marcellino, Massimiliano ; Renzetti, Andrea ; Tornese, Tommaso. In: Papers. RePEc:arx:papers:2411.05629.

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2024Firm Heterogeneity and Macroeconomic Fluctuations: a Functional VAR model. (2024). Marcellino, Massimiliano ; Renzetti, Andrea ; Tornese, Tommaso. In: Papers. RePEc:arx:papers:2411.05695.

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2024Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation. (2024). Yang, Fan ; Tan, Ken Seng ; Cui, Hengxin. In: Papers. RePEc:arx:papers:2411.06640.

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2024A large non-Gaussian structural VAR with application to Monetary Policy. (2024). Pruser, Jan. In: Papers. RePEc:arx:papers:2412.17598.

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2025Sectorial Exclusion Criteria in the Marxist Analysis of the Average Rate of Profit: The United States Case (1960-2020). (2025). Gomez, Jose Mauricio. In: Papers. RePEc:arx:papers:2501.06270.

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2025Forecasting the Volatility of Energy Transition Metals. (2025). Bastianin, Andrea ; Li, Xiao ; Shamsudin, Luqman. In: Papers. RePEc:arx:papers:2501.16069.

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2025Bayesian Analyses of Structural Vector Autoregressions with Sign, Zero, and Narrative Restrictions Using the R Package bsvarSIGNs. (2025). Wo, Tomasz ; Wang, Xiaolei. In: Papers. RePEc:arx:papers:2501.16711.

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2025Scenario Analysis with Multivariate Bayesian Machine Learning Models. (2025). Pfarrhofer, Michael ; Stelzer, Anna. In: Papers. RePEc:arx:papers:2502.08440.

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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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2025Vector Copula Variational Inference and Dependent Block Posterior Approximations. (2025). Panagiotelis, Anastasios ; Smith, Michael Stanley ; Fu, YU. In: Papers. RePEc:arx:papers:2503.01072.

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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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2025Large structural VARs with multiple linear shock and impact inequality restrictions. (2025). Berend, Lukas ; Pruser, Jan. In: Papers. RePEc:arx:papers:2505.19244.

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2025A Gibbs Sampler for Efficient Bayesian Inference in Sign-Identified SVARs. (2025). Arias, Jonas E ; Rubio-Ram, Juan F ; Shin, Minchul. In: Papers. RePEc:arx:papers:2505.23542.

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2025Tracking the economy at high frequency. (2025). Jarr, Juan ; Garc, Freddy. In: Papers. RePEc:arx:papers:2507.07450.

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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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2025FX-constrained growth: Fundamentalists, chartists and the dynamic trade-multiplier. (2025). Sordi, Serena ; Davila-Fernandez, Marwil J. In: Papers. RePEc:arx:papers:2508.02252.

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2025Dynamic Skewness in Stochastic Volatility Models: A Penalized Prior Approach. (2025). Louzada, Francisco ; Suzuki, Adriano K ; Ehlers, Ricardo S ; Holtz, Bruno E. In: Papers. RePEc:arx:papers:2508.10778.

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2025Taking the Highway or the Green Road? Conditional Temperature Forecasts Under Alternative SSP Scenarios. (2025). Gabriel, Vasco ; Phella, Anthoulla ; Martins, Luis F. In: Papers. RePEc:arx:papers:2509.09384.

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2025Assessing the Effects of Monetary Shocks on Macroeconomic Stars: A SMUC-IV Framework. (2025). Pruser, Jan ; Hou, Chenghan ; Fu, Bowen. In: Papers. RePEc:arx:papers:2510.05802.

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2025Macroeconomic Forecasting and Machine Learning. (2025). Giannone, Domenico ; Ghigliazza, Raffaele M ; Fan, Ting-Han ; Chi, Ta-Chung. In: Papers. RePEc:arx:papers:2510.11008.

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2025Estimating unrestricted spatial interdependence in panel spatial autoregressive models with latent common factors. (2025). Tavlas, George S ; Gefang, Deborah ; Hall, Stephen G. In: Papers. RePEc:arx:papers:2510.22399.

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2025Macroeconomic Forecasting for the G7 countries under Uncertainty Shocks. (2025). Sengupta, Shovon ; Singh, Sunny Kumar ; Chakraborty, Tanujit. In: Papers. RePEc:arx:papers:2510.23347.

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2025U.S. Economy and Global Stock Markets: Insights from a Distributional Approach. (2025). Wu, Ping ; Zhu, Dan. In: Papers. RePEc:arx:papers:2511.17140.

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2024Perceived shocks and impulse responses. (2024). Giacomini, Raffaella ; Lu, Jason ; Smetanina, Katja. In: CeMMAP working papers. RePEc:azt:cemmap:21/24.

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2024Bayesian nonparametric methods for macroeconomic forecasting. (2024). Pfarrhofer, Michael ; Marcellino, Massimiliano. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp24224.

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2024Decision Synthesis in Monetary Policy. (2024). Koop, Gary ; Chernis, Tony ; West, Mike ; Tallman, Emily. In: Staff Working Papers. RePEc:bca:bocawp:24-30.

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2035Simple Tests for the Correct Specification of Conditional Predictive Densities. (2035). Ganics, Gergely ; Codina, Lluc Puig. In: Working Papers. RePEc:bde:wpaper:2535.

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2024The global transmission of U.S. monetary policy. (2024). Ricco, Giovanni ; Degasperi, Riccardo ; Hong, Seokki Simon. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1466_24.

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2024Hybrid SV‐GARCH, t‐GARCH and Markov‐switching covariance structures in VEC models—Which is better from a predictive perspective?. (2024). Pajor, Anna ; Kwiatkowski, Ukasz ; Wroblewska, Justyna ; Osiewalski, Jacek. In: International Statistical Review. RePEc:bla:istatr:v:92:y:2024:i:1:p:62-86.

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2024Sequencing the COVID‐19 Recession in the USA: What Were the Macroeconomic Drivers?. (2024). Scharler, Johann ; Grndler, Daniel ; Geiger, Martin ; Breitenlechner, Max. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:1:p:119-136.

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2024Forecasting Inflation with the New Keynesian Phillips Curve: Frequencies Matter. (2024). Verona, Fabio ; Martins, Manuel. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:4:p:811-832.

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2024The evolving international effects of Chinas government spending. (2024). Zhang, Wen. In: The World Economy. RePEc:bla:worlde:v:47:y:2024:i:5:p:1851-1869.

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2024Challenges and Opportunities for Twenty First Century Bayesian Econometricians: A Personal View. (2024). Herman, Van Dijk. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:2:p:155-176:n:12.

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2024Dynamic Shrinkage Priors for Large Time-Varying Parameter Regressions Using Scalable Markov Chain Monte Carlo Methods. (2024). Koop, Gary ; Huber, Florian ; Gary, Koop ; Florian, Huber ; Niko, Hauzenberger. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:2:p:201-225:n:2.

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2024Posterior Manifolds over Prior Parameter Regions: Beyond Pointwise Sensitivity Assessments for Posterior Statistics from MCMC Inference. (2024). Ramírez Hassan, Andrés ; Andres, Ramirez-Hassan ; Nhung, Nghiem ; Fung, Kwok Chun ; Liana, Jacobi. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:2:p:403-434:n:10.

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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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2025Are New Keynesian Models Useful When Trend Inflation is Not Very Low?. (2025). Khan, Hashmat ; Alves, Sergio Lago. In: Carleton Economic Papers. RePEc:car:carecp:25-01.

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2024Extracting stock-market bubbles from dividend futures. (2024). Wilfling, Bernd ; Branger, Nicole ; Trede, Mark. In: CQE Working Papers. RePEc:cqe:wpaper:10724.

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2024Improving the robustness of Markov-switching dynamic factor models with time-varying volatility. (2024). Aumond, Romain ; Royer, Julien. In: Working Papers. RePEc:crs:wpaper:2024-04.

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2025The term structure of interest rates in a noisy information model. (2025). McNeil, James ; Coulombe, Raphaelle G. In: Working Papers. RePEc:dal:wpaper:daleconwp2025-01.

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2024Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference. (2024). Uzeda, Luis ; Lütkepohl, Helmut ; Woniak, Tomasz ; Lutkepohl, Helmut ; Shang, Fei. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2081.

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20242023 macroprudential stress test of the euro area banking system. (2024). Narueviius, Laurynas ; Podlogar, Jure ; Dimitrov, Ivan ; Cappelletti, Giuseppe ; Legrand, Catherine ; Nunes, Andre ; Rohm, Nicola ; Steege, Lucas Ter. In: Occasional Paper Series. RePEc:ecb:ecbops:2024347.

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2024Variational inference for Bayesian panel VAR models. (2024). Steege, Lucas Ter. In: Working Paper Series. RePEc:ecb:ecbwps:20242991.

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2024Monetary policy pass-through to consumer prices: evidence from granular price data. (2024). Allayioti, Anastasia ; Grnicka, Lucyna ; Holton, Sarah ; Hernndez, Catalina Martnez. In: Working Paper Series. RePEc:ecb:ecbwps:20243003.

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2025The taming of the skew: asymmetric inflation risk and monetary policy. (2025). Petrella, Ivan ; Melosi, Leonardo ; de Polis, Andrea. In: Working Paper Series. RePEc:ecb:ecbwps:20253028.

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2025Decomposing US economic fluctuations: a trend-cycle approach. (2025). Fosso, Luca. In: Working Paper Series. RePEc:ecb:ecbwps:20253138.

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2024Does oil future increase the network systemic risk of financial institutions in China?. (2024). Sun, Chuanwang ; Lin, Yuting ; Zhou, Lichao ; Chen, Chuanglian. In: Applied Energy. RePEc:eee:appene:v:364:y:2024:i:c:s0306261924005592.

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2024Non-linear dimension reduction in factor-augmented vector autoregressions. (2024). Klieber, Karin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923002063.

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2024A contagion test with unspecified heteroscedastic errors. (2024). Ko, Stanley Iat-Meng ; Peng, Liang ; Aboagye, Ernest ; Hsiao, Cody Yu-Ling ; Lo, Chia Chun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923002105.

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2024A high-dimensional additive nonparametric model. (2024). , Frank. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:166:y:2024:i:c:s0165188924001088.

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2024The dynamic impact of monetary policy on stock market liquidity. (2024). Lyu, Xiaoyi ; Hu, Hao. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:81:y:2024:i:c:p:388-405.

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2025Evolving impacts of fiscal policy on macroeconomic fluctuations in Peru. (2025). Rodrguez, Gabriel ; Melndez, Alexander. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:85:y:2025:i:c:p:1135-1158.

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2025Estimation and forecast of carbon emission market volatility based on model averaging method. (2025). Wang, Qianchao ; Li, Yong. In: Economic Modelling. RePEc:eee:ecmode:v:143:y:2025:i:c:s026499932400333x.

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2024Economic policy uncertainty, macroeconomic shocks, and systemic risk: Evidence from China. (2024). Lai, Yongzeng ; Yang, Xite ; Tao, Qiufan ; Zhang, Qin ; Huang, Linya ; Liu, Haiyue. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001559.

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2024Risk characteristics and connectedness in cryptocurrency markets: New evidence from a non-linear framework. (2024). Sun, Yan-Lin ; Chen, Bin-Xia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001596.

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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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2025Bank lending standards and monetary transmission in the euro area. (2025). Scharler, Johann ; Grndler, Daniel. In: Economics Letters. RePEc:eee:ecolet:v:254:y:2025:i:c:s0165176525002502.

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2024Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails. (2024). Petrella, Ivan ; Drechsel, Thomas ; Antolin-Diaz, Juan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003500.

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2024Bayesian estimation of cluster covariance matrices of unknown form. (2024). Creal, Drew ; Kim, Jaeho. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:1:s030440762400071x.

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2024Large Bayesian SVARs with linear restrictions. (2024). Hou, Chenghan. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001957.

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2024Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors. (2024). Gorgi, Paolo ; Schaumburg, Julia ; Koopman, Siem Jan. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624000964.

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2025Supervised factor modeling for high-dimensional linear time series. (2025). Lu, Kexin ; Huang, Feiqing ; Zheng, Yao ; Li, Guodong. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000491.

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2025An order-invariant score-driven dynamic factor model. (2025). Artemova, Mariia. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625001277.

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2024The asymmetric effects of temperature shocks on inflation in the largest euro area countries. (2024). Ciccarelli, Matteo ; Kuik, Friderike ; Hernandez, Catalina Martinez. In: European Economic Review. RePEc:eee:eecrev:v:168:y:2024:i:c:s001429212400134x.

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2024The welfare costs of business cycles unveiled: Measuring the extent of stabilization policies. (2024). Doherty Luduvice, André Victor ; Barros, Fernando ; Augusto, Fabio ; Victor, Andre. In: European Economic Review. RePEc:eee:eecrev:v:169:y:2024:i:c:s001429212400151x.

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2024Labour at risk. (2024). Renzetti, Andrea ; Foroni, Claudia ; Botelho, Vasco. In: European Economic Review. RePEc:eee:eecrev:v:170:y:2024:i:c:s0014292124001788.

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2025Survey expectations, learning and inflation dynamics. (2025). Wouters, Raf ; Slobodyan, Sergey ; Rychalovska, Yuliya. In: European Economic Review. RePEc:eee:eecrev:v:180:y:2025:i:c:s0014292125001680.

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2024Persistence in financial connectedness and systemic risk. (2024). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:393-407.

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2025Portfolio default losses driven by idiosyncratic risks. (2025). Yang, Yang ; Tong, Zhiwei ; Chen, Shaoying. In: European Journal of Operational Research. RePEc:eee:ejores:v:320:y:2025:i:3:p:765-776.

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2025Predictive distributions and the market return: The role of market illiquidity. (2025). Ellington, Michael ; Kalli, Maria. In: European Journal of Operational Research. RePEc:eee:ejores:v:323:y:2025:i:1:p:309-322.

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2025Fifty years at the interface between financial modeling and operations research. (2025). Fabozzi, Frank J ; Recchioni, Maria Cristina ; Ren, Roberto. In: European Journal of Operational Research. RePEc:eee:ejores:v:327:y:2025:i:1:p:1-21.

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2025Uncertainty shocks and financial conditions in Latin-American countries. (2025). Pérez Forero, Fernando ; Prez-Forero, Fernando J ; Llosa, Luis Gonzalo ; Tuesta, Vicente. In: Emerging Markets Review. RePEc:eee:ememar:v:68:y:2025:i:c:s1566014125000767.

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2024Stock market bubbles and the realized volatility of oil price returns. (2024). Pierdzioch, Christian ; GUPTA, RANGAN ; Nielsen, Joshua. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001403.

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2024Forecasting oil prices: Can large BVARs help?. (2024). Sun, Chuanwang ; Zhang, BO ; Nguyen, Bao H. In: Energy Economics. RePEc:eee:eneeco:v:137:y:2024:i:c:s0140988324005139.

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2025Natural gas prices, inflation expectations, and the pass-through to euro area inflation. (2025). Zoerner, Thomas ; Boeck, Maximilian ; Zrner, Thomas O. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324007709.

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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.
[Full Text][Citation analysis]		paper3
2012Priors and Posterior Computation in Linear Endogenous Variable Models with Imperfect Instruments In: ANU Working Papers in Economics and Econometrics.
[Full Text][Citation analysis]		paper4
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.
[Full Text][Citation analysis]		paper53
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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This paper has nother version. Agregated cites: 53		article
2012Moving Average Stochastic Volatility Models with Application to Inflation Forecast In: ANU Working Papers in Economics and Econometrics.
[Full Text][Citation analysis]		paper93
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.
[Full Text][Citation analysis]		paper9
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.
[Full Text][Citation analysis]		paper37
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.
[Full Text][Citation analysis]		paper26
2024Large Order-Invariant Bayesian VARs with Stochastic Volatility.(2024) In: Journal of Business & Economic Statistics.
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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.
[Full Text][Citation analysis]		paper18
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.
[Full Text][Citation analysis]		paper5
2022Comparing Stochastic Volatility Specifications for Large Bayesian VARs In: Papers.
[Full Text][Citation analysis]		paper16
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.
[Full Text][Citation analysis]		paper10
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.
[Full Text][Citation analysis]		paper2
2024BVARs and stochastic volatility.(2024) In: Chapters.
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2024Conditional Forecasts in Large Bayesian VARs with Multiple Equality and Inequality Constraints In: Papers.
[Full Text][Citation analysis]		paper1
2025Conditional forecasts in large Bayesian VARs with multiple equality and inequality constraints.(2025) In: Journal of Economic Dynamics and Control.
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2024Large Bayesian Tensor VARs with Stochastic Volatility In: Papers.
[Full Text][Citation analysis]		paper1
2025Large Bayesian Tensor VARs with Stochastic Volatility.(2025) In: Springer Books.
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2025Large Structural VARs with Multiple Sign and Ranking Restrictions In: Papers.
[Full Text][Citation analysis]		paper3
2025Large Bayesian VARs for Binary and Censored Variables In: Papers.
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2023BAYESIAN STATE SPACE MODELS IN MACROECONOMETRICS In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article10
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.
[Full Text][Citation analysis]		article12
2022Choosing between identification schemes in noisy-news models In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article0
2025Multivariate Stochastic Volatility with Co-Heteroscedasticity In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article7
2018Multivariate Stochastic Volatility with Co- Heteroscedasticity.(2018) 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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This paper has nother version. Agregated cites: 7		paper
2019Bayesian Econometric Methods In: Cambridge Books.
[Citation analysis]		book159
2019Bayesian Econometric Methods.(2019) In: Cambridge Books.
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This paper has nother version. Agregated cites: 159		book
2023An unobserved components model of total factor productivity and the relative price of investment In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article0
2020An Unobserved Components Model of Total Factor Productivity and the Relative Price of Investment.(2020) In: CAMA Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2012A New Model Of Trend Inflation In: SIRE Discussion Papers.
[Full Text][Citation analysis]		paper82
2012A New Model of Trend Inflation.(2012) In: CAMA Working Papers.
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This paper has nother version. Agregated cites: 82		paper
2012A new model of trend inflation.(2012) In: MPRA Paper.
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This paper has nother version. Agregated cites: 82		paper
2012A New Model of Trend Inflation.(2012) In: Working Papers.
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This paper has nother version. Agregated cites: 82		paper
2013A New Model of Trend Inflation.(2013) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 82		article
2014Large Bayesian VARMAs In: SIRE Discussion Papers.
[Full Text][Citation analysis]		paper24
2016Large Bayesian VARMAs.(2016) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 24		article
2015Large Bayesian VARMAs.(2015) In: Working Paper series.
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This paper has nother version. Agregated cites: 24		paper
2014Large Bayesian VARMAs.(2014) In: Working Paper series.
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This paper has nother version. Agregated cites: 24		paper
2014Large Bayesian VARMAs.(2014) In: Working Papers.
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This paper has nother version. Agregated cites: 24		paper
2016Fast computation of the deviance information criterion for latent variable models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article38
2014Fast Computation of the Deviance Information Criterion for Latent Variable Models.(2014) In: CAMA Working Papers.
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This paper has nother version. Agregated cites: 38		paper
2020Identifying noise shocks In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article3
2018Identifying Noise Shocks.(2018) In: Working Paper Series.
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This paper has nother version. Agregated cites: 3		paper
2021Speculative bubbles in present-value models: A Bayesian Markov-switching state space approach In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article2
2017Reconciling output gaps: Unobserved components model and Hodrick–Prescott filter In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article37
2016Reconciling Output Gaps: Unobserved Components Model and Hodrick-Prescott Filter.(2016) In: CAMA Working Papers.
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This paper has nother version. Agregated cites: 37		paper
2015Pitfalls of estimating the marginal likelihood using the modified harmonic mean In: Economics Letters.
[Full Text][Citation analysis]		article18
2015Pitfalls of Estimating the Marginal Likelihood Using the Modified Harmonic Mean.(2015) In: CAMA Working Papers.
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This paper has nother version. Agregated cites: 18		paper
2018Comparing hybrid time-varying parameter VARs In: Economics Letters.
[Full Text][Citation analysis]		article11
2018Comparing Hybrid Time-Varying Parameter VARs.(2018) In: CAMA Working Papers.
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This paper has nother version. Agregated cites: 11		paper
2020Reducing the state space dimension in a large TVP-VAR In: Journal of Econometrics.
[Full Text][Citation analysis]		article47
2010Efficient estimation of large portfolio loss probabilities in t-copula models In: European Journal of Operational Research.
[Full Text][Citation analysis]		article40
2016Modeling energy price dynamics: GARCH versus stochastic volatility In: Energy Economics.
[Full Text][Citation analysis]		article133
2015Modeling energy price dynamics: GARCH versus stochastic volatility.(2015) In: CAMA Working Papers.
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This paper has nother version. Agregated cites: 133		paper
2020Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts In: International Journal of Forecasting.
[Full Text][Citation analysis]		article14
2018Stochastic Volatility Models with ARMA Innovations: An Application to G7 Inflation Forecasts.(2018) In: CAMA Working Papers.
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This paper has nother version. Agregated cites: 14		paper
2021Minnesota-type adaptive hierarchical priors for large Bayesian VARs In: International Journal of Forecasting.
[Full Text][Citation analysis]		article34
2019Minnesota-Type Adaptive Hierarchical Priors for Large Bayesian VARs.(2019) In: CAMA Working Papers.
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This paper has nother version. Agregated cites: 34		paper
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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This paper has nother version. Agregated cites: 45		paper
2015Marginal Likelihood Estimation with the Cross-Entropy Method.(2015) In: Econometric Reviews.
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This paper has nother version. Agregated cites: 45		article
2013A Regime Switching Skew-normal Model for Measuring Financial Crisis and Contagion In: CAMA Working Papers.
[Full Text][Citation analysis]		paper3
2013Invariant Inference and Efficient Computation in the Static Factor Model In: CAMA Working Papers.
[Full Text][Citation analysis]		paper27
2018Invariant Inference and Efficient Computation in the Static Factor Model.(2018) In: Journal of the American Statistical Association.
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This paper has nother version. Agregated cites: 27		article
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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This paper has nother version. Agregated cites: 52		article
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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This paper has nother version. Agregated cites: 109		article
2015Efficient estimation of Bayesian VARMAs with time-varying coefficients In: CAMA Working Papers.
[Full Text][Citation analysis]		paper0
2015A Bayesian model comparison for trend-cycle decompositions of output In: CAMA Working Papers.
[Full Text][Citation analysis]		paper36
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.
[Full Text][Citation analysis]		paper107
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.
[Full Text][Citation analysis]		paper74
2020Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure.(2020) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 74		article
2015Specification tests for time-varying parameter models with stochastic volatility In: CAMA Working Papers.
[Full Text][Citation analysis]		paper29
2018Specification tests for time-varying parameter models with stochastic volatility.(2018) In: Econometric Reviews.
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This paper has nother version. Agregated cites: 29		article
2017Measuring the Output Gap Using Stochastic Model Specification Search In: CAMA Working Papers.
[Full Text][Citation analysis]		paper8
2017Measuring Inflation Expectations Uncertainty Using High-Frequency Data In: CAMA Working Papers.
[Full Text][Citation analysis]		paper10
2018Measuring Inflation Expectations Uncertainty Using High‐Frequency Data.(2018) In: Journal of Money, Credit and Banking.
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This paper has nother version. Agregated cites: 10		article
2018How Sensitive Are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis In: CAMA Working Papers.
[Full Text][Citation analysis]		paper3
2019How Sensitive Are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis.(2019) In: Advances in Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		chapter
2018Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility In: CAMA Working Papers.
[Full Text][Citation analysis]		paper19
2018Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility.(2018) In: Working Paper Series.
[Full Text][Citation analysis]
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2020Composite likelihood methods for large Bayesian VARs with stochastic volatility.(2020) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		article
2018Reducing Dimensions in a Large TVP-VAR In: CAMA Working Papers.
[Full Text][Citation analysis]		paper8
2018Reducing Dimensions in a Large TVP-VAR.(2018) In: Working Paper series.
[Full Text][Citation analysis]
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2018Reducing Dimensions in a Large TVP-VAR.(2018) In: Working Paper Series.
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This paper has nother version. Agregated cites: 8		paper
2019Large Bayesian Vector Autoregressions In: CAMA Working Papers.
[Full Text][Citation analysis]		paper32
2019An Automated Prior Robustness Analysis in Bayesian Model Comparison In: CAMA Working Papers.
[Full Text][Citation analysis]		paper2
2022An automated prior robustness analysis in Bayesian model comparison.(2022) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 2		article
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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In: .
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In: .
[Full Text][Citation analysis]		chapter1
2019An Alternate Parameterization for Bayesian Nonparametric/Semiparametric Regression In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter1
2020Robust Estimation and Inference for Importance Sampling Estimators with Infinite Variance* In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter0
2015A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations In: Working Papers (Old Series).
[Full Text][Citation analysis]		paper81
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: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article53
2014The Zero Lower Bound: Implications for Modelling the Interest Rate In: Working Paper series.
[Full Text][Citation analysis]		paper9
2011Rare-event probability estimation with conditional Monte Carlo In: Annals of Operations Research.
[Full Text][Citation analysis]		article8
2014Statistical Modeling and Computation In: Springer Books.
[Citation analysis]		book0
2014Probability Models In: Springer Books.
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2014Dependent Data Models In: Springer Books.
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2014State Space Models In: Springer Books.
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2014Matlab Primer In: Springer Books.
[Citation analysis]		chapter0
2014Mathematical Supplement In: Springer Books.
[Citation analysis]		chapter0
2014Random Variables and Probability Distributions In: Springer Books.
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2014Joint Distributions In: Springer Books.
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2014Common Statistical Models In: Springer Books.
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2014Statistical Inference In: Springer Books.
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2014Likelihood In: Springer Books.
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2014Monte Carlo Sampling In: Springer Books.
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2014Bayesian Inference In: Springer Books.
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2014Generalized Linear Models In: Springer Books.
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2017Efficient estimation of Bayesian VARMAs with time€ varying coefficients In: Journal of Applied Econometrics.
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