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Stochastic volatility models with ARMA innovations : an application to G7 inflation forecasts
Zhang, Bo; Chan, Joshua; Cross, Jamie - In: International journal of forecasting 36 (2020) 4, pp. 1318-1328
Persistent link: https://www.econbiz.de/10012546706
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Minnesota-type adaptive hierarchical priors for large Bayesian VARs
Chan, Joshua - In: International journal of forecasting 37 (2021) 3, pp. 1212-1226
Persistent link: https://www.econbiz.de/10012794844
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Large Bayesian VARs : a flexible Kronecker error covariance structure
Chan, Joshua - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 68-79
Persistent link: https://www.econbiz.de/10012179513
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Specification tests for time-varying parameter models with stochastic volatility
Chan, Joshua - In: Econometric reviews 37 (2018) 6/10, pp. 807-823
Persistent link: https://www.econbiz.de/10012040412
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Fast and accurate variational inference for large Bayesian VARs with stochastic volatility
Chan, Joshua; Yu, Xuewen - In: Journal of economic dynamics & control 143 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013539520
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High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua; Poon, Aubrey; Zhu, Dan - In: Journal of econometrics 236 (2023) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
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Comparing stochastic volatility specifications for large Bayesian VARs
Chan, Joshua - In: Journal of econometrics 235 (2023) 2, pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
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Large hybrid time-varying parameter VARs
Chan, Joshua - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 890-905
Persistent link: https://www.econbiz.de/10014448455