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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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Comparing hybrid time-varying parameter VARs
Chan, Joshua; Eisenstat, Eric - In: Economics letters 171 (2018), pp. 1-5
Persistent link: https://www.econbiz.de/10012021809
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On the observed-data deviance information criterion for volatility modeling
Chan, Joshua; Grant, Angelia L. - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 772-802
Persistent link: https://www.econbiz.de/10011623867
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Modeling energy price dynamics : GARCH versus stochastic volatility
Chan, Joshua; Grant, Angelia L. - In: Energy economics 54 (2016), pp. 182-189
Persistent link: https://www.econbiz.de/10011662805
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Issues in comparing stochastic volatility models using the deviance information criterion
Chan, Joshua; Grant, Angelia L. - 2014
Persistent link: https://www.econbiz.de/10011341989
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Comparing hybrid time-varying parameter VARs
Chan, Joshua; Eisenstat, Eric - 2018
Persistent link: https://www.econbiz.de/10012202336
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A Bayesian model comparison for trend-cycle decompositions of output
Grant, Angelia L.; Chan, Joshua - In: Journal of money, credit and banking : JMCB 49 (2017) 2/3, pp. 525-552
Persistent link: https://www.econbiz.de/10011708075
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Specification tests for time-varying parameter models with stochastic volatility
Chan, Joshua - 2015
Persistent link: https://www.econbiz.de/10011758150
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Fast computation of the deviance information criterion for latent variable models
Chan, Joshua; Grant, Angelia L. - 2014
Persistent link: https://www.econbiz.de/10010244614
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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