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A new Bayesian model for contagion and interdependence
Poon, Aubrey; Zhu, Dan - In: Econometric reviews 41 (2022) 7, pp. 806-826
Persistent link: https://www.econbiz.de/10013364908
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Minnesota-type adaptive hierarchical priors for large Bayesian VARs
Chan, Joshua - 2019
Persistent link: https://www.econbiz.de/10012224435
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The stochastic volatility in mean model with time-varying parameters : an application to inflation modeling
Chan, Joshua - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 17-28
Persistent link: https://www.econbiz.de/10011704092
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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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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
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Bayesian model comparison for time-varying parameter VARs with stochastic volatility
Chan, Joshua; Eisenstat, Eric - 2015
Persistent link: https://www.econbiz.de/10011342381
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Modeling energy price dynamics: GARCH versus stochastic volatility
Chan, Joshua; Grant, Angelia L. - 2015
Persistent link: https://www.econbiz.de/10011342409
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Efficient estimation of Bayesian VARMAs with time-varying coefficients
Chan, Joshua; Eisenstat, Eric - 2015
Persistent link: https://www.econbiz.de/10011342411
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Stochastic model specification search for time-varying parameter VARs
Eisenstat, Eric; Chan, Joshua; Strachan, Rodney W. - 2014
Persistent link: https://www.econbiz.de/10010348808