J. Chan

发表

Eric Eisenstat, Luca Benati, J. Chan, 2019 .

Online Appendix to: Identifying Noise Shocks

Luca Benati, J. Chan, 2019 .

Supplement to “Asymmetric conjugate priors for large Bayesian VARs”

J. Chan, 2022 .

Analysis of Mean - Variance Theory and Safety-first Model for Portfolio Selection on Non-fungible Tokens (NFTs) and Collectibles

Y. Prasetyo, Reny Nadlifatin, M. N. Young, 2022, 2022 IEEE International Conference on Industrial Engineering and Engineering Management (IEEM).

Comparing stochastic volatility specifications for large Bayesian VARs

J. Chan, 2022, Journal of Econometrics.

Pitfalls of Estimating the Marginal Likelihood Using the Modified Harmonic Mean

A. Grant, J. Chan, 2015 .

Minnesota-Type Adaptive Hierarchical Priors for Large Bayesian VARs

Joshua C. C. Chan, J. Chan, 2019, International Journal of Forecasting.

Stochastic Volatility Models with ARMA Innovations: An Application to G7 Inflation Forecasts

Bo Zhang, Jamie L. Cross, J. Chan, 2018 .

Large Bayesian VARMAs

G. Koop, Eric Eisenstat, J. Chan, 2016 .

Moving Average Stochastic Volatility Models with Application to Inflation Forecast

Joshua C. C. Chan, J. Chan, 2012 .

Efficient estimation of Bayesian VARMAs with time-varying coefficients CAMA Working Paper 19/2015 June 2015

Joshua C. C. Chan, J. Chan, 2015 .

Time Varying Dimension Models

Joshua C. C. Chan, Rodney W. Strachan, G. Koop, 2011 .

Choosing between identification schemes in noisy-news models

Gary Koop, Eric Eisenstat, Joshua C. C. Chan, 2020, Studies in Nonlinear Dynamics & Econometrics.

Quantifying the E ects of Noise Shocks: A Structural VARMA Approach∗

Joshua C. C. Chan, G. Koop, Eric Eisenstat, 2018 .

Gibbs Samplers for VARMA and Its Extensions

Eric Eisenstat, J. Chan, 2013 .

Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods

Joshua C. C. Chan, Rodney W. Strachan, J. Chan, 2012 .

A regime switching skew-normal model of contagion

Joshua C. C. Chan, C. Hsiao, Renée Fry-McKibbin, 2018, Studies in Nonlinear Dynamics & Econometrics.

A Regime Switching Skew-Normal Model for Measuring Financial Crisis and Contagion

C. Hsiao, Renée Fry-McKibbin, J. Chan, 2013 .

Stochastic Model Specification Search for Time-Varying Parameter VARs

Joshua C. C. Chan, Rodney W. Strachan, Eric Eisenstat, 2014 .

Stochastic Volatility Models with ARMA Innovations an Application to G7 Inflation Forecasts

Bo Zhang, Joshua C. C. Chan, Jamie Cross, 2018, International Journal of Forecasting.

Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables

Gary Koop, Joshua C. C. Chan, G. Koop, 2012, Comput. Stat. Data Anal..

Marginal Likelihood Estimation with the Cross-Entropy Method

Joshua C. C. Chan, Eric Eisenstat, J. Chan, 2012 .

A New Model of Trend Ination

Joshua C. C. Chan, Simon M. Potter, G. Koop, 2012 .

Bayesian State Space Models in Macroeconometrics

Rodney W. Strachan, J. Chan, 2020, Journal of Economic Surveys.

A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations

Todd E. Clark, G. Koop, J. Chan, 2015 .

A Bounded Model of Time Variation in Trend Inflation, NAIRU and the Phillips Curve

Joshua C. C. Chan, Simon M. Potter, G. Koop, 2014 .

Speculative bubbles in present-value models: A Bayesian Markov-switching state space approach

Joshua C. C. Chan, Caterina Santi, J. Chan, 2021, Journal of Economic Dynamics and Control.

Large Bayesian VARs with Factor Stochastic Volatility: Identification, Order Invariance and Structural Analysis

Joshua C. C. Chan, Eric Eisenstat, Xuewen Yu, 2022, 2207.03988.

Identifying noise shocks

Joshua C. C. Chan, G. Koop, Eric Eisenstat, 2020 .

Large Bayesian Vector Autoregressions

J. Chan, 2019, Macroeconomic Forecasting in the Era of Big Data.

Bayesian Model Comparison for Time-Varying Parameter VARs with Stochastic Volatility

Joshua C. C. Chan, Eric Eisenstat, J. Chan, 2015 .

On the Observed-Data Deviance Information Criterion for Volatility Modeling

Joshua C. C. Chan, Angelia L. Grant, A. Grant, 2016 .

Fast Computation of the Deviance Information Criterion for Latent Variable Models

Joshua C. C. Chan, Angelia L. Grant, A. Grant, 2014, Comput. Stat. Data Anal..

Multivariate Stochastic Volatility with Co-Heteroscedasticity

Joshua C. C. Chan, Rodney W. Strachan, A. Doucet, 2018 .

Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence

Joshua C. C. Chan, Cody Yu-Ling Hsiao, C. Hsiao, 2013 .

Measuring Inflation Expectations Uncertainty Using High-Frequency Data

Yong Song, J. Chan, 2017 .

Corrigendum to “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors” [J. Econometrics 212 (1) (2019) 137–154]

Todd E. Clark, M. Marcellino, Andrea Carriero, 2021, Journal of Econometrics.

Asymmetric Conjugate Priors for Large Bayesian VARs

J. Chan, 2019, SSRN Electronic Journal.

The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling

Joshua C. C. Chan, Joshua C. C. Chan, J. Chan, 2015 .

Modeling Energy Price Dynamics: GARCH Versus Stochastic Volatility

Joshua C. C. Chan, Angelia L. Grant, A. Grant, 2015 .

Efficient Selection of Hyperparameters in Large Bayesian VARs Using Automatic Differentiation

Joshua C. C. Chan, Liana Jacobi, Dan Zhu, 2019, Journal of Forecasting.

An Automated Prior Robustness Analysis in Bayesian Model Comparison

Dan Zhu, Joshua C. C. Chan, Liana Jacobi, 2019, SSRN Electronic Journal.

Eﬃcient Selection of Hyperparameters in Large Bayesian VARs Using Automatic Diﬀerentiation

Joshua C. C. Chan, Liana Jacobi, Dan Zhu, 2020 .

Corrigendum to: Large Bayesian Vector Autoregressions with Stochastic Volatility and Non-Conjugate Priors

Joshua C. C. Chan, Todd E. Clark, M. Marcellino, 2021, Working paper (Federal Reserve Bank of Cleveland).

Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility

Joshua C. C. Chan, Xuewen Yu, J. Chan, 2020, SSRN Electronic Journal.

Large Hybrid Time-Varying Parameter VARs

Joshua C. C. Chan, J. Chan, 2019, SSRN Electronic Journal.

Efficient Simulation and Integrated Likelihood Estimation in Non-Linear Non-Gaussian State Space Models

Joshua C. C. Chan, Rodney W. Strachan, J. Chan, 2013 .

High-dimensional conditionally Gaussian state space models with missing data

Dan Zhu, Aubrey Poon, J. Chan, 2023, Journal of Econometrics.

Invariant Inference and Efficient Computation in the Static Factor Model

Rodney W. Strachan, R. León-González, J. Chan, 2013 .

An Unobserved Components Model of Total Factor Productivity and the Relative Price of Investment

Edouard Wemy, J. Chan, 2020, SSRN Electronic Journal.

Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion

Joshua C. C. Chan, Angelia L. Grant, A. Grant, 2014 .

CAMA Centre for Applied Macroeconomic Analysis The Stochastic Volatility in Mean Model with Time-Varying Parameters : An Application to Inflation Modeling CAMA Working Paper 7 / 2015 March 2015

J. Chan, 2015 .

Reconciling Output Gaps: Unobserved Components Model and Hodrick-Prescott Filter

Joshua C. C. Chan, Angelia L. Grant, A. Grant, 2016 .

Large Order-Invariant Bayesian VARs with Stochastic Volatility

Gary Koop, Joshua C. C. Chan, Xuewen Yu, 2021, Journal of Business & Economic Statistics.

Reducing the state space dimension in a large TVP-VAR

Rodney W. Strachan, Eric Eisenstat, J. Chan, 2020, Journal of Econometrics.

A New Model of Trend Inflation

Simon M. Potter, G. Koop, J. Chan, 2012 .

Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure

Joshua C. C. Chan, J. Chan, 2015, Journal of Business & Economic Statistics.

CAMA Centre for Applied Macroeconomic Analysis Bayesian Model Comparison for Time-Varying Parameter VARs with Stochastic Volatility CAMA Working Paper 32 / 2015 August 2015

Joshua C. C. Chan, J. Chan, 2015 .

Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility

G. Koop, Eric Eisenstat, Chenghan Hou, 2018, Journal of Applied Econometrics.

2 The Econometrics of VARMAs 2 . 1 The Semi-structural VARMA

Eric Eisenstat, J. Chan, 2015 .

Online Appendix to “Asymmetric Conjugate Priors for Large Bayesian VARs”

J. Chan, 2022 .

Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility

G. Koop, Eric Eisenstat, Chenghan Hou, 2018, Journal of applied econometrics.

A Bayesian Model Comparison for Trend-Cycle Decompositions of Output: MONEY, CREDIT AND BANKING

Joshua C. C. Chan, Angelia L. Grant, A. Grant, 2017 .

A Bayesian Model Comparison for Trend-Cycle Decompositions of Output

Joshua C. C. Chan, Angelia L. Grant, A. Grant, 2015 .

Specification tests for time-varying parameter models with stochastic volatility

Joshua C. C. Chan, J. Chan, 2015 .