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Joshua Chan
Joshua Chan
Professor of Economics, Purdue University
Geverifieerd e-mailadres voor purdue.edu - Homepage
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Bayesian Econometric Methods
JCC Chan, G Koop, DJ Poirier, JL Tobias
Cambridge University Press, 2019
5762019
Efficient simulation and integrated likelihood estimation in state space models
JCC Chan, I Jeliazkov
International Journal of Mathematical Modelling and Numerical Optimisation 1 …, 2009
3962009
Modeling energy price dynamics: GARCH versus stochastic volatility
JCC Chan, AL Grant
Energy Economics 54, 182-189, 2016
2502016
Bayesian model comparison for time-varying parameter VARs with stochastic volatility
JCC Chan, E Eisenstat
Journal of Applied Econometrics 33 (4), 509-532, 2018
2402018
The stochastic volatility in mean model with time-varying parameters: An application to inflation modeling
JCC Chan
Journal of Business & Economic Statistics 35 (1), 17-28, 2017
1762017
Moving average stochastic volatility models with application to inflation forecast
JCC Chan
Journal of Econometrics 176 (2), 162-172, 2013
1752013
Statistical Modeling and Computation
DP Kroese, JCC Chan
Springer, New York, 2014
1602014
A new model of inflation, trend inflation, and long-run inflation expectations
JCC Chan, TE Clark, G Koop
Journal of Money, Credit and Banking 50 (1), 5-53, 2018
1452018
A new model of trend inflation
JCC Chan, G Koop, SM Potter
Journal of Business & Economic Statistics 31 (1), 94-106, 2013
1392013
Large Bayesian VARs: A flexible Kronecker error covariance structure
JCC Chan
Journal of Business & Economic Statistics 38 (1), 68-79, 2020
1172020
Marginal likelihood estimation with the cross-entropy method
JCC Chan, E Eisenstat
Econometric Reviews 34 (3), 256-285, 2015
1172015
Efficient estimation of large portfolio loss probabilities in t-copula models
JCC Chan, DP Kroese
European Journal of Operational Research 205 (2), 361-367, 2010
1042010
Time varying dimension models
JCC Chan, G Koop, R Leon-Gonzalez, RW Strachan
Journal of Business & Economic Statistics 30 (3), 358-367, 2012
952012
Stochastic model specification search for time-varying parameter VARs
E Eisenstat, JCC Chan, RW Strachan
Econometric Reviews 35 (8-10), 1638-1665, 2016
922016
Estimation of stochastic volatility models with heavy tails and serial dependence
JCC Chan, CYL Hsiao
Bayesian Inference in the Social Sciences, 159-180, 2014
922014
On the observed-data deviance information criterion for volatility modeling
JCC Chan, AL Grant
Journal of Financial Econometrics 14 (4), 772-802, 2016
912016
Fast computation of the deviance information criterion for latent variable models
JCC Chan, AL Grant
Computational Statistics & Data Analysis 100, 847-859, 2016
902016
Improved cross-entropy method for estimation
JCC Chan, DP Kroese
Statistics and computing 22, 1031-1040, 2012
832012
A bounded model of time variation in trend inflation, NAIRU and the Phillips curve
JCC Chan, G Koop, S Potter
Journal of Applied Econometrics 31 (3), 551-565, 2016
792016
Reconciling Output Gaps: Unobserved Components Model and Hodrick-Prescott Filter
AL Grant, JCC Chan
Journal of Economic Dynamics and Control 75, 114-121, 2017
722017
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Artikelen 1–20