Rubén Albeiro Loaiza Maya
(Ruben Albeiro Loaiza-Maya)
Personal Details
First Name: | Ruben |
Middle Name: | Albeiro |
Last Name: | Loaiza Maya |
Suffix: | |
RePEc Short-ID: | plo311 |
[This author has chosen not to make the email address public] | |
3430398 |
Affiliation
Department of Econometrics and Business Statistics
Monash Business School
Monash University
Melbourne, Australiahttp://business.monash.edu/econometrics-and-business-statistics
RePEc:edi:dxmonau (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Rub'en Loaiza-Maya & Didier Nibbering, 2022. "Fast variational Bayes methods for multinomial probit models," Papers 2202.12495, arXiv.org, revised Oct 2022.
- David T. Frazier & Ruben Loaiza-Maya & Gael M. Martin & Bonsoo Koo, 2021.
"Loss-Based Variational Bayes Prediction,"
Papers
2104.14054, arXiv.org, revised May 2022.
- David T. Frazier & Ruben Loaiza-Maya & Gael M. Martin & Bonsoo Koo, 2021. "Loss-Based Variational Bayes Prediction," Monash Econometrics and Business Statistics Working Papers 8/21, Monash University, Department of Econometrics and Business Statistics.
- David T. Frazier & Ruben Loaiza-Maya & Gael M. Martin, 2021.
"Variational Bayes in State Space Models: Inferential and Predictive Accuracy,"
Papers
2106.12262, arXiv.org, revised Feb 2022.
- David T. Frazier & Gael M. Martin & Ruben Loaiza-Maya, 2022. "Variational Bayes in State Space Models: Inferential and Predictive Accuracy," Monash Econometrics and Business Statistics Working Papers 1/22, Monash University, Department of Econometrics and Business Statistics.
- Gael M. Martin & Rub'en Loaiza-Maya & David T. Frazier & Worapree Maneesoonthorn & Andr'es Ram'irez Hassan, 2020.
"Optimal probabilistic forecasts: When do they work?,"
Papers
2009.09592, arXiv.org.
- Martin, Gael M. & Loaiza-Maya, Rubén & Maneesoonthorn, Worapree & Frazier, David T. & Ramírez-Hassan, Andrés, 2022. "Optimal probabilistic forecasts: When do they work?," International Journal of Forecasting, Elsevier, vol. 38(1), pages 384-406.
- Ruben Loaiza-Maya & Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Andres Ramirez Hassan, 2020. "Optimal probabilistic forecasts: When do they work?," Monash Econometrics and Business Statistics Working Papers 33/20, Monash University, Department of Econometrics and Business Statistics.
- Ruben Loaiza-Maya & Didier Nibbering, 2020.
"Scalable Bayesian estimation in the multinomial probit model,"
Papers
2007.13247, arXiv.org, revised Mar 2021.
- Ruben Loaiza-Maya & Didier Nibbering, 2020. "Scalable Bayesian Estimation in the Multinomial Probit Model," Monash Econometrics and Business Statistics Working Papers 25/20, Monash University, Department of Econometrics and Business Statistics.
- Rub'en Loaiza-Maya & Michael Stanley Smith & David J. Nott & Peter J. Danaher, 2020.
"Fast and Accurate Variational Inference for Models with Many Latent Variables,"
Papers
2005.07430, arXiv.org, revised Apr 2021.
- Loaiza-Maya, Rubén & Smith, Michael Stanley & Nott, David J. & Danaher, Peter J., 2022. "Fast and accurate variational inference for models with many latent variables," Journal of Econometrics, Elsevier, vol. 230(2), pages 339-362.
- Ruben Loaiza-Maya & Gael M. Martin & David T. Frazier, 2019.
"Focused Bayesian Prediction,"
Papers
1912.12571, arXiv.org, revised Aug 2020.
- Ruben Loaiza‐Maya & Gael M. Martin & David T. Frazier, 2021. "Focused Bayesian prediction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 517-543, August.
- Ruben Loaiza-Maya & Gael M Martin & David T. Frazier, 2020. "Focused Bayesian Prediction," Monash Econometrics and Business Statistics Working Papers 1/20, Monash University, Department of Econometrics and Business Statistics.
- Ruben Loaiza-Maya & Michael Stanley Smith, 2017. "Variational Bayes Estimation of Discrete-Margined Copula Models with Application to Time Series," Papers 1712.09150, arXiv.org, revised Jul 2018.
- Rubén Albeiro Loaiza Maya & José Eduardo Gómez-González & Luis Fernando Melo Velandia, 2014.
"Exchange Rates Contagion in Latin America,"
Borradores de Economia
842, Banco de la Republica de Colombia.
- Loaiza-Maya, Rubén Albeiro & Gómez-González, José Eduardo & Melo-Velandia, Luis Fernando, 2015. "Exchange rate contagion in Latin America," Research in International Business and Finance, Elsevier, vol. 34(C), pages 355-367.
- Rubén Albeiro Loaiza Maya & José Eduardo Gómez-González & Luis Fernando Melo Velandia, 2014. "Exchange Rates Contagion in Latin America," Borradores de Economia 12105, Banco de la Republica.
- Luis F. Melo Velandia & Rubén A. Loaiza Maya & Mauricio Villamizar-Villegas, 2014.
"Bayesian Combination for Inflation Forecasts: The Effects of a Prior Based on Central Banks’ Estimates,"
Borradores de Economia
853, Banco de la Republica de Colombia.
- Melo, Luis F. & Loaiza, Rubén A. & Villamizar-Villegas, Mauricio, 2016. "Bayesian combination for inflation forecasts: The effects of a prior based on central banks’ estimates," Economic Systems, Elsevier, vol. 40(3), pages 387-397.
- Luis F. Melo Velandia & Rubén A. Loaiza Maya & Mauricio Villamizar-Villegas, 2014. "Bayesian Combination for Inflation Forecasts: The Effects of a Prior Based on Central Banks’ Estimates," Borradores de Economia 12323, Banco de la Republica.
- Melo-Velandia, Luis Fernando & Loaiza, Rubén & Villamizar-Villegas, Mauricio, 2019. "Bayesian Combination for Inflation Forecasts: The Effects of a Prior Based on Central Banks’ Estimates," Working papers 8, Red Investigadores de Economía.
- Rubén Albeiro Loaiza Maya & José Eduardo Gómez-González & Luis Fernando Melo Velandia, 2012.
"Latin American Exchange Rate Dependencies: A Regular Vine Copula Approach,"
Borradores de Economia
729, Banco de la Republica de Colombia.
- Rubén Albeiro Loaiza Maya & Jose Eduardo Gomez-Gonzalez & Luis Fernando Melo Velandia, 2015. "Latin American Exchange Rate Dependencies: A Regular Vine Copula Approach," Contemporary Economic Policy, Western Economic Association International, vol. 33(3), pages 535-549, July.
- Rubén Albeiro Loaiza Maya & Luis Fernando Melo Velandia, 2012. "Latin American Exchange Rate Dependencies: A Regular Vine Copula Approach," Borradores de Economia 9902, Banco de la Republica.
- Luis Fernando Melo & Rubén Albeiro Loaiza Maya, 2012.
"Bayesian Forecast Combination for Inflation Using Rolling Windows: An Emerging Country Case,"
Borradores de Economia
705, Banco de la Republica de Colombia.
- Luis Fernando Melo & Rubén Albeiro Loaiza Maya, 2012. "Bayesian Forecast Combination for Inflation Using Rolling Windows: An Emerging Country Case," Borradores de Economia 9511, Banco de la Republica.
Articles
- Martin, Gael M. & Loaiza-Maya, Rubén & Maneesoonthorn, Worapree & Frazier, David T. & Ramírez-Hassan, Andrés, 2022.
"Optimal probabilistic forecasts: When do they work?,"
International Journal of Forecasting, Elsevier, vol. 38(1), pages 384-406.
- Ruben Loaiza-Maya & Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Andres Ramirez Hassan, 2020. "Optimal probabilistic forecasts: When do they work?," Monash Econometrics and Business Statistics Working Papers 33/20, Monash University, Department of Econometrics and Business Statistics.
- Gael M. Martin & Rub'en Loaiza-Maya & David T. Frazier & Worapree Maneesoonthorn & Andr'es Ram'irez Hassan, 2020. "Optimal probabilistic forecasts: When do they work?," Papers 2009.09592, arXiv.org.
- Ruben Loaiza‐Maya & Gael M. Martin & David T. Frazier, 2021.
"Focused Bayesian prediction,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 517-543, August.
- Ruben Loaiza-Maya & Gael M. Martin & David T. Frazier, 2019. "Focused Bayesian Prediction," Papers 1912.12571, arXiv.org, revised Aug 2020.
- Ruben Loaiza-Maya & Gael M Martin & David T. Frazier, 2020. "Focused Bayesian Prediction," Monash Econometrics and Business Statistics Working Papers 1/20, Monash University, Department of Econometrics and Business Statistics.
- Rubén Loaiza-Maya & Michael Stanley Smith, 2020. "Real-Time Macroeconomic Forecasting With a Heteroscedastic Inversion Copula," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 470-486, April.
- Rubén Loaiza‐Maya & Michael S. Smith & Worapree Maneesoonthorn, 2018.
"Time series copulas for heteroskedastic data,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(3), pages 332-354, April.
- Rub'en Loaiza-Maya & Michael S. Smith & Worapree Maneesoonthorn, 2017. "Time Series Copulas for Heteroskedastic Data," Papers 1701.07152, arXiv.org.
- Melo, Luis F. & Loaiza, Rubén A. & Villamizar-Villegas, Mauricio, 2016.
"Bayesian combination for inflation forecasts: The effects of a prior based on central banks’ estimates,"
Economic Systems, Elsevier, vol. 40(3), pages 387-397.
- Luis F. Melo Velandia & Rubén A. Loaiza Maya & Mauricio Villamizar-Villegas, 2014. "Bayesian Combination for Inflation Forecasts: The Effects of a Prior Based on Central Banks’ Estimates," Borradores de Economia 853, Banco de la Republica de Colombia.
- Luis F. Melo Velandia & Rubén A. Loaiza Maya & Mauricio Villamizar-Villegas, 2014. "Bayesian Combination for Inflation Forecasts: The Effects of a Prior Based on Central Banks’ Estimates," Borradores de Economia 12323, Banco de la Republica.
- Melo-Velandia, Luis Fernando & Loaiza, Rubén & Villamizar-Villegas, Mauricio, 2019. "Bayesian Combination for Inflation Forecasts: The Effects of a Prior Based on Central Banks’ Estimates," Working papers 8, Red Investigadores de Economía.
- Loaiza-Maya, Rubén Albeiro & Gómez-González, José Eduardo & Melo-Velandia, Luis Fernando, 2015.
"Exchange rate contagion in Latin America,"
Research in International Business and Finance, Elsevier, vol. 34(C), pages 355-367.
- Rubén Albeiro Loaiza Maya & José Eduardo Gómez-González & Luis Fernando Melo Velandia, 2014. "Exchange Rates Contagion in Latin America," Borradores de Economia 842, Banco de la Republica de Colombia.
- Rubén Albeiro Loaiza Maya & José Eduardo Gómez-González & Luis Fernando Melo Velandia, 2014. "Exchange Rates Contagion in Latin America," Borradores de Economia 12105, Banco de la Republica.
- Rubén Albeiro Loaiza Maya & Jose Eduardo Gomez-Gonzalez & Luis Fernando Melo Velandia, 2015.
"Latin American Exchange Rate Dependencies: A Regular Vine Copula Approach,"
Contemporary Economic Policy, Western Economic Association International, vol. 33(3), pages 535-549, July.
- Rubén Albeiro Loaiza Maya & Luis Fernando Melo Velandia, 2012. "Latin American Exchange Rate Dependencies: A Regular Vine Copula Approach," Borradores de Economia 9902, Banco de la Republica.
- Rubén Albeiro Loaiza Maya & José Eduardo Gómez-González & Luis Fernando Melo Velandia, 2012. "Latin American Exchange Rate Dependencies: A Regular Vine Copula Approach," Borradores de Economia 729, Banco de la Republica de Colombia.
- Juan Galvis & Juan Bedoya & Ruben Loaiza, 2011. "An Optimal Fiscal Policy Rule for the Colombian Economy: A Dynamic Stochastic General Equilibrium Approach," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 75, pages 107-141.
- Galvis Ciro, Juan Camilo & Bedoya Ospina, Juan Guillermo & Loaiza Maya, Rubén Albeiro, 2011. "Una regla de política fiscal óptima para la economía colombiana: aproximación desde un modelo de equilibrio general dinámico y estocástico," Revista Lecturas de Economía, Universidad de Antioquia, CIE, November.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Rub'en Loaiza-Maya & Didier Nibbering, 2022.
"Fast variational Bayes methods for multinomial probit models,"
Papers
2202.12495, arXiv.org, revised Oct 2022.
Cited by:
- Martin, Gael M. & Frazier, David T. & Maneesoonthorn, Worapree & Loaiza-Maya, Rubén & Huber, Florian & Koop, Gary & Maheu, John & Nibbering, Didier & Panagiotelis, Anastasios, 2024.
"Bayesian forecasting in economics and finance: A modern review,"
International Journal of Forecasting, Elsevier, vol. 40(2), pages 811-839.
- Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022. "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers 2212.03471, arXiv.org, revised Jul 2023.
- Lin Deng & Michael Stanley Smith & Worapree Maneesoonthorn, 2023. "Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns," Papers 2308.05564, arXiv.org, revised Jul 2024.
- Martin, Gael M. & Frazier, David T. & Maneesoonthorn, Worapree & Loaiza-Maya, Rubén & Huber, Florian & Koop, Gary & Maheu, John & Nibbering, Didier & Panagiotelis, Anastasios, 2024.
"Bayesian forecasting in economics and finance: A modern review,"
International Journal of Forecasting, Elsevier, vol. 40(2), pages 811-839.
- David T. Frazier & Ruben Loaiza-Maya & Gael M. Martin & Bonsoo Koo, 2021.
"Loss-Based Variational Bayes Prediction,"
Papers
2104.14054, arXiv.org, revised May 2022.
- David T. Frazier & Ruben Loaiza-Maya & Gael M. Martin & Bonsoo Koo, 2021. "Loss-Based Variational Bayes Prediction," Monash Econometrics and Business Statistics Working Papers 8/21, Monash University, Department of Econometrics and Business Statistics.
Cited by:
- David T. Frazier & Gael M. Martin & Ruben Loaiza-Maya, 2022.
"Variational Bayes in State Space Models: Inferential and Predictive Accuracy,"
Monash Econometrics and Business Statistics Working Papers
1/22, Monash University, Department of Econometrics and Business Statistics.
- David T. Frazier & Ruben Loaiza-Maya & Gael M. Martin, 2021. "Variational Bayes in State Space Models: Inferential and Predictive Accuracy," Papers 2106.12262, arXiv.org, revised Feb 2022.
- Gael M. Martin & David T. Frazier & Christian P. Robert, 2022. "Computing Bayes: From Then `Til Now," Monash Econometrics and Business Statistics Working Papers 14/22, Monash University, Department of Econometrics and Business Statistics.
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Martin, Gael M. & Frazier, David T. & Maneesoonthorn, Worapree & Loaiza-Maya, Rubén & Huber, Florian & Koop, Gary & Maheu, John & Nibbering, Didier & Panagiotelis, Anastasios, 2024.
"Bayesian forecasting in economics and finance: A modern review,"
International Journal of Forecasting, Elsevier, vol. 40(2), pages 811-839.
- Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022. "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers 2212.03471, arXiv.org, revised Jul 2023.
- Gael M. Martin & David T. Frazier & Christian P. Robert, 2021. "Approximating Bayes in the 21st Century," Monash Econometrics and Business Statistics Working Papers 24/21, Monash University, Department of Econometrics and Business Statistics.
- David T. Frazier & Ruben Loaiza-Maya & Gael M. Martin, 2021.
"Variational Bayes in State Space Models: Inferential and Predictive Accuracy,"
Papers
2106.12262, arXiv.org, revised Feb 2022.
- David T. Frazier & Gael M. Martin & Ruben Loaiza-Maya, 2022. "Variational Bayes in State Space Models: Inferential and Predictive Accuracy," Monash Econometrics and Business Statistics Working Papers 1/22, Monash University, Department of Econometrics and Business Statistics.
Cited by:
- Korobilis, Dimitris & Koop, Gary, 2020.
"Bayesian dynamic variable selection in high dimensions,"
MPRA Paper
100164, University Library of Munich, Germany.
- Gary Koop & Dimitris Korobilis, 2020. "Bayesian dynamic variable selection in high dimensions," Working Papers 2020_11, Business School - Economics, University of Glasgow.
- Gary Koop & Dimitris Korobilis, 2018. "Bayesian dynamic variable selection in high dimensions," Papers 1809.03031, arXiv.org, revised May 2020.
- Gary Koop & Dimitris Korobilis, 2023. "Bayesian Dynamic Variable Selection In High Dimensions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(3), pages 1047-1074, August.
- Jan Pruser & Florian Huber, 2023.
"Nonlinearities in Macroeconomic Tail Risk through the Lens of Big Data Quantile Regressions,"
Papers
2301.13604, arXiv.org, revised Sep 2023.
- Jan Prüser & Florian Huber, 2024. "Nonlinearities in macroeconomic tail risk through the lens of big data quantile regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(2), pages 269-291, March.
- Liu, Jie & Ye, Zifeng & Chen, Kun & Zhang, Panpan, 2024. "Variational Bayesian inference for bipartite mixed-membership stochastic block model with applications to collaborative filtering," Computational Statistics & Data Analysis, Elsevier, vol. 189(C).
- Martin, Gael M. & Frazier, David T. & Maneesoonthorn, Worapree & Loaiza-Maya, Rubén & Huber, Florian & Koop, Gary & Maheu, John & Nibbering, Didier & Panagiotelis, Anastasios, 2024.
"Bayesian forecasting in economics and finance: A modern review,"
International Journal of Forecasting, Elsevier, vol. 40(2), pages 811-839.
- Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022. "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers 2212.03471, arXiv.org, revised Jul 2023.
- Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
- Rub'en Loaiza-Maya & Didier Nibbering, 2022. "Efficient variational approximations for state space models," Papers 2210.11010, arXiv.org, revised Jun 2023.
- Gael M. Martin & David T. Frazier & Christian P. Robert, 2021. "Approximating Bayes in the 21st Century," Monash Econometrics and Business Statistics Working Papers 24/21, Monash University, Department of Econometrics and Business Statistics.
- Gael M. Martin & Rub'en Loaiza-Maya & David T. Frazier & Worapree Maneesoonthorn & Andr'es Ram'irez Hassan, 2020.
"Optimal probabilistic forecasts: When do they work?,"
Papers
2009.09592, arXiv.org.
- Martin, Gael M. & Loaiza-Maya, Rubén & Maneesoonthorn, Worapree & Frazier, David T. & Ramírez-Hassan, Andrés, 2022. "Optimal probabilistic forecasts: When do they work?," International Journal of Forecasting, Elsevier, vol. 38(1), pages 384-406.
- Ruben Loaiza-Maya & Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Andres Ramirez Hassan, 2020. "Optimal probabilistic forecasts: When do they work?," Monash Econometrics and Business Statistics Working Papers 33/20, Monash University, Department of Econometrics and Business Statistics.
Cited by:
- Yuru Sun & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Gael M. Martin, 2023. "Optimal probabilistic forecasts for risk management," Papers 2303.01651, arXiv.org.
- Ruben Loaiza-Maya & Gael M Martin & David T. Frazier, 2020.
"Focused Bayesian Prediction,"
Monash Econometrics and Business Statistics Working Papers
1/20, Monash University, Department of Econometrics and Business Statistics.
- Ruben Loaiza-Maya & Gael M. Martin & David T. Frazier, 2019. "Focused Bayesian Prediction," Papers 1912.12571, arXiv.org, revised Aug 2020.
- Ruben Loaiza‐Maya & Gael M. Martin & David T. Frazier, 2021. "Focused Bayesian prediction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 517-543, August.
- Martin, Gael M. & Frazier, David T. & Maneesoonthorn, Worapree & Loaiza-Maya, Rubén & Huber, Florian & Koop, Gary & Maheu, John & Nibbering, Didier & Panagiotelis, Anastasios, 2024.
"Bayesian forecasting in economics and finance: A modern review,"
International Journal of Forecasting, Elsevier, vol. 40(2), pages 811-839.
- Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022. "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers 2212.03471, arXiv.org, revised Jul 2023.
- Chaya Weerasinghe & Ruben Loaiza-Maya & Gael M. Martin & David T. Frazier, 2023. "ABC-based Forecasting in State Space Models," Monash Econometrics and Business Statistics Working Papers 12/23, Monash University, Department of Econometrics and Business Statistics.
- Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
- Ruben Loaiza-Maya & Didier Nibbering, 2020.
"Scalable Bayesian estimation in the multinomial probit model,"
Papers
2007.13247, arXiv.org, revised Mar 2021.
- Ruben Loaiza-Maya & Didier Nibbering, 2020. "Scalable Bayesian Estimation in the Multinomial Probit Model," Monash Econometrics and Business Statistics Working Papers 25/20, Monash University, Department of Econometrics and Business Statistics.
Cited by:
- Rub'en Loaiza-Maya & Didier Nibbering, 2022. "Fast variational Bayes methods for multinomial probit models," Papers 2202.12495, arXiv.org, revised Oct 2022.
- Patrick Ding & Guido Imbens & Zhaonan Qu & Yinyu Ye, 2024. "Computationally Efficient Estimation of Large Probit Models," Papers 2407.09371, arXiv.org, revised Sep 2024.
- Rub'en Loaiza-Maya & Michael Stanley Smith & David J. Nott & Peter J. Danaher, 2020.
"Fast and Accurate Variational Inference for Models with Many Latent Variables,"
Papers
2005.07430, arXiv.org, revised Apr 2021.
- Loaiza-Maya, Rubén & Smith, Michael Stanley & Nott, David J. & Danaher, Peter J., 2022. "Fast and accurate variational inference for models with many latent variables," Journal of Econometrics, Elsevier, vol. 230(2), pages 339-362.
Cited by:
- Ruben Loaiza-Maya & Didier Nibbering & Dan Zhu, 2023. "Hybrid unadjusted Langevin methods for high-dimensional latent variable models," Papers 2306.14445, arXiv.org.
- Joshua C. C. Chan & Xuewen Yu, 2022.
"Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility,"
Papers
2206.08438, arXiv.org.
- Joshua C.C. Chan & Xuewen Yu, 2020. "Fast and accurate variational inference for large Bayesian VARs with stochastic volatility," CAMA Working Papers 2020-108, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua C.C. & Yu, Xuewen, 2022. "Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
- Gefang, Deborah & Koop, Gary & Poon, Aubrey, 2023. "Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage," International Journal of Forecasting, Elsevier, vol. 39(1), pages 346-363.
- David T. Frazier & Gael M. Martin & Ruben Loaiza-Maya, 2022.
"Variational Bayes in State Space Models: Inferential and Predictive Accuracy,"
Monash Econometrics and Business Statistics Working Papers
1/22, Monash University, Department of Econometrics and Business Statistics.
- David T. Frazier & Ruben Loaiza-Maya & Gael M. Martin, 2021. "Variational Bayes in State Space Models: Inferential and Predictive Accuracy," Papers 2106.12262, arXiv.org, revised Feb 2022.
- Rub'en Loaiza-Maya & Didier Nibbering, 2022. "Fast variational Bayes methods for multinomial probit models," Papers 2202.12495, arXiv.org, revised Oct 2022.
- Deborah Gefang & Stephen G. Hall & George S. Tavlas, 2022. "Fast Two-Stage Variational Bayesian Approach to Estimating Panel Spatial Autoregressive Models with Unrestricted Spatial Weights Matrices," Papers 2205.15420, arXiv.org, revised Aug 2023.
- Martin, Gael M. & Frazier, David T. & Maneesoonthorn, Worapree & Loaiza-Maya, Rubén & Huber, Florian & Koop, Gary & Maheu, John & Nibbering, Didier & Panagiotelis, Anastasios, 2024.
"Bayesian forecasting in economics and finance: A modern review,"
International Journal of Forecasting, Elsevier, vol. 40(2), pages 811-839.
- Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022. "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers 2212.03471, arXiv.org, revised Jul 2023.
- Chaya Weerasinghe & Ruben Loaiza-Maya & Gael M. Martin & David T. Frazier, 2023. "ABC-based Forecasting in State Space Models," Monash Econometrics and Business Statistics Working Papers 12/23, Monash University, Department of Econometrics and Business Statistics.
- Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
- Rub'en Loaiza-Maya & Didier Nibbering, 2022. "Efficient variational approximations for state space models," Papers 2210.11010, arXiv.org, revised Jun 2023.
- Lin Deng & Michael Stanley Smith & Worapree Maneesoonthorn, 2023. "Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns," Papers 2308.05564, arXiv.org, revised Jul 2024.
- Gael M. Martin & David T. Frazier & Christian P. Robert, 2021. "Approximating Bayes in the 21st Century," Monash Econometrics and Business Statistics Working Papers 24/21, Monash University, Department of Econometrics and Business Statistics.
- Ruben Loaiza-Maya & Gael M. Martin & David T. Frazier, 2019.
"Focused Bayesian Prediction,"
Papers
1912.12571, arXiv.org, revised Aug 2020.
- Ruben Loaiza‐Maya & Gael M. Martin & David T. Frazier, 2021. "Focused Bayesian prediction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 517-543, August.
- Ruben Loaiza-Maya & Gael M Martin & David T. Frazier, 2020. "Focused Bayesian Prediction," Monash Econometrics and Business Statistics Working Papers 1/20, Monash University, Department of Econometrics and Business Statistics.
Cited by:
- Tony Chernis & Gary Koop & Emily Tallman & Mike West, 2024.
"Decision synthesis in monetary policy,"
Papers
2406.03321, arXiv.org.
- Tony Chernis & Gary Koop & Emily Tallman & Mike West, 2024. "Decision Synthesis in Monetary Policy," Staff Working Papers 24-30, Bank of Canada.
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Ruben Loaiza-Maya & Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Andres Ramirez Hassan, 2020.
"Optimal probabilistic forecasts: When do they work?,"
Monash Econometrics and Business Statistics Working Papers
33/20, Monash University, Department of Econometrics and Business Statistics.
- Martin, Gael M. & Loaiza-Maya, Rubén & Maneesoonthorn, Worapree & Frazier, David T. & Ramírez-Hassan, Andrés, 2022. "Optimal probabilistic forecasts: When do they work?," International Journal of Forecasting, Elsevier, vol. 38(1), pages 384-406.
- Gael M. Martin & Rub'en Loaiza-Maya & David T. Frazier & Worapree Maneesoonthorn & Andr'es Ram'irez Hassan, 2020. "Optimal probabilistic forecasts: When do they work?," Papers 2009.09592, arXiv.org.
- Gael M. Martin & David T. Frazier & Christian P. Robert, 2020. "Computing Bayes: Bayesian Computation from 1763 to the 21st Century," Monash Econometrics and Business Statistics Working Papers 14/20, Monash University, Department of Econometrics and Business Statistics.
- Yuru Sun & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Gael M. Martin, 2023. "Optimal probabilistic forecasts for risk management," Papers 2303.01651, arXiv.org.
- Martin, Gael M. & Frazier, David T. & Maneesoonthorn, Worapree & Loaiza-Maya, Rubén & Huber, Florian & Koop, Gary & Maheu, John & Nibbering, Didier & Panagiotelis, Anastasios, 2024.
"Bayesian forecasting in economics and finance: A modern review,"
International Journal of Forecasting, Elsevier, vol. 40(2), pages 811-839.
- Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022. "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers 2212.03471, arXiv.org, revised Jul 2023.
- Chaya Weerasinghe & Ruben Loaiza-Maya & Gael M. Martin & David T. Frazier, 2023. "ABC-based Forecasting in State Space Models," Monash Econometrics and Business Statistics Working Papers 12/23, Monash University, Department of Econometrics and Business Statistics.
- Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
- Petropoulos, Fotios & Spiliotis, Evangelos & Panagiotelis, Anastasios, 2023. "Model combinations through revised base rates," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1477-1492.
- Noel Cressie, 2023. "Decisions, decisions, decisions in an uncertain environment," Environmetrics, John Wiley & Sons, Ltd., vol. 34(1), February.
- Gael M. Martin & David T. Frazier & Christian P. Robert, 2021. "Approximating Bayes in the 21st Century," Monash Econometrics and Business Statistics Working Papers 24/21, Monash University, Department of Econometrics and Business Statistics.
- Ruben Loaiza-Maya & Michael Stanley Smith, 2017.
"Variational Bayes Estimation of Discrete-Margined Copula Models with Application to Time Series,"
Papers
1712.09150, arXiv.org, revised Jul 2018.
Cited by:
- Rubén Albeiro Loaiza Maya & José Eduardo Gómez-González & Luis Fernando Melo Velandia, 2014.
"Exchange Rates Contagion in Latin America,"
Borradores de Economia
842, Banco de la Republica de Colombia.
- Loaiza-Maya, Rubén Albeiro & Gómez-González, José Eduardo & Melo-Velandia, Luis Fernando, 2015. "Exchange rate contagion in Latin America," Research in International Business and Finance, Elsevier, vol. 34(C), pages 355-367.
- Rubén Albeiro Loaiza Maya & José Eduardo Gómez-González & Luis Fernando Melo Velandia, 2014. "Exchange Rates Contagion in Latin America," Borradores de Economia 12105, Banco de la Republica.
Cited by:
- Martinez, Valeria & Tse, Yiuman, 2018. "Intraday price discovery analysis in the foreign exchange market of an emerging economy: Mexico," Research in International Business and Finance, Elsevier, vol. 45(C), pages 271-284.
- Muhammad Mar’i & Turgut Tursoy, 2021. "Exchange Rate Dependency Between Emerging Countries-Case of Black Sea Countries," Capital Markets Review, Malaysian Finance Association, vol. 29(2), pages 43-54.
- Romero-Meza, Rafael & Bonilla, Claudio & Benedetti, Hugo & Serletis, Apostolos, 2015. "Nonlinearities and financial contagion in Latin American stock markets," Economic Modelling, Elsevier, vol. 51(C), pages 653-656.
- Daniel Mariño-Ustacara & Luis Fernando Melo-Velandia, 2016. "Relación entre los valores en riesgo de los principales mercados financieros colombianos: un enfoque a través de modelos multivariados de regresión cuantílica," Borradores de Economia 975, Banco de la Republica de Colombia.
- Juan Andrés Espinosa-Torres & Jose E. Gomez-Gonzalez & Luis Fernando Melo-Velandia & José Fernando Moreno-Gutiérrez, 2015.
"The International Transmission of Risk: Causal Relations Among Developed and Emerging Countries’ Term Premia,"
Borradores de Economia
869, Banco de la Republica de Colombia.
- Espinosa-Torres, Juan Andrés & Gomez-Gonzalez, Jose Eduardo & Melo-Velandia, Luis Fernando & Moreno-Gutiérrez, José Fernando, 2016. "The international transmission of risk: Causal relations among developed and emerging countries’ term premia," Research in International Business and Finance, Elsevier, vol. 37(C), pages 646-654.
- Juan Andrés Espinosa-Torres & Jose E. Gomez-Gonzalez & Luis Fernando Melo-Velandia & José Fernando Moreno-Gutiérrez, 2015. "The International Transmission of Risk: Causal Relations Among Developed and Emerging Countries’ Term Premia," Borradores de Economia 12609, Banco de la Republica.
- Santiago Gamba-Santamaria & Jose Eduardo Gomez-Gonzalez & Luis Fernando Melo-Velandia & Jorge Luis Hurtado-Guarin, 2016.
"Stock Market Volatility Spillovers: Evidence for Latin America,"
Borradores de Economia
943, Banco de la Republica de Colombia.
- Gamba-Santamaria, Santiago & Gomez-Gonzalez, Jose Eduardo & Hurtado-Guarin, Jorge Luis & Melo-Velandia, Luis Fernando, 2017. "Stock market volatility spillovers: Evidence for Latin America," Finance Research Letters, Elsevier, vol. 20(C), pages 207-216.
- Luis V. Bejarano-Bejarano & Jose E. Gomez-Gonzalez & Luis F. Melo-Velandia & Jhon E. Torres-Gorron, 2015.
"Financial Contagion in Latin America,"
Borradores de Economia
12820, Banco de la Republica.
- Luis V. Bejarano-Bejarano & Jose E. Gomez-Gonzalez & Luis F. Melo-Velandia & Jhon E. Torres-Gorron, 2015. "Financial Contagion in Latin America," Borradores de Economia 884, Banco de la Republica de Colombia.
- Narcisa Kadlčáková & Luboš Komárek, 2017. "Foreign Exchange Market Contagion in Central Europe from the Viewpoint of Extreme Value Theory," Prague Economic Papers, Prague University of Economics and Business, vol. 2017(6), pages 690-721.
- Neha Seth & Monica Sighania, 2017. "Financial market contagion: selective review of reviews," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 9(4), pages 391-408, November.
- He, Qing & Wang, Wenqing & Yu, Jishuang, 2023. "Exchange rate co-movements and corporate foreign exchange exposures: A study on RMB," International Review of Financial Analysis, Elsevier, vol. 90(C).
- Yang, Lu & Cai, Xiao Jing & Zhang, Huimin & Hamori, Shigeyuki, 2016. "Interdependence of foreign exchange markets: A wavelet coherence analysis," Economic Modelling, Elsevier, vol. 55(C), pages 6-14.
- Gomez-Gonzalez, Jose & Rojas-Espinosa, Wilmer, 2018. "Detecting exchange rate contagion in Asian exchange rate markets using asymmetric DDC-GARCH and R-vine copulas," MPRA Paper 88578, University Library of Munich, Germany.
- Cubillos-Rocha, Juan S. & Gomez-Gonzalez, Jose E. & Melo-Velandia, Luis F., 2019.
"Detecting exchange rate contagion using copula functions,"
The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 13-22.
- Juan Sebastian Cubillos-Rocha & Jose Eduardo Gomez-Gonzalez & Luis Fernando Melo-Velandia, 2018. "Detecting exchange rate contagion using copula functions," Borradores de Economia 1047, Banco de la Republica de Colombia.
- Zhang, Feipeng & Xu, Yixiong & Yuan, Di, 2024. "Detecting financial contagion using a new nonparametric measure of asymmetric comovements," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 284-296.
- Krapl, Alain A., 2020. "The time-varying diversifiability of corporate foreign exchange exposure," Journal of Corporate Finance, Elsevier, vol. 65(C).
- Gomez-Gonzalez, Jose E. & Rojas-Espinosa, Wilmer, 2019. "Detecting contagion in Asian exchange rate markets using asymmetric DCC-GARCH and R-vine copulas," Economic Systems, Elsevier, vol. 43(3).
- Aristeidis, Samitas & Elias, Kampouris, 2018. "Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 263-286.
- Sohel Azad, A.S.M. & Batten, Jonathan A. & Fang, Victor & Wickramanayake, Jayasinghe, 2015. "International swap market contagion and volatility," Economic Modelling, Elsevier, vol. 47(C), pages 355-371.
- Das, Suman & Roy, Saikat Sinha, 2023. "Following the leaders? A study of co-movement and volatility spillover in BRICS currencies," Economic Systems, Elsevier, vol. 47(2).
- Luis F. Melo Velandia & Rubén A. Loaiza Maya & Mauricio Villamizar-Villegas, 2014.
"Bayesian Combination for Inflation Forecasts: The Effects of a Prior Based on Central Banks’ Estimates,"
Borradores de Economia
853, Banco de la Republica de Colombia.
- Melo, Luis F. & Loaiza, Rubén A. & Villamizar-Villegas, Mauricio, 2016. "Bayesian combination for inflation forecasts: The effects of a prior based on central banks’ estimates," Economic Systems, Elsevier, vol. 40(3), pages 387-397.
- Luis F. Melo Velandia & Rubén A. Loaiza Maya & Mauricio Villamizar-Villegas, 2014. "Bayesian Combination for Inflation Forecasts: The Effects of a Prior Based on Central Banks’ Estimates," Borradores de Economia 12323, Banco de la Republica.
- Melo-Velandia, Luis Fernando & Loaiza, Rubén & Villamizar-Villegas, Mauricio, 2019. "Bayesian Combination for Inflation Forecasts: The Effects of a Prior Based on Central Banks’ Estimates," Working papers 8, Red Investigadores de Economía.
Cited by:
- Hassani, Hossein & Silva, Emmanuel Sirimal, 2018. "Forecasting UK consumer price inflation using inflation forecasts," Research in Economics, Elsevier, vol. 72(3), pages 367-378.
- D.V. Firsov & T.C. Chernyshevа, 2021. "Review of Successful Practices of Applying Nowcasting in Socio-Economic Forecasting," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 20(2), pages 269-293.
- Rubén Albeiro Loaiza Maya & José Eduardo Gómez-González & Luis Fernando Melo Velandia, 2012.
"Latin American Exchange Rate Dependencies: A Regular Vine Copula Approach,"
Borradores de Economia
729, Banco de la Republica de Colombia.
- Rubén Albeiro Loaiza Maya & Jose Eduardo Gomez-Gonzalez & Luis Fernando Melo Velandia, 2015. "Latin American Exchange Rate Dependencies: A Regular Vine Copula Approach," Contemporary Economic Policy, Western Economic Association International, vol. 33(3), pages 535-549, July.
- Rubén Albeiro Loaiza Maya & Luis Fernando Melo Velandia, 2012. "Latin American Exchange Rate Dependencies: A Regular Vine Copula Approach," Borradores de Economia 9902, Banco de la Republica.
Cited by:
- Juan José Echavarría & Luis Fernando Melo Velandia & Santiago Téllez & Mauricio Villamizar, 2013.
"The Impact of Pre-announced Day-to-day Interventions on the Colombian Exchange Rate,"
Borradores de Economia
10767, Banco de la Republica.
- Juan José Echavarría & Luis Fernando Melo velandia & Santiago Téllez & Mauricio Villamizar Villegas, 2013. "The Impact of Pre-announced Day-to-day Interventions on the Colombian Exchange Rate," Borradores de Economia 767, Banco de la Republica de Colombia.
- Juan J. Echavarría & Luis F. Melo-Velandia & Mauricio Villamizar-Villegas, 2018. "The impact of pre-announced day-to-day interventions on the Colombian exchange rate," Empirical Economics, Springer, vol. 55(3), pages 1319-1336, November.
- Juan José Echavarría & Luis Fernando Melo & Santiago Téllez & Mauricio Villamizar, 2013. "The impact of pre-announced day-to-day interventions on the Colombian exchange rate," BIS Working Papers 428, Bank for International Settlements.
- Muhammad Mar’i & Turgut Tursoy, 2021. "Exchange Rate Dependency Between Emerging Countries-Case of Black Sea Countries," Capital Markets Review, Malaysian Finance Association, vol. 29(2), pages 43-54.
- Gong, Yuting & Ma, Chao & Chen, Qiang, 2022. "Exchange rate dependence and economic fundamentals: A Copula-MIDAS approach," Journal of International Money and Finance, Elsevier, vol. 123(C).
- Himchan Jeong & Dipak Dey, 2020. "Application of a Vine Copula for Multi-Line Insurance Reserving," Risks, MDPI, vol. 8(4), pages 1-23, October.
- Cyprian Omari & Peter Mwita & Anthony Waititu, 2019. "Conditional Dependence Modelling with Regular Vine Copulas," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 8(1), pages 1-5.
- Rubén Albeiro Loaiza Maya & José Eduardo Gómez-González & Luis Fernando Melo Velandia, 2014.
"Exchange Rates Contagion in Latin America,"
Borradores de Economia
12105, Banco de la Republica.
- Loaiza-Maya, Rubén Albeiro & Gómez-González, José Eduardo & Melo-Velandia, Luis Fernando, 2015. "Exchange rate contagion in Latin America," Research in International Business and Finance, Elsevier, vol. 34(C), pages 355-367.
- Rubén Albeiro Loaiza Maya & José Eduardo Gómez-González & Luis Fernando Melo Velandia, 2014. "Exchange Rates Contagion in Latin America," Borradores de Economia 842, Banco de la Republica de Colombia.
- Peng, Wei & Hu, Shichao & Chen, Wang & Zeng, Yu-feng & Yang, Lu, 2019. "Modeling the joint dynamic value at risk of the volatility index, oil price, and exchange rate," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 137-149.
- Luis V. Bejarano-Bejarano & Jose E. Gomez-Gonzalez & Luis F. Melo-Velandia & Jhon E. Torres-Gorron, 2015.
"Financial Contagion in Latin America,"
Borradores de Economia
12820, Banco de la Republica.
- Luis V. Bejarano-Bejarano & Jose E. Gomez-Gonzalez & Luis F. Melo-Velandia & Jhon E. Torres-Gorron, 2015. "Financial Contagion in Latin America," Borradores de Economia 884, Banco de la Republica de Colombia.
- Mauricio Villamizar-Villegas, 2016.
"Identifying The Effects Of Simultaneous Monetary Policy Shocks,"
Contemporary Economic Policy, Western Economic Association International, vol. 34(2), pages 268-296, April.
- Mauricio Villamizar, 2014. "Identifying the Effects of Simultaneous Monetary Policy Shocks. Fear of Floating under Inflation targeting," Borradores de Economia 12010, Banco de la Republica.
- Mauricio Villamizar, 2014. "Identifying the Effects of Simultaneous Monetary Policy Shocks. Fear of Floating under Inflation targeting," Borradores de Economia 835, Banco de la Republica de Colombia.
- Kunlapath Sukcharoen & David Leatham, 2018. "Analyzing Extreme Comovements in Agricultural and Energy Commodity Markets Using a Regular Vine Copula Method," International Journal of Energy Economics and Policy, Econjournals, vol. 8(5), pages 193-201.
- Huang, Wanling & Mollick, André Varella & Nguyen, Khoa Huu, 2016. "U.S. stock markets and the role of real interest rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 231-242.
- Kjersti Aas, 2016. "Pair-Copula Constructions for Financial Applications: A Review," Econometrics, MDPI, vol. 4(4), pages 1-15, October.
- Semih Emre Cekin & Ashis Kumar Pradhan & Aviral Kumar Tiwari & Rangan Gupta, 2018.
"Measuring Co-Dependencies of Economic Policy Uncertainty in Latin American Countries using Vine Copulas,"
Working Papers
201867, University of Pretoria, Department of Economics.
- Çekin, Semih Emre & Pradhan, Ashis Kumar & Tiwari, Aviral Kumar & Gupta, Rangan, 2020. "Measuring co-dependencies of economic policy uncertainty in Latin American countries using vine copulas," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 207-217.
- Sandoval Paucar, Giovanny, 2018. "Efectos de desbordamiento sobre los mercados financieros de Colombia. Identificación a través de la heterocedasticidad [Spillovers effects on financial markets of Colombia. Identification through h," MPRA Paper 90422, University Library of Munich, Germany.
- Gomez-Gonzalez, Jose & Rojas-Espinosa, Wilmer, 2018. "Detecting exchange rate contagion in Asian exchange rate markets using asymmetric DDC-GARCH and R-vine copulas," MPRA Paper 88578, University Library of Munich, Germany.
- Cubillos-Rocha, Juan S. & Gomez-Gonzalez, Jose E. & Melo-Velandia, Luis F., 2019.
"Detecting exchange rate contagion using copula functions,"
The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 13-22.
- Juan Sebastian Cubillos-Rocha & Jose Eduardo Gomez-Gonzalez & Luis Fernando Melo-Velandia, 2018. "Detecting exchange rate contagion using copula functions," Borradores de Economia 1047, Banco de la Republica de Colombia.
- Gomez-Gonzalez, Jose E. & Rojas-Espinosa, Wilmer, 2019. "Detecting contagion in Asian exchange rate markets using asymmetric DCC-GARCH and R-vine copulas," Economic Systems, Elsevier, vol. 43(3).
- Das, Suman & Roy, Saikat Sinha, 2023. "Following the leaders? A study of co-movement and volatility spillover in BRICS currencies," Economic Systems, Elsevier, vol. 47(2).
Articles
- Martin, Gael M. & Loaiza-Maya, Rubén & Maneesoonthorn, Worapree & Frazier, David T. & Ramírez-Hassan, Andrés, 2022.
"Optimal probabilistic forecasts: When do they work?,"
International Journal of Forecasting, Elsevier, vol. 38(1), pages 384-406.
See citations under working paper version above.
- Ruben Loaiza-Maya & Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Andres Ramirez Hassan, 2020. "Optimal probabilistic forecasts: When do they work?," Monash Econometrics and Business Statistics Working Papers 33/20, Monash University, Department of Econometrics and Business Statistics.
- Gael M. Martin & Rub'en Loaiza-Maya & David T. Frazier & Worapree Maneesoonthorn & Andr'es Ram'irez Hassan, 2020. "Optimal probabilistic forecasts: When do they work?," Papers 2009.09592, arXiv.org.
- Ruben Loaiza‐Maya & Gael M. Martin & David T. Frazier, 2021.
"Focused Bayesian prediction,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 517-543, August.
See citations under working paper version above.
- Ruben Loaiza-Maya & Gael M. Martin & David T. Frazier, 2019. "Focused Bayesian Prediction," Papers 1912.12571, arXiv.org, revised Aug 2020.
- Ruben Loaiza-Maya & Gael M Martin & David T. Frazier, 2020. "Focused Bayesian Prediction," Monash Econometrics and Business Statistics Working Papers 1/20, Monash University, Department of Econometrics and Business Statistics.
- Rubén Loaiza-Maya & Michael Stanley Smith, 2020.
"Real-Time Macroeconomic Forecasting With a Heteroscedastic Inversion Copula,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 470-486, April.
Cited by:
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Joshua Chan, 2023. "BVARs and Stochastic Volatility," Papers 2310.14438, arXiv.org.
- Anthony Garratt & Timo Henckel & Shaun P. Vahey, 2019.
"Empirically-transformed linear opinion pools,"
CAMA Working Papers
2019-47, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Garratt, Anthony & Henckel, Timo & Vahey, Shaun P., 2023. "Empirically-transformed linear opinion pools," International Journal of Forecasting, Elsevier, vol. 39(2), pages 736-753.
- Smith, Michael Stanley, 2023. "Implicit Copulas: An Overview," Econometrics and Statistics, Elsevier, vol. 28(C), pages 81-104.
- Hans Genberg & Özer Karagedikli, 2021. "Machine Learning and Central Banks: Ready for Prime Time?," Working Papers wp43, South East Asian Central Banks (SEACEN) Research and Training Centre.
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Rubén Loaiza‐Maya & Michael S. Smith & Worapree Maneesoonthorn, 2018.
"Time series copulas for heteroskedastic data,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(3), pages 332-354, April.
- Rub'en Loaiza-Maya & Michael S. Smith & Worapree Maneesoonthorn, 2017. "Time Series Copulas for Heteroskedastic Data," Papers 1701.07152, arXiv.org.
Cited by:
- Nguyen, Hoang & Virbickaitė, Audronė, 2023.
"Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models,"
Energy Economics, Elsevier, vol. 124(C).
- Nguyen, Hoang & Virbickaite, Audrone, 2022. "Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models," Working Papers 2022:5, Örebro University, School of Business.
- Martin Bladt & Alexander J. McNeil, 2020. "Time series copula models using d-vines and v-transforms," Papers 2006.11088, arXiv.org, revised Jul 2021.
- Alexander J. McNeil, 2021. "Modelling Volatile Time Series with V-Transforms and Copulas," Risks, MDPI, vol. 9(1), pages 1-26, January.
- Bladt Martin & McNeil Alexander J., 2022. "Time series with infinite-order partial copula dependence," Dependence Modeling, De Gruyter, vol. 10(1), pages 87-107, January.
- Nikolaus Hautsch & Ostap Okhrin & Alexander Ristig, 2023. "Maximum-Likelihood Estimation Using the Zig-Zag Algorithm," Journal of Financial Econometrics, Oxford University Press, vol. 21(4), pages 1346-1375.
- Jin Seo Cho & Peter C. B. Phillips & Juwon Seo, 2022. "Parametric Conditional Mean Inference With Functional Data Applied To Lifetime Income Curves," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 63(1), pages 391-456, February.
- Juwon Seo, 2018. "Randomization Tests for Equality in Dependence Structure," Papers 1811.02105, arXiv.org.
- Nagler, Thomas & Krüger, Daniel & Min, Aleksey, 2022. "Stationary vine copula models for multivariate time series," Journal of Econometrics, Elsevier, vol. 227(2), pages 305-324.
- Ruben Loaiza-Maya & Michael Stanley Smith, 2017. "Variational Bayes Estimation of Discrete-Margined Copula Models with Application to Time Series," Papers 1712.09150, arXiv.org, revised Jul 2018.
- Michael Stanley Smith, 2021. "Implicit Copulas: An Overview," Papers 2109.04718, arXiv.org.
- Smith, Michael Stanley & Maneesoonthorn, Worapree, 2018. "Inversion copulas from nonlinear state space models with an application to inflation forecasting," International Journal of Forecasting, Elsevier, vol. 34(3), pages 389-407.
- Rehman, Mobeen Ur & Katsiampa, Paraskevi & Zeitun, Rami & Vo, Xuan Vinh, 2023. "Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies," Emerging Markets Review, Elsevier, vol. 55(C).
- Martin Bladt & Alexander J. McNeil, 2021. "Time series models with infinite-order partial copula dependence," Papers 2107.00960, arXiv.org.
- Virbickaitė, Audronė & Ausín, M. Concepción & Galeano, Pedro, 2020. "Copula stochastic volatility in oil returns: Approximate Bayesian computation with volatility prediction," Energy Economics, Elsevier, vol. 92(C).
- Bladt, Martin & McNeil, Alexander J., 2022. "Time series copula models using d-vines and v-transforms," Econometrics and Statistics, Elsevier, vol. 24(C), pages 27-48.
- Melo, Luis F. & Loaiza, Rubén A. & Villamizar-Villegas, Mauricio, 2016.
"Bayesian combination for inflation forecasts: The effects of a prior based on central banks’ estimates,"
Economic Systems, Elsevier, vol. 40(3), pages 387-397.
See citations under working paper version above.
- Luis F. Melo Velandia & Rubén A. Loaiza Maya & Mauricio Villamizar-Villegas, 2014. "Bayesian Combination for Inflation Forecasts: The Effects of a Prior Based on Central Banks’ Estimates," Borradores de Economia 853, Banco de la Republica de Colombia.
- Luis F. Melo Velandia & Rubén A. Loaiza Maya & Mauricio Villamizar-Villegas, 2014. "Bayesian Combination for Inflation Forecasts: The Effects of a Prior Based on Central Banks’ Estimates," Borradores de Economia 12323, Banco de la Republica.
- Melo-Velandia, Luis Fernando & Loaiza, Rubén & Villamizar-Villegas, Mauricio, 2019. "Bayesian Combination for Inflation Forecasts: The Effects of a Prior Based on Central Banks’ Estimates," Working papers 8, Red Investigadores de Economía.
- Loaiza-Maya, Rubén Albeiro & Gómez-González, José Eduardo & Melo-Velandia, Luis Fernando, 2015.
"Exchange rate contagion in Latin America,"
Research in International Business and Finance, Elsevier, vol. 34(C), pages 355-367.
See citations under working paper version above.
- Rubén Albeiro Loaiza Maya & José Eduardo Gómez-González & Luis Fernando Melo Velandia, 2014. "Exchange Rates Contagion in Latin America," Borradores de Economia 842, Banco de la Republica de Colombia.
- Rubén Albeiro Loaiza Maya & José Eduardo Gómez-González & Luis Fernando Melo Velandia, 2014. "Exchange Rates Contagion in Latin America," Borradores de Economia 12105, Banco de la Republica.
- Rubén Albeiro Loaiza Maya & Jose Eduardo Gomez-Gonzalez & Luis Fernando Melo Velandia, 2015.
"Latin American Exchange Rate Dependencies: A Regular Vine Copula Approach,"
Contemporary Economic Policy, Western Economic Association International, vol. 33(3), pages 535-549, July.
See citations under working paper version above.
- Rubén Albeiro Loaiza Maya & Luis Fernando Melo Velandia, 2012. "Latin American Exchange Rate Dependencies: A Regular Vine Copula Approach," Borradores de Economia 9902, Banco de la Republica.
- Rubén Albeiro Loaiza Maya & José Eduardo Gómez-González & Luis Fernando Melo Velandia, 2012. "Latin American Exchange Rate Dependencies: A Regular Vine Copula Approach," Borradores de Economia 729, Banco de la Republica de Colombia.
- Galvis Ciro, Juan Camilo & Bedoya Ospina, Juan Guillermo & Loaiza Maya, Rubén Albeiro, 2011.
"Una regla de política fiscal óptima para la economía colombiana: aproximación desde un modelo de equilibrio general dinámico y estocástico,"
Revista Lecturas de Economía, Universidad de Antioquia, CIE, November.
Cited by:
- Luis N. Lanteri, 2016. "La política fiscal en economías exportadoras de materias primas. Evidencia para Argentina," Economic Analysis Working Papers (2002-2010). Atlantic Review of Economics (2011-2016), Colexio de Economistas de A Coruña, Spain and Fundación Una Galicia Moderna, vol. 1, pages 1-1, June.
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 22 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-FOR: Forecasting (10) 2012-05-08 2012-05-22 2014-12-24 2015-01-09 2019-06-24 2020-01-20 2020-10-12 2020-10-26 2021-08-30 2022-04-04. Author is listed
- NEP-ECM: Econometrics (8) 2018-01-08 2020-01-20 2020-05-25 2020-08-24 2020-10-12 2021-05-03 2021-06-28 2022-05-09. Author is listed
- NEP-ORE: Operations Research (8) 2020-01-13 2020-01-20 2020-08-24 2020-10-12 2020-10-26 2021-08-30 2022-04-04 2022-05-09. Author is listed
- NEP-ETS: Econometric Time Series (6) 2012-05-08 2018-01-08 2020-01-13 2020-05-25 2021-05-03 2021-06-28. Author is listed
- NEP-CBA: Central Banking (5) 2012-05-08 2012-05-22 2014-09-29 2014-11-22 2015-01-09. Author is listed
- NEP-DCM: Discrete Choice Models (5) 2018-01-08 2020-05-25 2020-08-24 2020-08-31 2022-05-09. Author is listed
- NEP-MON: Monetary Economics (5) 2012-09-03 2012-09-09 2014-12-24 2015-01-09 2019-06-24. Author is listed
- NEP-LAM: Central and South America (4) 2012-09-03 2012-09-09 2014-09-29 2014-11-22
- NEP-MAC: Macroeconomics (4) 2012-05-22 2014-12-24 2015-01-09 2019-06-24
- NEP-BIG: Big Data (3) 2020-05-25 2021-05-03 2021-08-30
- NEP-OPM: Open Economy Macroeconomics (2) 2014-09-29 2014-11-22
- NEP-CMP: Computational Economics (1) 2021-08-30
- NEP-GER: German Papers (1) 2014-09-29
- NEP-ISF: Islamic Finance (1) 2021-08-30
- NEP-UPT: Utility Models and Prospect Theory (1) 2020-08-24
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