Aubrey Poon
Personal Details
First Name: | Aubrey |
Middle Name: | |
Last Name: | Poon |
Suffix: | |
RePEc Short-ID: | ppo694 |
[This author has chosen not to make the email address public] | |
https://sites.google.com/view/aubreybcpoon/home | |
Affiliation
School of Economics
University of Kent
Canterbury, United Kingdomhttp://www.kent.ac.uk/economics/
RePEc:edi:deukcuk (more details at EDIRC)
Research output
Jump to: Working papers Articles ChaptersWorking papers
- Matteo Iacopini & Aubrey Poon & Luca Rossini & Dan Zhu, 2024. "A Quantile Nelson-Siegel model," Papers 2401.09874, arXiv.org.
- Joshua C. C. Chan & Davide Pettenuzzo & Aubrey Poon & Dan Zhu, 2024. "Conditional Forecasts in Large Bayesian VARs with Multiple Equality and Inequality Constraints," Papers 2407.02262, arXiv.org.
- Matteo Iacopini & Aubrey Poon & Luca Rossini & Dan Zhu, 2023. "Money Growth and Inflation: A Quantile Sensitivity Approach," Papers 2308.05486, arXiv.org, revised Nov 2023.
- Gary Koop & Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon & Ping Wu, 2023.
"Incorporating Short Data into Large Mixed-Frequency VARs for Regional Nowcasting,"
Working Papers
23-09, Federal Reserve Bank of Cleveland.
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon & Ping Wu, 2023. "Incorporating Short Data into Large Mixed-Frequency VARs for Regional Nowcasting," Working Papers 2311, University of Strathclyde Business School, Department of Economics.
- Jamie L. Cross & Lennart Hoogerheide & Paul Labonne & Herman K. van Dijk, 2023. "Bayesian Mode Inference for Discrete Distributions in Economics and Finance," Working Papers No 11/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Joshua C. C. Chan & Aubrey Poon & Dan Zhu, 2023.
"High-Dimensional Conditionally Gaussian State Space Models with Missing Data,"
Papers
2302.03172, arXiv.org.
- Chan, Joshua C.C. & Poon, Aubrey & Zhu, Dan, 2023. "High-dimensional conditionally Gaussian state space models with missing data," Journal of Econometrics, Elsevier, vol. 236(1).
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022.
"Reconciled Estimates of Monthly GDP in the US,"
Working Papers
22-01, Federal Reserve Bank of Cleveland.
- James Mitchell & Gary Koop & Stuart McIntyre & Aubrey Poon, 2020. "Reconciled Estimates of Monthly GDP in the US," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2020-16, Economic Statistics Centre of Excellence (ESCoE).
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022.
"Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates,"
Working Papers
22-06, Federal Reserve Bank of Cleveland.
- Koop, Gary & McIntyre, Stuart & Mitchell, James & Poon, Aubrey, 2024. "Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates," International Journal of Forecasting, Elsevier, vol. 40(2), pages 626-640.
- Matteo Iacopini & Aubrey Poon & Luca Rossini & Dan Zhu, 2022.
"Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP,"
Papers
2209.01910, arXiv.org.
- Iacopini, Matteo & Poon, Aubrey & Rossini, Luca & Zhu, Dan, 2023. "Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP," Journal of Economic Dynamics and Control, Elsevier, vol. 157(C).
- Poon, Aubrey & Zhu, Dan, 2022. "Do Recessions Occur Concurrently Across Countries? A Multinomial Logistic Approach," Working Papers 2022:11, Örebro University, School of Business.
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022. "Using hierarchical aggregation constraints to nowcast regional economic aggregates," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2022-04, Economic Statistics Centre of Excellence (ESCoE).
- James Mitchell & Aubrey Poon & Dan Zhu, 2022.
"Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics,"
Working Papers
22-12R, Federal Reserve Bank of Cleveland, revised 11 Apr 2023.
- James Mitchell & Aubrey Poon & Dan Zhu, 2024. "Constructing density forecasts from quantile regressions: Multimodality in macrofinancial dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 790-812, August.
- Österholm, Pär & Poon, Aubrey, 2022.
"Trend Inflation in Sweden,"
Working Papers
2022:2, Örebro University, School of Business.
- Pär Österholm & Aubrey Poon, 2023. "Trend Inflation in Sweden," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4707-4716, October.
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2021.
"Nowcasting 'true' monthly US GDP during the pandemic,"
CAMA Working Papers
2021-14, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Koop, Gary & McIntyre, Stuart & Mitchell, James & Poon, Aubrey, 2021. "Nowcasting ‘True’ Monthly U.S. Gdp During The Pandemic," National Institute Economic Review, National Institute of Economic and Social Research, vol. 256, pages 44-70, April.
- Joshua C. C. Chan & Aubrey Poon & Dan Zhu, 2021. "Efficient Estimation of State-Space Mixed-Frequency VARs: A Precision-Based Approach," Papers 2112.11315, arXiv.org.
- Koop, Gary & McIntyre, Stuart & Mitchell, James & Poon, Aubrey, 2020. "Reconciled Estimates of Monthly GDP in the US," EMF Research Papers 37, Economic Modelling and Forecasting Group.
- Deborah Gefang & Gary Koop & Aubrey Poon, 2019.
"Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage,"
CAMA Working Papers
2019-08, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Deborah Gefang & Gary Koop & Aubrey Poon, 2019. "Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage," Discussion Papers in Economics 19/05, Division of Economics, School of Business, University of Leicester.
- Deborah Gefang & Gary Koop & Aubrey Poon, 2019. "Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2019-07, Economic Statistics Centre of Excellence (ESCoE).
- Koop, Gary & McIntyre, Stuart & Mitchell, James & Poon, Aubrey, 2019. "Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimates, 1970-2017," EMF Research Papers 20, Economic Modelling and Forecasting Group.
- García, Juan Angel & Poon, Aubrey, 2019.
"Inflation trends in Asia: implications for central banks,"
Working Paper Series
2338, European Central Bank.
- Juan Angel Garcia & Aubrey Poon, 2022. "Inflation trends in Asia: implications for central banks [Are Phillips curves useful for forecasting inflation?]," Oxford Economic Papers, Oxford University Press, vol. 74(3), pages 671-700.
- Juan Angel Garcia & Aubrey Poon, 2018. "Trend Inflation and Inflation Compensation," IMF Working Papers 2018/154, International Monetary Fund.
- Jamie L. Cross & Chenghan Hou & Aubrey Poon, 2018. "International transmissions of aggregate macroeconomic uncertainty in small open economies: An empirical approach," CAMA Working Papers 2018-16, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2018. "Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimates, 1970-2017," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2018-14, Economic Statistics Centre of Excellence (ESCoE).
- Jamie L. Cross & Chenghan Hou & Aubrey Poon, 2018. "International Transmission of Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach," Working Papers No 12/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Deborah Gefang & Gary Koop & Aubrey Poon, "undated".
"Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs,"
Discussion Papers in Economics
20/02, Division of Economics, School of Business, University of Leicester.
- Gefang, Deborah & Koop, Gary & Poon, Aubrey, 2020. "Computationally efficient inference in large Bayesian mixed frequency VARs," Economics Letters, Elsevier, vol. 191(C).
- Deborah Gefang & Gary Koop & Aubrey Poon, 2020. "Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2020-07, Economic Statistics Centre of Excellence (ESCoE).
Articles
- James Mitchell & Aubrey Poon & Dan Zhu, 2024.
"Constructing density forecasts from quantile regressions: Multimodality in macrofinancial dynamics,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 790-812, August.
- James Mitchell & Aubrey Poon & Dan Zhu, 2022. "Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics," Working Papers 22-12R, Federal Reserve Bank of Cleveland, revised 11 Apr 2023.
- Koop, Gary & McIntyre, Stuart & Mitchell, James & Poon, Aubrey, 2024.
"Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates,"
International Journal of Forecasting, Elsevier, vol. 40(2), pages 626-640.
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022. "Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates," Working Papers 22-06, Federal Reserve Bank of Cleveland.
- Iacopini, Matteo & Poon, Aubrey & Rossini, Luca & Zhu, Dan, 2023.
"Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP,"
Journal of Economic Dynamics and Control, Elsevier, vol. 157(C).
- Matteo Iacopini & Aubrey Poon & Luca Rossini & Dan Zhu, 2022. "Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP," Papers 2209.01910, arXiv.org.
- Kabundi, Alain & Poon, Aubrey & Wu, Ping, 2023. "A time-varying Phillips curve with global factors: Are global factors important?," Economic Modelling, Elsevier, vol. 126(C).
- Cross, Jamie L. & Hou, Chenghan & Koop, Gary & Poon, Aubrey, 2023. "Large stochastic volatility in mean VARs," Journal of Econometrics, Elsevier, vol. 236(1).
- Pär Österholm & Aubrey Poon, 2023.
"Trend Inflation in Sweden,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4707-4716, October.
- Österholm, Pär & Poon, Aubrey, 2022. "Trend Inflation in Sweden," Working Papers 2022:2, Örebro University, School of Business.
- 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.
- Beechey, Meredith & Österholm, Pär & Poon, Aubrey, 2023. "Estimating the US trend short-term interest rate," Finance Research Letters, Elsevier, vol. 55(PA).
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2023. "Reconciled Estimates of Monthly GDP in the United States," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(2), pages 563-577, April.
- Chan, Joshua C.C. & Poon, Aubrey & Zhu, Dan, 2023.
"High-dimensional conditionally Gaussian state space models with missing data,"
Journal of Econometrics, Elsevier, vol. 236(1).
- Joshua C. C. Chan & Aubrey Poon & Dan Zhu, 2023. "High-Dimensional Conditionally Gaussian State Space Models with Missing Data," Papers 2302.03172, arXiv.org.
- Aubrey Poon & Dan Zhu, 2022. "A new Bayesian model for contagion and interdependence," Econometric Reviews, Taylor & Francis Journals, vol. 41(7), pages 806-826, August.
- Juan Angel Garcia & Aubrey Poon, 2022.
"Inflation trends in Asia: implications for central banks [Are Phillips curves useful for forecasting inflation?],"
Oxford Economic Papers, Oxford University Press, vol. 74(3), pages 671-700.
- García, Juan Angel & Poon, Aubrey, 2019. "Inflation trends in Asia: implications for central banks," Working Paper Series 2338, European Central Bank.
- Koop, Gary & McIntyre, Stuart & Mitchell, James & Poon, Aubrey, 2021.
"Nowcasting ‘True’ Monthly U.S. Gdp During The Pandemic,"
National Institute Economic Review, National Institute of Economic and Social Research, vol. 256, pages 44-70, April.
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2021. "Nowcasting 'true' monthly US GDP during the pandemic," CAMA Working Papers 2021-14, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Koop, Gary & McIntyre, Stuart & Mitchell, James & Poon, Aubrey, 2020. "Reconciled Estimates And Nowcasts Of Regional Output In The Uk," National Institute Economic Review, National Institute of Economic and Social Research, vol. 253, pages 44-59, August.
- Jamie L. Cross & Aubrey Poon, 2020. "On the contribution of international shocks in Australian business cycle fluctuations," Empirical Economics, Springer, vol. 59(6), pages 2613-2637, December.
- Cross, Jamie L. & Hou, Chenghan & Poon, Aubrey, 2020. "Macroeconomic forecasting with large Bayesian VARs: Global-local priors and the illusion of sparsity," International Journal of Forecasting, Elsevier, vol. 36(3), pages 899-915.
- Gefang, Deborah & Koop, Gary & Poon, Aubrey, 2020.
"Computationally efficient inference in large Bayesian mixed frequency VARs,"
Economics Letters, Elsevier, vol. 191(C).
- Deborah Gefang & Gary Koop & Aubrey Poon, 2020. "Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2020-07, Economic Statistics Centre of Excellence (ESCoE).
- Deborah Gefang & Gary Koop & Aubrey Poon, "undated". "Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs," Discussion Papers in Economics 20/02, Division of Economics, School of Business, University of Leicester.
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2020. "Regional output growth in the United Kingdom: More timely and higher frequency estimates from 1970," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(2), pages 176-197, March.
- Aubrey Poon, 2018. "Assessing the Synchronicity and Nature of Australian State Business Cycles," The Economic Record, The Economic Society of Australia, vol. 94(307), pages 372-390, December.
- Aubrey Poon, 2018. "The transmission mechanism of Malaysian monetary policy: a time-varying vector autoregression approach," Empirical Economics, Springer, vol. 55(2), pages 417-444, September.
- Cross, Jamie & Poon, Aubrey, 2016. "Forecasting structural change and fat-tailed events in Australian macroeconomic variables," Economic Modelling, Elsevier, vol. 58(C), pages 34-51.
Chapters
- James Mitchell & Aubrey Poon & Gian Luigi Mazzi, 2022. "Nowcasting Euro Area GDP Growth Using Bayesian Quantile Regression," Advances in Econometrics, in: Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling, volume 43, pages 51-72, Emerald Group Publishing Limited.
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
- Gary Koop & Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon & Ping Wu, 2023.
"Incorporating Short Data into Large Mixed-Frequency VARs for Regional Nowcasting,"
Working Papers
23-09, Federal Reserve Bank of Cleveland.
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon & Ping Wu, 2023. "Incorporating Short Data into Large Mixed-Frequency VARs for Regional Nowcasting," Working Papers 2311, University of Strathclyde Business School, Department of Economics.
Cited by:
- Josh Martin & Rebecca Riley, 2023. "Productivity measurement - Reassessing the production function from micro to macro," Working Papers 033, The Productivity Institute.
- Luca Barbaglia & Lorenzo Frattarolo & Niko Hauzenberger & Dominik Hirschbuehl & Florian Huber & Luca Onorante & Michael Pfarrhofer & Luca Tiozzo Pezzoli, 2024. "Nowcasting economic activity in European regions using a mixed-frequency dynamic factor model," Papers 2401.10054, arXiv.org.
- Joshua C. C. Chan & Aubrey Poon & Dan Zhu, 2023.
"High-Dimensional Conditionally Gaussian State Space Models with Missing Data,"
Papers
2302.03172, arXiv.org.
- Chan, Joshua C.C. & Poon, Aubrey & Zhu, Dan, 2023. "High-dimensional conditionally Gaussian state space models with missing data," Journal of Econometrics, Elsevier, vol. 236(1).
Cited by:
- Eraslan, Sercan & Reif, Magnus, 2023. "A latent weekly GDP indicator for Germany," Technical Papers 08/2023, Deutsche Bundesbank.
- Antolín-Díaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2024.
"Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails,"
Journal of Econometrics, Elsevier, vol. 238(2).
- Antolin-Diaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2023. "Advances in Nowcasting Economic Activity: The Role of Heterogeneous Dynamics and Fat Tails," CEPR Discussion Papers 17800, C.E.P.R. Discussion Papers.
- Matteo Iacopini & Aubrey Poon & Luca Rossini & Dan Zhu, 2022.
"Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP,"
Papers
2209.01910, arXiv.org.
- Iacopini, Matteo & Poon, Aubrey & Rossini, Luca & Zhu, Dan, 2023. "Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP," Journal of Economic Dynamics and Control, Elsevier, vol. 157(C).
- Joshua Chan, 2023. "BVARs and Stochastic Volatility," Papers 2310.14438, arXiv.org.
- Mertens, Elmar, 2023.
"Precision-based sampling for state space models that have no measurement error,"
Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
- Mertens, Elmar, 2023. "Precision-based sampling for state space models that have no measurement error," Discussion Papers 25/2023, Deutsche Bundesbank.
- Luca Barbaglia & Lorenzo Frattarolo & Niko Hauzenberger & Dominik Hirschbuehl & Florian Huber & Luca Onorante & Michael Pfarrhofer & Luca Tiozzo Pezzoli, 2024. "Nowcasting economic activity in European regions using a mixed-frequency dynamic factor model," Papers 2401.10054, arXiv.org.
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022.
"Reconciled Estimates of Monthly GDP in the US,"
Working Papers
22-01, Federal Reserve Bank of Cleveland.
- James Mitchell & Gary Koop & Stuart McIntyre & Aubrey Poon, 2020. "Reconciled Estimates of Monthly GDP in the US," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2020-16, Economic Statistics Centre of Excellence (ESCoE).
Cited by:
- Florens Odendahl & Barbara Rossi & Tatevik Sekhposyan, 2021.
"Evaluating Forecast Performance with State Dependence,"
Working Papers
1295, Barcelona School of Economics.
- Odendahl, Florens & Rossi, Barbara & Sekhposyan, Tatevik, 2023. "Evaluating forecast performance with state dependence," Journal of Econometrics, Elsevier, vol. 237(2).
- Florens Odendahl & Barbara Rossi & Tatevik Sekhposyan, 2021. "Evaluating forecast performance with state dependence," Economics Working Papers 1800, Department of Economics and Business, Universitat Pompeu Fabra.
- Ana Beatriz Galvão & James Mitchell, 2023. "Real‐Time Perceptions of Historical GDP Data Uncertainty," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 457-481, June.
- Galvao, Ana Beatriz & Mitchell, James, 2020. "Real-Time Perceptions of Historical GDP Data Uncertainty," EMF Research Papers 35, Economic Modelling and Forecasting Group.
- Chan, Joshua C.C. & Poon, Aubrey & Zhu, Dan, 2023.
"High-dimensional conditionally Gaussian state space models with missing data,"
Journal of Econometrics, Elsevier, vol. 236(1).
- Joshua C. C. Chan & Aubrey Poon & Dan Zhu, 2023. "High-Dimensional Conditionally Gaussian State Space Models with Missing Data," Papers 2302.03172, arXiv.org.
- Blagov, Boris & Krause, Clara & Schmidt, Torsten & Exß, Franziska & Heinisch, Katja & Holtemöller, Oliver, 2024. "Frühzeitige Ermittlung stabiler Ergebnisse zum Bruttoinlandsprodukt bzw. realen Wirtschaftswachstum und der Bruttowertschöpfung auf Länderebene. Endbericht," RWI Projektberichte, RWI - Leibniz-Institut für Wirtschaftsforschung, number 296879, March.
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022.
"Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates,"
Working Papers
22-06, Federal Reserve Bank of Cleveland.
- Koop, Gary & McIntyre, Stuart & Mitchell, James & Poon, Aubrey, 2024. "Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates," International Journal of Forecasting, Elsevier, vol. 40(2), pages 626-640.
Cited by:
- George Athanasopoulos & Rob J Hyndman & Nikolaos Kourentzes & Anastasios Panagiotelis, 2023.
"Forecast Reconciliation: A Review,"
Monash Econometrics and Business Statistics Working Papers
8/23, Monash University, Department of Econometrics and Business Statistics.
- Athanasopoulos, George & Hyndman, Rob J. & Kourentzes, Nikolaos & Panagiotelis, Anastasios, 2024. "Forecast reconciliation: A review," International Journal of Forecasting, Elsevier, vol. 40(2), pages 430-456.
- Matteo Iacopini & Aubrey Poon & Luca Rossini & Dan Zhu, 2022.
"Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP,"
Papers
2209.01910, arXiv.org.
- Iacopini, Matteo & Poon, Aubrey & Rossini, Luca & Zhu, Dan, 2023. "Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP," Journal of Economic Dynamics and Control, Elsevier, vol. 157(C).
Cited by:
- Sheikh, Umaid A. & Asadi, Mehrad & Roubaud, David & Hammoudeh, Shawkat, 2024. "Global uncertainties and Australian financial markets: Quantile time-frequency connectedness," International Review of Financial Analysis, Elsevier, vol. 92(C).
- Matteo Iacopini & Francesco Ravazzolo & Luca Rossini, 2022. "Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications," Papers 2211.16121, arXiv.org, revised Aug 2024.
- Ghosh, Bikramaditya & Gubareva, Mariya & Ghosh, Anandita & Paparas, Dimitrios & Vo, Xuan Vinh, 2024. "Food, energy, and water nexus: A study on interconnectedness and trade-offs," Energy Economics, Elsevier, vol. 133(C).
- Roman A. Zhukov & Svetlana V. Prokopchina & Maria A. Plinskaya & Maria A. Zhelunitsina, 2024. "Modeling of Functional Relationships of Regional Economic Systems Based on Small Samples Based on Bayesian Intelligent Measurements," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 23(3), pages 721-750.
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022.
"Using hierarchical aggregation constraints to nowcast regional economic aggregates,"
Economic Statistics Centre of Excellence (ESCoE) Discussion Papers
ESCoE DP-2022-04, Economic Statistics Centre of Excellence (ESCoE).
Cited by:
- George Athanasopoulos & Rob J Hyndman & Nikolaos Kourentzes & Anastasios Panagiotelis, 2023.
"Forecast Reconciliation: A Review,"
Monash Econometrics and Business Statistics Working Papers
8/23, Monash University, Department of Econometrics and Business Statistics.
- Athanasopoulos, George & Hyndman, Rob J. & Kourentzes, Nikolaos & Panagiotelis, Anastasios, 2024. "Forecast reconciliation: A review," International Journal of Forecasting, Elsevier, vol. 40(2), pages 430-456.
- Luca Barbaglia & Lorenzo Frattarolo & Niko Hauzenberger & Dominik Hirschbuehl & Florian Huber & Luca Onorante & Michael Pfarrhofer & Luca Tiozzo Pezzoli, 2024. "Nowcasting economic activity in European regions using a mixed-frequency dynamic factor model," Papers 2401.10054, arXiv.org.
- George Athanasopoulos & Rob J Hyndman & Nikolaos Kourentzes & Anastasios Panagiotelis, 2023.
"Forecast Reconciliation: A Review,"
Monash Econometrics and Business Statistics Working Papers
8/23, Monash University, Department of Econometrics and Business Statistics.
- James Mitchell & Aubrey Poon & Dan Zhu, 2022.
"Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics,"
Working Papers
22-12R, Federal Reserve Bank of Cleveland, revised 11 Apr 2023.
- James Mitchell & Aubrey Poon & Dan Zhu, 2024. "Constructing density forecasts from quantile regressions: Multimodality in macrofinancial dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 790-812, August.
Cited by:
- Matteo Iacopini & Aubrey Poon & Luca Rossini & Dan Zhu, 2022.
"Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP,"
Papers
2209.01910, arXiv.org.
- Iacopini, Matteo & Poon, Aubrey & Rossini, Luca & Zhu, Dan, 2023. "Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP," Journal of Economic Dynamics and Control, Elsevier, vol. 157(C).
- Österholm, Pär & Poon, Aubrey, 2022.
"Trend Inflation in Sweden,"
Working Papers
2022:2, Örebro University, School of Business.
- Pär Österholm & Aubrey Poon, 2023. "Trend Inflation in Sweden," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4707-4716, October.
Cited by:
- Beechey, Meredith & Österholm, Pär & Poon, Aubrey, 2023. "Estimating the US trend short-term interest rate," Finance Research Letters, Elsevier, vol. 55(PA).
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2021.
"Nowcasting 'true' monthly US GDP during the pandemic,"
CAMA Working Papers
2021-14, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Koop, Gary & McIntyre, Stuart & Mitchell, James & Poon, Aubrey, 2021. "Nowcasting ‘True’ Monthly U.S. Gdp During The Pandemic," National Institute Economic Review, National Institute of Economic and Social Research, vol. 256, pages 44-70, April.
Cited by:
- Byron Botha & Rulof Burger & Kevin Kotze & Neil Rankin & Daan Steenkamp, 2022.
"Big data forecasting of South African inflation,"
School of Economics Macroeconomic Discussion Paper Series
2022-03, School of Economics, University of Cape Town.
- Byron Botha & Rulof Burger & Kevin Kotz & Neil Rankin & Daan Steenkamp, 2022. "Big data forecasting of South African inflation," Working Papers 11022, South African Reserve Bank.
- Byron Botha & Rulof Burger & Kevin Kotzé & Neil Rankin & Daan Steenkamp, 2023. "Big data forecasting of South African inflation," Empirical Economics, Springer, vol. 65(1), pages 149-188, July.
- Byron Botha & Kevin Kotze & Neil Rankin & Rulof P. Burger, 2022. "Big data forecasting of South African inflation," Working Papers 873, Economic Research Southern Africa.
- Paul Ho, 2021. "Forecasting in the Absence of Precedent," Working Paper 21-10, Federal Reserve Bank of Richmond.
- Joshua C. C. Chan & Aubrey Poon & Dan Zhu, 2021.
"Efficient Estimation of State-Space Mixed-Frequency VARs: A Precision-Based Approach,"
Papers
2112.11315, arXiv.org.
Cited by:
- Serena Ng & Susannah Scanlan, 2023. "Constructing High Frequency Economic Indicators by Imputation," Papers 2303.01863, arXiv.org, revised Oct 2023.
- Pettenuzzo, Davide & Sabbatucci, Riccardo & Timmermann, Allan, 2023. "Dividend suspensions and cash flows during the Covid-19 pandemic: A dynamic econometric model," Journal of Econometrics, Elsevier, vol. 235(2), pages 1522-1541.
- Koop, Gary & McIntyre, Stuart & Mitchell, James & Poon, Aubrey, 2020.
"Reconciled Estimates of Monthly GDP in the US,"
EMF Research Papers
37, Economic Modelling and Forecasting Group.
Cited by:
- Florens Odendahl & Barbara Rossi & Tatevik Sekhposyan, 2021.
"Evaluating Forecast Performance with State Dependence,"
Working Papers
1295, Barcelona School of Economics.
- Odendahl, Florens & Rossi, Barbara & Sekhposyan, Tatevik, 2023. "Evaluating forecast performance with state dependence," Journal of Econometrics, Elsevier, vol. 237(2).
- Florens Odendahl & Barbara Rossi & Tatevik Sekhposyan, 2021. "Evaluating forecast performance with state dependence," Economics Working Papers 1800, Department of Economics and Business, Universitat Pompeu Fabra.
- Ana Beatriz Galvão & James Mitchell, 2023. "Real‐Time Perceptions of Historical GDP Data Uncertainty," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 457-481, June.
- Galvao, Ana Beatriz & Mitchell, James, 2020. "Real-Time Perceptions of Historical GDP Data Uncertainty," EMF Research Papers 35, Economic Modelling and Forecasting Group.
- Chan, Joshua C.C. & Poon, Aubrey & Zhu, Dan, 2023.
"High-dimensional conditionally Gaussian state space models with missing data,"
Journal of Econometrics, Elsevier, vol. 236(1).
- Joshua C. C. Chan & Aubrey Poon & Dan Zhu, 2023. "High-Dimensional Conditionally Gaussian State Space Models with Missing Data," Papers 2302.03172, arXiv.org.
- Blagov, Boris & Krause, Clara & Schmidt, Torsten & Exß, Franziska & Heinisch, Katja & Holtemöller, Oliver, 2024. "Frühzeitige Ermittlung stabiler Ergebnisse zum Bruttoinlandsprodukt bzw. realen Wirtschaftswachstum und der Bruttowertschöpfung auf Länderebene. Endbericht," RWI Projektberichte, RWI - Leibniz-Institut für Wirtschaftsforschung, number 296879, March.
- Florens Odendahl & Barbara Rossi & Tatevik Sekhposyan, 2021.
"Evaluating Forecast Performance with State Dependence,"
Working Papers
1295, Barcelona School of Economics.
- Deborah Gefang & Gary Koop & Aubrey Poon, 2019.
"Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage,"
CAMA Working Papers
2019-08, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Deborah Gefang & Gary Koop & Aubrey Poon, 2019. "Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage," Discussion Papers in Economics 19/05, Division of Economics, School of Business, University of Leicester.
- Deborah Gefang & Gary Koop & Aubrey Poon, 2019. "Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2019-07, Economic Statistics Centre of Excellence (ESCoE).
Cited by:
- Joshua C. C. Chan & Xuewen Yu, 2022.
"Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility,"
Papers
2206.08438, arXiv.org.
- 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).
- 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.
- Mauro Bernardi & Daniele Bianchi & Nicolas Bianco, 2022. "Smoothing volatility targeting," Papers 2212.07288, arXiv.org.
- Deborah Gefang & Gary Koop & Aubrey Poon, 2020.
"Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs,"
Economic Statistics Centre of Excellence (ESCoE) Discussion Papers
ESCoE DP-2020-07, Economic Statistics Centre of Excellence (ESCoE).
- Gefang, Deborah & Koop, Gary & Poon, Aubrey, 2020. "Computationally efficient inference in large Bayesian mixed frequency VARs," Economics Letters, Elsevier, vol. 191(C).
- Deborah Gefang & Gary Koop & Aubrey Poon, "undated". "Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs," Discussion Papers in Economics 20/02, Division of Economics, School of Business, University of Leicester.
- Matteo Iacopini & Luca Rossini, 2019. "Bayesian nonparametric graphical models for time-varying parameters VAR," Papers 1906.02140, arXiv.org.
- Joshua C. C. Chan, 2019. "Large Bayesian vector autoregressions," CAMA Working Papers 2019-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua C.C., 2021.
"Minnesota-type adaptive hierarchical priors for large Bayesian VARs,"
International Journal of Forecasting, Elsevier, vol. 37(3), pages 1212-1226.
- Joshua C. C. Chan, 2019. "Minnesota-type adaptive hierarchical priors for large Bayesian VARs," CAMA Working Papers 2019-61, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Michael W. McCracken & Serena Ng, 2021.
"FRED-QD: A Quarterly Database for Macroeconomic Research,"
Review, Federal Reserve Bank of St. Louis, vol. 103(1), pages 1-44, January.
- Michael W. McCracken & Serena Ng, 2020. "FRED-QD: A Quarterly Database for Macroeconomic Research," Working Papers 2020-005, Federal Reserve Bank of St. Louis.
- Michael McCracken & Serena Ng, 2020. "FRED-QD: A Quarterly Database for Macroeconomic Research," NBER Working Papers 26872, National Bureau of Economic Research, Inc.
- Mauro Bernardi & Daniele Bianchi & Nicolas Bianco, 2022. "Variational inference for large Bayesian vector autoregressions," Papers 2202.12644, arXiv.org, revised Jun 2023.
- Koop, Gary & McIntyre, Stuart & Mitchell, James & Poon, Aubrey, 2019.
"Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimates, 1970-2017,"
EMF Research Papers
20, Economic Modelling and Forecasting Group.
Cited by:
- Huber, Florian & Koop, Gary & Onorante, Luca & Pfarrhofer, Michael & Schreiner, Josef, 2023.
"Nowcasting in a pandemic using non-parametric mixed frequency VARs,"
Journal of Econometrics, Elsevier, vol. 232(1), pages 52-69.
- Florian, Huber & Koop, Gary & Onorante, Luca & Pfarrhofer, Michael & Schreiner, Josef, 2021. "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs," Working Papers 2021-01, Joint Research Centre, European Commission.
- Huber, Florian & Koop, Gary & Onorante, Luca & Pfarrhofer, Michael & Schreiner, Josef, 2021. "Nowcasting in a pandemic using non-parametric mixed frequency VARs," Working Paper Series 2510, European Central Bank.
- Florian Huber & Gary Koop & Luca Onorante & Michael Pfarrhofer & Josef Schreiner, 2020. "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs," Papers 2008.12706, arXiv.org, revised Dec 2020.
- Meredith M. Paker, 2020. "The Jobless Recovery After the 1980-1981 UK Recession," Oxford Economic and Social History Working Papers _182, University of Oxford, Department of Economics.
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022.
"Reconciled Estimates of Monthly GDP in the US,"
Working Papers
22-01, Federal Reserve Bank of Cleveland.
- James Mitchell & Gary Koop & Stuart McIntyre & Aubrey Poon, 2020. "Reconciled Estimates of Monthly GDP in the US," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2020-16, Economic Statistics Centre of Excellence (ESCoE).
- Tony Chernis & Calista Cheung & Gabriella Velasco, 2017.
"A Three-Frequency Dynamic Factor Model for Nowcasting Canadian Provincial GDP Growth,"
Discussion Papers
17-8, Bank of Canada.
- Chernis, Tony & Cheung, Calista & Velasco, Gabriella, 2020. "A three-frequency dynamic factor model for nowcasting Canadian provincial GDP growth," International Journal of Forecasting, Elsevier, vol. 36(3), pages 851-872.
- Sensier, Marianne & Devine, Fiona, 2020.
"Understanding Regional Economic Performance And Resilience In The Uk: Trends Since The Global Financial Crisis,"
National Institute Economic Review, National Institute of Economic and Social Research, vol. 253, pages 18-28, August.
- Marianne Sensier & Fiona Devine, 2019. "Understanding Regional Economic Performance and Resilience in the UK: Trends Since the Global Financial Crisis," Economics Discussion Paper Series 1912, Economics, The University of Manchester.
- Deborah Gefang & Gary Koop & Aubrey Poon, 2020.
"Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs,"
Economic Statistics Centre of Excellence (ESCoE) Discussion Papers
ESCoE DP-2020-07, Economic Statistics Centre of Excellence (ESCoE).
- Gefang, Deborah & Koop, Gary & Poon, Aubrey, 2020. "Computationally efficient inference in large Bayesian mixed frequency VARs," Economics Letters, Elsevier, vol. 191(C).
- Deborah Gefang & Gary Koop & Aubrey Poon, "undated". "Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs," Discussion Papers in Economics 20/02, Division of Economics, School of Business, University of Leicester.
- Koop, Gary & McIntyre, Stuart & Mitchell, James & Poon, Aubrey, 2020. "Reconciled Estimates of Monthly GDP in the US," EMF Research Papers 37, Economic Modelling and Forecasting Group.
- María Gil & Danilo Leiva-Leon & Javier J. Pérez & Alberto Urtasun, 2019. "An application of dynamic factor models to nowcast regional economic activity in Spain," Occasional Papers 1904, Banco de España.
- Luke Mosley & Idris A. Eckley & Alex Gibberd, 2022. "Sparse temporal disaggregation," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(4), pages 2203-2233, October.
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2020. "Regional output growth in the United Kingdom: More timely and higher frequency estimates from 1970," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(2), pages 176-197, March.
- Luke Mosley & Idris Eckley & Alex Gibberd, 2021. "Sparse Temporal Disaggregation," Papers 2108.05783, arXiv.org, revised Oct 2022.
- Huber, Florian & Koop, Gary & Onorante, Luca & Pfarrhofer, Michael & Schreiner, Josef, 2023.
"Nowcasting in a pandemic using non-parametric mixed frequency VARs,"
Journal of Econometrics, Elsevier, vol. 232(1), pages 52-69.
- García, Juan Angel & Poon, Aubrey, 2019.
"Inflation trends in Asia: implications for central banks,"
Working Paper Series
2338, European Central Bank.
- Juan Angel Garcia & Aubrey Poon, 2022. "Inflation trends in Asia: implications for central banks [Are Phillips curves useful for forecasting inflation?]," Oxford Economic Papers, Oxford University Press, vol. 74(3), pages 671-700.
Cited by:
- Guglielmo Maria Caporale & Luis A. Gil-Alana & Carlos Poza, 2020.
"Inflation in the G7 Countries: Persistence and Structural Breaks,"
CESifo Working Paper Series
8349, CESifo.
- Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Carlos Poza, 2022. "Inflation in the G7 countries: persistence and structural breaks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(3), pages 493-506, July.
- Beechey, Meredith & Österholm, Pär & Poon, Aubrey, 2023. "Estimating the US trend short-term interest rate," Finance Research Letters, Elsevier, vol. 55(PA).
- Pär Österholm & Aubrey Poon, 2023.
"Trend Inflation in Sweden,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4707-4716, October.
- Österholm, Pär & Poon, Aubrey, 2022. "Trend Inflation in Sweden," Working Papers 2022:2, Örebro University, School of Business.
- Juan Angel Garcia & Aubrey Poon, 2018.
"Trend Inflation and Inflation Compensation,"
IMF Working Papers
2018/154, International Monetary Fund.
Cited by:
- Juan Angel Garcia & Sebastian Werner, 2018. "Inflation News and Euro Area Inflation Expectations," IMF Working Papers 2018/167, International Monetary Fund.
- Juan Angel Garcia & Aubrey Poon, 2022.
"Inflation trends in Asia: implications for central banks [Are Phillips curves useful for forecasting inflation?],"
Oxford Economic Papers, Oxford University Press, vol. 74(3), pages 671-700.
- García, Juan Angel & Poon, Aubrey, 2019. "Inflation trends in Asia: implications for central banks," Working Paper Series 2338, European Central Bank.
- Arnoud Stevens & Joris Wauters, 2021.
"Is euro area lowflation here to stay? Insights from a time‐varying parameter model with survey data,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 566-586, August.
- Arnoud Stevens & Joris Wauters, 2018. "Is euro area lowflation here to stay ? Insights from a time-varying parameter model with survey data," Working Paper Research 355, National Bank of Belgium.
- Juan Angel García & Sebastian E. V. Werner, 2021. "Inflation News and Euro-Area Inflation Expectations," International Journal of Central Banking, International Journal of Central Banking, vol. 17(3), pages 1-60, September.
- Saeed Zaman, 2021. "A Unified Framework to Estimate Macroeconomic Stars," Working Papers 21-23R2, Federal Reserve Bank of Cleveland, revised 31 May 2024.
- Jamie L. Cross & Chenghan Hou & Aubrey Poon, 2018.
"International transmissions of aggregate macroeconomic uncertainty in small open economies: An empirical approach,"
CAMA Working Papers
2018-16, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
Cited by:
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2019.
"Assessing International Commonality in Macroeconomic Uncertainty and Its Effects,"
Working Papers
18-03R, Federal Reserve Bank of Cleveland.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2020. "Assessing international commonality in macroeconomic uncertainty and its effects," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(3), pages 273-293, April.
- Marcellino, Massimiliano & Clark, Todd & Carriero, Andrea, 2019. "Assessing International Commonality in Macroeconomic Uncertainty and Its Effects," CEPR Discussion Papers 13970, C.E.P.R. Discussion Papers.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2018. "Assessing International Commonality in Macroeconomic Uncertainty and Its Effects," Working Papers (Old Series) 1803, Federal Reserve Bank of Cleveland.
- Samuel F. Onipede & Nafiu A. Bashir & Jamaladeen Abubakar, 2023. "Small open economies and external shocks: an application of Bayesian global vector autoregression model," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(2), pages 1673-1699, April.
- Jaromir Baxa & Tomas Sestorad, 2024.
"Economic Policy Uncertainty in Europe: Spillovers and Common Shocks,"
Working Papers IES
2024/34, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2024.
- Jaromir Baxa & Tomas Sestorad, 2024. "Economic Policy Uncertainty in Europe: Spillovers and Common Shocks," Working Papers 2024/9, Czech National Bank.
- Juan M. Londono & Sai Ma & Beth Anne Wilson, 2021. "The Global Transmission of Real Economic Uncertainty," International Finance Discussion Papers 1317, Board of Governors of the Federal Reserve System (U.S.).
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2019.
"Assessing International Commonality in Macroeconomic Uncertainty and Its Effects,"
Working Papers
18-03R, Federal Reserve Bank of Cleveland.
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2018.
"Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimates, 1970-2017,"
Economic Statistics Centre of Excellence (ESCoE) Discussion Papers
ESCoE DP-2018-14, Economic Statistics Centre of Excellence (ESCoE).
Cited by:
- Huber, Florian & Koop, Gary & Onorante, Luca & Pfarrhofer, Michael & Schreiner, Josef, 2023.
"Nowcasting in a pandemic using non-parametric mixed frequency VARs,"
Journal of Econometrics, Elsevier, vol. 232(1), pages 52-69.
- Florian, Huber & Koop, Gary & Onorante, Luca & Pfarrhofer, Michael & Schreiner, Josef, 2021. "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs," Working Papers 2021-01, Joint Research Centre, European Commission.
- Huber, Florian & Koop, Gary & Onorante, Luca & Pfarrhofer, Michael & Schreiner, Josef, 2021. "Nowcasting in a pandemic using non-parametric mixed frequency VARs," Working Paper Series 2510, European Central Bank.
- Florian Huber & Gary Koop & Luca Onorante & Michael Pfarrhofer & Josef Schreiner, 2020. "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs," Papers 2008.12706, arXiv.org, revised Dec 2020.
- Meredith M. Paker, 2020. "The Jobless Recovery After the 1980-1981 UK Recession," Oxford Economic and Social History Working Papers _182, University of Oxford, Department of Economics.
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022.
"Reconciled Estimates of Monthly GDP in the US,"
Working Papers
22-01, Federal Reserve Bank of Cleveland.
- James Mitchell & Gary Koop & Stuart McIntyre & Aubrey Poon, 2020. "Reconciled Estimates of Monthly GDP in the US," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2020-16, Economic Statistics Centre of Excellence (ESCoE).
- Tony Chernis & Calista Cheung & Gabriella Velasco, 2017.
"A Three-Frequency Dynamic Factor Model for Nowcasting Canadian Provincial GDP Growth,"
Discussion Papers
17-8, Bank of Canada.
- Chernis, Tony & Cheung, Calista & Velasco, Gabriella, 2020. "A three-frequency dynamic factor model for nowcasting Canadian provincial GDP growth," International Journal of Forecasting, Elsevier, vol. 36(3), pages 851-872.
- Sensier, Marianne & Devine, Fiona, 2020.
"Understanding Regional Economic Performance And Resilience In The Uk: Trends Since The Global Financial Crisis,"
National Institute Economic Review, National Institute of Economic and Social Research, vol. 253, pages 18-28, August.
- Marianne Sensier & Fiona Devine, 2019. "Understanding Regional Economic Performance and Resilience in the UK: Trends Since the Global Financial Crisis," Economics Discussion Paper Series 1912, Economics, The University of Manchester.
- Deborah Gefang & Gary Koop & Aubrey Poon, 2020.
"Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs,"
Economic Statistics Centre of Excellence (ESCoE) Discussion Papers
ESCoE DP-2020-07, Economic Statistics Centre of Excellence (ESCoE).
- Gefang, Deborah & Koop, Gary & Poon, Aubrey, 2020. "Computationally efficient inference in large Bayesian mixed frequency VARs," Economics Letters, Elsevier, vol. 191(C).
- Deborah Gefang & Gary Koop & Aubrey Poon, "undated". "Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs," Discussion Papers in Economics 20/02, Division of Economics, School of Business, University of Leicester.
- Koop, Gary & McIntyre, Stuart & Mitchell, James & Poon, Aubrey, 2020. "Reconciled Estimates of Monthly GDP in the US," EMF Research Papers 37, Economic Modelling and Forecasting Group.
- María Gil & Danilo Leiva-Leon & Javier J. Pérez & Alberto Urtasun, 2019. "An application of dynamic factor models to nowcast regional economic activity in Spain," Occasional Papers 1904, Banco de España.
- Luke Mosley & Idris A. Eckley & Alex Gibberd, 2022. "Sparse temporal disaggregation," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(4), pages 2203-2233, October.
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2020. "Regional output growth in the United Kingdom: More timely and higher frequency estimates from 1970," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(2), pages 176-197, March.
- Luke Mosley & Idris Eckley & Alex Gibberd, 2021. "Sparse Temporal Disaggregation," Papers 2108.05783, arXiv.org, revised Oct 2022.
- Huber, Florian & Koop, Gary & Onorante, Luca & Pfarrhofer, Michael & Schreiner, Josef, 2023.
"Nowcasting in a pandemic using non-parametric mixed frequency VARs,"
Journal of Econometrics, Elsevier, vol. 232(1), pages 52-69.
- Jamie L. Cross & Chenghan Hou & Aubrey Poon, 2018.
"International Transmission of Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach,"
Working Papers
No 12/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
Cited by:
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2019.
"Assessing International Commonality in Macroeconomic Uncertainty and Its Effects,"
Working Papers
18-03R, Federal Reserve Bank of Cleveland.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2020. "Assessing international commonality in macroeconomic uncertainty and its effects," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(3), pages 273-293, April.
- Marcellino, Massimiliano & Clark, Todd & Carriero, Andrea, 2019. "Assessing International Commonality in Macroeconomic Uncertainty and Its Effects," CEPR Discussion Papers 13970, C.E.P.R. Discussion Papers.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2018. "Assessing International Commonality in Macroeconomic Uncertainty and Its Effects," Working Papers (Old Series) 1803, Federal Reserve Bank of Cleveland.
- Samuel F. Onipede & Nafiu A. Bashir & Jamaladeen Abubakar, 2023. "Small open economies and external shocks: an application of Bayesian global vector autoregression model," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(2), pages 1673-1699, April.
- Juan M. Londono & Sai Ma & Beth Anne Wilson, 2021. "The Global Transmission of Real Economic Uncertainty," International Finance Discussion Papers 1317, Board of Governors of the Federal Reserve System (U.S.).
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2019.
"Assessing International Commonality in Macroeconomic Uncertainty and Its Effects,"
Working Papers
18-03R, Federal Reserve Bank of Cleveland.
- Deborah Gefang & Gary Koop & Aubrey Poon, "undated".
"Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs,"
Discussion Papers in Economics
20/02, Division of Economics, School of Business, University of Leicester.
- Gefang, Deborah & Koop, Gary & Poon, Aubrey, 2020. "Computationally efficient inference in large Bayesian mixed frequency VARs," Economics Letters, Elsevier, vol. 191(C).
- Deborah Gefang & Gary Koop & Aubrey Poon, 2020. "Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2020-07, Economic Statistics Centre of Excellence (ESCoE).
Cited by:
- Andrea Carriero & Todd E. Clark & Marcellino Massimiliano, 2020. "Nowcasting Tail Risks to Economic Activity with Many Indicators," Working Papers 20-13R2, Federal Reserve Bank of Cleveland, revised 22 Sep 2020.
- Martin Feldkircher & Florian Huber & Michael Pfarrhofer, 2021.
"Measuring the effectiveness of US monetary policy during the COVID‐19 recession,"
Scottish Journal of Political Economy, Scottish Economic Society, vol. 68(3), pages 287-297, July.
- Martin Feldkircher & Florian Huber & Michael Pfarrhofer, 2020. "Measuring the Effectiveness of US Monetary Policy during the COVID-19 Recession," Papers 2007.15419, arXiv.org.
- Robert Lehmann & Ida Wikman, 2022.
"Quarterly GDP Estimates for the German States,"
ifo Working Paper Series
370, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Lehmann, Robert & Wikman, Ida, 2022. "Quarterly GDP Estimates for the German States," MPRA Paper 112642, University Library of Munich, Germany.
- Robert Lehmann & Ida Wikman, 2023. "Quarterly GDP Estimates for the German States: New Data for Business Cycle Analyses and Long-Run Dynamics," CESifo Working Paper Series 10280, CESifo.
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon & Ping Wu, 2023.
"Incorporating Short Data into Large Mixed-Frequency VARs for Regional Nowcasting,"
Working Papers
2311, University of Strathclyde Business School, Department of Economics.
- Gary Koop & Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon & Ping Wu, 2023. "Incorporating Short Data into Large Mixed-Frequency VARs for Regional Nowcasting," Working Papers 23-09, Federal Reserve Bank of Cleveland.
- Alain Hecq & Marie Ternes & Ines Wilms, 2021. "Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions," Papers 2102.11780, arXiv.org, revised Mar 2022.
- Deborah Gefang & Stephen G. Hall & George S. Tavlas, 2023. "Identifying spatial interdependence in panel data with large N and small T," Papers 2309.03740, arXiv.org.
- Robert Lehmann, 2023.
"READ-GER: Introducing German Real-Time Regional Accounts Data for Revision Analysis and Nowcasting,"
CESifo Working Paper Series
10315, CESifo.
- Robert Lehmann, 2024. "A real-time regional accounts database for Germany with applications to GDP revisions and nowcasting," Empirical Economics, Springer, vol. 67(2), pages 817-838, August.
- Blagov, Boris & Krause, Clara & Schmidt, Torsten & Exß, Franziska & Heinisch, Katja & Holtemöller, Oliver, 2024. "Frühzeitige Ermittlung stabiler Ergebnisse zum Bruttoinlandsprodukt bzw. realen Wirtschaftswachstum und der Bruttowertschöpfung auf Länderebene. Endbericht," RWI Projektberichte, RWI - Leibniz-Institut für Wirtschaftsforschung, number 296879, March.
- 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.
- Luca Barbaglia & Lorenzo Frattarolo & Niko Hauzenberger & Dominik Hirschbuehl & Florian Huber & Luca Onorante & Michael Pfarrhofer & Luca Tiozzo Pezzoli, 2024. "Nowcasting economic activity in European regions using a mixed-frequency dynamic factor model," Papers 2401.10054, arXiv.org.
- Blagov, Boris & Müller, Henrik & Jentsch, Carsten & Schmidt, Torsten, 2021. "The investment narrative: Improving private investment forecasts with media data," Ruhr Economic Papers 921, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
Articles
- James Mitchell & Aubrey Poon & Dan Zhu, 2024.
"Constructing density forecasts from quantile regressions: Multimodality in macrofinancial dynamics,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 790-812, August.
See citations under working paper version above.
- James Mitchell & Aubrey Poon & Dan Zhu, 2022. "Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics," Working Papers 22-12R, Federal Reserve Bank of Cleveland, revised 11 Apr 2023.
- Koop, Gary & McIntyre, Stuart & Mitchell, James & Poon, Aubrey, 2024.
"Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates,"
International Journal of Forecasting, Elsevier, vol. 40(2), pages 626-640.
See citations under working paper version above.
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022. "Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates," Working Papers 22-06, Federal Reserve Bank of Cleveland.
- Iacopini, Matteo & Poon, Aubrey & Rossini, Luca & Zhu, Dan, 2023.
"Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP,"
Journal of Economic Dynamics and Control, Elsevier, vol. 157(C).
See citations under working paper version above.
- Matteo Iacopini & Aubrey Poon & Luca Rossini & Dan Zhu, 2022. "Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP," Papers 2209.01910, arXiv.org.
- Kabundi, Alain & Poon, Aubrey & Wu, Ping, 2023.
"A time-varying Phillips curve with global factors: Are global factors important?,"
Economic Modelling, Elsevier, vol. 126(C).
Cited by:
- De Simone, Francisco Nadal, 2024. "The transmission of U.S. monetary policy to small open economies," Journal of International Money and Finance, Elsevier, vol. 142(C).
- Cross, Jamie L. & Hou, Chenghan & Koop, Gary & Poon, Aubrey, 2023.
"Large stochastic volatility in mean VARs,"
Journal of Econometrics, Elsevier, vol. 236(1).
Cited by:
- Joshua Chan, 2023. "BVARs and Stochastic Volatility," Papers 2310.14438, arXiv.org.
- Daichi Hiraki & Siddhartha Chib & Yasuhiro Omori, 2024. "Stochastic Volatility in Mean: Efficient Analysis by a Generalized Mixture Sampler," Papers 2404.13986, arXiv.org.
- Pär Österholm & Aubrey Poon, 2023.
"Trend Inflation in Sweden,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4707-4716, October.
See citations under working paper version above.
- Österholm, Pär & Poon, Aubrey, 2022. "Trend Inflation in Sweden," Working Papers 2022:2, Örebro University, School of Business.
- 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.
Cited by:
- Joshua Chan, 2023. "BVARs and Stochastic Volatility," Papers 2310.14438, arXiv.org.
- Florian Huber & Massimiliano Marcellino, 2023. "Coarsened Bayesian VARs -- Correcting BVARs for Incorrect Specification," Papers 2304.07856, arXiv.org, revised May 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.
- 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.
- Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2023.
"Tail Forecasting With Multivariate Bayesian Additive Regression Trees,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(3), pages 979-1022, August.
- Clark, Todd & Huber, Florian & Koop, Gary & Marcellino, Massimiliano & Pfarrhofer, Michael, 2022. "Tail Forecasting with Multivariate Bayesian Additive Regression Trees," CEPR Discussion Papers 17461, C.E.P.R. Discussion Papers.
- Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2021. "Tail Forecasting with Multivariate Bayesian Additive Regression Trees," Working Papers 21-08R, Federal Reserve Bank of Cleveland, revised 12 Jul 2022.
- Renata Tavanielli & Márcio Laurini, 2023. "Yield Curve Models with Regime Changes: An Analysis for the Brazilian Interest Rate Market," Mathematics, MDPI, vol. 11(11), pages 1-28, June.
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2023.
"Reconciled Estimates of Monthly GDP in the United States,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(2), pages 563-577, April.
Cited by:
- Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2024. "Forecasting Growth-at-Risk of the United States: Housing Price versus Housing Sentiment or Attention," Working Papers 202401, University of Pretoria, Department of Economics.
- Chan, Joshua C.C. & Poon, Aubrey & Zhu, Dan, 2023.
"High-dimensional conditionally Gaussian state space models with missing data,"
Journal of Econometrics, Elsevier, vol. 236(1).
See citations under working paper version above.
- Joshua C. C. Chan & Aubrey Poon & Dan Zhu, 2023. "High-Dimensional Conditionally Gaussian State Space Models with Missing Data," Papers 2302.03172, arXiv.org.
- Juan Angel Garcia & Aubrey Poon, 2022.
"Inflation trends in Asia: implications for central banks [Are Phillips curves useful for forecasting inflation?],"
Oxford Economic Papers, Oxford University Press, vol. 74(3), pages 671-700.
See citations under working paper version above.
- García, Juan Angel & Poon, Aubrey, 2019. "Inflation trends in Asia: implications for central banks," Working Paper Series 2338, European Central Bank.
- Koop, Gary & McIntyre, Stuart & Mitchell, James & Poon, Aubrey, 2021.
"Nowcasting ‘True’ Monthly U.S. Gdp During The Pandemic,"
National Institute Economic Review, National Institute of Economic and Social Research, vol. 256, pages 44-70, April.
See citations under working paper version above.
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2021. "Nowcasting 'true' monthly US GDP during the pandemic," CAMA Working Papers 2021-14, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Koop, Gary & McIntyre, Stuart & Mitchell, James & Poon, Aubrey, 2020.
"Reconciled Estimates And Nowcasts Of Regional Output In The Uk,"
National Institute Economic Review, National Institute of Economic and Social Research, vol. 253, pages 44-59, August.
Cited by:
- Chadha, Jagjit S., 2023.
"Foreword,"
National Institute Global Economic Outlook, National Institute of Economic and Social Research, issue 9, pages 1-3.
- Chadha, Jagjit S., 2021. "Foreward," National Institute Global Economic Outlook, National Institute of Economic and Social Research, issue 2, pages 1-3.
- Chadha, Jagjit S., 2021. "Foreward," National Institute Global Economic Outlook, National Institute of Economic and Social Research, issue 3, pages 1-3.
- Chadha, Jagjit S., 2023. "Foreward," National Institute UK Economic Outlook, National Institute of Economic and Social Research, issue 9, pages 1-3.
- Chadha, Jagjit S., 2023. "Foreword," National Institute Global Economic Outlook, National Institute of Economic and Social Research, issue 11, pages 1-3.
- Chadha, Jagjit S., 2021. "Foreward," National Institute UK Economic Outlook, National Institute of Economic and Social Research, issue 2, pages 1-3.
- Chadha, Jagjit S., 2023. "Foreward," National Institute UK Economic Outlook, National Institute of Economic and Social Research, issue 10, pages 1-3.
- Chadha, Jagjit S., 2023. "Foreword," National Institute Global Economic Outlook, National Institute of Economic and Social Research, issue 10, pages 1-3.
- Chadha, Jagjit S., 2021. "Foreward," National Institute UK Economic Outlook, National Institute of Economic and Social Research, issue 3, pages 3-4.
- Chadha, Jagjit S., 2023. "Foreward," National Institute UK Economic Outlook, National Institute of Economic and Social Research, issue 11, pages 3-4.
- Chadha, Jagjit S., 2021. "Foreward," National Institute UK Economic Outlook, National Institute of Economic and Social Research, issue 1, pages 1-3.
- Robert Lehmann & Ida Wikman, 2022.
"Quarterly GDP Estimates for the German States,"
ifo Working Paper Series
370, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Lehmann, Robert & Wikman, Ida, 2022. "Quarterly GDP Estimates for the German States," MPRA Paper 112642, University Library of Munich, Germany.
- Robert Lehmann & Ida Wikman, 2023. "Quarterly GDP Estimates for the German States: New Data for Business Cycle Analyses and Long-Run Dynamics," CESifo Working Paper Series 10280, CESifo.
- Afees A. Salisu & Rangan Gupta & Ahamuefula E. Ogbonna & Mark E. Wohar, 2021.
"Uncertainty and Predictability of Real Housing Returns in the United Kingdom: A Regional Analysis,"
Working Papers
202102, University of Pretoria, Department of Economics.
- Afees A. Salisu & Rangan Gupta & Ahamuefula E. Ogbonna & Mark E. Wohar, 2022. "Uncertainty and predictability of real housing returns in the United Kingdom: A regional analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(7), pages 1525-1556, November.
- Bhattacharjee, Arnab & Lisauskaite, Elena & Pabst, Adrian, 2021.
"UK regional outlook,"
National Institute UK Economic Outlook, National Institute of Economic and Social Research, issue 2, pages 42-57.
- Bhattacharjee, Arnab & Lisauskaite, Elena, 2021. "UK regional outlook," National Institute UK Economic Outlook, National Institute of Economic and Social Research, issue 1, pages 24-33.
- Bhattacharjee, Arnab & Lisauskaite, Elena & Pabst, Adrian & Tzendrei, Tibor, 2021. "UK Regional Outlook," National Institute UK Economic Outlook, National Institute of Economic and Social Research, issue 3, pages 37-50.
- Koop, Gary & McIntyre, Stuart & Mitchell, James & Poon, Aubrey, 2024.
"Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates,"
International Journal of Forecasting, Elsevier, vol. 40(2), pages 626-640.
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- Niesr, 2021. "Overview," National Institute UK Economic Outlook, National Institute of Economic and Social Research, issue 2, pages 1-4.
- Kucuk, Hande & Lenoel, Cyrille & MacQueen, Rory, 2021. "Brisk but not better growth," National Institute UK Economic Outlook, National Institute of Economic and Social Research, issue 2, pages 5-32.
- Kucuk, Hande & Lenoel, Cyrille & MacQueen, Rory, 2021. "UK sectoral output," National Institute UK Economic Outlook, National Institute of Economic and Social Research, issue 2, pages 33-41.
- Niesr, 2021. "Appendix," National Institute UK Economic Outlook, National Institute of Economic and Social Research, issue 2, pages 58-66.
- Mehmet Balcilar & David Gabauer & Rangan Gupta & Christian Pierdzioch, 2022. "Uncertainty and forecastability of regional output growth in the UK: Evidence from machine learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(6), pages 1049-1064, September.
- Chadha, Jagjit S., 2023.
"Foreword,"
National Institute Global Economic Outlook, National Institute of Economic and Social Research, issue 9, pages 1-3.
- Jamie L. Cross & Aubrey Poon, 2020.
"On the contribution of international shocks in Australian business cycle fluctuations,"
Empirical Economics, Springer, vol. 59(6), pages 2613-2637, December.
Cited by:
- Desiree M. Kunene & Renee van Eyden & Petre Caraiani & Rangan Gupta, 2023. "The Predictive Impact of Climate Risk on Total Factor Productivity Growth: 1880-2020," Working Papers 202321, University of Pretoria, Department of Economics.
- Joshua C.C. Chan & Rodney W. Strachan, 2023.
"Bayesian State Space Models In Macroeconometrics,"
Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 58-75, February.
- Joshua C.C. Chan & Rodney W. Strachan, 2020. "Bayesian state space models in macroeconometrics," CAMA Working Papers 2020-90, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Maria Ghani & Usman Ghani, 2024. "Economic Policy Uncertainty and Emerging Stock Market Volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(1), pages 165-181, March.
- Cross, Jamie L. & Hou, Chenghan & Poon, Aubrey, 2020.
"Macroeconomic forecasting with large Bayesian VARs: Global-local priors and the illusion of sparsity,"
International Journal of Forecasting, Elsevier, vol. 36(3), pages 899-915.
Cited by:
- Cepni, Oguzhan & Clements, Michael P., 2024.
"How local is the local inflation factor? Evidence from emerging European countries,"
International Journal of Forecasting, Elsevier, vol. 40(1), pages 160-183.
- Cepni, Oguzhan & Clements, Michael P., 2021. "How Local is the Local Inflation Factor? Evidence from Emerging European Countries," Working Papers 8-2021, Copenhagen Business School, Department of Economics.
- Joshua C. C. Chan & Xuewen Yu, 2022.
"Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility,"
Papers
2206.08438, arXiv.org.
- 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).
- 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.
- Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini, 2023. "Large Time‐Varying Volatility Models for Hourly Electricity Prices," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 545-573, June.
- Chernis Tony, 2024.
"Combining Large Numbers of Density Predictions with Bayesian Predictive Synthesis,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(2), pages 293-317, April.
- Tony Chernis, 2023. "Combining Large Numbers of Density Predictions with Bayesian Predictive Synthesis," Staff Working Papers 23-45, Bank of Canada.
- David Kohns & Tibor Szendrei, 2021. "Decoupling Shrinkage and Selection for the Bayesian Quantile Regression," Papers 2107.08498, arXiv.org.
- Cross, Jamie L. & Hou, Chenghan & Koop, Gary & Poon, Aubrey, 2023. "Large stochastic volatility in mean VARs," Journal of Econometrics, Elsevier, vol. 236(1).
- Michael Pfarrhofer, 2024.
"Forecasts with Bayesian vector autoregressions under real time conditions,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(3), pages 771-801, April.
- Michael Pfarrhofer, 2020. "Forecasts with Bayesian vector autoregressions under real time conditions," Papers 2004.04984, arXiv.org.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2022.
"Specification Choices in Quantile Regression for Empirical Macroeconomics,"
Working Papers
22-25, Federal Reserve Bank of Cleveland.
- Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2024. "Specification Choices in Quantile Regression for Empirical Macroeconomics," CEPR Discussion Papers 18901, C.E.P.R. Discussion Papers.
- Niko Hauzenberger & Florian Huber & Luca Onorante, 2021.
"Combining shrinkage and sparsity in conjugate vector autoregressive models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(3), pages 304-327, April.
- Niko Hauzenberger & Florian Huber & Luca Onorante, 2020. "Combining Shrinkage and Sparsity in Conjugate Vector Autoregressive Models," Papers 2002.08760, arXiv.org, revised Aug 2020.
- 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.
- 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 & 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.
- David Kohns & Arnab Bhattacharjee, 2020.
"Nowcasting Growth using Google Trends Data: A Bayesian Structural Time Series Model,"
Papers
2011.00938, arXiv.org, revised May 2022.
- Bhattacharjee, Arnab & Kohns, David, 2022. "Nowcasting Growth using Google Trends Data: A Bayesian Structural Time Series Model," National Institute of Economic and Social Research (NIESR) Discussion Papers 538, National Institute of Economic and Social Research.
- Niko Hauzenberger, 2020. "Flexible Mixture Priors for Large Time-varying Parameter Models," Papers 2006.10088, arXiv.org, revised Nov 2020.
- 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.
- 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.
- Zhang, Bo & Nguyen, Bao H., 2020. "Real-time forecasting of the Australian macroeconomy using Bayesian VARs," Working Papers 2020-12, University of Tasmania, Tasmanian School of Business and Economics.
- Chenghan Hou & Bao Nguyen & Bo Zhang, 2023. "Real‐time forecasting of the Australian macroeconomy using flexible Bayesian VARs," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 418-451, March.
- Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini, 2020. "Large Time-Varying Volatility Models for Electricity Prices," Working Papers No 05/2020, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Bai, Yu & Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2022.
"Macroeconomic Forecasting in a Multi-country Context,"
CEPR Discussion Papers
16994, C.E.P.R. Discussion Papers.
- Yu Bai & Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2022. "Macroeconomic forecasting in a multi‐country context," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(6), pages 1230-1255, September.
- Yu Bai & Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2022. "Macroeconomic Forecasting in a Multi-country Context," Working Papers 22-02, Federal Reserve Bank of Cleveland.
- Hauber, Philipp, 2022. "Real-time nowcasting with sparse factor models," EconStor Preprints 251551, ZBW - Leibniz Information Centre for Economics.
- Diego Fresoli, 2022. "Bootstrap VAR forecasts: The effect of model uncertainties," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 279-293, March.
- Sascha A. Keweloh & Mathias Klein & Jan Pruser, 2023. "Estimating Fiscal Multipliers by Combining Statistical Identification with Potentially Endogenous Proxies," Papers 2302.13066, arXiv.org, revised May 2024.
- 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.
- 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.
- Kohns, David & Bhattacharjee, Arnab, 2023. "Nowcasting growth using Google Trends data: A Bayesian Structural Time Series model," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1384-1412.
- Ping Wu & Gary Koop, 2022. "Fast, Order-Invariant Bayesian Inference in VARs using the Eigendecomposition of the Error Covariance Matrix," Working Papers 2310, University of Strathclyde Business School, Department of Economics.
- Luis Gruber & Gregor Kastner, 2022. "Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!," Papers 2206.04902, arXiv.org, revised Nov 2024.
- Prüser, Jan & Blagov, Boris, 2022. "Improving inference and forecasting in VAR models using cross-sectional information," Ruhr Economic Papers 960, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Chan, Joshua C.C., 2021.
"Minnesota-type adaptive hierarchical priors for large Bayesian VARs,"
International Journal of Forecasting, Elsevier, vol. 37(3), pages 1212-1226.
- Joshua C. C. Chan, 2019. "Minnesota-type adaptive hierarchical priors for large Bayesian VARs," CAMA Working Papers 2019-61, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Hauzenberger, Niko, 2021. "Flexible Mixture Priors for Large Time-varying Parameter Models," Econometrics and Statistics, Elsevier, vol. 20(C), pages 87-108.
- Ivan Aleksandrovich Kopytin & Nikolay Petrovich Pilnik & Ivan Pavlovich Stankevich, 2021. "Modelling Five Variables BVAR for Economic Policies and Growth in Azerbaijan, Kazakhstan and Russia: 2005 2020," International Journal of Energy Economics and Policy, Econjournals, vol. 11(5), pages 510-518.
- Prüser, Jan, 2023. "Data-based priors for vector error correction models," International Journal of Forecasting, Elsevier, vol. 39(1), pages 209-227.
- Blagov, Boris & Müller, Henrik & Jentsch, Carsten & Schmidt, Torsten, 2021. "The investment narrative: Improving private investment forecasts with media data," Ruhr Economic Papers 921, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Jamie L. Cross & Chenghan Hou & Gary Koop, 2021. "Macroeconomic Forecasting with Large Stochastic Volatility in Mean VARs," Working Papers No 04/2021, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Anna Pajor & Justyna Wróblewska & Łukasz Kwiatkowski & Jacek Osiewalski, 2024. "Hybrid SV‐GARCH, t‐GARCH and Markov‐switching covariance structures in VEC models—Which is better from a predictive perspective?," International Statistical Review, International Statistical Institute, vol. 92(1), pages 62-86, April.
- Lukas Berend & Jan Pruser, 2024. "The Transmission of Monetary Policy via Common Cycles in the Euro Area," Papers 2410.05741, arXiv.org, revised Oct 2024.
- Cepni, Oguzhan & Clements, Michael P., 2024.
"How local is the local inflation factor? Evidence from emerging European countries,"
International Journal of Forecasting, Elsevier, vol. 40(1), pages 160-183.
- Gefang, Deborah & Koop, Gary & Poon, Aubrey, 2020.
"Computationally efficient inference in large Bayesian mixed frequency VARs,"
Economics Letters, Elsevier, vol. 191(C).
See citations under working paper version above.
- Deborah Gefang & Gary Koop & Aubrey Poon, 2020. "Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2020-07, Economic Statistics Centre of Excellence (ESCoE).
- Deborah Gefang & Gary Koop & Aubrey Poon, "undated". "Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs," Discussion Papers in Economics 20/02, Division of Economics, School of Business, University of Leicester.
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2020.
"Regional output growth in the United Kingdom: More timely and higher frequency estimates from 1970,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(2), pages 176-197, March.
Cited by:
- Chadha, Jagjit S., 2023.
"Foreword,"
National Institute Global Economic Outlook, National Institute of Economic and Social Research, issue 9, pages 1-3.
- Chadha, Jagjit S., 2021. "Foreward," National Institute Global Economic Outlook, National Institute of Economic and Social Research, issue 2, pages 1-3.
- Chadha, Jagjit S., 2021. "Foreward," National Institute Global Economic Outlook, National Institute of Economic and Social Research, issue 3, pages 1-3.
- Chadha, Jagjit S., 2023. "Foreward," National Institute UK Economic Outlook, National Institute of Economic and Social Research, issue 9, pages 1-3.
- Chadha, Jagjit S., 2023. "Foreword," National Institute Global Economic Outlook, National Institute of Economic and Social Research, issue 11, pages 1-3.
- Chadha, Jagjit S., 2021. "Foreward," National Institute UK Economic Outlook, National Institute of Economic and Social Research, issue 2, pages 1-3.
- Chadha, Jagjit S., 2023. "Foreward," National Institute UK Economic Outlook, National Institute of Economic and Social Research, issue 10, pages 1-3.
- Chadha, Jagjit S., 2023. "Foreword," National Institute Global Economic Outlook, National Institute of Economic and Social Research, issue 10, pages 1-3.
- Chadha, Jagjit S., 2021. "Foreward," National Institute UK Economic Outlook, National Institute of Economic and Social Research, issue 3, pages 3-4.
- Chadha, Jagjit S., 2023. "Foreward," National Institute UK Economic Outlook, National Institute of Economic and Social Research, issue 11, pages 3-4.
- Chadha, Jagjit S., 2021. "Foreward," National Institute UK Economic Outlook, National Institute of Economic and Social Research, issue 1, pages 1-3.
- Martin Feldkircher & Florian Huber & Michael Pfarrhofer, 2021.
"Measuring the effectiveness of US monetary policy during the COVID‐19 recession,"
Scottish Journal of Political Economy, Scottish Economic Society, vol. 68(3), pages 287-297, July.
- Martin Feldkircher & Florian Huber & Michael Pfarrhofer, 2020. "Measuring the Effectiveness of US Monetary Policy during the COVID-19 Recession," Papers 2007.15419, arXiv.org.
- Robert Lehmann & Sascha Möhrle, 2022.
"Forecasting Regional Industrial Production with High-Frequency Electricity Consumption Data,"
CESifo Working Paper Series
9917, CESifo.
- Robert Lehmann & Sascha Möhrle, 2024. "Forecasting regional industrial production with novel high‐frequency electricity consumption data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 1918-1935, September.
- Robert Lehmann & Ida Wikman, 2022.
"Quarterly GDP Estimates for the German States,"
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370, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Lehmann, Robert & Wikman, Ida, 2022. "Quarterly GDP Estimates for the German States," MPRA Paper 112642, University Library of Munich, Germany.
- Robert Lehmann & Ida Wikman, 2023. "Quarterly GDP Estimates for the German States: New Data for Business Cycle Analyses and Long-Run Dynamics," CESifo Working Paper Series 10280, CESifo.
- Matteo Iacopini & Aubrey Poon & Luca Rossini & Dan Zhu, 2022.
"Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP,"
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2209.01910, arXiv.org.
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- Robert Lehmann, 2020.
"The Forecasting Power of the ifo Business Survey,"
CESifo Working Paper Series
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- Robert Lehmann, 2023. "The Forecasting Power of the ifo Business Survey," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 19(1), pages 43-94, March.
- 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.
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- 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.
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"Nowcasting in a pandemic using non-parametric mixed frequency VARs,"
Journal of Econometrics, Elsevier, vol. 232(1), pages 52-69.
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- Huber, Florian & Koop, Gary & Onorante, Luca & Pfarrhofer, Michael & Schreiner, Josef, 2021. "Nowcasting in a pandemic using non-parametric mixed frequency VARs," Working Paper Series 2510, European Central Bank.
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- Joshua Chan, 2023. "BVARs and Stochastic Volatility," Papers 2310.14438, arXiv.org.
- Friederike Fourné & Robert Lehmann, 2023. "From Shopping to Statistics: Tracking and Nowcasting Private Consumption Expenditures in Real-Time," CESifo Working Paper Series 10764, CESifo.
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"Reconciled Estimates of Monthly GDP in the US,"
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"Comparing Stochastic Volatility Specifications for Large Bayesian VARs,"
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- Haoqi Qian & Zhengyu Shi & Libo Wu, 2021. "Inferring Economic Condition Uncertainty from Electricity Big Data," Papers 2107.11593, arXiv.org, revised May 2023.
- Bai, Yu & Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2022.
"Macroeconomic Forecasting in a Multi-country Context,"
CEPR Discussion Papers
16994, C.E.P.R. Discussion Papers.
- Yu Bai & Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2022. "Macroeconomic forecasting in a multi‐country context," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(6), pages 1230-1255, September.
- Yu Bai & Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2022. "Macroeconomic Forecasting in a Multi-country Context," Working Papers 22-02, Federal Reserve Bank of Cleveland.
- Bhattacharjee, Arnab & Lisauskaite, Elena & Pabst, Adrian, 2021.
"UK regional outlook,"
National Institute UK Economic Outlook, National Institute of Economic and Social Research, issue 2, pages 42-57.
- Bhattacharjee, Arnab & Lisauskaite, Elena, 2021. "UK regional outlook," National Institute UK Economic Outlook, National Institute of Economic and Social Research, issue 1, pages 24-33.
- Bhattacharjee, Arnab & Lisauskaite, Elena & Pabst, Adrian & Tzendrei, Tibor, 2021. "UK Regional Outlook," National Institute UK Economic Outlook, National Institute of Economic and Social Research, issue 3, pages 37-50.
- Koop, Gary & McIntyre, Stuart & Mitchell, James & Poon, Aubrey, 2024.
"Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates,"
International Journal of Forecasting, Elsevier, vol. 40(2), pages 626-640.
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022. "Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates," Working Papers 22-06, Federal Reserve Bank of Cleveland.
- Chan, Joshua C.C. & Poon, Aubrey & Zhu, Dan, 2023.
"High-dimensional conditionally Gaussian state space models with missing data,"
Journal of Econometrics, Elsevier, vol. 236(1).
- Joshua C. C. Chan & Aubrey Poon & Dan Zhu, 2023. "High-Dimensional Conditionally Gaussian State Space Models with Missing Data," Papers 2302.03172, arXiv.org.
- Deborah Gefang & Gary Koop & Aubrey Poon, 2020.
"Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs,"
Economic Statistics Centre of Excellence (ESCoE) Discussion Papers
ESCoE DP-2020-07, Economic Statistics Centre of Excellence (ESCoE).
- Gefang, Deborah & Koop, Gary & Poon, Aubrey, 2020. "Computationally efficient inference in large Bayesian mixed frequency VARs," Economics Letters, Elsevier, vol. 191(C).
- Deborah Gefang & Gary Koop & Aubrey Poon, "undated". "Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs," Discussion Papers in Economics 20/02, Division of Economics, School of Business, University of Leicester.
- Niesr, 2021. "Overview," National Institute UK Economic Outlook, National Institute of Economic and Social Research, issue 2, pages 1-4.
- Josh Martin & Rebecca Riley, 2023. "Productivity measurement - Reassessing the production function from micro to macro," Working Papers 033, The Productivity Institute.
- Kucuk, Hande & Lenoel, Cyrille & MacQueen, Rory, 2021. "Brisk but not better growth," National Institute UK Economic Outlook, National Institute of Economic and Social Research, issue 2, pages 5-32.
- Robert Lehmann, 2023.
"READ-GER: Introducing German Real-Time Regional Accounts Data for Revision Analysis and Nowcasting,"
CESifo Working Paper Series
10315, CESifo.
- Robert Lehmann, 2024. "A real-time regional accounts database for Germany with applications to GDP revisions and nowcasting," Empirical Economics, Springer, vol. 67(2), pages 817-838, August.
- Mehmet Balcilar & David Gabauer & Rangan Gupta & Christian Pierdzioch, 2021. "Uncertainty and Forecastability of Regional Output Growth in the United Kingdom: Evidence from Machine Learning," Working Papers 202111, University of Pretoria, Department of Economics.
- Koop, Gary & McIntyre, Stuart & Mitchell, James & Poon, Aubrey, 2020. "Reconciled Estimates of Monthly GDP in the US," EMF Research Papers 37, Economic Modelling and Forecasting Group.
- Proietti, Tommaso & Giovannelli, Alessandro & Ricchi, Ottavio & Citton, Ambra & Tegami, Christían & Tinti, Cristina, 2021.
"Nowcasting GDP and its components in a data-rich environment: The merits of the indirect approach,"
International Journal of Forecasting, Elsevier, vol. 37(4), pages 1376-1398.
- Alessandro Giovannelli & Tommaso Proietti & Ambra Citton & Ottavio Ricchi & Cristian Tegami & Cristina Tinti, 2020. "Nowcasting GDP and its Components in a Data-rich Environment: the Merits of the Indirect Approach," CEIS Research Paper 489, Tor Vergata University, CEIS, revised 30 May 2020.
- Paker, Meredith M., 2023. "The jobless recovery after the 1980–1981 British recession," Explorations in Economic History, Elsevier, vol. 90(C).
- Kucuk, Hande & Lenoel, Cyrille & MacQueen, Rory, 2021. "UK sectoral output," National Institute UK Economic Outlook, National Institute of Economic and Social Research, issue 2, pages 33-41.
- Niesr, 2021. "Appendix," National Institute UK Economic Outlook, National Institute of Economic and Social Research, issue 2, pages 58-66.
- Luca Barbaglia & Lorenzo Frattarolo & Niko Hauzenberger & Dominik Hirschbuehl & Florian Huber & Luca Onorante & Michael Pfarrhofer & Luca Tiozzo Pezzoli, 2024. "Nowcasting economic activity in European regions using a mixed-frequency dynamic factor model," Papers 2401.10054, arXiv.org.
- Blagov, Boris & Müller, Henrik & Jentsch, Carsten & Schmidt, Torsten, 2021. "The investment narrative: Improving private investment forecasts with media data," Ruhr Economic Papers 921, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Mehmet Balcilar & David Gabauer & Rangan Gupta & Christian Pierdzioch, 2022. "Uncertainty and forecastability of regional output growth in the UK: Evidence from machine learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(6), pages 1049-1064, September.
- Chadha, Jagjit S., 2023.
"Foreword,"
National Institute Global Economic Outlook, National Institute of Economic and Social Research, issue 9, pages 1-3.
- Aubrey Poon, 2018.
"Assessing the Synchronicity and Nature of Australian State Business Cycles,"
The Economic Record, The Economic Society of Australia, vol. 94(307), pages 372-390, December.
Cited by:
- Desiree M. Kunene & Renee van Eyden & Petre Caraiani & Rangan Gupta, 2023. "The Predictive Impact of Climate Risk on Total Factor Productivity Growth: 1880-2020," Working Papers 202321, University of Pretoria, Department of Economics.
- Joshua Chan, 2023. "BVARs and Stochastic Volatility," Papers 2310.14438, arXiv.org.
- Jamie L. Cross & Aubrey Poon, 2020. "On the contribution of international shocks in Australian business cycle fluctuations," Empirical Economics, Springer, vol. 59(6), pages 2613-2637, December.
- Roberto Leon-Gonzalez & Blessings Majoni, 2024.
"Approximate Factor Models with a Common Multiplicative Factor for Stochastic Volatility,"
Working Paper series
24-04, Rimini Centre for Economic Analysis.
- Roberto Leon-Gonzalez & Blessings Majon, 2024. "Approximate Factor Models with a Common Multiplicative Factor for Stochastic Volatility," GRIPS Discussion Papers 24-02, National Graduate Institute for Policy Studies.
- Joshua C. C. Chan, 2022.
"Comparing Stochastic Volatility Specifications for Large Bayesian VARs,"
Papers
2208.13255, arXiv.org.
- Chan, Joshua C.C., 2023. "Comparing stochastic volatility specifications for large Bayesian VARs," Journal of Econometrics, Elsevier, vol. 235(2), pages 1419-1446.
- Zhang, Bo & Nguyen, Bao H., 2020. "Real-time forecasting of the Australian macroeconomy using Bayesian VARs," Working Papers 2020-12, University of Tasmania, Tasmanian School of Business and Economics.
- Chenghan Hou & Bao Nguyen & Bo Zhang, 2023. "Real‐time forecasting of the Australian macroeconomy using flexible Bayesian VARs," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 418-451, March.
- Joshua C. C. Chan, 2019. "Large Bayesian vector autoregressions," CAMA Working Papers 2019-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Legrand, Romain, 2018. "Time-Varying Vector Autoregressions: Efficient Estimation, Random Inertia and Random Mean," MPRA Paper 88925, University Library of Munich, Germany.
- Nguyen, BH & Zhang, Bo, 2022. "Forecasting oil Prices: can large BVARs help?," Working Papers 2022-04, University of Tasmania, Tasmanian School of Business and Economics.
- Jamie L. Cross & Chenghan Hou & Gary Koop, 2021. "Macroeconomic Forecasting with Large Stochastic Volatility in Mean VARs," Working Papers No 04/2021, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Fu, Bowen, 2023. "Measuring the trend real interest rate in a data-rich environment," Journal of Economic Dynamics and Control, Elsevier, vol. 147(C).
- Aubrey Poon, 2018.
"The transmission mechanism of Malaysian monetary policy: a time-varying vector autoregression approach,"
Empirical Economics, Springer, vol. 55(2), pages 417-444, September.
Cited by:
- Abdhut Deheri, 2021. "The Effects of Monetary Policy on Output and Inflation in India: A Time-varying Approach," Economics Bulletin, AccessEcon, vol. 41(3), pages 1603-1614.
- Jamie L. Cross & Aubrey Poon, 2020. "On the contribution of international shocks in Australian business cycle fluctuations," Empirical Economics, Springer, vol. 59(6), pages 2613-2637, December.
- Soohyeon Kim & Jungho Baek & Eunnyeong Heo, 2020. "Crude oil inventories: The two faces of Janus?," Empirical Economics, Springer, vol. 59(2), pages 1003-1018, August.
- Huang, Qian & Wang, Xiangning & Zhang, Shuguang, 2021. "The effects of exchange rate fluctuations on the stock market and the affecting mechanisms: Evidence from BRICS countries," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
- Cross, Jamie & Poon, Aubrey, 2016.
"Forecasting structural change and fat-tailed events in Australian macroeconomic variables,"
Economic Modelling, Elsevier, vol. 58(C), pages 34-51.
Cited by:
- Niu, Linlin & Xu, Xiu & Chen, Ying, 2015.
"An adaptive approach to forecasting three key macroeconomic variables for transitional China,"
BOFIT Discussion Papers
12/2015, Bank of Finland Institute for Emerging Economies (BOFIT).
- Niu, Linlin & Xu, Xiu & Chen, Ying, 2015. "An adaptive approach to forecasting three key macroeconomic variables for transitional China," SFB 649 Discussion Papers 2015-023, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Niu, Linlin & Xu, Xiu & Chen, Ying, 2017. "An adaptive approach to forecasting three key macroeconomic variables for transitional China," Economic Modelling, Elsevier, vol. 66(C), pages 201-213.
- Joshua C. C. Chan & Xuewen Yu, 2022.
"Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility,"
Papers
2206.08438, arXiv.org.
- 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).
- 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.
- Koop, Gary & McIntyre, Stuart & Mitchell, James & Poon, Aubrey, 2019. "Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimates, 1970-2017," EMF Research Papers 20, Economic Modelling and Forecasting Group.
- Bo Zhang & Jamie Cross & Na Guo, 2020. "Time-Varying Trend Models for Forecasting Inflation in Australia," Working Papers No 09/2020, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Joshua C.C. Chan & Liana Jacobi & Dan Zhu, 2018.
"How sensitive are VAR forecasts to prior hyperparameters? An automated sensitivity analysis,"
CAMA Working Papers
2018-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2019. "How Sensitive Are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis," Advances in Econometrics, in: Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part A, volume 40, pages 229-248, Emerald Group Publishing Limited.
- Tamás Kiss & Hoang Nguyen & Pär Österholm, 2021.
"Modelling Returns in US Housing Prices—You’re the One for Me, Fat Tails,"
JRFM, MDPI, vol. 14(11), pages 1-17, October.
- Kiss, Tamás & Nguyen, Hoang & Österholm, Pär, 2020. "Modelling Returns in US Housing Prices – You’re the One for Me, Fat Tails," Working Papers 2020:13, Örebro University, School of Business.
- Aubrey Poon, 2018. "The transmission mechanism of Malaysian monetary policy: a time-varying vector autoregression approach," Empirical Economics, Springer, vol. 55(2), pages 417-444, September.
- Gao, Shen & Hou, Chenghan & Nguyen, Bao H., 2021. "Forecasting natural gas prices using highly flexible time-varying parameter models," Economic Modelling, Elsevier, vol. 105(C).
- Joshua Chan, 2023. "BVARs and Stochastic Volatility," Papers 2310.14438, arXiv.org.
- Joshua C. C. Chan, 2022.
"Asymmetric conjugate priors for large Bayesian VARs,"
Quantitative Economics, Econometric Society, vol. 13(3), pages 1145-1169, July.
- Joshua C. C. Chan, 2019. "Asymmetric conjugate priors for large Bayesian VARs," CAMA Working Papers 2019-51, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan, 2021. "Asymmetric Conjugate Priors for Large Bayesian VARs," Papers 2111.07170, arXiv.org.
- Joshua C. C. Chan, 2022.
"Comparing Stochastic Volatility Specifications for Large Bayesian VARs,"
Papers
2208.13255, arXiv.org.
- Chan, Joshua C.C., 2023. "Comparing stochastic volatility specifications for large Bayesian VARs," Journal of Econometrics, Elsevier, vol. 235(2), pages 1419-1446.
- Bo Zhang & Joshua C.C. Chan & Jamie L. Cross, 2018.
"Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts,"
CAMA Working Papers
2018-32, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Zhang, Bo & Chan, Joshua C.C. & Cross, Jamie L., 2020. "Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1318-1328.
- Zhang, Bo & Nguyen, Bao H., 2020. "Real-time forecasting of the Australian macroeconomy using Bayesian VARs," Working Papers 2020-12, University of Tasmania, Tasmanian School of Business and Economics.
- Chenghan Hou & Bao Nguyen & Bo Zhang, 2023. "Real‐time forecasting of the Australian macroeconomy using flexible Bayesian VARs," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 418-451, March.
- Liu, Xiaochun, 2019. "On tail fatness of macroeconomic dynamics," Journal of Macroeconomics, Elsevier, vol. 62(C).
- Chan, Joshua C.C. & Poon, Aubrey & Zhu, Dan, 2023.
"High-dimensional conditionally Gaussian state space models with missing data,"
Journal of Econometrics, Elsevier, vol. 236(1).
- Joshua C. C. Chan & Aubrey Poon & Dan Zhu, 2023. "High-Dimensional Conditionally Gaussian State Space Models with Missing Data," Papers 2302.03172, arXiv.org.
- Na Guo & Bo Zhang & Jamie L. Cross, 2022. "Time‐varying trend models for forecasting inflation in Australia," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 316-330, March.
- Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2023.
"Vector autoregression models with skewness and heavy tails,"
Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
- Sune Karlsson & Stepan Mazur & Hoang Nguyen, 2021. "Vector autoregression models with skewness and heavy tails," Papers 2105.11182, arXiv.org.
- Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2021. "Vector autoregression models with skewness and heavy tails," Working Papers 2021:8, Örebro University, School of Business.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2019.
"An automated prior robustness analysis in Bayesian model comparison,"
CAMA Working Papers
2019-45, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2022. "An automated prior robustness analysis in Bayesian model comparison," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 583-602, April.
- Chen, Ji & Yang, Xinglin & Liu, Xiliang, 2022. "Learning, disagreement and inflation forecasting," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
- Kiss, Tamas & Nguyen, Hoang & Österholm, Pär, 2022.
"Modelling Okun’s Law – Does non-Gaussianity Matter?,"
Working Papers
2022:1, Örebro University, School of Business.
- Tamás Kiss & Hoang Nguyen & Pär Österholm, 2023. "Modelling Okun’s law: Does non-Gaussianity matter?," Empirical Economics, Springer, vol. 64(5), pages 2183-2213, May.
- Joshua C. C. Chan, 2019. "Large Bayesian vector autoregressions," CAMA Working Papers 2019-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua C.C., 2021.
"Minnesota-type adaptive hierarchical priors for large Bayesian VARs,"
International Journal of Forecasting, Elsevier, vol. 37(3), pages 1212-1226.
- Joshua C. C. Chan, 2019. "Minnesota-type adaptive hierarchical priors for large Bayesian VARs," CAMA Working Papers 2019-61, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Gong, Xiao-Li & Liu, Xi-Hua & Xiong, Xiong & Zhuang, Xin-Tian, 2019. "Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles," Chaos, Solitons & Fractals, Elsevier, vol. 121(C), pages 129-136.
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2018. "Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimates, 1970-2017," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2018-14, Economic Statistics Centre of Excellence (ESCoE).
- Joshua C.C. Chan & Eric Eisenstat, 2018.
"Comparing hybrid time-varying parameter VARs,"
CAMA Working Papers
2018-31, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua C.C. & Eisenstat, Eric, 2018. "Comparing hybrid time-varying parameter VARs," Economics Letters, Elsevier, vol. 171(C), pages 1-5.
- Michael O’Grady, 2019. "Estimating the Output, Inflation and Unemployment Gaps in Ireland using Bayesian Model Averaging," The Economic and Social Review, Economic and Social Studies, vol. 50(1), pages 35-76.
- Nguyen, BH & Zhang, Bo, 2022. "Forecasting oil Prices: can large BVARs help?," Working Papers 2022-04, University of Tasmania, Tasmanian School of Business and Economics.
- Aubrey Poon, 2018. "Assessing the Synchronicity and Nature of Australian State Business Cycles," The Economic Record, The Economic Society of Australia, vol. 94(307), pages 372-390, December.
- Samet Gunay & Gokberk Can, 2022. "The source of financial contagion and spillovers: An evaluation of the covid-19 pandemic and the global financial crisis," PLOS ONE, Public Library of Science, vol. 17(1), pages 1-20, January.
- Niu, Linlin & Xu, Xiu & Chen, Ying, 2015.
"An adaptive approach to forecasting three key macroeconomic variables for transitional China,"
BOFIT Discussion Papers
12/2015, Bank of Finland Institute for Emerging Economies (BOFIT).
Chapters
- James Mitchell & Aubrey Poon & Gian Luigi Mazzi, 2022.
"Nowcasting Euro Area GDP Growth Using Bayesian Quantile Regression,"
Advances in Econometrics, in: Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling, volume 43, pages 51-72,
Emerald Group Publishing Limited.
Cited by:
- Edward S. Knotek & Saeed Zaman, 2020.
"Real-Time Density Nowcasts of US Inflation: A Model-Combination Approach,"
Working Papers
20-31, Federal Reserve Bank of Cleveland.
- Knotek, Edward S. & Zaman, Saeed, 2023. "Real-time density nowcasts of US inflation: A model combination approach," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1736-1760.
- Edward Knotek & Saeed Zaman, 2020. "Real-time density nowcasts of US inflation: a model-combination approach," Working Papers 2015, University of Strathclyde Business School, Department of Economics.
- Edward S. Knotek & Saeed Zaman, 2020.
"Real-Time Density Nowcasts of US Inflation: A Model-Combination Approach,"
Working Papers
20-31, Federal Reserve Bank of Cleveland.
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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 27 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-ECM: Econometrics (13) 2019-02-04 2020-07-27 2022-01-24 2022-04-04 2022-06-20 2022-07-18 2022-09-26 2022-10-10 2023-03-06 2023-06-19 2023-09-04 2024-02-26 2024-08-12. Author is listed
- NEP-MAC: Macroeconomics (13) 2018-04-23 2018-12-17 2019-01-14 2019-04-22 2019-12-16 2020-11-02 2020-12-14 2022-01-24 2022-01-31 2022-02-14 2022-04-04 2022-06-20 2022-07-18. Author is listed
- NEP-ETS: Econometric Time Series (12) 2018-12-17 2019-02-04 2020-07-27 2020-11-02 2021-03-22 2022-01-24 2022-04-04 2022-09-26 2022-10-10 2023-03-06 2023-06-19 2024-08-12. Author is listed
- NEP-ORE: Operations Research (7) 2019-02-04 2019-04-15 2019-10-21 2020-07-27 2022-01-31 2022-02-14 2022-04-04. Author is listed
- NEP-URE: Urban and Real Estate Economics (6) 2018-12-17 2019-04-22 2022-04-04 2022-07-18 2023-06-19 2023-08-28. Author is listed
- NEP-FDG: Financial Development and Growth (4) 2022-06-20 2022-09-26 2023-11-06 2024-02-26
- NEP-FOR: Forecasting (4) 2018-04-23 2019-10-21 2021-03-22 2022-06-20
- NEP-GEO: Economic Geography (4) 2019-04-22 2022-04-04 2022-07-18 2023-08-28
- NEP-MON: Monetary Economics (4) 2019-12-16 2022-02-14 2023-09-04 2023-11-06
- NEP-CBA: Central Banking (3) 2019-12-16 2022-02-14 2023-11-06
- NEP-HIS: Business, Economic and Financial History (3) 2019-04-22 2020-12-14 2022-02-14
- NEP-BAN: Banking (1) 2023-09-04
- NEP-BIG: Big Data (1) 2018-12-17
- NEP-CWA: Central and Western Asia (1) 2022-01-24
- NEP-DEM: Demographic Economics (1) 2022-07-18
- NEP-EEC: European Economics (1) 2022-02-14
- NEP-RMG: Risk Management (1) 2022-10-10
- NEP-SEA: South East Asia (1) 2019-12-16
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