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~person:"Chan, Joshua"
~subject:"Stochastic process"
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Stochastic process
Bayes-Statistik
50
Bayesian inference
50
Time series analysis
31
Zeitreihenanalyse
31
VAR model
30
VAR-Modell
30
Stochastischer Prozess
26
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25
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23
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23
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22
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18
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marginal likelihood
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state space
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stochastic volatility
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Chan, Joshua
Koopman, Siem Jan
23
Carriero, Andrea
18
Clark, Todd E.
18
Marcellino, Massimiliano
15
Mertens, Elmar
14
Bos, Charles S.
12
Chib, Siddhartha
12
Martin, Gael M.
12
Rodriguez, Gabriel
12
Pettenuzzo, Davide
10
Shephard, Neil G.
10
Tsionas, Efthymios G.
10
Wirjanto, Tony S.
10
Yu, Jun
10
Forbes, Catherine Scipione
9
Jensen, Mark J.
9
Men, Zhongxian
9
Mumtaz, Haroon
9
Strachan, Rodney W.
9
Timmermann, Allan
9
Chiarella, Carl
8
Eisenstat, Eric
8
Kleijnen, Jack P. C.
8
Omori, Yasuhiro
8
Schorfheide, Frank
8
Koop, Gary
7
Kryshko, Maxym
7
Maneesoonthorn, Worapree
7
Meyer, Renate
7
Ravazzolo, Francesco
7
Scharth, Marcel
7
Asai, Manabu
6
Karlsson, Sune
6
Liesenfeld, Roman
6
Pesaran, M. Hashem
6
Theodoridis, Konstantinos
6
Österholm, Pär
6
Casarin, Roberto
5
Chan, Joshua C. C.
5
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CAMA working paper series
10
CAMA Working Paper
2
Econometric reviews
2
GRIPS discussion papers
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of econometrics
2
Energy economics
1
International journal of forecasting
1
Journal of economic dynamics & control
1
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ECONIS (ZBW)
26
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1
Multivariate stochastic volatility with co-heteroscedasticity
Chan, Joshua
;
Doucet, Arnaud
;
León-González, Roberto
; …
-
2020
-
This version: September 2020
Persistent link: https://www.econbiz.de/10013355422
Saved in:
2
Multivariate stochastic volatility with co-heteroscedasticity
Chan, Joshua
;
Doucet, Arnaud
;
León-González, Roberto
; …
-
2018
Persistent link: https://www.econbiz.de/10012203994
Saved in:
3
Multivariate stochastic volatility with co-heteroscedasticity
Chan, Joshua
;
Doucet, Arnaud
;
León-González, Roberto
; …
-
2018
Persistent link: https://www.econbiz.de/10012196752
Saved in:
4
Large Bayesian VARMAs
Chan, Joshua
;
Eisenstat, Eric
;
Koop, Gary
- In:
Journal of econometrics
192
(
2016
)
2
,
pp. 374-390
Persistent link: https://www.econbiz.de/10011704723
Saved in:
5
Fast and Accurate Variational Inference for Large Bayesian Vars with Stochastic Volatility
Chan, Joshua
;
Yu, Xuewen
-
2022
global approximation that takes into account the entire support of the joint distribution. In a Monte
Carlo
study we show …
Persistent link: https://www.econbiz.de/10013294434
Saved in:
6
Comparing stochastic volatility specifications for large Bayesian VARs
Chan, Joshua
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
Saved in:
7
Large hybrid time-varying parameter VARs
Chan, Joshua
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 890-905
Persistent link: https://www.econbiz.de/10014448455
Saved in:
8
Bayesian state space models in macroeconometrics
Chan, Joshua
;
Strachan, Rodney W.
- In:
Journal of economic surveys
37
(
2023
)
1
,
pp. 58-75
Persistent link: https://www.econbiz.de/10014287769
Saved in:
9
Bayesian state space models in macroeconometrics
Chan, Joshua
;
Strachan, Rodney W.
-
2020
Persistent link: https://www.econbiz.de/10012533935
Saved in:
10
Fast and accurate variational inference for large Bayesian VARs with stochastic volatility
Chan, Joshua
;
Yu, Xuewen
-
2020
Persistent link: https://www.econbiz.de/10012542396
Saved in:
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