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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

Stochastic volatility models with ARMA innovations : an application to G7 inflation forecasts

Zhang, Bo; Chan, Joshua; Cross, Jamie - In: International journal of forecasting 36 (2020) 4, pp. 1318-1328

Persistent link: https://www.econbiz.de/10012546706

Minnesota-type adaptive hierarchical priors for large Bayesian VARs

Chan, Joshua - In: International journal of forecasting 37 (2021) 3, pp. 1212-1226

Persistent link: https://www.econbiz.de/10012794844

Large order-invariant Bayesian VARs with stochastic volatility

Chan, Joshua; Koop, Gary; Yu, Xuewen - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 825-837

Persistent link: https://www.econbiz.de/10015053470

Fast and accurate variational inference for large Bayesian VARs with stochastic volatility

Chan, Joshua; Yu, Xuewen - In: Journal of economic dynamics & control 143 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013539520

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

First- and second-order Greeks in the Heston model

Chan, Jiun Hong; Joshi, Mark S.; Zhu, Dan - In: Journal of risk 17 (2014/2015) 4, pp. 19-69

Persistent link: https://www.econbiz.de/10013262933

First and Second Order Greeks in the Heston Model

Chan, Jiun Hong - 2014

In this paper, we present an efficient approach to compute the first and the second order price sensitivities in the Heston model using the algorithmic differentiation approach. Issues related to the applicability of the pathwise method are discussed in this paper as most existing numerical...

Persistent link: https://www.econbiz.de/10013068956

Forecasting structural change and fat-tailed events in Australian macroeconomic variables

Cross, Jamie; Poon, Aubrey - In: Economic modelling 58 (2016), pp. 34-51

Persistent link: https://www.econbiz.de/10011647028

Computationally efficient inference in large Bayesian mixed frequency VARs

Gefang, Deborah; Koop, Gary; Poon, Aubrey - In: Economics letters 191 (2020), pp. 1-6

Persistent link: https://www.econbiz.de/10012508486