Joshua C. C. Chan

University of Technology Sydney (UTS) - UTS Business School

Sydney

Australia

Purdue University

West Lafayette, IN 47907-1310

United States

SCHOLARLY PAPERS

31

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Scholarly Papers (31)

1.

Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence

CAMA Working Paper No. 74/2013
Number of pages: 23 Posted: 26 Nov 2013
Joshua C. C. Chan and Cody Yu-Ling Hsiao
University of Technology Sydney (UTS) - UTS Business School and University of New South Wales (UNSW)
Downloads 136 (211,870)
Citation 4

Abstract:

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stochastic volatility, scale mixture of normal, state space model, Markov chain Monte Carlo, financial data

2.

The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling

CAMA Working Paper No. 7/2015
Number of pages: 28 Posted: 19 Mar 2015 Last Revised: 20 Mar 2015
Joshua C. C. Chan
University of Technology Sydney (UTS) - UTS Business School
Downloads 127 (223,476)
Citation 3

Abstract:

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nonlinear, state space, inflation forecasting, inflation uncertainty

3.

A New Model of Trend Inflation

Number of pages: 31 Posted: 24 Feb 2012
Joshua C. C. Chan, Gary Koop and Simon Potter
University of Technology Sydney (UTS) - UTS Business School, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Federal Reserve Bank of New York
Downloads 126 (224,842)
Citation 5

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constrained inflation, non-linear state space model, underlying inflation, inflation targeting, inflation forecasting, Bayesian

4.

A Bounded Model of Time Variation in Trend Inflation, NAIRU and the Phillips Curve

CAMA Working Paper No. 10/2014
Number of pages: 35 Posted: 23 Jan 2014 Last Revised: 14 Oct 2014
Joshua C. C. Chan, Gary Koop and Simon Potter
University of Technology Sydney (UTS) - UTS Business School, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Federal Reserve Bank of New York
Downloads 113 (243,663)
Citation 5

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trend inflation, non-linear state space model, natural rate of unemployment, inflation targeting, Bayesian

5.

Moving Average Stochastic Volatility Models with Application to Inflation Forecast

CAMA Working Paper 31/2013
Number of pages: 27 Posted: 08 Jun 2013
Joshua C. C. Chan
University of Technology Sydney (UTS) - UTS Business School
Downloads 86 (292,296)
Citation 4

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state space, unobserved components model, precision, sparse, density forecast

6.

A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations

FRB of Cleveland Working Paper No. 1520
Number of pages: 50 Posted: 22 Oct 2015
Joshua C. C. Chan, Todd E. Clark and Gary Koop
University of Technology Sydney (UTS) - UTS Business School, Federal Reserve Bank of Cleveland and University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Downloads 79 (307,632)
Citation 2

Abstract:

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trend inflation, inflation expectations, state space model, stochastic volatility

7.

Bayesian Model Comparison for Time-Varying Parameter VARs with Stochastic Volatility

CAMA Working Paper No. 32/2015
Number of pages: 29 Posted: 12 Aug 2015 Last Revised: 14 Aug 2015
Joshua C. C. Chan and Eric Eisenstat
University of Technology Sydney (UTS) - UTS Business School and University of Bucharest
Downloads 63 (348,403)
Citation 4

Abstract:

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Bayesian, state space, marginal likelihood, deviance information criterion, great moderation

8.

Modeling Energy Price Dynamics: GARCH Versus Stochastic Volatility

CAMA Working Paper No. 20/2015
Number of pages: 24 Posted: 11 Jun 2015 Last Revised: 12 Jun 2015
Joshua C. C. Chan and Angelia Grant
University of Technology Sydney (UTS) - UTS Business School and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 62 (351,172)

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Bayesian model comparison, crude oil, natural gas, moving average, jumps

9.

Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion

CAMA Working Paper No. 51/2014
Number of pages: 25 Posted: 12 Jul 2014 Last Revised: 21 Jul 2014
Joshua C. C. Chan and Angelia Grant
University of Technology Sydney (UTS) - UTS Business School and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 62 (351,172)
Citation 8

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Bayesian model comparison, nonlinear state space, DIC, jumps, moving average, S&P 500

10.

Stochastic Model Specification Search for Time-Varying Parameter VARs

CAMA Working Paper No. 23/2014
Number of pages: 35 Posted: 06 Mar 2014 Last Revised: 07 Mar 2014
Eric Eisenstat, Joshua C. C. Chan and Rodney W. Strachan
University of Bucharest, University of Technology Sydney (UTS) - UTS Business School and University of Queensland - School of Economics
Downloads 55 (372,395)
Citation 3

Abstract:

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Bayesian Lasso, shrinkage, fiscal policy

11.

Fast Computation of the Deviance Information Criterion for Latent Variable Models

CAMA Working Paper No. 9/2014
Number of pages: 24 Posted: 23 Jan 2014 Last Revised: 24 Jan 2014
Joshua C. C. Chan and Angelia Grant
University of Technology Sydney (UTS) - UTS Business School and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 53 (378,785)
Citation 4

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Bayesian model comparison, state space, factor model, vector autoregression, semiparametric

12.

Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods

Number of pages: 39 Posted: 20 Mar 2012
Joshua C. C. Chan and Rodney W. Strachan
University of Technology Sydney (UTS) - UTS Business School and University of Queensland - School of Economics
Downloads 53 (378,785)
Citation 4

Abstract:

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integrated likelihood, accept-reject Metropolis-Hastings, cross-entropy, liquidity trap, zero lower bound

13.

A Regime Switching Skew-Normal Model for Measuring Financial Crisis and Contagion

CAMA Working Paper 15/2013
Number of pages: 41 Posted: 19 Jul 2013
Joshua C. C. Chan, Cody Yu-Ling Hsiao and Renee Fry-McKibbin
University of Technology Sydney (UTS) - UTS Business School, University of New South Wales (UNSW) and Australian National University (ANU) - Crawford School of Public Policy
Downloads 44 (409,732)
Citation 2

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Great Recession, Crisis tests, Contagion tests, Co-skewness, Regime switching skew-normal model, Gibbs sampling, Bayesian model comparison

14.

Specification Tests for Time-Varying Parameter Models with Stochastic Volatility

Number of pages: 27 Posted: 10 Nov 2015
Joshua C. C. Chan
University of Technology Sydney (UTS) - UTS Business School
Downloads 39 (428,883)

Abstract:

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Bayesian model comparison, state space, inflation uncertainty, NAIRU

15.

Marginal Likelihood Estimation with the Cross-Entropy Method

CAMA Working Paper No. 18/2012
Number of pages: 30 Posted: 10 May 2012
Joshua C. C. Chan and Eric Eisenstat
University of Technology Sydney (UTS) - UTS Business School and University of Bucharest
Downloads 37 (437,049)
Citation 3

Abstract:

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importance sampling, model selection, probit, logit, time-varying parameter vector, autoregressive model, dynamic factor model

16.

Invariant Inference and Efficient Computation in the Static Factor Model

CAMA Working Paper 32/2013
Number of pages: 29 Posted: 08 Jun 2013
Joshua C. C. Chan, Roberto Leon-Gonzalez and Rodney W. Strachan
University of Technology Sydney (UTS) - UTS Business School, National Graduate Institute for Policy Studies (GRIPS) and University of Queensland - School of Economics
Downloads 36 (441,120)
Citation 5

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17.

Measuring the Output Gap Using Stochastic Model Specification Search

CAMA Working Paper No. 2/2017
Number of pages: 34 Posted: 13 Jan 2017
Joshua C. C. Chan and Angelia Grant
University of Technology Sydney (UTS) - UTS Business School and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 34 (449,606)
Citation 1

Abstract:

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Model Averaging, Trend Inflation, Potential Output, NAIRU, Okun's Law, Phillips Curve

18.

Pitfalls of Estimating the Marginal Likelihood Using the Modified Harmonic Mean

CAMA Working Paper No. 8/2015
Number of pages: 13 Posted: 19 Mar 2015 Last Revised: 20 Mar 2015
Joshua C. C. Chan and Angelia Grant
University of Technology Sydney (UTS) - UTS Business School and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 32 (458,480)

Abstract:

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Bayesian model comparison, state space, unobserved components, inflation

19.

Efficient Estimation of Bayesian VARMAs with Time-Varying Coefficients

CAMA Working Paper No. 19/2015
Number of pages: 25 Posted: 11 Jun 2015 Last Revised: 12 Jun 2015
Joshua C. C. Chan and Eric Eisenstat
University of Technology Sydney (UTS) - UTS Business School and University of Bucharest
Downloads 30 (467,917)

Abstract:

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state space, stochastic volatility, factor model, macroeconomic forecasting, density forecast

20.

Time Varying Dimension Models

Number of pages: 27 Posted: 11 Aug 2011
University of Technology Sydney (UTS) - UTS Business School, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, National Graduate Institute for Policy Studies (GRIPS) and University of Queensland - School of Economics
Downloads 27 (483,059)
Citation 3

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21.

A Bayesian Model Comparison for Trend-Cycle Decompositions of Output

CAMA Working Paper No. 31/2015
Number of pages: 26 Posted: 12 Aug 2015 Last Revised: 13 Aug 2015
Joshua C. C. Chan and Angelia Grant
University of Technology Sydney (UTS) - UTS Business School and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 23 (504,997)
Citation 1

Abstract:

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Bayesian model comparison, unobserved components, structural break, business cycle

22.

Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables

Number of pages: 17 Posted: 24 Feb 2012
Joshua C. C. Chan and Gary Koop
University of Technology Sydney (UTS) - UTS Business School and University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Downloads 23 (504,997)

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23.

Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure

Number of pages: 32 Posted: 10 Nov 2015
Joshua C. C. Chan
University of Technology Sydney (UTS) - UTS Business School
Downloads 21 (516,729)
Citation 4

Abstract:

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stochastic volatility, non-Gaussian, ARMA, forecasting

24.

Reconciling Output Gaps: Unobserved Components Model and Hodrick-Prescott Filter

CAMA Working Paper No. 44/2016
Number of pages: 24 Posted: 20 Jul 2016
Joshua C. C. Chan and Angelia Grant
University of Technology Sydney (UTS) - UTS Business School and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 17 (540,249)

Abstract:

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trend-cycle decomposition, HP filter, structural break

25.

Large Bayesian Vector Autoregressions

CAMA Working Paper No. 19/2019
Number of pages: 34 Posted: 15 Feb 2019
Joshua C. C. Chan
University of Technology Sydney (UTS) - UTS Business School
Downloads 14 (558,077)
Citation 3

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26.

Stochastic Volatility Models with ARMA Innovations an Application to G7 Inflation Forecasts

Zhang B, Chan JCC, Cross JL, June 2018, Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts paper no. 32/2018., 31st Australasian Finance and Banking Conference 2018
Number of pages: 32 Posted: 30 Jul 2018
Bo Zhang, Joshua C. C. Chan and Jamie Cross
School of Accounting, Economics and Finance, University of Technology Sydney (UTS) - UTS Business School and The Australian National University
Downloads 9 (589,451)

Abstract:

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autoregressive moving average errors, stochastic volatility, inflation forecast, state space models, unobserved components model

27.

Efficient Selection of Hyperparameters in Large Bayesian VARs Using Automatic Differentiation

CAMA Working Paper No. 46/2019
Number of pages: 24 Posted: 25 Jun 2019
Joshua C. C. Chan, Liana Jacobi and Dan Zhu
University of Technology Sydney (UTS) - UTS Business School, University of Melbourne - Faculty of Business and Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 5 (615,733)
Citation 2

Abstract:

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automatic differentiation, model comparison, vector autoregression, factor models

28.

Multivariate Stochastic Volatility with Co-Heteroscedasticity

CAMA Working Paper No. 52/2018
Number of pages: 42 Posted: 22 Oct 2018
University of Technology Sydney (UTS) - UTS Business School, University of Oxford, National Graduate Institute for Policy Studies (GRIPS) and University of Queensland - School of Economics
Downloads 5 (615,733)
Citation 1

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Markov Chain Monte Carlo, Gibbs Sampling, Flexible Parametric Model, Particle Filter, Co-heteroscedasticity, state-space, reparameterization, alternating-order

29.

Reducing Dimensions in a Large TVP-VAR

CAMA Working Paper No. 49/2018
Number of pages: 45 Posted: 15 Oct 2018
Joshua C. C. Chan, Eric Eisenstat and Rodney W. Strachan
University of Technology Sydney (UTS) - UTS Business School, Eisenstat and University of Queensland - School of Economics
Downloads 5 (615,733)
Citation 1

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Large VAR, time varying parameter, reduced rank covariance matrix

30.

An Automated Prior Robustness Analysis in Bayesian Model Comparison

CAMA Working Paper No. 45/2019
Number of pages: 28 Posted: 25 Jun 2019
Joshua C. C. Chan, Liana Jacobi and Dan Zhu
University of Technology Sydney (UTS) - UTS Business School, University of Melbourne - Faculty of Business and Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 4 (622,743)

Abstract:

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automatic differentiation, model comparison, vector autoregression, factor models

31.

Minnesota-Type Adaptive Hierarchical Priors for Large Bayesian VARs

CAMA Working Paper No. 61/2019
Number of pages: 28 Posted: 23 Aug 2019
Joshua C. C. Chan
University of Technology Sydney (UTS) - UTS Business School
Downloads 1 (652,918)

Abstract:

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shrinkage prior, forecasting, stochastic volatility, structural VAR