Joshua C. C. Chan

Purdue University

West Lafayette, IN 47907-1310

United States

University of Technology Sydney (UTS) - UTS Business School

Sydney

Australia

SCHOLARLY PAPERS

32

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167

CROSSREF CITATIONS

41

Scholarly Papers (32)

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, Joshua C. C. Chan and Cody Yu-Ling Hsiao
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School and University of New South Wales (UNSW)
Downloads 159 (257,997)
Citation 13

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 and Joshua C. C. Chan
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School
Downloads 148 (273,341)
Citation 16

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, Joshua C. C. Chan, Gary Koop and Simon Potter
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Peterson Institute for International Economics
Downloads 136 (292,029)
Citation 13

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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, Joshua C. C. Chan, Gary Koop and Simon Potter
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Peterson Institute for International Economics
Downloads 125 (311,184)
Citation 14

Abstract:

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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 and Joshua C. C. Chan
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School
Downloads 92 (382,482)
Citation 12

Abstract:

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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, Joshua C. C. Chan, Todd E. Clark and Gary Koop
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School, Federal Reserve Bank of Cleveland and University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Downloads 88 (393,138)
Citation 10

Abstract:

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

7.

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, Joshua C. C. Chan and Angelia Grant
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 81 (412,852)
Citation 9

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

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, Joshua C. C. Chan and Angelia Grant
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 76 (428,276)
Citation 1

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

9.

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, Joshua C. C. Chan and Eric Eisenstat
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School and University of Bucharest
Downloads 75 (431,315)
Citation 17

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

10.

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, Joshua C. C. Chan and Rodney W. Strachan
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School and University of Queensland - School of Economics
Downloads 75 (431,315)
Citation 8

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

11.

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, Joshua C. C. Chan and Rodney W. Strachan
University of Bucharest, Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School and University of Queensland - School of Economics
Downloads 57 (495,531)
Citation 5

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Bayesian Lasso, shrinkage, fiscal policy

12.

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, Joshua C. C. Chan and Angelia Grant
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 57 (495,531)
Citation 10

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

13.

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, Joshua C. C. Chan and Angelia Grant
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 53 (511,972)
Citation 5

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

14.

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, Joshua C. C. Chan, Cody Yu-Ling Hsiao and Renee Fry-McKibbin
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School, University of New South Wales (UNSW) and Australian National University (ANU) - Crawford School of Public Policy
Downloads 52 (516,278)
Citation 2

Abstract:

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

15.

Large Bayesian Vector Autoregressions

CAMA Working Paper No. 19/2019
Number of pages: 34 Posted: 15 Feb 2019
Joshua C. C. Chan and Joshua C. C. Chan
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School
Downloads 44 (553,046)
Citation 7

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16.

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, Joshua C. C. Chan and Eric Eisenstat
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School and University of Bucharest
Downloads 41 (568,159)
Citation 8

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

17.

Specification Tests for Time-Varying Parameter Models with Stochastic Volatility

Number of pages: 27 Posted: 10 Nov 2015
Joshua C. C. Chan and Joshua C. C. Chan
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School
Downloads 40 (573,287)
Citation 4

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Bayesian model comparison, state space, inflation uncertainty, NAIRU

18.

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, Joshua C. C. Chan, Roberto Leon-Gonzalez and Rodney W. Strachan
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School, National Graduate Institute for Policy Studies (GRIPS) and University of Queensland - School of Economics
Downloads 39 (578,431)
Citation 8

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19.

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, Joshua C. C. Chan and Angelia Grant
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 37 (589,175)
Citation 2

Abstract:

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Bayesian model comparison, state space, unobserved components, inflation

20.

Time Varying Dimension Models

Number of pages: 27 Posted: 11 Aug 2011
Joshua C. C. Chan, Joshua C. C. Chan, Gary Koop, Roberto Leon-Gonzalez and Rodney W. Strachan
Purdue UniversityUniversity 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 37 (589,175)
Citation 6

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21.

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, Joshua C. C. Chan and Eric Eisenstat
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School and University of Bucharest
Downloads 32 (618,090)
Citation 3

Abstract:

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

22.

Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables

Number of pages: 17 Posted: 24 Feb 2012
Joshua C. C. Chan, Joshua C. C. Chan and Gary Koop
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School and University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Downloads 29 (636,993)
Citation 1

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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 and Joshua C. C. Chan
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School
Downloads 28 (643,672)
Citation 15

Abstract:

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stochastic volatility, non-Gaussian, ARMA, forecasting

24.

Multivariate Stochastic Volatility with Co-Heteroscedasticity

CAMA Working Paper No. 52/2018
Number of pages: 42 Posted: 22 Oct 2018
Joshua C. C. Chan, Joshua C. C. Chan, Arnaud Doucet, Roberto Leon-Gonzalez and Rodney W. Strachan
Purdue UniversityUniversity 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 26 (657,505)
Citation 6

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

25.

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, Joshua C. C. Chan and Angelia Grant
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 25 (664,702)
Citation 5

Abstract:

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

26.

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, Joshua C. C. Chan, Liana Jacobi and Dan Zhu
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School, University of Melbourne - Faculty of Business and Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 21 (695,143)
Citation 2

Abstract:

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automatic differentiation, model comparison, vector autoregression, factor models

27.

Fast and Accurate Variational Inference for Large Bayesian Vars with Stochastic Volatility

Number of pages: 37 Posted: 04 Apr 2022
Joshua C. C. Chan, Joshua C. C. Chan and Xuewen Yu
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School and Purdue University
Downloads 19 (710,881)

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large vector autoregression, stochastic volatility, Variational Bayes, volatility network, connectedness

28.

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, Joshua C. C. Chan and Angelia Grant
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 19 (710,881)
Citation 8

Abstract:

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trend-cycle decomposition, HP filter, structural break

29.

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, Joshua C. C. Chan, Liana Jacobi and Dan Zhu
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School, University of Melbourne - Faculty of Business and Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 17 (727,383)
Citation 1

Abstract:

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automatic differentiation, model comparison, vector autoregression, factor models

30.

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, Bo Zhang, Joshua C. C. Chan, Joshua C. C. Chan and Jamie Cross
School of Accounting, Economics and FinanceAustralian National University (ANU) - College of Business and Economics, Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School and The Australian National University
Downloads 14 (753,449)
Citation 2

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

31.

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, Joshua C. C. Chan, Eric Eisenstat and Rodney W. Strachan
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School, Eisenstat and University of Queensland - School of Economics
Downloads 12 (772,026)
Citation 1

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Large VAR, time varying parameter, reduced rank covariance matrix

32.

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 and Joshua C. C. Chan
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School
Downloads 11 (781,476)

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shrinkage prior, forecasting, stochastic volatility, structural VAR