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Joshua C. C. Chan

University of Technology Sydney (UTS) - UTS Business School

Sydney

Australia

  • University of Technology Sydney (UTS) - UTS Business School

SCHOLARLY PAPERS

24

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3

Scholarly Papers (24)

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1.

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 93 (214,999)

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

2.

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 76 (213,636)

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

3.

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 39 (352,000)
Citation 1

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

4.

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 37 (280,582)

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

5.

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 36 (226,268)

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

6.

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 34 (352,000)

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

7.

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 33 (220,477)

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nonlinear, state space, inflation forecasting, inflation uncertainty

8.

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 30 (381,252)

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

9.

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 27 (407,410)

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

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 26 (355,009)

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Bayesian Lasso, shrinkage, fiscal policy

11.

Time Varying Dimension Models

Number of pages: 27 Posted: 11 Aug 2011
Joshua C. C. Chan, Gary Koop, Roberto Leon-Gonzales and Rodney W. Strachan
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 24 (451,784)
Citation 2

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12.

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 22 (345,940)

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

13.

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 22 (467,461)

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14.

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 19 (334,172)

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

15.

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 15 (441,757)

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

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-Gonzales 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 15 (423,539)

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17.

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 7 (339,914)

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

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 7 (441,757)

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Bayesian model comparison, state space, unobserved components, inflation

19.

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 2 (483,765)

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

20.

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 0 (451,784)

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

21.

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 0 (510,512)

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trend-cycle decomposition, HP filter, structural break

22.

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 0 (489,209)

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stochastic volatility, non-Gaussian, ARMA, forecasting

23.

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 0 (411,360)

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Bayesian model comparison, state space, inflation uncertainty, NAIRU

24.

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 0 (287,048)

Abstract:

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