Joshua C. C. Chan

Australian National University (ANU)

Canberra, Australian Capital Territory 2601

Australia

SCHOLARLY PAPERS

24

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CITATIONS
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Top 33,146

in Total Papers Citations

6

Scholarly Papers (24)

1.

A New Model of Trend Inflation

Number of pages: 31 Posted: 24 Feb 2012
Joshua C. C. Chan, Gary Koop and Simon Potter
Australian National University (ANU), University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Federal Reserve Bank of New York
Downloads 93 (201,327)

Abstract:

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
Australian National University (ANU) and University of New South Wales (UNSW)
Downloads 76 (212,462)
Citation 1

Abstract:

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
Australian National University (ANU) and University of Queensland - School of Economics
Downloads 39 (331,433)
Citation 1

Abstract:

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
Australian National University (ANU)
Downloads 37 (305,926)
Citation 1

Abstract:

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
Australian National University (ANU), University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Federal Reserve Bank of New York
Downloads 36 (226,035)

Abstract:

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
Australian National University (ANU) and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 34 (316,849)

Abstract:

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
Australian National University (ANU)
Downloads 33 (227,610)
Citation 1

Abstract:

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
Australian National University (ANU), University of New South Wales (UNSW) and Australian National University (ANU) - Crawford School of Public Policy
Downloads 30 (353,713)

Abstract:

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
Australian National University (ANU) and University of Bucharest
Downloads 27 (371,385)

Abstract:

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, Australian National University (ANU) and University of Queensland - School of Economics
Downloads 26 (334,494)

Abstract:

Bayesian Lasso, shrinkage, fiscal policy

11.

Time Varying Dimension Models

Number of pages: 27 Posted: 11 Aug 2011
Australian National University (ANU), 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 (409,641)
Citation 2

Abstract:

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
Australian National University (ANU) and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 22 (328,493)

Abstract:

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
Australian National University (ANU) and University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Downloads 22 (424,642)

Abstract:

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
Australian National University (ANU) and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 19 (334,494)

Abstract:

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
Australian National University (ANU) and University of Bucharest
Downloads 15 (414,550)

Abstract:

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
Australian National University (ANU), National Graduate Institute for Policy Studies (GRIPS) and University of Queensland - School of Economics
Downloads 15 (387,096)

Abstract:

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
Australian National University (ANU) and University of Bucharest
Downloads 7 (375,156)

Abstract:

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
Australian National University (ANU) and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 7 (409,641)

Abstract:

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
Australian National University (ANU) and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 2 (470,739)

Abstract:

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
Australian National University (ANU) and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 0 (450,276)

Abstract:

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
Australian National University (ANU) and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 0 (470,739)

Abstract:

trend-cycle decomposition, HP filter, structural break

22.

Specification Tests for Time-Varying Parameter Models with Stochastic Volatility

Number of pages: 27 Posted: 10 Nov 2015
Joshua C. C. Chan
Australian National University (ANU)
Downloads 0 (429,763)

Abstract:

Bayesian model comparison, state space, inflation uncertainty, NAIRU

23.

Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure

Number of pages: 32 Posted: 10 Nov 2015
Joshua C. C. Chan
Australian National University (ANU)
Downloads 0 (495,562)

Abstract:

stochastic volatility, non-Gaussian, ARMA, forecasting

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
Australian National University (ANU), Federal Reserve Bank of Cleveland and University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Downloads 0 (305,926)

Abstract:

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