Joshua Chan

University of Technology Sydney (UTS)

Dr

15 Broadway, Ultimo

PO Box 123

Sydney, NSW 2007

Australia

SCHOLARLY PAPERS

5

DOWNLOADS

85

SSRN CITATIONS
Rank 48,227

SSRN RANKINGS

Top 48,227

in Total Papers Citations

8

CROSSREF CITATIONS

2

Scholarly Papers (5)

1.

Stochastic Volatility Models with ARMA Innovations: An Application to G7 Inflation Forecasts

CAMA Working Paper No. 32/2018
Number of pages: 34 Posted: 03 Jul 2018
Bo Zhang, Joshua Chan and Jamie Cross
Research School of Economics, ANU, University of Technology Sydney (UTS) and The Australian National University
Downloads 22 (522,319)

Abstract:

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

2.

Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility

CAMA Working Paper No. 26/2018
Number of pages: 44 Posted: 03 Jun 2018
University of Technology Sydney (UTS), Eisenstat, Hunan University - Center for Economics, Finance and Management Studies and University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Downloads 20 (534,005)
Citation 3

Abstract:

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Bayesian, large VAR, composite likelihood, prediction pools, stochastic volatility

How Sensitive are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis

CAMA Working Paper No. 25/2018
Number of pages: 25 Posted: 03 Jun 2018
Joshua Chan, Liana Jacobi and Dan Zhu
University of Technology Sydney (UTS), University of Melbourne - Faculty of Business and Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 12 (607,186)

Abstract:

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vector autoregression, automatic differentiation, interval forecasts

How Sensitive are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis

Number of pages: 23 Posted: 12 Jun 2018
Joshua Chan, Liana Jacobi and Dan Zhu
University of Technology Sydney (UTS), University of Melbourne - Faculty of Business and Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 8 (635,725)
Citation 2

Abstract:

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vector autoregression, automatic differentiation, interval forecasts

4.

Measuring Inflation Expectations Uncertainty Using High-Frequency Data

CAMA Working Paper No. 61/2017
Number of pages: 35 Posted: 17 Oct 2017
Joshua Chan and Yong Song
University of Technology Sydney (UTS) and University of Melbourne
Downloads 13 (576,845)
Citation 1

Abstract:

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Trend Inflation, Inflation Expectations, Stochastic Volatility

5.

Comparing Hybrid Time-Varying Parameter VARs

CAMA Working Paper No. 31/2018
Number of pages: 17 Posted: 03 Jul 2018
Joshua Chan and Eric Eisenstat
University of Technology Sydney (UTS) and Eisenstat
Downloads 10 (596,185)
Citation 2

Abstract:

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state space, marginal likelihood, Bayesian model comparison