Joshua Chan

University of Technology Sydney (UTS)

Dr

15 Broadway, Ultimo

PO Box 123

Sydney, NSW 2007

Australia

SCHOLARLY PAPERS

5

DOWNLOADS

105

SSRN CITATIONS

5

CROSSREF CITATIONS

2

Scholarly Papers (5)

1.

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 30 (531,449)
Citation 4

Abstract:

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

2.

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 24 (567,100)

Abstract:

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

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 13 (665,799)

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 11 (681,585)

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 16 (619,683)
Citation 2

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 11 (662,526)
Citation 2

Abstract:

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state space, marginal likelihood, Bayesian model comparison