Chenghan Hou

Hunan University - Center for Economics, Finance and Management Studies

2 Lushan South Rd

Changsha, Hunan 410082

China

SCHOLARLY PAPERS

4

DOWNLOADS

85

SSRN CITATIONS

2

CROSSREF CITATIONS

2

Scholarly Papers (4)

1.

Forecasting Realized Volatility of Agricultural Commodity Futures with Infinite Hidden Markov HAR Models

International Journal of Forecasting, Forthcoming, QMS Research Paper 2019/10
Number of pages: 42 Posted: 10 Aug 2019 Last Revised: 27 Oct 2019
Jiawen Luo, Tony Klein, Qiang Ji and Chenghan Hou
South China University of Technology, Queen's University Belfast - Queen's Management School, Chinese Academy of Sciences (CAS) - Institute of Policy and Management and Hunan University - Center for Economics, Finance and Management Studies
Downloads 25 (503,965)

Abstract:

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Agriculture commodity futures, Realized volatility forecasts, Infinite Hidden Markov switching process, HAR models

2.

Understanding the US Natural Gas Market: A Markov Switching VAR Approach

CAMA Working Paper No. 14/2018
Number of pages: 34 Posted: 17 Apr 2018
Chenghan Hou and Bao Nguyen
Hunan University - Center for Economics, Finance and Management Studies and School of Economics, University of Economics Ho Chi Minh City (UEH), Vietnam; Development Policy Centre, Crawford School of Public Policy, ANU; Centre for Applied Macroeconomic Analysis, ANU
Downloads 21 (527,198)

Abstract:

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Natural gas market, Bayesian model comparison, Markov Switching VAR model

3.

Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility

CAMA Working Paper No. 26/2018
Number of pages: 44 Posted: 03 Jun 2018
Joshua Chan, Eric Eisenstat, Chenghan Hou and Gary Koop
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 (533,068)
Citation 3

Abstract:

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

4.

International Transmissions of Aggregate Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach

CAMA Working Paper No. 16/2018
Number of pages: 33 Posted: 18 Apr 2018
Jamie Cross, Chenghan Hou and Aubrey Poon
The Australian National University, Hunan University - Center for Economics, Finance and Management Studies and University of Strathclyde - Centre for Applied Macroeconomic Analysis
Downloads 19 (539,095)
Citation 1

Abstract:

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Bayesian VARs, International Spillovers, State-Space Models, Stochastic Volatility in Mean, Uncertainty