Dimitris Korobilis

University of Glasgow - Adam Smith Business School

Professor of Econometrics

40 University Avenue

Gilbert Scott Building

Glasgow, Scotland G12 8QQ

United Kingdom

http://https://sites.google.com/site/dimitriskorobilis/

SCHOLARLY PAPERS

43

DOWNLOADS
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Top 6,170

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9,113

SSRN CITATIONS
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SSRN RANKINGS

Top 3,587

in Total Papers Citations

249

CROSSREF CITATIONS

132

Scholarly Papers (43)

1.

A New Index of Financial Conditions

Number of pages: 34 Posted: 06 Jan 2014
Gary Koop and Dimitris Korobilis
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and University of Glasgow - Adam Smith Business School
Downloads 1,344 (18,730)
Citation 23

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2.

Bayesian Multivariate Time Series Methods for Empirical Macroeconomics

Number of pages: 65 Posted: 30 Nov 2009
Gary Koop and Dimitris Korobilis
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and University of Glasgow - Adam Smith Business School
Downloads 743 (43,628)
Citation 49

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3.

Bayesian Compressed Vector Autoregressions

Number of pages: 35 Posted: 26 Mar 2016 Last Revised: 06 Jun 2017
Gary Koop, Dimitris Korobilis and Davide Pettenuzzo
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Glasgow - Adam Smith Business School and Brandeis University - International Business School
Downloads 502 (72,210)
Citation 9

Abstract:

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multivariate time series, random projection, forecasting

4.

Bayesian dynamic variable selection in high dimensions

Number of pages: 50 Posted: 28 Sep 2018 Last Revised: 04 Jun 2020
Gary Koop and Dimitris Korobilis
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and University of Glasgow - Adam Smith Business School
Downloads 475 (77,223)
Citation 6

Abstract:

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dynamic linear model, approximate posterior inference, dynamic variable selection, forecasting

5.

Assessing the Transmission of Monetary Policy Shocks Using Dynamic Factor Models

Number of pages: 37 Posted: 26 Aug 2009 Last Revised: 27 Feb 2011
Dimitris Korobilis
University of Glasgow - Adam Smith Business School
Downloads 468 (78,593)
Citation 8

Abstract:

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Structural FAVAR, time varying parameter model, monetary policy

6.

A new algorithm for sign restrictions in vector autoregressions

Number of pages: 53 Posted: 14 Apr 2020 Last Revised: 25 Nov 2020
Dimitris Korobilis
University of Glasgow - Adam Smith Business School
Downloads 391 (97,278)

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Gibbs sampling, factor model, large VAR, sign restrictions

7.

Forecasting the Term Structure of Government Bond Yields in Unstable Environments

Number of pages: 53 Posted: 05 May 2015 Last Revised: 16 Sep 2019
Joseph Byrne, Shuo Cao and Dimitris Korobilis
Heriot-Watt University - Department of Accountancy, Economics and Finance, Shenzhen Stock Exchange and University of Glasgow - Adam Smith Business School
Downloads 390 (97,278)
Citation 3

Abstract:

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Term Structure of Interest Rates; Nelson-Siegel; Dynamic Model Averaging; Bayesian Methods; Term Premia

8.

Exchange Rate Predictability and Dynamic Bayesian Learning

Number of pages: 59 Posted: 15 Nov 2018 Last Revised: 01 Aug 2019
University of Duisburg-Essen - Department of Economics and Business Administration, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Glasgow - Adam Smith Business School and University of Rostock - Department of Economics
Downloads 374 (102,092)
Citation 4

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Exchange Rates, Bayesian Vector Autoregression, Forecasting, Dynamic Portfolio Allocation, Economic Fundamentals

9.

Machine Learning Econometrics: Bayesian Algorithms and Methods

Number of pages: 33 Posted: 14 May 2020
Dimitris Korobilis and Davide Pettenuzzo
University of Glasgow - Adam Smith Business School and Brandeis University - International Business School
Downloads 338 (114,305)

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MCMC, Approximate Inference, Scalability, Parallel Computation

10.
Downloads 334 (115,861)
Citation 54

Forecasting Inflation Using Dynamic Model Averaging

Rimini Center for Economic Analysis, WP 34-09
Number of pages: 30 Posted: 26 Aug 2009 Last Revised: 12 Jan 2010
Gary Koop and Dimitris Korobilis
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and University of Glasgow - Adam Smith Business School
Downloads 333 (115,513)
Citation 6

Abstract:

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Bayesian, State space model, Phillips curve

Forecasting Inflation Using Dynamic Model Averaging

International Economic Review, Vol. 53, Issue 3, pp. 867-886, 2012
Number of pages: 20 Posted: 27 Jul 2012
Gary Koop and Dimitris Korobilis
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and University of Glasgow - Adam Smith Business School
Downloads 1 (837,877)
Citation 15
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11.

Measuring Dynamic Connectedness with Large Bayesian VAR Models

Number of pages: 30 Posted: 16 Jan 2018
Dimitris Korobilis and Kamil Yilmaz
University of Glasgow - Adam Smith Business School and Koc University
Downloads 326 (118,952)
Citation 13

Abstract:

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Connectedness, Vector Autoregression, Time-Varying Parameter Model, Rolling Window Estimation, Systemic Risk, Financial Institutions

12.

Adaptive Hierarchical Priors for High-Dimensional Vector Autoregressions

Number of pages: 58 Posted: 16 Dec 2016 Last Revised: 02 Apr 2018
Dimitris Korobilis and Davide Pettenuzzo
University of Glasgow - Adam Smith Business School and Brandeis University - International Business School
Downloads 320 (121,305)
Citation 2

Abstract:

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Bayesian VARs, Mixture Prior, Large Datasets, Macroeconomic Forecasting

13.

High-Dimensional Macroeconomic Forecasting Using Message Passing Algorithms

Number of pages: 89 Posted: 15 Nov 2018 Last Revised: 18 Sep 2019
Dimitris Korobilis
University of Glasgow - Adam Smith Business School
Downloads 316 (122,945)
Citation 2

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High-Dimensional Inference, Factor Graph, Belief Propagation, Bayesian Shrinkage, Time-Varying Parameter Model

14.

On the Sources of Uncertainty in Exchange Rate Predictability

Number of pages: 48 Posted: 29 Sep 2014 Last Revised: 16 Sep 2016
Joseph Byrne, Dimitris Korobilis and Pinho Ribeiro
Heriot-Watt University - Department of Accountancy, Economics and Finance, University of Glasgow - Adam Smith Business School and University of Glasgow - Adam Smith Business School
Downloads 276 (141,801)
Citation 1

Abstract:

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Exchange rate forecasting, Instabilities, Time-varying parameter models, Bayesian model selection, Forecast combination

15.

Machine Learning Macroeconometrics: A Primer

Number of pages: 37 Posted: 28 Sep 2018
Dimitris Korobilis
University of Glasgow - Adam Smith Business School
Downloads 229 (171,208)

Abstract:

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Big Data; Model Selection; Shrinkage; Computation

16.

Forecast Comparison of Nonlinear Time Series Models of Us GDP: A Bayesian Approach

Number of pages: 54 Posted: 19 Nov 2009
Dimitris Korobilis
University of Glasgow - Adam Smith Business School
Downloads 228 (171,208)
Citation 2

Abstract:

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Forecasting, nonlinear time-series, model averaging

17.

VAR Forecasting Using Bayesian Variable Selection

Number of pages: 33 Posted: 05 Mar 2010 Last Revised: 23 Sep 2014
Dimitris Korobilis
University of Glasgow - Adam Smith Business School
Downloads 214 (181,775)
Citation 13

Abstract:

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Forecasting, variable selection, time-varying parameters, Bayesian vector autoregression

18.

UK Macroeconomic Forecasting with Many Predictors: Which Models Forecast Best and When Do They Do So?

University of Strathclyde Discussion Paper Series No. 09-17
Number of pages: 29 Posted: 22 Nov 2009 Last Revised: 19 Apr 2011
Dimitris Korobilis and Gary Koop
University of Glasgow - Adam Smith Business School and University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Downloads 201 (192,703)
Citation 2

Abstract:

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Bayesian, state space model, factor model, dynamic model averaging

19.

Exchange Rate Predictability in a Changing World

Number of pages: 70 Posted: 16 Feb 2014 Last Revised: 29 Sep 2014
Joseph Byrne, Dimitris Korobilis and Pinho Ribeiro
Heriot-Watt University - Department of Accountancy, Economics and Finance, University of Glasgow - Adam Smith Business School and University of Glasgow - Adam Smith Business School
Downloads 193 (199,825)
Citation 4

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20.

Decomposing Global Yield Curve Co-Movement

Journal of Banking and Finance, Forthcoming
Number of pages: 61 Posted: 21 Jul 2017 Last Revised: 29 Jul 2019
Joseph Byrne, Shuo Cao and Dimitris Korobilis
Heriot-Watt University - Department of Accountancy, Economics and Finance, Shenzhen Stock Exchange and University of Glasgow - Adam Smith Business School
Downloads 171 (222,149)

Abstract:

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Global Yield Curves, Co-Movement, Transmission Channels, Global Fundamentals, Sentiment, Economic Uncertainty, Bayesian Factor Model

21.

Large Time-Varying Parameter VARs

Number of pages: 36 Posted: 18 Mar 2012
Dimitris Korobilis and Gary Koop
University of Glasgow - Adam Smith Business School and University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Downloads 109 (314,871)
Citation 9

Abstract:

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Bayesian VAR, forecasting, time-varying coefficients, state-space model

22.

The Dynamic Effects of U.S. Monetary Policy on State Unemployment

Number of pages: 18 Posted: 25 Dec 2010
Dimitris Korobilis and Michelle Gilmartin
University of Glasgow - Adam Smith Business School and affiliation not provided to SSRN
Downloads 102 (329,289)
Citation 1

Abstract:

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regional unemployment, structural VAR, factor model, monetary policy

23.

Hierarchical Shrinkage Priors for Dynamic Regressions with Many Predictors

Number of pages: 33 Posted: 17 Apr 2011
Dimitris Korobilis
University of Glasgow - Adam Smith Business School
Downloads 93 (349,376)
Citation 8

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Forecasting, shrinkage, factor model, variable selection, Bayesian LASSO

24.

Factor Model Forecasting: A Bayesian Model Averaging (BMA) Perspective

Number of pages: 27 Posted: 23 Jan 2014 Last Revised: 09 Mar 2014
Dimitris Korobilis
University of Glasgow - Adam Smith Business School
Downloads 89 (359,168)

Abstract:

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financial stress, stochastic search variable selection, early-warning system, forecasting

25.

The Contribution of Structural Break Models to Forecasting Macroeconomic Series

Number of pages: 35 Posted: 21 Aug 2011 Last Revised: 10 May 2017
Luc Bauwens, Gary Koop, Dimitris Korobilis and J. V. K. Rombouts
Université catholique de Louvain, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Glasgow - Adam Smith Business School and HEC Montreal
Downloads 89 (359,168)
Citation 12

Abstract:

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Forecasting, change-points, Markov switching, Bayesian inference

26.

Bayesian Methods

Number of pages: 20 Posted: 18 Mar 2012
Luc Bauwens and Dimitris Korobilis
Université catholique de Louvain and University of Glasgow - Adam Smith Business School
Downloads 87 (364,232)
Citation 1

Abstract:

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Bayesian inference, dynamic regression model, prior distributions, MCMC methods

27.

Hierarchical Shrinkage in Time-Varying Parameter Models

Number of pages: 28 Posted: 29 Jun 2011
Miguel Belmonte, Gary Koop and Dimitris Korobilis
affiliation not provided to SSRN, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and University of Glasgow - Adam Smith Business School
Downloads 86 (366,870)
Citation 13

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Forecasting, hierarchical prior, time-varying parameters, Bayesian Lasso

28.

A Comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models

CIRANO - Scientific Publications No. 2011s-13
Posted: 27 Jan 2011
Luc Bauwens, Gary Koop, Dimitris Korobilis and J. V. K. Rombouts
Université catholique de Louvain, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Glasgow - Adam Smith Business School and HEC Montreal
Downloads 76 (394,441)
Citation 3

Abstract:

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Forecasting, change-points, Markov switching, Bayesian inference

29.

Data-Based Priors for Vector Autoregressions with Drifting Coefficients

Number of pages: 25 Posted: 08 Feb 2014
Dimitris Korobilis
University of Glasgow - Adam Smith Business School
Downloads 72 (406,499)
Citation 8

Abstract:

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TVP-VAR, shrinkage, data-based prior, forecasting

30.

Forecasting with Many Predictors Using Message Passing Algorithms

Number of pages: 50 Posted: 01 Jun 2017
Dimitris Korobilis
University of Glasgow - Adam Smith Business School
Downloads 70 (412,674)
Citation 2

Abstract:

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high-dimensional inference; compressive sensing; belief propagation; Bayesian shrinkage; dynamic factor models

31.

Model Uncertainty in Panel Vector Autoregressive Models

Number of pages: 25 Posted: 28 Aug 2014
Gary Koop and Dimitris Korobilis
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and University of Glasgow - Adam Smith Business School
Downloads 69 (415,932)
Citation 5

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Bayesian model averaging, stochastic search variable selection, financial contagion, sovereign debt crisis

On Regional Unemployment: An Empirical Examination of the Determinants of Geographical Differentials in the UK

Number of pages: 16 Posted: 10 Feb 2011
Dimitris Korobilis and Michelle Gilmartin
University of Glasgow - Adam Smith Business School and affiliation not provided to SSRN
Downloads 68 (424,387)

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distribution dynamics, regional labour markets, unemployment differentials

On Regional Unemployment: An Empirical Examination of the Determinants of Geographical Differentials in the UK

Scottish Journal of Political Economy, Vol. 59, No. 2, May 2012
Number of pages: 17 Posted: 03 Mar 2012
Michelle Gilmartin and Dimitris Korobilis
affiliation not provided to SSRN and University of Glasgow - Adam Smith Business School
Downloads 1 (837,877)
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33.

The Effect of News Shocks and Monetary Policy

Number of pages: 40 Posted: 08 Apr 2019
University of Birmingham - Department of Economics, University of Glasgow - Adam Smith Business School, University of Glasgow - Department of Economics and University of Oxford
Downloads 60 (446,627)

Abstract:

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news shocks, business cycles, VAR models

34.

On the Sources of Uncertainty in Exchange Rate Predictability: Supplementary Appendix

Number of pages: 49 Posted: 16 Sep 2016
Joseph Byrne, Pinho Ribeiro and Dimitris Korobilis
Heriot-Watt University - Department of Accountancy, Economics and Finance, University of Glasgow - Adam Smith Business School and University of Glasgow - Adam Smith Business School
Downloads 59 (450,296)

Abstract:

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Exchange Rate Forecasting, Instabilities, Time-Varying Parameter Models, Bayesian Model Selection, Forecast Combination

35.

Bayesian Forecasting with Highly Correlated Predictors

Number of pages: 16 Posted: 19 Oct 2012
Dimitris Korobilis
University of Glasgow - Adam Smith Business School
Downloads 45 (506,804)
Citation 3

Abstract:

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Bayesian semiparametric selection, Dirichlet process prior, correlated predictors, clustered coefficients

36.

Quantile Forecasts of Inflation Under Model Uncertainty

Number of pages: 9 Posted: 25 May 2015
Dimitris Korobilis
University of Glasgow - Adam Smith Business School
Downloads 44 (511,284)
Citation 11

Abstract:

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Bayesian model averaging, quantile regression, inflation forecasts, fan charts

37.

Prior Selection for Panel Vector Autoregressions

Number of pages: 25 Posted: 05 May 2015
Dimitris Korobilis
University of Glasgow - Adam Smith Business School
Downloads 36 (550,155)
Citation 3

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Bayesian model selection; shrinkage; spike and slab priors; forecasting; large vector autoregression

38.
Downloads 23 (628,322)
Citation 14

Energy Markets and Global Economic Conditions

Number of pages: 60 Posted: 14 May 2020
Christiane Baumeister, Dimitris Korobilis and Thomas K Lee
University of Notre Dame, University of Glasgow - Adam Smith Business School and Energy Information Administration - US DOE
Downloads 17 (694,588)
Citation 5

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energy demand, forecasting, stochastic volatility, oil price pressures, petroleum consumption

Energy Markets and Global Economic Conditions

Number of pages: 59 Posted: 20 Apr 2020 Last Revised: 11 Oct 2021
Christiane Baumeister, Dimitris Korobilis and Thomas K Lee
University of Notre Dame, University of Glasgow - Adam Smith Business School and Energy Information Administration - US DOE
Downloads 6 (788,113)

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Energy Markets and Global Economic Conditions

Number of pages: 61 Posted: 08 May 2020
Christiane Baumeister, Dimitris Korobilis and Thomas K Lee
University of Notre Dame, University of Glasgow - Adam Smith Business School and Energy Information Administration - US DOE
Downloads 0
Citation 9
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Energy demand, Forecasting, oil price pressures, petroleum consumption, state of the world economy, stochastic volatility

39.

Bayesian Approaches to Shrinkage and Sparse Estimation

Number of pages: 121 Posted: 28 Nov 2021
Dimitris Korobilis and Kenichi Shimizu
University of Glasgow - Adam Smith Business School and University of Glasgow
Downloads 1 (801,088)

Abstract:

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variable selection; shrinkage; Gibbs sampler; high-dimensional

40.

Assessing the Transmission of Monetary Policy Using Time‐Varying Parameter Dynamic Factor Models

Oxford Bulletin of Economics and Statistics, Vol. 75, Issue 2, pp. 157-179, 2013
Number of pages: 23 Posted: 05 Mar 2013
Dimitris Korobilis
University of Glasgow - Adam Smith Business School
Downloads 1 (801,088)
Citation 6
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41.

Forecasting with High‐Dimensional Panel Vars

Oxford Bulletin of Economics and Statistics, Vol. 81, Issue 5, pp. 937-959, 2019
Number of pages: 23 Posted: 02 Jun 2020
Gary Koop and Dimitris Korobilis
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and University of Glasgow - Adam Smith Business School
Downloads 0 (818,422)
Citation 1
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42.

On the Sources of Uncertainty in Exchange Rate Predictability

International Economic Review, Vol. 59, Issue 1, pp. 329-357, 2018
Number of pages: 29 Posted: 20 Feb 2018
Joseph Byrne, Dimitris Korobilis and Pinho Ribeiro
Belmont University, University of Glasgow - Adam Smith Business School and University of Glasgow - Adam Smith Business School
Downloads 0 (818,422)
Citation 1
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43.

Forecasting in Vector Autoregressions with Many Predictors

Advances in Econometrics, Vol. 23, 2008
Posted: 07 Aug 2008 Last Revised: 27 Nov 2009
Dimitris Korobilis
University of Glasgow - Adam Smith Business School

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Bayesian VAR, Forecasting, model selection and averaging, large datasets

Other Papers (1)

Total Downloads: 8
1.

Technical Appendix to 'The Contribution of Structural Break Models to Forecasting Macroeconomic Series'

Number of pages: 42 Posted: 21 Aug 2011 Last Revised: 10 May 2017
Luc Bauwens, Gary Koop, Dimitris Korobilis and J. V. K. Rombouts
Université catholique de Louvain, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Glasgow - Adam Smith Business School and HEC Montreal
Downloads 8

Abstract:

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Forecasting, Structural Breaks, Change Points, Markov Switching, Bayesian Inference