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

38

DOWNLOADS
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Top 7,237

in Total Papers Downloads

6,255

SSRN CITATIONS
Rank 4,506

SSRN RANKINGS

Top 4,506

in Total Papers Citations

88

CROSSREF CITATIONS

146

Scholarly Papers (38)

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 1,045 (20,615)
Citation 11

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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 639 (41,164)
Citation 54

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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 437 (66,510)
Citation 3

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multivariate time series, random projection, forecasting

4.

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 397 (74,666)
Citation 6

Abstract:

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Structural FAVAR, time varying parameter model, monetary policy

5.

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 351 (86,090)
Citation 1

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

6.
Downloads 305 (100,606)
Citation 43

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 304 (100,439)
Citation 6

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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 (693,932)
Citation 4
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7.

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 270 (114,665)
Citation 2

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Bayesian VARs, Mixture Prior, Large Datasets, Macroeconomic Forecasting

8.

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 256 (121,223)
Citation 1

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

9.

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 213 (145,366)
Citation 2

Abstract:

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Forecasting, nonlinear time-series, model averaging

10.

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 199 (155,000)
Citation 10

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

11.

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 195 (158,007)

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

12.

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 181 (169,007)
Citation 1

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13.

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 173 (175,986)
Citation 1

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

14.

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 160 (188,115)

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

15.

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 128 (225,522)
Citation 2

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

16.

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 106 (258,777)

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

17.

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 95 (278,549)
Citation 1

Abstract:

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regional unemployment, structural VAR, factor model, monetary policy

18.

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 93 (282,372)
Citation 7

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

19.

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 90 (288,314)
Citation 8

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

20.

Machine Learning Macroeconometrics: A Primer

Number of pages: 37 Posted: 28 Sep 2018
Dimitris Korobilis
University of Glasgow - Adam Smith Business School
Downloads 85 (298,893)

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Big Data; Model Selection; Shrinkage; Computation

21.

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 84 (301,035)
Citation 1

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

22.

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 80 (310,017)
Citation 6

Abstract:

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Forecasting, change-points, Markov switching, Bayesian inference

23.

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 76 (319,552)

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

24.

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 68 (339,911)
Citation 2

Abstract:

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Forecasting, change-points, Markov switching, Bayesian inference

25.

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 67 (342,642)
Citation 9

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

26.

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 65 (348,043)
Citation 1

Abstract:

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

27.

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 65 (348,043)
Citation 7

Abstract:

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

28.

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 60 (362,527)
Citation 2

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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 58 (374,002)

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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 (693,932)
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30.

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 52 (387,904)

Abstract:

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

31.

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 42 (423,551)
Citation 3

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

32.

Bayesian Forecasting with Highly Correlated Predictors

Number of pages: 16 Posted: 19 Oct 2012
Dimitris Korobilis
University of Glasgow - Adam Smith Business School
Downloads 40 (431,346)
Citation 3

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

33.

Prior Selection for Panel Vector Autoregressions

Number of pages: 25 Posted: 05 May 2015
Dimitris Korobilis
University of Glasgow - Adam Smith Business School
Downloads 34 (456,482)
Citation 2

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

34.

The Effect of News Shocks and Monetary Policy

CESifo Working Paper No. 7578
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 22 (518,679)

Abstract:

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news shocks, business cycles, VAR models

35.

Variational Bayes Inference in High-Dimensional Time-Varying Parameter Models

Number of pages: 60 Posted: 28 Sep 2018
Gary Koop and Dimitris Korobilis
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and University of Glasgow - Adam Smith Business School
Downloads 22 (518,679)
Citation 3

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

36.

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 (661,136)
Citation 2
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37.

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 (678,118)
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38.

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: 7
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 7

Abstract:

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