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

41

DOWNLOADS
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6,871

SSRN CITATIONS
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Top 4,235

in Total Papers Citations

128

CROSSREF CITATIONS

146

Scholarly Papers (41)

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 1,111 (20,030)
Citation 13

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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 699 (38,695)
Citation 63

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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 454 (67,339)
Citation 3

Abstract:

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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 412 (75,755)
Citation 7

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 364 (87,372)
Citation 2

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

6.
Downloads 313 (103,530)
Citation 47

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 312 (103,268)
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 (725,944)
Citation 8
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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 286 (114,098)
Citation 2

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Bayesian VARs, Mixture Prior, Large Datasets, Macroeconomic Forecasting

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 264 (124,091)
Citation 2

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

9.

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 260 (126,149)
Citation 1

Abstract:

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

10.

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 217 (150,716)
Citation 2

Abstract:

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Forecasting, nonlinear time-series, model averaging

11.

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 214 (152,676)
Citation 1

Abstract:

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

12.

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 203 (160,479)
Citation 10

Abstract:

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

13.

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 198 (164,254)
Citation 1

Abstract:

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

14.

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 183 (176,427)
Citation 3

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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 158 (200,362)
Citation 3

Abstract:

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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 121 (247,594)

Abstract:

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

17.

Machine Learning Macroeconometrics: A Primer

Number of pages: 37 Posted: 28 Sep 2018
Dimitris Korobilis
University of Glasgow - Adam Smith Business School
Downloads 110 (265,141)

Abstract:

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Big Data; Model Selection; Shrinkage; Computation

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 100 (283,294)
Citation 13

Abstract:

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

19.

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 96 (290,894)
Citation 1

Abstract:

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regional unemployment, structural VAR, factor model, monetary policy

20.

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 (302,980)
Citation 8

Abstract:

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

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 (316,306)
Citation 1

Abstract:

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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 82 (320,961)
Citation 10

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 79 (328,031)

Abstract:

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

24.

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 74 (340,726)
Citation 9

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

25.

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 71 (348,612)
Citation 2

Abstract:

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Forecasting, change-points, Markov switching, Bayesian inference

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 66 (362,533)
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 66 (362,533)
Citation 8

Abstract:

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

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 64 (373,116)

Abstract:

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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 (725,944)
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29.

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 63 (371,373)
Citation 3

Abstract:

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

30.

Bayesian dynamic variable selection in high dimensions

Number of pages: 50 Posted: 28 Sep 2018 Last Revised: 06 May 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 55 (396,807)
Citation 5

Abstract:

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

31.

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 53 (403,477)

Abstract:

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

32.

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 52 (406,869)

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MCMC, Approximate Inference, Scalability, Parallel Computation

33.

Sign Restrictions in High-Dimensional Vector Autoregressions

Number of pages: 60 Posted: 14 Apr 2020
Dimitris Korobilis
University of Glasgow - Adam Smith Business School
Downloads 42 (444,288)

Abstract:

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high-dimensional inference, Structural VAR, Markov chain Monte Carlo, set identification

34.

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 (444,288)
Citation 5

Abstract:

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

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 40 (452,637)
Citation 2

Abstract:

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

36.

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 38 (460,948)

Abstract:

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news shocks, business cycles, VAR models

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 34 (478,745)
Citation 2

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

Energy Markets and Global Economic Conditions

CESifo Working Paper No. 8282
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 6 (677,196)

Abstract:

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

Energy Markets and Global Economic Conditions

NBER Working Paper No. w27001
Number of pages: 59 Posted: 20 Apr 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 5 (684,860)
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Energy Markets and Global Economic Conditions

CEPR Discussion Paper No. DP14580
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
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Energy demand, Forecasting, oil price pressures, petroleum consumption, state of the world economy, stochastic volatility

39.

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 (692,122)
Citation 3
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40.

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 (710,038)
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41.

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

Abstract:

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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