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/

  • University of Glasgow - Adam Smith Business School

SCHOLARLY PAPERS

43

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381

CROSSREF CITATIONS

70

Scholarly Papers (43)

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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 1,670 (18,039)
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 862 (47,078)
Citation 49

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3.

Bayesian dynamic variable selection in high dimensions

Number of pages: 64 Posted: 28 Sep 2018 Last Revised: 22 Nov 2022
Gary Koop and Dimitris Korobilis
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and University of Glasgow - Adam Smith Business School
Downloads 835 (49,222)
Citation 6

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

4.

A new algorithm for structural restrictions in vector autoregressions

Number of pages: 61 Posted: 14 Apr 2020 Last Revised: 15 Jun 2022
Dimitris Korobilis
University of Glasgow - Adam Smith Business School
Downloads 728 (59,184)
Citation 5

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Gibbs sampling, factor model, large VAR, sign restrictions

5.

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 639 (70,097)
Citation 13

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

6.

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 554 (83,807)
Citation 14

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multivariate time series, random projection, forecasting

7.

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 538 (86,815)
Citation 10

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Structural FAVAR, time varying parameter model, monetary policy

8.

Exchange Rate Predictability and Dynamic Bayesian Learning

Number of pages: 59 Posted: 15 Nov 2018 Last Revised: 01 Aug 2019
Joscha Beckmann, Gary Koop, Dimitris Korobilis and Rainer Alexander Schüssler
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 491 (97,182)
Citation 8

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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 459 (105,357)

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MCMC, Approximate Inference, Scalability, Parallel Computation

10.

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
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, Shenzhen Stock Exchange and University of Glasgow - Adam Smith Business School
Downloads 421 (116,550)
Citation 4

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

11.

Machine Learning Macroeconometrics: A Primer

Number of pages: 37 Posted: 28 Sep 2018
Dimitris Korobilis
University of Glasgow - Adam Smith Business School
Downloads 396 (125,119)

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Big Data; Model Selection; Shrinkage; Computation

12.

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 383 (130,001)
Citation 6

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

13.

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 371 (134,647)
Citation 2

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Bayesian VARs, Mixture Prior, Large Datasets, Macroeconomic Forecasting

14.

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 369 (135,440)
Citation 6

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Bayesian, State space model, Phillips curve

15.

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
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Glasgow - Adam Smith Business School and University of Glasgow - Adam Smith Business School
Downloads 291 (174,708)
Citation 1

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

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 250 (203,590)
Citation 2

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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 240 (211,785)
Citation 19

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

18.

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
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, Shenzhen Stock Exchange and University of Glasgow - Adam Smith Business School
Downloads 222 (228,290)

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

19.

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 220 (230,283)
Citation 2

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

20.

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
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Glasgow - Adam Smith Business School and University of Glasgow - Adam Smith Business School
Downloads 211 (239,324)
Citation 4

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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 137 (346,463)
Citation 9

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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 135 (350,484)
Citation 1

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regional unemployment, structural VAR, factor model, monetary policy

23.

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 120 (382,862)
Citation 12

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Forecasting, change-points, Markov switching, Bayesian inference

24.

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 115 (394,779)
Citation 9

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

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 108 (413,050)
Citation 16

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

26.

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 106 (418,527)

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

27.

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 105 (421,357)
Citation 10

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

28.

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 105 (421,357)
Citation 8

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

29.

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 102 (430,140)
Citation 1

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

30.

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 93 (457,323)
Citation 3

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Forecasting, change-points, Markov switching, Bayesian inference

31.

Agreed and Disagreed Uncertainty

Downloads 63 (476,668)

Agreed and Disagreed Uncertainty

Number of pages: 50 Posted: 03 Feb 2023
Luca Gambetti, Dimitris Korobilis, John D. Tsoukalas and Francesco Zanetti
University of Turin, University of Glasgow - Adam Smith Business School, University of Glasgow - Department of Economics and University of Oxford
Downloads 63 (580,262)

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uncertainty, information frictions, disagreement, Bayesian vector autoregression (VAR), sign restrictions

32.

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 83 (490,585)
Citation 2

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

33.

The Effect of News Shocks and Monetary Policy

CESifo Working Paper No. 7578
Number of pages: 40 Posted: 08 Apr 2019
Christoph Görtz, Dimitris Korobilis, John D. Tsoukalas and Francesco Zanetti
University of Birmingham - Department of Economics, University of Glasgow - Adam Smith Business School, University of Glasgow - Department of Economics and University of Oxford
Downloads 81 (497,767)

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news shocks, business cycles, VAR models

34.

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 81 (497,767)

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distribution dynamics, regional labour markets, unemployment differentials

35.

Monitoring Multicountry Macroeconomic Risk

Number of pages: 64 Posted: 23 May 2023
Dimitris Korobilis and Maximilian Schröder
University of Glasgow - Adam Smith Business School and BI Norwegian Business School - Department of Economics
Downloads 79 (505,046)

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quantile VAR; MCMC; variational Bayes; dynamic factor model

36.

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
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Glasgow - Adam Smith Business School and University of Glasgow - Adam Smith Business School
Downloads 76 (516,484)
Citation 1

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

37.

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 66 (557,793)
Citation 20

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

38.

Bayesian Forecasting with Highly Correlated Predictors

Number of pages: 16 Posted: 19 Oct 2012
Dimitris Korobilis
University of Glasgow - Adam Smith Business School
Downloads 61 (580,327)
Citation 3

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

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 Adam Smith Business School - University of Glasgow
Downloads 58 (594,746)
Citation 3

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variable selection; shrinkage; Gibbs sampler; high-dimensional

40.

Energy Markets and Global Economic Conditions

Downloads 58 (594,746)
Citation 29

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 36 (742,486)
Citation 13

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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 Last Revised: 12 Apr 2023
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 22 (859,409)

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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
Downloads 0
Citation 18
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Energy demand, Forecasting, oil price pressures, petroleum consumption, state of the world economy, stochastic volatility

41.

Prior Selection for Panel Vector Autoregressions

Number of pages: 25 Posted: 05 May 2015
Dimitris Korobilis
University of Glasgow - Adam Smith Business School
Downloads 49 (642,094)
Citation 3

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

42.

Probabilistic Quantile Factor Analysis

Number of pages: 41 Posted: 23 May 2023
Dimitris Korobilis and Maximilian Schröder
University of Glasgow - Adam Smith Business School and BI Norwegian Business School - Department of Economics
Downloads 19 (859,570)
Citation 1

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variational Bayes; penalized factors; quantile regression

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: 25
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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 25

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