Gary Koop

University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics

100 Cathedral Street

Glasgow G4 0LN

United Kingdom

SCHOLARLY PAPERS

33

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8,176

SSRN CITATIONS
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Top 3,671

in Total Papers Citations

410

CROSSREF CITATIONS

72

Scholarly Papers (33)

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 1,757 (18,476)
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 909 (48,487)
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 882 (50,597)
Citation 6

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

4.

Bayesian Compressed Vector Autoregressions

Number of pages: 35 Posted: 26 Mar 2016 Last Revised: 06 Jun 2017
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Glasgow - Adam Smith Business School and Brandeis University - International Business School
Downloads 564 (90,496)
Citation 16

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multivariate time series, random projection, forecasting

5.

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 519 (100,351)
Citation 10

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

6.

Bayesian Methods for Empirical Macroeconomics with Big Data

Review of Economic Analysis 9 (1), 33-56
Number of pages: 24 Posted: 12 Jan 2018
Gary Koop
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Downloads 509 (102,782)
Citation 3

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multivariate time series, vector autoregression, state space model

7.

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 386 (142,100)
Citation 6

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Bayesian, State space model, Phillips curve

8.

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 228 (245,654)
Citation 2

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

9.

Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage

CAMA Working Paper No. 08/2019
Number of pages: 29 Posted: 24 Jan 2019
University of LeicesterUniversity of Leicester - Department of Economics, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and University of Kent - School of Economics
Downloads 178 (308,011)
Citation 14

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Variational inference, Vector Autoregression, Stochastic Volatility, Hierarchical Prior, Forecasting

10.
Downloads 164 (330,716)
Citation 7

On Identification of Bayesian DSGE Models

CESifo Working Paper Series No. 3423
Number of pages: 38 Posted: 27 Apr 2011
Gary Koop, M. Hashem Pesaran and Ron Smith
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Southern California - Department of Economics and Birkbeck College
Downloads 83 (550,219)
Citation 7

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Bayesian identification, DSGE models, posterior updating, New Keynesian Phillips Curve

On Identification of Bayesian DSGE Models

IZA Discussion Paper No. 5638
Number of pages: 39 Posted: 18 Apr 2011
Gary Koop, M. Hashem Pesaran and Ron Smith
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Southern California - Department of Economics and Birkbeck College
Downloads 81 (558,584)
Citation 1

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Bayesian identification, DSGE models, posterior updating, New Keynesian Phillips Curve

11.

Tail Forecasting with Multivariate Bayesian Additive Regression Trees

FRB of Cleveland Working Paper No. 21-08R
Number of pages: 61 Posted: 22 Mar 2021 Last Revised: 13 Jul 2022
Federal Reserve Bank of Cleveland, University of Salzburg, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, Bocconi University and University of Vienna - Department of Economics
Downloads 163 (332,488)
Citation 1

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Nonparametric VAR, regression trees, macroeconomic forecasting, scenario analysis

12.

A New Model of Trend Inflation

Number of pages: 31 Posted: 24 Feb 2012
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Peterson Institute for International Economics
Downloads 161 (335,993)
Citation 25

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constrained inflation, non-linear state space model, underlying inflation, inflation targeting, inflation forecasting, Bayesian

13.

Estimating Phillips Curves in Turbulent Times Using the ECB's Survey of Professional Forecasters

ECB Working Paper No. 1422
Number of pages: 39 Posted: 06 Feb 2012
Gary Koop and Luca Onorante
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Joint Research Centre, Italy
Downloads 153 (350,672)
Citation 1

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inflation expectations, survey of professional forecasters, Phillips curve, Bayesian, financial crisis

14.

A Bounded Model of Time Variation in Trend Inflation, NAIRU and the Phillips Curve

CAMA Working Paper No. 10/2014
Number of pages: 35 Posted: 23 Jan 2014 Last Revised: 14 Oct 2014
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Peterson Institute for International Economics
Downloads 148 (360,208)
Citation 25

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trend inflation, non-linear state space model, natural rate of unemployment, inflation targeting, Bayesian

15.

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 147 (362,213)
Citation 9

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

16.

The Contribution of Structural Break Models to Forecasting Macroeconomic Series

Number of pages: 35 Posted: 21 Aug 2011 Last Revised: 10 May 2017
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 140 (376,468)
Citation 12

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Forecasting, change-points, Markov switching, Bayesian inference

17.

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 124 (413,621)
Citation 10

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

18.

Hierarchical Shrinkage in Time-Varying Parameter Models

Number of pages: 28 Posted: 29 Jun 2011
affiliation not provided to SSRN, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and University of Glasgow - Adam Smith Business School
Downloads 116 (434,612)
Citation 18

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

19.

A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations

FRB of Cleveland Working Paper No. 1520
Number of pages: 50 Posted: 22 Oct 2015
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School, Federal Reserve Bank of Cleveland and University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Downloads 109 (455,262)
Citation 30

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trend inflation, inflation expectations, state space model, stochastic volatility

20.

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

CIRANO - Scientific Publications No. 2011s-13
Posted: 27 Jan 2011
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 102 (477,308)
Citation 3

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Forecasting, change-points, Markov switching, Bayesian inference

21.

Nowcasting ‘True’ Monthly US GDP During the Pandemic

CAMA Working Paper No. 14/2021
Number of pages: 37 Posted: 27 Jan 2021
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Strathclyde, affiliation not provided to SSRN and University of Kent - School of Economics
Downloads 75 (577,266)

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Pandemic, Nowcasting, Income, Expenditure, Mixed frequency model, Vector Autoregression, Bayesian

22.

Forecasting US Inflation Using Bayesian Nonparametric Models

FRB of Cleveland Working Paper No. 22-05
Number of pages: 39 Posted: 03 Mar 2022
Federal Reserve Bank of Cleveland, University of Salzburg, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Bocconi University - Department of Economics
Downloads 74 (581,680)

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nonparametric regression, Gaussian process, Dirichlet process mixture, inflation forecasting

23.

Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables

Number of pages: 17 Posted: 24 Feb 2012
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School and University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Downloads 68 (609,012)
Citation 1

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24.

Reconciled Estimates of Monthly GDP in the US

FRB of Cleveland Working Paper No. 22-01
Number of pages: 73 Posted: 12 Jan 2022
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Strathclyde, Federal Reserve Bank of Cleveland and University of Kent - School of Economics
Downloads 67 (613,679)

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Mixed frequency; Vector autoregressions; Bayesian methods; Nowcasting; Business cycles; National accounts.

25.

Time Varying Dimension Models

Number of pages: 27 Posted: 11 Aug 2011
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, National Graduate Institute for Policy Studies (GRIPS) and University of Queensland - School of Economics
Downloads 61 (643,848)
Citation 6

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26.

Inducing Sparsity and Shrinkage in Time-Varying Parameter Models

Number of pages: 35 Posted: 06 Nov 2019
Florian Huber, Gary Koop and Luca Onorante
University of Salzburg, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Joint Research Centre, Italy
Downloads 59 (654,450)
Citation 15

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hierarchical priors, shrinkage, sparsity, time varying parameter regression

27.

Bayesian Inference in a Time Varying Cointegration Model

Number of pages: 37 Posted: 01 Aug 2011
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, National Graduate Institute for Policy Studies (GRIPS) and University of Queensland - School of Economics
Downloads 58 (659,868)
Citation 2

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Bayesian, time varying cointegration, error correction model, reduced rank regression, Markov Chain Monte Carlo

28.

Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility

CAMA Working Paper No. 26/2018
Number of pages: 44 Posted: 03 Jun 2018
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 57 (665,379)
Citation 4

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

29.

Bayesian Modeling of Time-Varying Parameters Using Regression Trees

FRB of Cleveland Working Paper No. 23-05, https://doi.org/10.26509/frbc-wp-202305
Number of pages: 47 Posted: 13 Jan 2023 Last Revised: 19 Sep 2023
University of Salzburg, University of Salzburg, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Federal Reserve Bank of Cleveland
Downloads 56 (671,037)

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Bayesian Vector Autoregression, Time-varying Parameters, Nonparametric Modeling, Machine Learning, Regression Trees, Phillips Curve, Business Cycle Shocks

30.

Incorporating Short Data into Large Mixed-Frequency VARs for Regional Nowcasting

FRB of Cleveland Working Paper No. 23-09, https://doi.org/10.26509/frbc-wp-202309
Number of pages: 38 Posted: 08 May 2023
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Strathclyde, Federal Reserve Bank of Cleveland, University of Kent - School of Economics and University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Downloads 49 (712,479)

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Regional data, Mixed-frequency data, Missing data, Nowcasting, Factors, Bayesian methods, Real-time data, Vector autoregressions

31.

Nowcasting in a Pandemic Using Non-Parametric Mixed Frequency VARs

ECB Working Paper No. 2021/2510
Number of pages: 42 Posted: 05 Mar 2021
University of Salzburg, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, Joint Research Centre, Italy, University of Vienna - Department of Economics and Oesterreichische Nationalbank (OeNB)
Downloads 41 (765,779)
Citation 22

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32.

Using Stochastic Hierarchical Aggregation Constraints to Nowcast Regional Economic Aggregates

FRB of Cleveland Working Paper No. 22-06
Number of pages: 66 Posted: 07 Mar 2022
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Strathclyde, Federal Reserve Bank of Cleveland and University of Kent - School of Economics
Downloads 35 (810,284)
Citation 1

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Regional data, Mixed frequency, Nowcasting, Bayesian methods, Real-time data, Vector autoregressions

33.

Predictive Density Combination Using a Tree-Based Synthesis Function

FRB of Cleveland Working Paper No. 23-30, https://doi.org/10.26509/frbc-wp-202330
Number of pages: 60 Posted: 22 Nov 2023
Bank of Canada, University of Salzburg, University of Salzburg, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Federal Reserve Bank of Cleveland
Downloads 17 (972,624)

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Forecast density combination, Bayesian nonparametrics, Bayesian predictive synthesis

Other Papers (1)

Total Downloads: 33
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
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 33

Abstract:

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