Gary Koop

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

100 Cathedral Street

Glasgow G4 0LN

United Kingdom

SCHOLARLY PAPERS

30

DOWNLOADS
Rank 11,209

SSRN RANKINGS

Top 11,209

in Total Papers Downloads

5,460

SSRN CITATIONS
Rank 3,670

SSRN RANKINGS

Top 3,670

in Total Papers Citations

223

CROSSREF CITATIONS

152

Scholarly Papers (30)

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 1,324 (18,815)
Citation 23

Abstract:

Loading...

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 738 (43,306)
Citation 49

Abstract:

Loading...

3.

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 497 (72,119)
Citation 9

Abstract:

Loading...

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 447 (81,708)
Citation 6

Abstract:

Loading...

dynamic linear model, approximate posterior inference, dynamic variable selection, 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 369 (102,038)
Citation 4

Abstract:

Loading...

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

6.
Downloads 328 (116,320)
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 327 (115,998)
Citation 6

Abstract:

Loading...

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 (828,687)
Citation 15
  • Add to Cart

Abstract:

Loading...

7.

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 224 (171,518)
Citation 2

Abstract:

Loading...

multivariate time series, vector autoregression, state space model

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 201 (189,813)
Citation 2

Abstract:

Loading...

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

9.

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 Peter G. Peterson Institute for International Economics
Downloads 133 (268,711)
Citation 13

Abstract:

Loading...

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

10.
Downloads 127 (278,167)
Citation 24

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 64 (432,321)

Abstract:

Loading...

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

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 63 (435,858)
Citation 5

Abstract:

Loading...

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

11.

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 Peter G. Peterson Institute for International Economics
Downloads 122 (286,659)
Citation 14

Abstract:

Loading...

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

12.

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 European Central Bank (ECB)
Downloads 117 (295,291)
Citation 1

Abstract:

Loading...

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

13.

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 107 (314,328)
Citation 9

Abstract:

Loading...

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

14.

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 88 (356,534)
Citation 12

Abstract:

Loading...

Forecasting, change-points, Markov switching, Bayesian inference

15.

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 84 (366,835)
Citation 10

Abstract:

Loading...

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

16.

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 83 (369,453)
Citation 12

Abstract:

Loading...

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

17.

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 Strathclyde - Centre for Applied Macroeconomic Analysis
Downloads 80 (377,627)
Citation 4

Abstract:

Loading...

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

18.

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 75 (391,778)
Citation 3

Abstract:

Loading...

Forecasting, change-points, Markov switching, Bayesian inference

19.

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 (410,156)
Citation 5

Abstract:

Loading...

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

20.

Tail Forecasting with Multivariate Bayesian Additive Regression Trees

FRB of Cleveland Working Paper No. 21-08
Number of pages: 69 Posted: 22 Mar 2021
Federal Reserve Bank of Cleveland, University of Salzburg, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, Bocconi University and University of Salzburg - Department of Economics and Social Sciences
Downloads 53 (466,566)
Citation 1

Abstract:

Loading...

nonparametric VAR, regression trees, macroeconomic forecasting

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 Strathclyde - Centre for Applied Macroeconomic Analysis
Downloads 36 (542,791)

Abstract:

Loading...

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

22.

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 34 (553,407)
Citation 6

Abstract:

Loading...

23.

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 33 (558,839)
Citation 2

Abstract:

Loading...

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

24.

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 32 (564,229)
Citation 4

Abstract:

Loading...

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

25.

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 27 (593,762)
Citation 1

Abstract:

Loading...

26.

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, European Central Bank (ECB), University of Salzburg - Department of Economics and Social Sciences and Oesterreichische Nationalbank (OeNB)
Downloads 18 (655,742)
Citation 6

Abstract:

Loading...

27.

Inducing Sparsity and Shrinkage in Time-Varying Parameter Models

ECB Working Paper No. 2325
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 European Central Bank (ECB)
Downloads 13 (693,113)
Citation 6

Abstract:

Loading...

hierarchical priors, shrinkage, sparsity, time varying parameter regression

28.

Prior Elicitation in Multiple Change-Point Models

International Economic Review, Vol. 50, Issue 3, pp. 751-772, August 2009
Number of pages: 22 Posted: 09 Jul 2009
Gary Koop and Simon Potter
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Peter G. Peterson Institute for International Economics
Downloads 1 (792,280)
Citation 4
  • Add to Cart

Abstract:

Loading...

29.

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 (809,212)
Citation 1
  • Add to Cart

Abstract:

Loading...

30.

Domestic Violence and Football in Glasgow: Are Reference Points Relevant?

Oxford Bulletin of Economics and Statistics, Vol. 78, Issue 1, pp. 1-21, 2016
Number of pages: 21 Posted: 20 Jan 2016
Alex Dickson, Colin Jennings and Gary Koop
University of Strathclyde, Queen's College and University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Downloads 0 (809,212)
  • Add to Cart

Abstract:

Loading...

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
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:

Loading...

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