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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Top 3,963

in Total Papers Citations

224

CROSSREF CITATIONS

113

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 1,462 (18,382)
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 767 (46,282)
Citation 49

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3.

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 644 (58,256)
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 516 (77,023)
Citation 9

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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 405 (102,497)
Citation 4

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

6.
Downloads 346 (122,427)
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 344 (122,439)
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 2 (912,281)
Citation 15

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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 330 (128,898)
Citation 2

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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 206 (205,653)
Citation 2

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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 Peterson Institute for International Economics
Downloads 136 (291,383)
Citation 13

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

10.
Downloads 130 (301,538)
Citation 5

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 65 (470,283)

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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 65 (470,283)
Citation 5

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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 Peterson Institute for International Economics
Downloads 125 (310,396)
Citation 14

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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 Joint Research Centre, Italy
Downloads 122 (315,963)
Citation 1

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

13.

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 120 (319,748)
Citation 5

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

14.

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 Salzburg - Department of Economics and Social Sciences
Downloads 118 (323,516)
Citation 1

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Nonparametric VAR, regression trees, macroeconomic forecasting, scenario analysis

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 117 (325,415)
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 95 (373,939)
Citation 12

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Forecasting, change-points, Markov switching, Bayesian inference

17.

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 89 (389,454)
Citation 13

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

18.

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 88 (392,218)
Citation 10

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

19.

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 81 (411,896)
Citation 3

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Forecasting, change-points, Markov switching, Bayesian inference

20.

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 72 (439,985)
Citation 5

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

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 57 (494,387)

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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 Banks - 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 42 (561,711)

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

23.

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 37 (587,800)
Citation 6

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24.

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 35 (599,016)
Citation 2

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

25.

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 33 (610,641)
Citation 4

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

26.

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 28 (642,027)
Citation 1

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27.

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 Banks - Federal Reserve Bank of Cleveland and University of Strathclyde - Centre for Applied Macroeconomic Analysis
Downloads 23 (677,749)

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

28.

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 Salzburg - Department of Economics and Social Sciences and Oesterreichische Nationalbank (OeNB)
Downloads 23 (677,749)
Citation 7

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29.

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 Banks - Federal Reserve Bank of Cleveland and University of Strathclyde - Centre for Applied Macroeconomic Analysis
Downloads 20 (700,981)

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

30.

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 15 (742,347)
Citation 6

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hierarchical priors, shrinkage, sparsity, time varying parameter regression

31.

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 2 (874,666)

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32.

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 1 (889,061)
Citation 1

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33.

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 Peterson Institute for International Economics
Downloads 1 (889,061)
Citation 4

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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:

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