Gary Koop

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

100 Cathedral Street

Glasgow G4 0LN

United Kingdom

SCHOLARLY PAPERS

27

DOWNLOADS
Rank 12,148

SSRN RANKINGS

Top 12,148

in Total Papers Downloads

3,955

SSRN CITATIONS
Rank 4,069

SSRN RANKINGS

Top 4,069

in Total Papers Citations

89

CROSSREF CITATIONS

170

Scholarly Papers (27)

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 1,045 (20,615)
Citation 11

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 639 (41,164)
Citation 54

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 437 (66,510)
Citation 3

Abstract:

Loading...

multivariate time series, random projection, forecasting

4.
Downloads 305 (100,606)
Citation 43

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 304 (100,439)
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 (693,932)
Citation 4
  • Add to Cart

Abstract:

Loading...

5.

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 195 (158,007)

Abstract:

Loading...

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

6.

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 173 (175,986)
Citation 1

Abstract:

Loading...

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

7.

A New Model of Trend Inflation

Number of pages: 31 Posted: 24 Feb 2012
University of Technology Sydney (UTS) - UTS Business School, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Federal Reserve Bank of New York
Downloads 128 (225,522)
Citation 5

Abstract:

Loading...

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

8.
Downloads 117 (241,287)
Citation 22

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 60 (367,548)

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 57 (377,259)
Citation 3

Abstract:

Loading...

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

9.

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
University of Technology Sydney (UTS) - UTS Business School, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Federal Reserve Bank of New York
Downloads 115 (244,322)
Citation 6

Abstract:

Loading...

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

10.

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 106 (258,777)
Citation 1

Abstract:

Loading...

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

11.

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 93 (282,372)
Citation 7

Abstract:

Loading...

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

12.

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 86 (296,750)
Citation 1

Abstract:

Loading...

multivariate time series, vector autoregression, state space model

13.

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
University of Technology Sydney (UTS) - UTS Business School, Federal Reserve Bank of Cleveland and University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Downloads 83 (303,321)
Citation 2

Abstract:

Loading...

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

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 80 (310,017)
Citation 6

Abstract:

Loading...

Forecasting, change-points, Markov switching, Bayesian inference

15.

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 68 (339,911)
Citation 2

Abstract:

Loading...

Forecasting, change-points, Markov switching, Bayesian inference

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 67 (342,642)
Citation 9

Abstract:

Loading...

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

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 60 (362,527)
Citation 2

Abstract:

Loading...

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

18.

Time Varying Dimension Models

Number of pages: 27 Posted: 11 Aug 2011
University 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 29 (479,897)
Citation 5

Abstract:

Loading...

19.

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 28 (485,171)
Citation 2

Abstract:

Loading...

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

20.

Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage

CAMA Working Paper No. 08/2019
Number of pages: 29 Posted: 24 Jan 2019
Deborah Gefang, Gary Koop and Aubrey Poon
University 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 27 (490,430)
Citation 4

Abstract:

Loading...

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

21.

Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables

Number of pages: 17 Posted: 24 Feb 2012
Joshua C. C. Chan and Gary Koop
University of Technology Sydney (UTS) - UTS Business School and University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Downloads 25 (501,380)

Abstract:

Loading...

22.

Variational Bayes Inference in High-Dimensional Time-Varying Parameter Models

Number of pages: 60 Posted: 28 Sep 2018
Gary Koop and Dimitris Korobilis
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and University of Glasgow - Adam Smith Business School
Downloads 22 (518,679)
Citation 3

Abstract:

Loading...

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

23.

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 20 (530,399)
Citation 3

Abstract:

Loading...

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

24.

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 3 (639,750)

Abstract:

Loading...

hierarchical priors, shrinkage, sparsity, time varying parameter regression

25.

Forecasting Substantial Data Revisions in the Presence of Model Uncertainty

The Economic Journal, Vol. 118, Issue 530, pp. 1128-1144, July 2008
Number of pages: 17 Posted: 18 Jun 2008
University of Warwick, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Reserve Bank of New Zealand
Downloads 3 (639,750)
Citation 1
  • Add to Cart

Abstract:

Loading...

26.

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 Federal Reserve Bank of New York
Downloads 1 (661,136)
  • Add to Cart

Abstract:

Loading...

27.

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 (678,118)
  • Add to Cart

Abstract:

Loading...

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
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:

Loading...

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