All Stories

  1. Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure

    Article • Journal of Business and Economic Statistics, March 2018, Taylor & Francis

    Dr Joshua Chan

  2. Marginal Likelihood Estimation with the Cross-Entropy Method

    Article • Econometric Reviews, October 2014, Taylor & Francis

    Dr Joshua Chan

  3. Priors and Posterior Computation in Linear Endogenous Variable Models with Imperfect Instruments

    Article • Journal of Applied Econometrics, March 2014, Wiley

    Dr Joshua Chan

  4. Statistical Modeling and Computation

    Article • January 2014, Springer Science + Business Media

    Dr Joshua Chan

  5. Moving average stochastic volatility models with application to inflation forecast

    Article • Journal of Econometrics, October 2013, Elsevier

    Dr Joshua Chan

  6. Monte Carlo Methods for Portfolio Credit Risk

    Article • April 2013, Wiley

    Dr Joshua Chan

  7. A New Model of Trend Inflation

    Article • Journal of Business and Economic Statistics, January 2013, Taylor & Francis

    Dr Joshua Chan

  8. Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence

    Article • SSRN Electronic Journal, January 2013, Elsevier

    Dr Joshua Chan

  9. A Regime Switching Skew-Normal Model for Measuring Financial Crisis and Contagion

    Article • SSRN Electronic Journal, January 2013, Elsevier

    Dr Joshua Chan

  10. Time Varying Dimension Models

    Article • Journal of Business and Economic Statistics, July 2012, Taylor & Francis

    Dr Joshua Chan

  11. Fitting mixture importance sampling distributions via improved cross-entropy

    Article • December 2011, Institute of Electrical & Electronics Engineers (IEEE)

    Dr Joshua Chan

  12. Improved cross-entropy method for estimation

    Article • Statistics and Computing, September 2011, Springer Science + Business Media

    Dr Joshua Chan

  13. Efficient estimation of large portfolio loss probabilities in t-copula models

    Article • European Journal of Operational Research, September 2010, Elsevier

    Dr Joshua Chan

  14. Rare-event probability estimation with conditional Monte Carlo

    Article • Annals of Operations Research, March 2009, Springer Science + Business Media

    Dr Joshua Chan

  15. MCMC Estimation of Restricted Covariance Matrices

    Article • Journal of Computational and Graphical Statistics, January 2009, Taylor & Francis

    Dr Joshua Chan

  16. Efficient simulation and integrated likelihood estimation in state space models

    Article • International Journal of Mathematical Modelling and Numerical Optimisation, January 2009, Inderscience Publishers

    Dr Joshua Chan

  17. Randomized methods for solving the Winner Determination Problem in combinatorial auctions

    Article • December 2008, Institute of Electrical & Electronics Engineers (IEEE)

    Dr Joshua Chan

  18. Replication of the results in ?learning about heterogeneity in returns to schooling?

    Article • Journal of Applied Econometrics, January 2005, Wiley

    Dr Joshua Chan

  19. Moving Average Stochastic Volatility Models with Application to Inflation Forecast

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Joshua Chan

  20. A New Model of Trend Inflation

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Joshua Chan

  21. Marginal Likelihood Estimation with the Cross-Entropy Method

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Joshua Chan

  22. Invariant Inference and Efficient Computation in the Static Factor Model

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Joshua Chan

  23. Fast Computation of the Deviance Information Criterion for Latent Variable Models

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Joshua Chan

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

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Joshua Chan

  25. Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Joshua Chan

  26. Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Joshua Chan

  27. Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Joshua Chan

  28. Time Varying Dimension Models

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Joshua Chan

  29. Stochastic Model Specification Search for Time-Varying Parameter VARs

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Joshua Chan