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Joshua C.C. Chan

Personal Details

First Name:Joshua
Middle Name:C.C.
Last Name:Chan
Suffix:
RePEc Short-ID:pch840
[This author has chosen not to make the email address public]
http://joshuachan.org
Terminal Degree:2010 (from RePEc Genealogy)

Affiliation

(90%) Department of Economics
Krannert School of Management
Purdue University

West Lafayette, Indiana (United States)
http://www.krannert.purdue.edu/academics/economics/

: 765-494-4449
765-494-9658
1310 Krannert Building, West Lafayette, IN 47907-1310
RePEc:edi:depurus (more details at EDIRC)

(8%) Economics Discipline Group
Business School
University of Technology Sydney

Sydney, Australia
http://business.uts.edu.au/economics/

: +61 2 9514 7777
+61 2 9514 7722
PO Box 123, Broadway NSW 2007, Sydney
RePEc:edi:edutsau (more details at EDIRC)

(2%) Centre for Applied Macroeconomic Analysis (CAMA)
Crawford School of Public Policy
Australian National University

Canberra, Australia
http://cama.anu.edu.au/

: +61 2 6125 4442
+61 2 6125 5124
H. W. Arndt Building #25A, The Australian National University, Canberra ACT 2601
RePEc:edi:cmanuau (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Joshua Chan & Luca Benati & Eric Eisenstat & Gary Koop, 2018. "Identifying Noise Shocks," Working Paper Series 41, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
  2. Joshua C.C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2018. "Composite likelihood methods for large Bayesian VARs with stochastic volatility," CAMA Working Papers 2018-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  3. Bo Zhang & Joshua C.C. Chan & Jamie L. Cross, 2018. "Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts," CAMA Working Papers 2018-32, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  4. Joshua C.C. Chan & Liana Jacobi & Dan Zhu, 2018. "How sensitive are VAR forecasts to prior hyperparameters? An automated sensitivity analysis," CAMA Working Papers 2018-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  5. Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2018. "Reducing Dimensions in a Large TVP-VAR," Working Paper Series 43, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
  6. Joshua C.C. Chan & Eric Eisenstat, 2018. "Comparing hybrid time-varying parameter VARs," CAMA Working Papers 2018-31, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  7. Joshua C C Chan & Yong Song, 2017. "Measuring inflation expectations uncertainty using high-frequency data," CAMA Working Papers 2017-61, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  8. Joshua C C Chan & Angelia L Grant, 2017. "Measuring the output gap using stochastic model specification search," CAMA Working Papers 2017-02, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  9. Joshua C.C. Chan & Angelia L. Grant, 2016. "Reconciling output gaps: unobserved components model and Hodrick-Prescott filter," CAMA Working Papers 2016-44, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  10. Joshua C.C. Chan & Angelia L. Grant, 2015. "A Bayesian model comparison for trend-cycle decompositions of output," CAMA Working Papers 2015-31, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  11. Joshua C.C. Chan & Eric Eisenstat, 2015. "Bayesian model comparison for time-varying parameter VARs with stochastic volatility," CAMA Working Papers 2015-32, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  12. Joshua C.C. Chan, 2015. "Specification tests for time-varying parameter models with stochastic volatility," CAMA Working Papers 2015-42, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  13. Joshua C.C. Chan & Eric Eisenstat, 2015. "Efficient estimation of Bayesian VARMAs with time-varying coefficients," CAMA Working Papers 2015-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  14. Joshua C.C. Chan & Angelia L. Grant, 2015. "Pitfalls of Estimating the Marginal Likelihood Using the Modified Harmonic Mean," CAMA Working Papers 2015-08, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  15. Joshua C.C. Chan & Angelia L. Grant, 2015. "Modeling energy price dynamics: GARCH versus stochastic volatility," CAMA Working Papers 2015-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  16. Joshua C.C. Chan, 2015. "Large Bayesian VARs: A flexible Kronecker error covariance structure," CAMA Working Papers 2015-41, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  17. Chan, Joshua C C & Clark, Todd E. & Koop, Gary, 2015. "A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations," Working Paper 1520, Federal Reserve Bank of Cleveland.
  18. Joshua C.C. Chan, 2015. "The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling," CAMA Working Papers 2015-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  19. Joshua C.C. Chan & Angelia L. Grant, 2014. "Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion," CAMA Working Papers 2014-51, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  20. Joshua C C Chan & Eric Eisenstat & Gary Koop, 2014. "Large Bayesian VARMAs," Working Papers 1409, University of Strathclyde Business School, Department of Economics.
  21. Joshua C.C. Chan & Angelia L. Grant, 2014. "Fast Computation of the Deviance Information Criterion for Latent Variable Models," CAMA Working Papers 2014-09, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  22. Joshua C.C. Chan & Rodney Strachan, 2014. "The Zero Lower Bound: Implications for Modelling the Interest Rate," Working Paper series 42_14, Rimini Centre for Economic Analysis.
  23. Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2014. "Stochastic Model Specification Search for Time-Varying Parameter VARs," CAMA Working Papers 2014-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  24. Joshua C.C. Chan & Eric Eisenstat, 2013. "Gibbs Samplers for VARMA and Its Extensions," ANU Working Papers in Economics and Econometrics 2013-604, Australian National University, College of Business and Economics, School of Economics.
  25. Joshua C.C. Chan & Roberto Leon-Gonzalez & Rodney W. Strachan, 2013. "Invariant Inference and Efficient Computation in the Static Factor Model," CAMA Working Papers 2013-32, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  26. Joshua C.C. Chan & Cody Yu-Ling Hsiao & Renée A. Fry-McKibbin, 2013. "A Regime Switching Skew-normal Model for Measuring Financial Crisis and Contagion," CAMA Working Papers 2013-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  27. Joshua C C Chan & Cody Y L Hsiao, 2013. "Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence," CAMA Working Papers 2013-74, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  28. Joshua C C Chan, 2012. "Moving Average Stochastic Volatility Models with Application to Inflation Forecast," ANU Working Papers in Economics and Econometrics 2012-591, Australian National University, College of Business and Economics, School of Economics.
  29. Chan, Joshua & Eisenstat, Eric, 2012. "Marginal Likelihood Estimation with the Cross-Entropy Method," MPRA Paper 40051, University Library of Munich, Germany.
  30. Tim J. Brereton & Dirk P. Kroese & Joshua C. Chan, 2012. "Monte Carlo Methods for Portfolio Credit Risk," ANU Working Papers in Economics and Econometrics 2012-579, Australian National University, College of Business and Economics, School of Economics.
  31. Chan, Joshua & Strachan, Rodney, 2012. "Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods," MPRA Paper 39360, University Library of Munich, Germany.
  32. Joshua C.C. Chan & Justin L. Tobias, 2012. "Priors and Posterior Computation in Linear Endogenous Variable Models with Imperfect Instruments," ANU Working Papers in Economics and Econometrics 2012-580, Australian National University, College of Business and Economics, School of Economics.
  33. Joshua C C Chan & Gary Koop & Simon M Potter, 2012. "A Bounded Model of Time Variation in Trend Inflation, NAIRU and the Phillips Curve," ANU Working Papers in Economics and Econometrics 2012-590, Australian National University, College of Business and Economics, School of Economics.
  34. Joshua Chan & Gary Koop & Simon Potter, 2012. "A New Model of Trend Inflation," Working Papers 1202, University of Strathclyde Business School, Department of Economics.
  35. Gary Koop & Joshua Chan, 2011. "Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables," Working Papers 1111, University of Strathclyde Business School, Department of Economics.
  36. Joshua C.C. Chan & Garry Koop & Roberto Leon Gonzales & Rodney W. Strachan, 2010. "Time Varying Dimension Models," ANU Working Papers in Economics and Econometrics 2010-523, Australian National University, College of Business and Economics, School of Economics.

Articles

  1. Joshua Chan & Roberto Leon-Gonzalez & Rodney W. Strachan, 2018. "Invariant Inference and Efficient Computation in the Static Factor Model," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(522), pages 819-828, April.
  2. Joshua C. C. Chan, 2018. "Specification tests for time-varying parameter models with stochastic volatility," Econometric Reviews, Taylor & Francis Journals, vol. 37(8), pages 807-823, September.
  3. Joshua C. C. Chan & Eric Eisenstat, 2018. "Bayesian model comparison for time†varying parameter VARs with stochastic volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(4), pages 509-532, June.
  4. Joshua C.C. Chan & Todd E. Clark & Gary Koop, 2018. "A New Model of Inflation, Trend Inflation, and Long†Run Inflation Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(1), pages 5-53, February.
  5. Joshua C.C. Chan & Yong Song, 2018. "Measuring Inflation Expectations Uncertainty Using High‐Frequency Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(6), pages 1139-1166, September.
  6. Joshua C.C. Chan & Eric Eisenstat, 2017. "Efficient estimation of Bayesian VARMAs with time†varying coefficients," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(7), pages 1277-1297, November.
  7. Grant, Angelia L. & Chan, Joshua C.C., 2017. "Reconciling output gaps: Unobserved components model and Hodrick–Prescott filter," Journal of Economic Dynamics and Control, Elsevier, vol. 75(C), pages 114-121.
  8. Joshua C. C. Chan, 2017. "The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 17-28, January.
  9. Angelia L. Grant & Joshua C.C. Chan, 2017. "A Bayesian Model Comparison for Trend‐Cycle Decompositions of Output," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(2-3), pages 525-552, March.
  10. Chan, Joshua C.C. & Grant, Angelia L., 2016. "Fast computation of the deviance information criterion for latent variable models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 847-859.
  11. Chan, Joshua C.C. & Grant, Angelia L., 2016. "Modeling energy price dynamics: GARCH versus stochastic volatility," Energy Economics, Elsevier, vol. 54(C), pages 182-189.
  12. Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary, 2016. "Large Bayesian VARMAs," Journal of Econometrics, Elsevier, vol. 192(2), pages 374-390.
  13. Joshua C. C. Chan & Gary Koop & Simon M. Potter, 2016. "A Bounded Model of Time Variation in Trend Inflation, Nairu and the Phillips Curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(3), pages 551-565, April.
  14. Joshua C. C. Chan & Angelia L. Grant, 2016. "On the Observed-Data Deviance Information Criterion for Volatility Modeling," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(4), pages 772-802.
  15. Chan, Joshua C.C. & Grant, Angelia L., 2015. "Pitfalls of estimating the marginal likelihood using the modified harmonic mean," Economics Letters, Elsevier, vol. 131(C), pages 29-33.
  16. Joshua C. C. Chan & Justin L. Tobias, 2015. "Priors and Posterior Computation in Linear Endogenous Variable Models with Imperfect Instruments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(4), pages 650-674, June.
  17. Joshua C. C. Chan & Eric Eisenstat, 2015. "Marginal Likelihood Estimation with the Cross-Entropy Method," Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 256-285, March.
  18. Chan, Joshua C.C. & Koop, Gary, 2014. "Modelling breaks and clusters in the steady states of macroeconomic variables," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 186-193.
  19. Joshua C. C. Chan & Gary Koop & Simon M. Potter, 2013. "A New Model of Trend Inflation," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(1), pages 94-106, January.
  20. Chan, Joshua C.C., 2013. "Moving average stochastic volatility models with application to inflation forecast," Journal of Econometrics, Elsevier, vol. 176(2), pages 162-172.
  21. Joshua C.C. Chan & Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan, 2012. "Time Varying Dimension Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 358-367, January.
  22. Joshua Chan & Dirk Kroese, 2011. "Rare-event probability estimation with conditional Monte Carlo," Annals of Operations Research, Springer, vol. 189(1), pages 43-61, September.
  23. Chan, Joshua C.C. & Kroese, Dirk P., 2010. "Efficient estimation of large portfolio loss probabilities in t-copula models," European Journal of Operational Research, Elsevier, vol. 205(2), pages 361-367, September.
  24. Joshua C. C. Chan, 2005. "Replication of the results in 'learning about heterogeneity in returns to schooling'," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 439-443.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 47 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (29) 2010-05-29 2011-06-11 2012-03-08 2012-08-23 2012-11-03 2012-11-03 2013-03-02 2013-05-24 2013-06-30 2013-12-06 2014-02-15 2014-03-15 2014-07-21 2014-10-17 2015-03-22 2015-03-22 2015-03-27 2015-06-13 2015-08-19 2015-11-15 2015-11-15 2017-01-22 2017-10-29 2018-06-11 2018-06-11 2018-07-16 2018-07-16 2018-08-27 2018-08-27. Author is listed
  2. NEP-ETS: Econometric Time Series (28) 2010-05-29 2011-06-11 2012-03-21 2012-03-28 2012-06-05 2012-06-25 2013-03-02 2013-05-24 2013-06-30 2013-12-06 2014-03-15 2014-10-17 2015-02-28 2015-03-22 2015-03-27 2015-06-13 2015-06-13 2015-08-19 2015-08-25 2015-11-15 2015-11-15 2015-12-08 2016-07-30 2018-06-11 2018-06-11 2018-07-16 2018-07-16 2018-08-27. Author is listed
  3. NEP-MAC: Macroeconomics (21) 2012-03-21 2012-06-05 2012-06-25 2012-06-25 2012-11-03 2014-02-15 2014-03-15 2014-10-17 2015-03-22 2015-08-19 2015-08-25 2015-11-01 2015-11-15 2016-07-30 2017-01-22 2017-10-29 2018-06-11 2018-07-16 2018-07-16 2018-08-27 2018-08-27. Author is listed
  4. NEP-FOR: Forecasting (19) 2010-05-29 2011-01-16 2011-06-11 2011-08-22 2012-03-21 2012-06-25 2012-11-03 2013-03-02 2013-06-30 2014-02-15 2015-03-22 2015-03-27 2015-06-13 2015-11-01 2015-11-15 2018-06-11 2018-06-11 2018-07-16 2018-08-27. Author is listed
  5. NEP-ORE: Operations Research (19) 2012-07-23 2013-06-30 2013-12-06 2014-02-15 2014-07-21 2014-10-17 2015-03-22 2015-03-22 2015-06-13 2015-06-13 2015-08-19 2015-11-01 2015-11-15 2015-11-15 2017-01-22 2018-06-11 2018-06-11 2018-07-16 2018-08-27. Author is listed
  6. NEP-MON: Monetary Economics (7) 2012-03-21 2012-06-25 2012-11-03 2015-03-22 2015-03-27 2015-11-01 2017-10-29. Author is listed
  7. NEP-CBA: Central Banking (6) 2010-05-29 2012-03-21 2012-06-25 2013-06-30 2015-03-27 2015-11-01. Author is listed
  8. NEP-BAN: Banking (3) 2012-08-23 2013-05-24 2015-03-27
  9. NEP-SOG: Sociology of Economics (2) 2014-02-15 2014-02-15
  10. NEP-CWA: Central & Western Asia (1) 2013-03-02
  11. NEP-ENE: Energy Economics (1) 2015-06-13
  12. NEP-FDG: Financial Development & Growth (1) 2015-08-25
  13. NEP-MST: Market Microstructure (1) 2017-10-29
  14. NEP-RMG: Risk Management (1) 2012-08-23

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