Items where Author is "Korobilis, D"

Article

Koop, G and Korobilis, D and Pettenuzzo, D (2019) Bayesian Compressed Vector Autoregressions. Journal of Econometrics, 210 (1). pp. 135-154. DOI https://doi.org/10.1016/j.jeconom.2018.11.009

Byrne, JP and Cao, S and Korobilis, D (2017) Forecasting the term structure of government bond yields in unstable environments. Journal of Empirical Finance, 44 (C). pp. 209-225. DOI https://doi.org/10.1016/j.jempfin.2017.09.004

Korobilis, D (2017) Quantile regression forecasts of inflation under model uncertainty. International Journal of Forecasting, 33 (1). pp. 11-20. DOI https://doi.org/10.1016/j.ijforecast.2016.07.005

Korobilis, D (2016) Prior selection for panel vector autoregressions. Computational Statistics and Data Analysis, 101 (C). pp. 110-120. DOI https://doi.org/10.1016/j.csda.2016.02.011

Byrne, J and Korobilis, D and Ribeiro, PJ (2016) Exchange rate predictability in a changing world. Journal of International Money and Finance, 62. pp. 1-24. DOI https://doi.org/10.1016/j.jimonfin.2015.12.001

Koop, G and Korobilis, D (2016) Model uncertainty in panel vector autoregressive models. European Economic Review, 81. pp. 115-131. DOI https://doi.org/10.1016/j.euroecorev.2015.09.006

Bauwens, L and Koop, G and Korobilis, D and Rombouts, JVK (2015) The contribution of structural break models to forecasting macroeconomic series. Journal of Applied Econometrics, 30 (4). pp. 596-620. DOI https://doi.org/10.1002/jae.2387

Koop, G and Korobilis, D (2014) A new index of financial conditions. European Economic Review, 71. pp. 101-116. DOI https://doi.org/10.1016/j.euroecorev.2014.07.002

Belmonte, MAG and Koop, G and Korobilis, D (2014) Hierarchical shrinkage in time-varying parameter models. Journal of Forecasting, 33 (1). pp. 80-94. DOI https://doi.org/10.1002/for.2276

Korobilis, D (2013) Assessing the transmission of monetary policy using time-varying parameter dynamic factor models. Oxford Bulletin of Economics and Statistics, 75 (2). pp. 157-179. DOI https://doi.org/10.1111/j.1468-0084.2011.00687.x

Korobilis, D (2013) Bayesian forecasting with highly correlated predictors. Economics Letters, 18 (1). pp. 148-150. DOI https://doi.org/10.1016/j.econlet.2012.10.003

Korobilis, D (2013) Hierarchical shrinkage priors for dynamic regressions with many predictors. International Journal of Forecasting, 29 (1). pp. 43-59. DOI https://doi.org/10.1016/j.ijforecast.2012.05.006

Koop, G and Korobilis, D (2013) Large Time-Varying Parameter VARs. Journal of Econometrics, 177 (2). pp. 185-198. DOI https://doi.org/10.1016/j.jeconom.2013.04.007

Koop, G and Korobilis, D (2012) Forecasting inflation using dynamic model averaging. International Economic Review, 53 (3). pp. 867-886. DOI https://doi.org/10.1111/j.1468-2354.2012.00704.x

Korobilis, D and Gilmartin, M (2012) On regional unemployment: an empirical examination of the determinants of geographical differentials in the UK. Scottish Journal of Political Economy, 59 (2). pp. 179-195. DOI https://doi.org/10.1111/j.1467-9485.2011.00575.x

Koop, G and Korobilis, D (2011) UK macroeconomic forecasting with many predictors: which models forecast best and when do they do so? Economic Modelling, 28 (5). pp. 2307-2318. DOI https://doi.org/10.1016/j.econmod.2011.04.008

Korobilis, D (2011) VAR forecasting using Bayesian variable selection. Journal of Applied Econometrics, 28 (2). pp. 204-230. DOI https://doi.org/10.1002/jae.1271

Koop, G and Korobilis, D (2010) Bayesian multivariate time series methods for empirical macroeconomics. Foundations and Trends in Econometrics, 3 (4). pp. 267-358. DOI https://doi.org/10.1561/0800000013

Book Section

Bauwens, L and Korobilis, D (2013) Bayesian methods. In: Handbook of Empirical Methods in Macroeconomics. UNIVERSITE CATHOLIQUE DE LOUVAIN, Center for Operations Research and Econometrics (CORE) . Edward Elgar Publishing, Cheltenham, pp. 363-380. ISBN 9780857931016.

Korobilis, D (2008) Forecasting in vector autoregressions with many predictors. In: Bayesian Econometrics. Advances in Econometrics, 23 . Emerald, pp. 403-431. ISBN 9781848553088. Official URL: https://doi.org/10.1016/s0731-9053(08)23012-4

Monograph

Koop, G and Korobilis, D (2018) Forecasting with High-Dimensional Panel VARs. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

Korobilis, D and Yilmaz, K (2018) Measuring Dynamic Connectedness with Large Bayesian VAR Models. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

Beckmann, J and Koop, G and Korobilis, D and Schüssler, R (2017) Exchange rate predictability and dynamic Bayesian learning. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

Gambetti, L and Korobilis, D and Tsoukalas, J and Zanetti, F (2017) The Effect of News Shocks and Monetary Policy. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

Korobilis, D (2017) Forecasting with many predictors using message passing algorithms. Working Paper. Essex Finance Centre Working Papers, Colchester.

Korobilis, D and Pettenuzzo, D (2016) Adaptive Minnesota Prior for High-Dimensional Vector Autoregressions. Working Paper. Essex Finance Centre Working Papers, Colchester.

Byrne, JP and Cao, S and Korobilis, D (2016) Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty. Working Paper. Essex Finance Centre Working Papers.

Byrne, JP and Cao, S and Korobilis, D (2016) Decomposing Global Yield Curve Co-Movement. Working Paper. Essex Finance Centre Working Papers, Colchester.