Details about Dimitris Korobilis

Access statistics for papers by Dimitris Korobilis.

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Short-id: pko254

Working Papers

2020

1. Bayesian dynamic variable selection in high dimensions
   Working Papers, Business School - Economics, University of Glasgow
   Also in MPRA Paper, University Library of Munich, Germany (2020) View citations (1)
2. Energy Markets and Global Economic Conditions
   Working Papers, Business School - Economics, University of Glasgow View citations (7)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (9)
   CESifo Working Paper Series, CESifo (2020) View citations (9)
   NBER Working Papers, National Bureau of Economic Research, Inc (2020) View citations (9)
3. High-dimensional macroeconomic forecasting using message passing algorithms
   Papers, arXiv.org View citations (4)
   Also in Working Paper series, Rimini Centre for Economic Analysis (2019) View citations (5)
   Working Papers, Business School - Economics, University of Glasgow (2019) View citations (1)
   MPRA Paper, University Library of Munich, Germany (2019) View citations (6)
4. Machine Learning Econometrics: Bayesian algorithms and methods
   Papers, arXiv.org
   Also in Working Papers, Brandeis University, Department of Economics and International Businesss School (2020)
   Working Papers, Business School - Economics, University of Glasgow (2020)
   MPRA Paper, University Library of Munich, Germany (2020)
5. Sign restrictions in high-dimensional vector autoregressions
   Working Paper series, Rimini Centre for Economic Analysis
   Also in Working Papers, Business School - Economics, University of Glasgow (2020)

2019

6. The Effect of News Shocks and Monetary Policy
   Discussion Papers, Department of Economics, University of Birmingham View citations (5)
   Also in Discussion Papers, Centre for Macroeconomics (CFM) (2017) View citations (4)
   BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics (2017) View citations (3)
   Working Paper series, Rimini Centre for Economic Analysis (2018)
   CESifo Working Paper Series, CESifo (2019) View citations (3)
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2017) View citations (6)
   Working Papers, Business School - Economics, University of Glasgow (2017) View citations (1)
   Economics Series Working Papers, University of Oxford, Department of Economics (2017) View citations (1)

2018

7. Adaptive Hierarchical Priors for High-Dimensional Vector Autoregressions
   Working Paper series, Rimini Centre for Economic Analysis View citations (3)
   Also in Working Papers, Brandeis University, Department of Economics and International Businesss School (2017) View citations (3)
   See also Journal Article in Journal of Econometrics (2019)
8. Exchange rate predictability and dynamic Bayesian learning
   VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy, Verein für Socialpolitik / German Economic Association View citations (2)
   Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2017) View citations (1)
   See also Journal Article in Journal of Applied Econometrics (2020)
9. Forecasting with High-Dimensional Panel VARs
   Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (2)
   Also in Working Paper series, Rimini Centre for Economic Analysis (2018) View citations (1)
   MPRA Paper, University Library of Munich, Germany (2018)
   Working Papers, Business School - Economics, University of Glasgow (2015) View citations (16)
   See also Journal Article in Oxford Bulletin of Economics and Statistics (2019)
10. Machine Learning Macroeconometrics A Primer
    Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (2)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2018) View citations (2)
11. Measuring Dynamic Connectedness with Large Bayesian VAR Models
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum View citations (19)
    Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2018) View citations (19)
12. Variational Bayes inference in high-dimensional time-varying parameter models
    Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (7)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2018) View citations (6)
    MPRA Paper, University Library of Munich, Germany (2018) View citations (11)

2017

13. Bayesian Compressed Vector Autoregressions
    Working Paper series, Rimini Centre for Economic Analysis View citations (2)
    Also in Working Papers, Brandeis University, Department of Economics and International Businesss School (2016) View citations (16)
    Working Papers, Business School - Economics, University of Glasgow (2016) View citations (8)
    Working Papers, Brandeis University, Department of Economics and International Businesss School (2016) View citations (14)
    See also Journal Article in Journal of Econometrics (2019)
14. Forecasting with many predictors using message passing algorithms
    Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (5)

2016

15. Adaptive Minnesota Prior for High-Dimensional Vector Autoregressions
    Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (3)
16. Decomposing Global Yield Curve Co-Movement
    Essex Finance Centre Working Papers, University of Essex, Essex Business School
    See also Journal Article in Journal of Banking & Finance (2019)
17. Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty
    Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2015)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2015)
    Working Papers, Business School - Economics, University of Glasgow (2015)

2015

18. Co-Movement, Spillovers and Excess Returns in Global Bond Markets
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE)
    Also in Working Papers, Business School - Economics, University of Glasgow (2015)
19. Model Uncertainty in Panel Vector Autoregressive Models
    Working Paper series, Rimini Centre for Economic Analysis View citations (3)
    Also in Working Papers, Business School - Economics, University of Glasgow (2014) View citations (2)
    Working Papers, University of Strathclyde Business School, Department of Economics (2014) View citations (9)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2014) View citations (2)
    MPRA Paper, University Library of Munich, Germany (2014) View citations (2)
    Working Paper series, Rimini Centre for Economic Analysis (2014) View citations (5)
    See also Journal Article in European Economic Review (2016)
20. Prior selection for panel vector autoregressions
    MPRA Paper, University Library of Munich, Germany View citations (5)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2015) View citations (2)
    Working Papers, Business School - Economics, University of Glasgow (2015) View citations (2)
    See also Journal Article in Computational Statistics & Data Analysis (2016)
21. Quantile forecasts of inflation under model uncertainty
    MPRA Paper, University Library of Munich, Germany View citations (2)
    Also in Working Papers, Business School - Economics, University of Glasgow (2015) View citations (1)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2015) View citations (2)
22. The Contribution of Structural Break Models to Forecating Macroeconomic Series
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (11)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2011) View citations (4)
    See also Journal Article in Journal of Applied Econometrics (2015)

2014

23. Data-based priors for vector autoregressions with drifting coefficients
    MPRA Paper, University Library of Munich, Germany View citations (7)
    Also in Working Papers, Business School - Economics, University of Glasgow (2014) View citations (8)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2014) View citations (12)
24. Exchange Rate Predictability in a Changing World
    Working Paper series, Rimini Centre for Economic Analysis View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2014) View citations (7)
    Papers, arXiv.org (2014) View citations (2)
    Working Papers, Business School - Economics, University of Glasgow (2014) View citations (5)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2014) View citations (2)
    See also Journal Article in Journal of International Money and Finance (2016)
25. On the Sources of Uncertainty in Exchange Rate Predictability
    Working Papers, Business School - Economics, University of Glasgow View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2014) View citations (6)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2014) View citations (4)
    See also Journal Article in International Economic Review (2018)

2013

26. A New Index of Financial Conditions
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (16)
    Also in Working Papers, Business School - Economics, University of Glasgow View citations (11)
    MPRA Paper, University Library of Munich, Germany (2013) View citations (14)
    Working Papers, University of Strathclyde Business School, Department of Economics (2013) View citations (10)
    See also Journal Article in European Economic Review (2014)
27. Forecasting with Factor Models: A Bayesian Model Averaging Perspective
    MPRA Paper, University Library of Munich, Germany

2012

28. Bayesian Forecasting with Highly Correlated Predictors
    Working Paper series, Rimini Centre for Economic Analysis View citations (2)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2012) View citations (1)
    Working Papers, Business School - Economics, University of Glasgow (2012) View citations (1)
    See also Journal Article in Economics Letters (2013)
29. Large Time-Varying Parameter VARs
    Working Paper series, Rimini Centre for Economic Analysis View citations (14)
    Also in MPRA Paper, University Library of Munich, Germany (2012) View citations (44)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2012) View citations (15)
    Working Papers, Business School - Economics, University of Glasgow (2012) View citations (20)
    See also Journal Article in Journal of Econometrics (2013)

2011

30. A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (7)
    Also in CIRANO Working Papers, CIRANO (2011) View citations (7)
    Cahiers de recherche, CIRPEE (2011) View citations (10)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (5)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (4)
    See also Journal Article in Journal of Applied Econometrics (2015)
31. Bayesian methods
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
    See also Chapter (2013)
32. Forecasting Inflation Using Dynamic Model Averaging
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (5)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2009) View citations (61)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2010) View citations (6)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (5)
    See also Journal Article in International Economic Review (2012)
33. Hierarchical Shrinkage Priors for Dynamic Regressions with Many Predictors
    Working Paper series, Rimini Centre for Economic Analysis View citations (9)
    Also in MPRA Paper, University Library of Munich, Germany (2011) View citations (4)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (4)
    See also Journal Article in International Journal of Forecasting (2013)
34. Hierarchical Shrinkage in Time-Varying Parameter Models
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (5)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (5)
    Working Paper series, Rimini Centre for Economic Analysis (2011) View citations (27)
    MPRA Paper, University Library of Munich, Germany (2011) View citations (6)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (4)
    See also Journal Article in Journal of Forecasting (2014)
35. On Regional Unemployment: An Empirical Examination of the Determinants of Geographical Differentials in the UK
    Working Paper series, Rimini Centre for Economic Analysis View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (1)
    See also Journal Article in Scottish Journal of Political Economy (2012)
36. The Dynamic Effects of U.S. Monetary Policy on State Unemployment
    Working Paper series, Rimini Centre for Economic Analysis View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (3)
37. UK Macroeconomic Forecasting with Many Predictors: Which Models Forecast Best and When Do They Do So?
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (43)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (42)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2009) View citations (1)
    Working Papers, University of Strathclyde Business School, Department of Economics (2009) View citations (1)
    See also Journal Article in Economic Modelling (2011)
38. VAR Forecasting Using Bayesian Variable Selection
    Working Paper series, Rimini Centre for Economic Analysis View citations (11)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (34)
    MPRA Paper, University Library of Munich, Germany (2009) View citations (10)
    See also Journal Article in Journal of Applied Econometrics (2013)

2010

39. Assessing the transmission of monetary policy using dynamic factor models
    MPRA Paper, University Library of Munich, Germany View citations (3)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2009) View citations (20)
    Working Paper series, Rimini Centre for Economic Analysis (2009) View citations (15)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2013)

2009

40. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
    MPRA Paper, University Library of Munich, Germany View citations (74)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2009) View citations (135)
    See also Journal Article in Foundations and Trends(R) in Econometrics (2010)

2008

41. Forecasting in vector autoregressions with many predictors
    MPRA Paper, University Library of Munich, Germany View citations (37)

Journal Articles

2020

1. Exchange rate predictability and dynamic Bayesian learning
   Journal of Applied Econometrics, 2020, 35, (4), 410-421 View citations (4)
   See also Working Paper (2018)

2019

2. Adaptive hierarchical priors for high-dimensional vector autoregressions
   Journal of Econometrics, 2019, 212, (1), 241-271 View citations (13)
   See also Working Paper (2018)
3. Bayesian compressed vector autoregressions
   Journal of Econometrics, 2019, 210, (1), 135-154 View citations (23)
   See also Working Paper (2017)
4. Decomposing global yield curve co-movement
   Journal of Banking & Finance, 2019, 106, (C), 500-513 View citations (1)
   See also Working Paper (2016)
5. Forecasting with High‐Dimensional Panel VARs
   Oxford Bulletin of Economics and Statistics, 2019, 81, (5), 937-959 View citations (2)
   See also Working Paper (2018)

2018

6. ON THE SOURCES OF UNCERTAINTY IN EXCHANGE RATE PREDICTABILITY
   International Economic Review, 2018, 59, (1), 329-357 View citations (16)
   See also Working Paper (2014)

2017

7. Forecasting the term structure of government bond yields in unstable environments
   Journal of Empirical Finance, 2017, 44, (C), 209-225 View citations (7)
8. Quantile regression forecasts of inflation under model uncertainty
   International Journal of Forecasting, 2017, 33, (1), 11-20 View citations (10)

2016

9. Exchange rate predictability in a changing world
   Journal of International Money and Finance, 2016, 62, (C), 1-24 View citations (19)
   See also Working Paper (2014)
10. Model uncertainty in Panel Vector Autoregressive models
    European Economic Review, 2016, 81, (C), 115-131 View citations (28)
    See also Working Paper (2015)
11. Prior selection for panel vector autoregressions
    Computational Statistics & Data Analysis, 2016, 101, (C), 110-120 View citations (17)
    See also Working Paper (2015)

2015

12. The Contribution of Structural Break Models to Forecasting Macroeconomic Series
    Journal of Applied Econometrics, 2015, 30, (4), 596-620 View citations (37)
    See also Working Paper (2015)
    Working Paper (2011)

2014

13. A new index of financial conditions
    European Economic Review, 2014, 71, (C), 101-116 View citations (84)
    See also Working Paper (2013)
14. Hierarchical Shrinkage in Time‐Varying Parameter Models
    Journal of Forecasting, 2014, 33, (1), 80-94 View citations (60)
    See also Working Paper (2011)

2013

15. Assessing the Transmission of Monetary Policy Using Time-varying Parameter Dynamic Factor Models-super-
    Oxford Bulletin of Economics and Statistics, 2013, 75, (2), 157-179 View citations (83)
    See also Working Paper (2010)
16. Bayesian forecasting with highly correlated predictors
    Economics Letters, 2013, 118, (1), 148-150 View citations (22)
    See also Working Paper (2012)
17. Hierarchical shrinkage priors for dynamic regressions with many predictors
    International Journal of Forecasting, 2013, 29, (1), 43-59 View citations (45)
    See also Working Paper (2011)
18. Large time-varying parameter VARs
    Journal of Econometrics, 2013, 177, (2), 185-198 View citations (180)
    See also Working Paper (2012)
19. VAR FORECASTING USING BAYESIAN VARIABLE SELECTION
    Journal of Applied Econometrics, 2013, 28, (2), 204-230 View citations (93)
    See also Working Paper (2011)

2012

20. FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING
    International Economic Review, 2012, 53, (3), 867-886 View citations (171)
    See also Working Paper (2011)
21. On Regional Unemployment: An Empirical Examination of the Determinants of Geographical Differentials in the UK
    Scottish Journal of Political Economy, 2012, 59, (2), 179-195 View citations (5)
    See also Working Paper (2011)

2011

22. UK macroeconomic forecasting with many predictors: Which models forecast best and when do they do so?
    Economic Modelling, 2011, 28, (5), 2307-2318 View citations (40)
    See also Working Paper (2011)

2010

23. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
    Foundations and Trends(R) in Econometrics, 2010, 3, (4), 267-358 View citations (300)
    See also Working Paper (2009)

Chapters

2013

1. Bayesian methods
   Chapter 16 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 363-380
   See also Working Paper (2011)