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Details about Dimitris Korobilis

Homepage:https://sites.google.com/site/dimitriskorobilis/Research
Postal address:Professor of Finance, Essex Business School, Wivenhoe Park, Colchester C04 3SQ
Workplace:Department of Economics, Adam Smith Business School, University of Glasgow, (more information at EDIRC)
Rimini Centre for Economic Analysis (RCEA), (more information at EDIRC)

Access statistics for papers by Dimitris Korobilis.

Last updated 2019-10-20. Update your information in the RePEc Author Service.

Short-id: pko254


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Working Papers

2019

  1. High-dimensional macroeconomic forecasting using message passing algorithms
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2017) Downloads View citations (3)
    Working Paper series, Rimini Centre for Economic Analysis (2019) Downloads
  2. The Effect of News Shocks and Monetary Policy
    Discussion Papers, Department of Economics, University of Birmingham Downloads View citations (3)
    Also in CESifo Working Paper Series, CESifo Group Munich (2019) Downloads
    Working Papers, Business School - Economics, University of Glasgow (2017) Downloads View citations (1)
    BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics (2017) Downloads View citations (2)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2017) Downloads View citations (5)
    Economics Series Working Papers, University of Oxford, Department of Economics (2017) Downloads View citations (1)
    Discussion Papers, Centre for Macroeconomics (CFM) (2017) Downloads View citations (4)
    Working Paper series, Rimini Centre for Economic Analysis (2018) Downloads

2018

  1. Adaptive Hierarchical Priors for High-Dimensional Vector Autoregressions
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (3)
    Also in Working Papers, Brandeis University, Department of Economics and International Businesss School (2017) Downloads View citations (3)

    See also Journal Article in Journal of Econometrics (2019)
  2. Exchange rate predictability and dynamic Bayesian learning
    Annual Conference 2018 (Freiburg, Breisgau): Digital Economy, Verein für Socialpolitik / German Economic Association Downloads View citations (1)
    Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2017) Downloads
  3. Forecasting with High-Dimensional Panel VARs
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2018) Downloads View citations (2)
    Working Paper series, Rimini Centre for Economic Analysis (2018) Downloads View citations (1)
    Working Papers, Business School - Economics, University of Glasgow (2015) Downloads View citations (13)

    See also Journal Article in Oxford Bulletin of Economics and Statistics (2019)
  4. Machine Learning Macroeconometrics A Primer
    Essex Finance Centre Working Papers, University of Essex, Essex Business School Downloads View citations (1)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2018) Downloads View citations (1)
  5. Measuring Dynamic Connectedness with Large Bayesian VAR Models
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum Downloads View citations (9)
    Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2018) Downloads View citations (9)
  6. Variational Bayes inference in high-dimensional time-varying parameter models
    Essex Finance Centre Working Papers, University of Essex, Essex Business School Downloads View citations (3)
    Also in MPRA Paper, University Library of Munich, Germany (2018) Downloads View citations (3)
    Working Paper series, Rimini Centre for Economic Analysis (2018) Downloads View citations (1)

2017

  1. Bayesian Compressed Vector Autoregressions
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (2)
    Also in Working Papers, Brandeis University, Department of Economics and International Businesss School (2016) Downloads View citations (11)
    Working Papers, Brandeis University, Department of Economics and International Businesss School (2016) Downloads View citations (14)
    Working Papers, Business School - Economics, University of Glasgow (2016) Downloads View citations (6)

    See also Journal Article in Journal of Econometrics (2019)

2016

  1. Adaptive Minnesota Prior for High-Dimensional Vector Autoregressions
    Essex Finance Centre Working Papers, University of Essex, Essex Business School Downloads View citations (2)
  2. Decomposing Global Yield Curve Co-Movement
    Essex Finance Centre Working Papers, University of Essex, Essex Business School Downloads
    See also Journal Article in Journal of Banking & Finance (2019)
  3. Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty
    Essex Finance Centre Working Papers, University of Essex, Essex Business School Downloads
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2015) Downloads View citations (1)
    MPRA Paper, University Library of Munich, Germany (2015) Downloads View citations (1)
    Working Papers, Business School - Economics, University of Glasgow (2015) Downloads View citations (1)

2015

  1. Co-Movement, Spillovers and Excess Returns in Global Bond Markets
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads
    Also in Working Papers, Business School - Economics, University of Glasgow (2015) Downloads
  2. Model Uncertainty in Panel Vector Autoregressive Models
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (3)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2014) Downloads View citations (6)
    Working Papers, University of Strathclyde Business School, Department of Economics (2014) Downloads View citations (9)
    Working Papers, Business School - Economics, University of Glasgow (2014) Downloads View citations (2)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2014) Downloads View citations (2)
    MPRA Paper, University Library of Munich, Germany (2014) Downloads View citations (2)

    See also Journal Article in European Economic Review (2016)
  3. Prior selection for panel vector autoregressions
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (2)
    Also in Working Papers, Business School - Economics, University of Glasgow (2015) Downloads View citations (2)
    MPRA Paper, University Library of Munich, Germany (2015) Downloads View citations (5)

    See also Journal Article in Computational Statistics & Data Analysis (2016)
  4. Quantile forecasts of inflation under model uncertainty
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (2)
    Also in Working Papers, Business School - Economics, University of Glasgow (2015) Downloads View citations (1)
    MPRA Paper, University Library of Munich, Germany (2015) Downloads View citations (2)
  5. The Contribution of Structural Break Models to Forecating Macroeconomic Series
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (4)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2011) Downloads View citations (4)

    See also Journal Article in Journal of Applied Econometrics (2015)

2014

  1. Data-based priors for vector autoregressions with drifting coefficients
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)
    Also in Working Papers, Business School - Economics, University of Glasgow (2014) Downloads View citations (5)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2014) Downloads View citations (9)
  2. Exchange Rate Predictability in a Changing World
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2014) Downloads View citations (7)
    Working Papers, Business School - Economics, University of Glasgow (2014) Downloads View citations (5)
    Working Paper series, Rimini Centre for Economic Analysis (2014) Downloads View citations (2)
    Papers, arXiv.org (2014) Downloads View citations (2)

    See also Journal Article in Journal of International Money and Finance (2016)
  3. On the Sources of Uncertainty in Exchange Rate Predictability
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (2)
    Also in Working Papers, Business School - Economics, University of Glasgow (2014) Downloads View citations (2)
    MPRA Paper, University Library of Munich, Germany (2014) Downloads View citations (4)

    See also Journal Article in International Economic Review (2018)

2013

  1. A New Index of Financial Conditions
    MPRA Paper, University Library of Munich, Germany Downloads View citations (14)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2013) Downloads View citations (14)
    Working Papers, Business School - Economics, University of Glasgow Downloads View citations (11)
    Working Papers, University of Strathclyde Business School, Department of Economics (2013) Downloads View citations (10)

    See also Journal Article in European Economic Review (2014)
  2. Forecasting with Factor Models: A Bayesian Model Averaging Perspective
    MPRA Paper, University Library of Munich, Germany Downloads

2012

  1. Bayesian Forecasting with Highly Correlated Predictors
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (2)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2012) Downloads View citations (1)
    Working Papers, Business School - Economics, University of Glasgow (2012) Downloads View citations (1)

    See also Journal Article in Economics Letters (2013)
  2. Large Time-Varying Parameter VARs
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (14)
    Also in Working Papers, Business School - Economics, University of Glasgow (2012) Downloads View citations (20)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2012) Downloads View citations (15)
    MPRA Paper, University Library of Munich, Germany (2012) Downloads View citations (41)

    See also Journal Article in Journal of Econometrics (2013)

2011

  1. A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (7)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (5)
    Cahiers de recherche, CIRPEE (2011) Downloads View citations (10)
    CIRANO Working Papers, CIRANO (2011) Downloads View citations (7)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) Downloads View citations (4)

    See also Journal Article in Journal of Applied Econometrics (2015)
  2. Bayesian methods
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (1)
    See also Chapter (2013)
  3. Forecasting Inflation Using Dynamic Model Averaging
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (5)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2009) Downloads View citations (61)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (5)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2010) Downloads View citations (6)

    See also Journal Article in International Economic Review (2012)
  4. Hierarchical Shrinkage Priors for Dynamic Regressions with Many Predictors
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (9)
    Also in MPRA Paper, University Library of Munich, Germany (2011) Downloads View citations (4)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) Downloads View citations (4)

    See also Journal Article in International Journal of Forecasting (2013)
  5. Hierarchical Shrinkage in Time-Varying Parameter Models
    Working Papers, University of Strathclyde Business School, Department of Economics Downloads View citations (3)
    Also in MPRA Paper, University Library of Munich, Germany (2011) Downloads View citations (5)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) Downloads View citations (4)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) Downloads View citations (4)
    Working Paper series, Rimini Centre for Economic Analysis (2011) Downloads View citations (26)

    See also Journal Article in Journal of Forecasting (2014)
  6. On Regional Unemployment: An Empirical Examination of the Determinants of Geographical Differentials in the UK
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2010) Downloads View citations (1)

    See also Journal Article in Scottish Journal of Political Economy (2012)
  7. The Dynamic Effects of U.S. Monetary Policy on State Unemployment
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2010) Downloads View citations (2)
  8. 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) Downloads View citations (37)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2009) Downloads View citations (1)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (37)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2009) Downloads View citations (1)

    See also Journal Article in Economic Modelling (2011)
  9. VAR Forecasting Using Bayesian Variable Selection
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (11)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) Downloads View citations (34)
    MPRA Paper, University Library of Munich, Germany (2009) Downloads View citations (9)

    See also Journal Article in Journal of Applied Econometrics (2013)

2010

  1. Assessing the transmission of monetary policy using dynamic factor models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2009) Downloads View citations (19)
    Working Paper series, Rimini Centre for Economic Analysis (2009) Downloads View citations (13)

    See also Journal Article in Oxford Bulletin of Economics and Statistics (2013)

2009

  1. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
    MPRA Paper, University Library of Munich, Germany Downloads View citations (65)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2009) Downloads View citations (116)

    See also Journal Article in Foundations and Trends(R) in Econometrics (2010)

2008

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

Journal Articles

2019

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

2018

  1. ON THE SOURCES OF UNCERTAINTY IN EXCHANGE RATE PREDICTABILITY
    International Economic Review, 2018, 59, (1), 329-357 Downloads View citations (8)
    See also Working Paper (2014)

2017

  1. Forecasting the term structure of government bond yields in unstable environments
    Journal of Empirical Finance, 2017, 44, (C), 209-225 Downloads View citations (5)
  2. Quantile regression forecasts of inflation under model uncertainty
    International Journal of Forecasting, 2017, 33, (1), 11-20 Downloads View citations (4)

2016

  1. Exchange rate predictability in a changing world
    Journal of International Money and Finance, 2016, 62, (C), 1-24 Downloads View citations (7)
    See also Working Paper (2014)
  2. Model uncertainty in Panel Vector Autoregressive models
    European Economic Review, 2016, 81, (C), 115-131 Downloads View citations (17)
    See also Working Paper (2015)
  3. Prior selection for panel vector autoregressions
    Computational Statistics & Data Analysis, 2016, 101, (C), 110-120 Downloads View citations (12)
    See also Working Paper (2015)

2015

  1. The Contribution of Structural Break Models to Forecasting Macroeconomic Series
    Journal of Applied Econometrics, 2015, 30, (4), 596-620 Downloads View citations (24)
    See also Working Paper (2015)
    Working Paper (2011)

2014

  1. A new index of financial conditions
    European Economic Review, 2014, 71, (C), 101-116 Downloads View citations (61)
    See also Working Paper (2013)
  2. Hierarchical Shrinkage in Time‐Varying Parameter Models
    Journal of Forecasting, 2014, 33, (1), 80-94 Downloads View citations (41)
    See also Working Paper (2011)

2013

  1. 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 Downloads View citations (68)
    See also Working Paper (2010)
  2. Bayesian forecasting with highly correlated predictors
    Economics Letters, 2013, 118, (1), 148-150 Downloads View citations (21)
    See also Working Paper (2012)
  3. Hierarchical shrinkage priors for dynamic regressions with many predictors
    International Journal of Forecasting, 2013, 29, (1), 43-59 Downloads View citations (37)
    See also Working Paper (2011)
  4. Large time-varying parameter VARs
    Journal of Econometrics, 2013, 177, (2), 185-198 Downloads View citations (131)
    See also Working Paper (2012)
  5. VAR FORECASTING USING BAYESIAN VARIABLE SELECTION
    Journal of Applied Econometrics, 2013, 28, (2), 204-230 View citations (83)
    See also Working Paper (2011)

2012

  1. FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING
    International Economic Review, 2012, 53, (3), 867-886 Downloads View citations (126)
    See also Working Paper (2011)
  2. 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 Downloads View citations (4)
    See also Working Paper (2011)

2011

  1. UK macroeconomic forecasting with many predictors: Which models forecast best and when do they do so?
    Economic Modelling, 2011, 28, (5), 2307-2318 Downloads View citations (35)
    See also Working Paper (2011)

2010

  1. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
    Foundations and Trends(R) in Econometrics, 2010, 3, (4), 267-358 Downloads View citations (259)
    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 Downloads
    See also Working Paper (2011)
 
Page updated 2019-10-22