Details about Dimitris Korobilis

Access statistics for papers by Dimitris Korobilis.

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

Short-id: pko254

Working Papers

2019

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

2018

3. 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)
4. Exchange rate predictability and dynamic Bayesian learning
   Annual Conference 2018 (Freiburg, Breisgau): Digital Economy, Verein für Socialpolitik / German Economic Association View citations (1)
   Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2017)
5. Forecasting with High-Dimensional Panel VARs
   MPRA Paper, University Library of Munich, Germany
   Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2018) View citations (2)
   Working Paper series, Rimini Centre for Economic Analysis (2018) View citations (1)
   Working Papers, Business School - Economics, University of Glasgow (2015) View citations (13)
   See also Journal Article in Oxford Bulletin of Economics and Statistics (2019)
6. Machine Learning Macroeconometrics A Primer
   Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (1)
   Also in Working Paper series, Rimini Centre for Economic Analysis (2018) View citations (1)
7. Measuring Dynamic Connectedness with Large Bayesian VAR Models
   Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum View citations (9)
   Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2018) View citations (9)
8. Variational Bayes inference in high-dimensional time-varying parameter models
   Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (3)
   Also in MPRA Paper, University Library of Munich, Germany (2018) View citations (3)
   Working Paper series, Rimini Centre for Economic Analysis (2018) View citations (1)

2017

9. 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 (11)
   Working Papers, Brandeis University, Department of Economics and International Businesss School (2016) View citations (14)
   Working Papers, Business School - Economics, University of Glasgow (2016) View citations (6)
   See also Journal Article in Journal of Econometrics (2019)

2016

10. Adaptive Minnesota Prior for High-Dimensional Vector Autoregressions
    Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (2)
11. 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)
12. Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty
    Essex Finance Centre Working Papers, University of Essex, Essex Business School
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2015) View citations (1)
    MPRA Paper, University Library of Munich, Germany (2015) View citations (1)
    Working Papers, Business School - Economics, University of Glasgow (2015) View citations (1)

2015

13. 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)
14. Model Uncertainty in Panel Vector Autoregressive Models
    Working Paper series, Rimini Centre for Economic Analysis View citations (3)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2014) View citations (6)
    Working Papers, University of Strathclyde Business School, Department of Economics (2014) View citations (9)
    Working Papers, Business School - Economics, University of Glasgow (2014) View citations (2)
    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)
    See also Journal Article in European Economic Review (2016)
15. Prior selection for panel vector autoregressions
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (2)
    Also in Working Papers, Business School - Economics, University of Glasgow (2015) View citations (2)
    MPRA Paper, University Library of Munich, Germany (2015) View citations (5)
    See also Journal Article in Computational Statistics & Data Analysis (2016)
16. Quantile forecasts of inflation under model uncertainty
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (2)
    Also in Working Papers, Business School - Economics, University of Glasgow (2015) View citations (1)
    MPRA Paper, University Library of Munich, Germany (2015) View citations (2)
17. 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) View citations (4)
    See also Journal Article in Journal of Applied Econometrics (2015)

2014

18. Data-based priors for vector autoregressions with drifting coefficients
    MPRA Paper, University Library of Munich, Germany View citations (5)
    Also in 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 (9)
19. Exchange Rate Predictability in a Changing World
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2014) View citations (7)
    Working Papers, Business School - Economics, University of Glasgow (2014) View citations (5)
    Working Paper series, Rimini Centre for Economic Analysis (2014) View citations (2)
    Papers, arXiv.org (2014) View citations (2)
    See also Journal Article in Journal of International Money and Finance (2016)
20. On the Sources of Uncertainty in Exchange Rate Predictability
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (2)
    Also in Working Papers, Business School - Economics, University of Glasgow (2014) View citations (2)
    MPRA Paper, University Library of Munich, Germany (2014) View citations (4)
    See also Journal Article in International Economic Review (2018)

2013

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

2012

23. 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)
24. Large Time-Varying Parameter VARs
    Working Paper series, Rimini Centre for Economic Analysis View citations (14)
    Also in Working Papers, Business School - Economics, University of Glasgow (2012) View citations (20)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2012) View citations (15)
    MPRA Paper, University Library of Munich, Germany (2012) View citations (41)
    See also Journal Article in Journal of Econometrics (2013)

2011

25. 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 Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (5)
    Cahiers de recherche, CIRPEE (2011) View citations (10)
    CIRANO Working Papers, CIRANO (2011) View citations (7)
    CORE Discussion Papers, 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)
26. Bayesian methods
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
    See also Chapter (2013)
27. 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)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (5)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2010) View citations (6)
    See also Journal Article in International Economic Review (2012)
28. 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)
    CORE Discussion Papers, 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)
29. Hierarchical Shrinkage in Time-Varying Parameter Models
    Working Papers, University of Strathclyde Business School, Department of Economics View citations (3)
    Also in MPRA Paper, University Library of Munich, Germany (2011) View citations (5)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (4)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) View citations (4)
    Working Paper series, Rimini Centre for Economic Analysis (2011) View citations (26)
    See also Journal Article in Journal of Forecasting (2014)
30. 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)
31. 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 (2)
32. 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 (37)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2009) View citations (1)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (37)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2009) View citations (1)
    See also Journal Article in Economic Modelling (2011)
33. VAR Forecasting Using Bayesian Variable Selection
    Working Paper series, Rimini Centre for Economic Analysis View citations (11)
    Also in CORE Discussion Papers, 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 (9)
    See also Journal Article in Journal of Applied Econometrics (2013)

2010

34. 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 (19)
    Working Paper series, Rimini Centre for Economic Analysis (2009) View citations (13)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2013)

2009

35. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
    MPRA Paper, University Library of Munich, Germany View citations (65)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2009) View citations (116)
    See also Journal Article in Foundations and Trends(R) in Econometrics (2010)

2008

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

Journal Articles

2019

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

2018

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

2017

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

2016

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

2015

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

2014

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

2013

14. 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 (68)
    See also Working Paper (2010)
15. Bayesian forecasting with highly correlated predictors
    Economics Letters, 2013, 118, (1), 148-150 View citations (21)
    See also Working Paper (2012)
16. Hierarchical shrinkage priors for dynamic regressions with many predictors
    International Journal of Forecasting, 2013, 29, (1), 43-59 View citations (37)
    See also Working Paper (2011)
17. Large time-varying parameter VARs
    Journal of Econometrics, 2013, 177, (2), 185-198 View citations (131)
    See also Working Paper (2012)
18. VAR FORECASTING USING BAYESIAN VARIABLE SELECTION
    Journal of Applied Econometrics, 2013, 28, (2), 204-230 View citations (83)
    See also Working Paper (2011)

2012

19. FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING
    International Economic Review, 2012, 53, (3), 867-886 View citations (126)
    See also Working Paper (2011)
20. 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 (4)
    See also Working Paper (2011)

2011

21. 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 (35)
    See also Working Paper (2011)

2010

22. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
    Foundations and Trends(R) in Econometrics, 2010, 3, (4), 267-358 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
   See also Working Paper (2011)