Details about Dimitris Korobilis
Access statistics for papers by Dimitris Korobilis.
Last updated 2025-07-06. Update your information in the RePEc Author Service.
Short-id: pko254
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Working Papers
2025
- Agreed and Disagreed Uncertainty
Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School 
Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2023)
Working Papers, Business School - Economics, University of Glasgow (2023)
CESifo Working Paper Series, CESifo (2023) View citations (1)
Economics Series Working Papers, University of Oxford, Department of Economics (2023) View citations (1)
Papers, arXiv.org (2023) View citations (1)
Working Papers, Business School - Economics, University of Glasgow (2025)
Working Paper series, Rimini Centre for Economic Analysis (2023) View citations (1)
Discussion Papers, Centre for Macroeconomics (CFM) (2023) View citations (1)
BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics (2023) View citations (1)
- Bayesian Nonparametric Inference in Bank Business Models with Transient and Persistent Cost Inefficiency
Working Paper series, Rimini Centre for Economic Analysis
Also in Working Papers, Business School - Economics, University of Glasgow (2025)
Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2025)
- Exploring Monetary Policy Shocks with Large-Scale Bayesian VARs
Papers, arXiv.org View citations (1)
2024
- Probabilistic Quantile Factor Analysis
Papers, arXiv.org View citations (11)
Also in Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2023) View citations (1)
See also Journal Article Probabilistic Quantile Factor Analysis, Journal of Business & Economic Statistics, Taylor & Francis Journals (2025) (2025)
2023
- Monitoring multicountry macroeconomic risk
Working Paper, Norges Bank View citations (1)
Also in Working Paper series, Rimini Centre for Economic Analysis (2023) View citations (1)
Papers, arXiv.org (2023) View citations (1)
Working Papers, Business School - Economics, University of Glasgow (2023)
Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2023)
- Where do they care? The ECB in the media and inflation expectations
Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School
2022
- A new algorithm for structural restrictions in Bayesian vector autoregressions
Papers, arXiv.org View citations (28)
See also Journal Article A new algorithm for structural restrictions in Bayesian vector autoregressions, European Economic Review, Elsevier (2022) View citations (19) (2022)
- Bayesian Approaches to Shrinkage and Sparse Estimation
Working Paper series, Rimini Centre for Economic Analysis View citations (12)
Also in Papers, arXiv.org (2021) View citations (2)
Working Papers, Business School - Economics, University of Glasgow (2021) View citations (2)
MPRA Paper, University Library of Munich, Germany (2021) View citations (2)
See also Journal Article Bayesian Approaches to Shrinkage and Sparse Estimation, Foundations and Trends(R) in Econometrics, now publishers (2022) View citations (12) (2022)
2021
- The time-varying evolution of inflation risks
Working Paper Series, European Central Bank View citations (17)
2020
- Bayesian dynamic variable selection in high dimensions
Papers, arXiv.org View citations (14)
Also in MPRA Paper, University Library of Munich, Germany (2020) View citations (14)
Working Papers, Business School - Economics, University of Glasgow (2020) View citations (13)
See also Journal Article BAYESIAN DYNAMIC VARIABLE SELECTION IN HIGH DIMENSIONS, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2023) View citations (8) (2023)
- Energy Markets and Global Economic Conditions
CESifo Working Paper Series, CESifo View citations (87)
Also in Working Papers, Business School - Economics, University of Glasgow (2020) View citations (77)
NBER Working Papers, National Bureau of Economic Research, Inc (2020) View citations (88)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (88)
See also Journal Article Energy Markets and Global Economic Conditions, The Review of Economics and Statistics, MIT Press (2022) View citations (73) (2022)
- High-dimensional macroeconomic forecasting using message passing algorithms
Papers, arXiv.org View citations (4)
Also in MPRA Paper, University Library of Munich, Germany (2019) View citations (14)
Working Papers, Business School - Economics, University of Glasgow (2019) View citations (14)
Working Paper series, Rimini Centre for Economic Analysis (2019) View citations (15)
See also Journal Article High-Dimensional Macroeconomic Forecasting Using Message Passing Algorithms, Journal of Business & Economic Statistics, Taylor & Francis Journals (2021) View citations (10) (2021)
- Machine Learning Econometrics: Bayesian algorithms and methods
MPRA Paper, University Library of Munich, Germany View citations (2)
Also in Working Papers, Business School - Economics, University of Glasgow (2020) View citations (2)
Papers, arXiv.org (2020) View citations (2)
Working Papers, Brandeis University, Department of Economics and International Business School (2020) View citations (2)
- Sign restrictions in high-dimensional vector autoregressions
Working Paper series, Rimini Centre for Economic Analysis View citations (4)
Also in Working Papers, Business School - Economics, University of Glasgow (2020) View citations (4)
2019
- The Effect of News Shocks and Monetary Policy
Discussion Papers, Department of Economics, University of Birmingham View citations (8)
Also in CESifo Working Paper Series, CESifo (2019) View citations (6)
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2017) View citations (8)
Economics Series Working Papers, University of Oxford, Department of Economics (2017) View citations (8)
Discussion Papers, Centre for Macroeconomics (CFM) (2017) View citations (9)
Working Papers, Business School - Economics, University of Glasgow (2017) View citations (8)
Working Paper series, Rimini Centre for Economic Analysis (2018) View citations (1)
Essex Finance Centre Working Papers, University of Essex, Essex Business School (2017) View citations (8)
BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics (2017) View citations (7)
See also Chapter The Effect of News Shocks and Monetary Policy, Advances in Econometrics, Emerald Group Publishing Limited (2022) View citations (1) (2022)
2018
- 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 Business School (2017) View citations (3)
See also Journal Article Adaptive hierarchical priors for high-dimensional vector autoregressions, Journal of Econometrics, Elsevier (2019) View citations (29) (2019)
- Exchange rate predictability and dynamic Bayesian learning
VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy, Verein für Socialpolitik / German Economic Association View citations (3)
Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2017) View citations (2)
See also Journal Article Exchange rate predictability and dynamic Bayesian learning, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2020) View citations (20) (2020)
- Forecasting with High-Dimensional Panel VARs
Working Paper series, Rimini Centre for Economic Analysis View citations (6)
Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2018) View citations (5)
Working Papers, Business School - Economics, University of Glasgow (2015) View citations (17)
MPRA Paper, University Library of Munich, Germany (2018) View citations (5)
See also Journal Article Forecasting with High‐Dimensional Panel VARs, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2019) View citations (12) (2019)
- 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)
- Measuring Dynamic Connectedness with Large Bayesian VAR Models
Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (64)
Also in Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum (2018) View citations (85)
- Variational Bayes inference in high-dimensional time-varying parameter models
Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (19)
Also in MPRA Paper, University Library of Munich, Germany (2018) View citations (22)
Working Paper series, Rimini Centre for Economic Analysis (2018) View citations (18)
2017
- Bayesian Compressed Vector Autoregressions
Working Paper series, Rimini Centre for Economic Analysis View citations (4)
Also in Working Papers, Brandeis University, Department of Economics and International Business School (2016) View citations (20)
Working Papers, Brandeis University, Department of Economics and International Business School (2016) View citations (23)
Working Papers, Business School - Economics, University of Glasgow (2016) View citations (16)
See also Journal Article Bayesian compressed vector autoregressions, Journal of Econometrics, Elsevier (2019) View citations (38) (2019)
- Forecasting with many predictors using message passing algorithms
Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (6)
2016
- Adaptive Minnesota Prior for High-Dimensional Vector Autoregressions
Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (7)
- Decomposing Global Yield Curve Co-Movement
Essex Finance Centre Working Papers, University of Essex, Essex Business School
See also Journal Article Decomposing global yield curve co-movement, Journal of Banking & Finance, Elsevier (2019) View citations (13) (2019)
- 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) View citations (1)
SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2015) View citations (1)
Working Papers, Business School - Economics, University of Glasgow (2015) View citations (1)
2015
- 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)
- Model Uncertainty in Panel Vector Autoregressive Models
Working Paper series, Rimini Centre for Economic Analysis View citations (6)
Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2014) View citations (2)
Working Papers, Business School - Economics, University of Glasgow (2014) View citations (2)
Working Paper series, Rimini Centre for Economic Analysis (2014) View citations (7)
Working Papers, University of Strathclyde Business School, Department of Economics (2014) View citations (9)
MPRA Paper, University Library of Munich, Germany (2014) View citations (2)
See also Journal Article Model uncertainty in Panel Vector Autoregressive models, European Economic Review, Elsevier (2016) View citations (61) (2016)
- 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 Prior selection for panel vector autoregressions, Computational Statistics & Data Analysis, Elsevier (2016) View citations (32) (2016)
- 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 (2)
MPRA Paper, University Library of Munich, Germany (2015) View citations (2)
- 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 (25)
Also in Working Paper series, Rimini Centre for Economic Analysis (2011) View citations (4)
See also Journal Article The Contribution of Structural Break Models to Forecasting Macroeconomic Series, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2015) View citations (52) (2015)
2014
- Data-based priors for vector autoregressions with drifting coefficients
Working Papers, Business School - Economics, University of Glasgow View citations (13)
Also in MPRA Paper, University Library of Munich, Germany (2014) View citations (13)
SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2014) View citations (14)
- Exchange Rate Predictability in a Changing World
SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (2)
Also in Working Paper series, Rimini Centre for Economic Analysis (2014) View citations (2)
Working Papers, Business School - Economics, University of Glasgow (2014) View citations (7)
Papers, arXiv.org (2014) View citations (2)
MPRA Paper, University Library of Munich, Germany (2014) View citations (8)
See also Journal Article Exchange rate predictability in a changing world, Journal of International Money and Finance, Elsevier (2016) View citations (47) (2016)
- On the Sources of Uncertainty in Exchange Rate Predictability
SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (5)
Also in Working Papers, Business School - Economics, University of Glasgow (2014) View citations (2)
MPRA Paper, University Library of Munich, Germany (2014) View citations (7)
See also Journal Article ON THE SOURCES OF UNCERTAINTY IN EXCHANGE RATE PREDICTABILITY, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2018) View citations (45) (2018)
2013
- A New Index of Financial Conditions
SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (25)
Also in Working Papers, University of Strathclyde Business School, Department of Economics (2013) View citations (14)
MPRA Paper, University Library of Munich, Germany (2013) View citations (17)
Working Papers, Business School - Economics, University of Glasgow View citations (13)
See also Journal Article A new index of financial conditions, European Economic Review, Elsevier (2014) View citations (374) (2014)
- Forecasting with Factor Models: A Bayesian Model Averaging Perspective
MPRA Paper, University Library of Munich, Germany
2012
- Bayesian Forecasting with Highly Correlated Predictors
Working Paper series, Rimini Centre for Economic Analysis View citations (2)
Also in Working Papers, Business School - Economics, University of Glasgow (2012) View citations (1)
SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2012) View citations (1)
See also Journal Article Bayesian forecasting with highly correlated predictors, Economics Letters, Elsevier (2013) View citations (25) (2013)
- Large Time-Varying Parameter VARs
Working Paper series, Rimini Centre for Economic Analysis View citations (18)
Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2012) View citations (18)
MPRA Paper, University Library of Munich, Germany (2012) View citations (50)
Working Papers, Business School - Economics, University of Glasgow (2012) View citations (22)
See also Journal Article Large time-varying parameter VARs, Journal of Econometrics, Elsevier (2013) View citations (332) (2013)
2011
- 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 (12)
Also in Cahiers de recherche, CIRPEE (2011) View citations (13)
CIRANO Working Papers, CIRANO (2011) View citations (11)
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (11)
Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (11)
See also Journal Article The Contribution of Structural Break Models to Forecasting Macroeconomic Series, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2015) View citations (52) (2015)
- Bayesian methods
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
See also Chapter Bayesian methods, Chapters, Edward Elgar Publishing (2013) (2013)
- Forecasting Inflation Using Dynamic Model Averaging
SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (5)
Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2010) View citations (10)
Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (6)
Working Paper series, Rimini Centre for Economic Analysis (2009) View citations (61)
See also Journal Article FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2012) View citations (269) (2012)
- Hierarchical Shrinkage Priors for Dynamic Regressions with Many Predictors
Working Paper series, Rimini Centre for Economic Analysis View citations (10)
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 (5)
See also Journal Article Hierarchical shrinkage priors for dynamic regressions with many predictors, International Journal of Forecasting, Elsevier (2013) View citations (54) (2013)
- Hierarchical Shrinkage in Time-Varying Parameter Models
Working Papers, University of Strathclyde Business School, Department of Economics View citations (12)
Also in MPRA Paper, University Library of Munich, Germany (2011) View citations (12)
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (12)
SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) View citations (12)
Working Paper series, Rimini Centre for Economic Analysis (2011) View citations (32)
See also Journal Article Hierarchical Shrinkage in Time‐Varying Parameter Models, Journal of Forecasting, John Wiley & Sons, Ltd. (2014) View citations (90) (2014)
- 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 (2)
See also Journal Article On Regional Unemployment: An Empirical Examination of the Determinants of Geographical Differentials in the UK, Scottish Journal of Political Economy, Scottish Economic Society (2012) View citations (7) (2012)
- The Dynamic Effects of U.S. Monetary Policy on State Unemployment
Working Paper series, Rimini Centre for Economic Analysis View citations (2)
Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (3)
- 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 (65)
Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (64)
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 UK macroeconomic forecasting with many predictors: Which models forecast best and when do they do so?, Economic Modelling, Elsevier (2011) View citations (64) (2011)
- VAR Forecasting Using Bayesian Variable Selection
Working Paper series, Rimini Centre for Economic Analysis View citations (17)
Also in MPRA Paper, University Library of Munich, Germany (2009) View citations (11)
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (35)
See also Journal Article VAR FORECASTING USING BAYESIAN VARIABLE SELECTION, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2013) View citations (120) (2013)
2010
- Assessing the transmission of monetary policy using dynamic factor models
MPRA Paper, University Library of Munich, Germany View citations (4)
Also in Working Paper series, Rimini Centre for Economic Analysis (2009) View citations (24)
Working Papers, University of Strathclyde Business School, Department of Economics (2009) View citations (29)
See also Journal Article Assessing the Transmission of Monetary Policy Using Time-varying Parameter Dynamic Factor Models-super-, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2013) View citations (112) (2013)
2009
- Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
MPRA Paper, University Library of Munich, Germany View citations (119)
Also in Working Paper series, Rimini Centre for Economic Analysis (2009) View citations (187)
See also Journal Article Bayesian Multivariate Time Series Methods for Empirical Macroeconomics, Foundations and Trends(R) in Econometrics, now publishers (2010) View citations (507) (2010)
2008
- Forecasting in vector autoregressions with many predictors
MPRA Paper, University Library of Munich, Germany View citations (40)
See also Chapter Forecasting in vector autoregressions with many predictors, Advances in Econometrics, Emerald Group Publishing Limited (2008) View citations (1) (2008)
Journal Articles
2025
- Monitoring multi-country macroeconomic risk: A quantile factor-augmented vector autoregressive (QFAVAR) approach
Journal of Econometrics, 2025, 249, (PC)
- Probabilistic Quantile Factor Analysis
Journal of Business & Economic Statistics, 2025, 43, (3), 530-543
See also Working Paper Probabilistic Quantile Factor Analysis, Papers (2024) View citations (11) (2024)
2024
- Editorial Introduction of the Special Issue of Studies in Nonlinear Dynamics and Econometrics in Honor of Herman van Dijk
Studies in Nonlinear Dynamics & Econometrics, 2024, 28, (2), 151-153
2023
- BAYESIAN DYNAMIC VARIABLE SELECTION IN HIGH DIMENSIONS
International Economic Review, 2023, 64, (3), 1047-1074 View citations (8)
See also Working Paper Bayesian dynamic variable selection in high dimensions, Papers (2020) View citations (14) (2020)
2022
- A new algorithm for structural restrictions in Bayesian vector autoregressions
European Economic Review, 2022, 148, (C) View citations (19)
See also Working Paper A new algorithm for structural restrictions in Bayesian vector autoregressions, Papers (2022) View citations (28) (2022)
- Bayesian Approaches to Shrinkage and Sparse Estimation
Foundations and Trends(R) in Econometrics, 2022, 11, (4), 230-354 View citations (12)
See also Working Paper Bayesian Approaches to Shrinkage and Sparse Estimation, Working Paper series (2022) View citations (12) (2022)
- Energy Markets and Global Economic Conditions
The Review of Economics and Statistics, 2022, 104, (4), 828-844 View citations (73)
See also Working Paper Energy Markets and Global Economic Conditions, CESifo Working Paper Series (2020) View citations (87) (2020)
2021
- High-Dimensional Macroeconomic Forecasting Using Message Passing Algorithms
Journal of Business & Economic Statistics, 2021, 39, (2), 493-504 View citations (10)
See also Working Paper High-dimensional macroeconomic forecasting using message passing algorithms, Papers (2020) View citations (4) (2020)
2020
- Exchange rate predictability and dynamic Bayesian learning
Journal of Applied Econometrics, 2020, 35, (4), 410-421 View citations (20)
See also Working Paper Exchange rate predictability and dynamic Bayesian learning, VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy (2018) View citations (3) (2018)
2019
- Adaptive hierarchical priors for high-dimensional vector autoregressions
Journal of Econometrics, 2019, 212, (1), 241-271 View citations (29)
See also Working Paper Adaptive Hierarchical Priors for High-Dimensional Vector Autoregressions, Working Paper series (2018) View citations (3) (2018)
- Bayesian compressed vector autoregressions
Journal of Econometrics, 2019, 210, (1), 135-154 View citations (38)
See also Working Paper Bayesian Compressed Vector Autoregressions, Working Paper series (2017) View citations (4) (2017)
- Decomposing global yield curve co-movement
Journal of Banking & Finance, 2019, 106, (C), 500-513 View citations (13)
See also Working Paper Decomposing Global Yield Curve Co-Movement, Essex Finance Centre Working Papers (2016) (2016)
- Forecasting with High‐Dimensional Panel VARs
Oxford Bulletin of Economics and Statistics, 2019, 81, (5), 937-959 View citations (12)
See also Working Paper Forecasting with High-Dimensional Panel VARs, Working Paper series (2018) View citations (6) (2018)
2018
- ON THE SOURCES OF UNCERTAINTY IN EXCHANGE RATE PREDICTABILITY
International Economic Review, 2018, 59, (1), 329-357 View citations (45)
See also Working Paper On the Sources of Uncertainty in Exchange Rate Predictability, SIRE Discussion Papers (2014) View citations (5) (2014)
2017
- Forecasting the term structure of government bond yields in unstable environments
Journal of Empirical Finance, 2017, 44, (C), 209-225 View citations (12)
- Quantile regression forecasts of inflation under model uncertainty
International Journal of Forecasting, 2017, 33, (1), 11-20 View citations (67)
2016
- Exchange rate predictability in a changing world
Journal of International Money and Finance, 2016, 62, (C), 1-24 View citations (47)
See also Working Paper Exchange Rate Predictability in a Changing World, SIRE Discussion Papers (2014) View citations (2) (2014)
- Model uncertainty in Panel Vector Autoregressive models
European Economic Review, 2016, 81, (C), 115-131 View citations (61)
See also Working Paper Model Uncertainty in Panel Vector Autoregressive Models, Working Paper series (2015) View citations (6) (2015)
- Prior selection for panel vector autoregressions
Computational Statistics & Data Analysis, 2016, 101, (C), 110-120 View citations (32)
See also Working Paper Prior selection for panel vector autoregressions, SIRE Discussion Papers (2015) View citations (2) (2015)
2015
- The Contribution of Structural Break Models to Forecasting Macroeconomic Series
Journal of Applied Econometrics, 2015, 30, (4), 596-620 View citations (52)
See also Working Paper The Contribution of Structural Break Models to Forecating Macroeconomic Series, LIDAM Reprints CORE (2015) View citations (25) (2015)
Working Paper A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models, SIRE Discussion Papers (2011) View citations (12) (2011)
2014
- A new index of financial conditions
European Economic Review, 2014, 71, (C), 101-116 View citations (374)
See also Working Paper A New Index of Financial Conditions, SIRE Discussion Papers (2013) View citations (25) (2013)
- Hierarchical Shrinkage in Time‐Varying Parameter Models
Journal of Forecasting, 2014, 33, (1), 80-94 View citations (90)
See also Working Paper Hierarchical Shrinkage in Time-Varying Parameter Models, Working Papers (2011) View citations (12) (2011)
2013
- 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 (112)
See also Working Paper Assessing the transmission of monetary policy using dynamic factor models, MPRA Paper (2010) View citations (4) (2010)
- Bayesian forecasting with highly correlated predictors
Economics Letters, 2013, 118, (1), 148-150 View citations (25)
See also Working Paper Bayesian Forecasting with Highly Correlated Predictors, Working Paper series (2012) View citations (2) (2012)
- Hierarchical shrinkage priors for dynamic regressions with many predictors
International Journal of Forecasting, 2013, 29, (1), 43-59 View citations (54)
See also Working Paper Hierarchical Shrinkage Priors for Dynamic Regressions with Many Predictors, Working Paper series (2011) View citations (10) (2011)
- Large time-varying parameter VARs
Journal of Econometrics, 2013, 177, (2), 185-198 View citations (332)
See also Working Paper Large Time-Varying Parameter VARs, Working Paper series (2012) View citations (18) (2012)
- VAR FORECASTING USING BAYESIAN VARIABLE SELECTION
Journal of Applied Econometrics, 2013, 28, (2), 204-230 View citations (120)
See also Working Paper VAR Forecasting Using Bayesian Variable Selection, Working Paper series (2011) View citations (17) (2011)
2012
- FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING
International Economic Review, 2012, 53, (3), 867-886 View citations (269)
See also Working Paper Forecasting Inflation Using Dynamic Model Averaging, SIRE Discussion Papers (2011) View citations (5) (2011)
- 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 (7)
See also Working Paper On Regional Unemployment: An Empirical Examination of the Determinants of Geographical Differentials in the UK, Working Paper series (2011) View citations (1) (2011)
2011
- 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 (64)
See also Working Paper UK Macroeconomic Forecasting with Many Predictors: Which Models Forecast Best and When Do They Do So?, SIRE Discussion Papers (2011) View citations (65) (2011)
2010
- Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
Foundations and Trends(R) in Econometrics, 2010, 3, (4), 267-358 View citations (507)
See also Working Paper Bayesian Multivariate Time Series Methods for Empirical Macroeconomics, MPRA Paper (2009) View citations (119) (2009)
Chapters
2022
- The Effect of News Shocks and Monetary Policy
A chapter in Essays in Honour of Fabio Canova, 2022, vol. 44A, pp 139-164 View citations (1)
See also Working Paper The Effect of News Shocks and Monetary Policy, Department of Economics, University of Birmingham (2019) View citations (8) (2019)
2013
- Bayesian methods
Chapter 16 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 363-380
See also Working Paper Bayesian methods, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (1) (2011)
2008
- Forecasting in vector autoregressions with many predictors
A chapter in Bayesian Econometrics, 2008, pp 403-431 View citations (1)
See also Working Paper Forecasting in vector autoregressions with many predictors, University Library of Munich, Germany (2008) View citations (40) (2008)
Editor
- Working Papers
Business School - Economics, University of Glasgow
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