Details about Dimitris Korobilis
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| Homepage: | https://sites.google.com/site/dimitriskorobilis/Research
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| Postal address: | Professor of Econometrics, Adam Smith Business School, University of Glasgow, G12 8QQ, Glasgow, UK |
| Workplace: | Department of Economics, Adam Smith Business School, University of Glasgow, (more information at EDIRC)
Centre for Applied Macroeconomics and commodity Prices (CAMP), BI Handelshøyskolen (BI Norwegian Business School), (more information at EDIRC)
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Access statistics for papers by Dimitris Korobilis.
Last updated 2023-09-14. Update your information in the RePEc Author Service.
Short-id: pko254
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Working Papers
2023
- Agreed and Disagreed Uncertainty
Economics Series Working Papers, University of Oxford, Department of Economics 
Also in Working Paper series, Rimini Centre for Economic Analysis (2023)
Discussion Papers, Centre for Macroeconomics (CFM) (2023)
BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics (2023)
CESifo Working Paper Series, CESifo (2023)
Papers, arXiv.org (2023)
- Monitoring multicountry macroeconomic risk
Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School
Also in Working Paper series, Rimini Centre for Economic Analysis (2023)
Papers, arXiv.org (2023)
Working Paper, Norges Bank (2023)
- Probabilistic Quantile Factor Analysis
Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School
Also in Papers, arXiv.org (2022) View citations (5)
2022
- A new algorithm for structural restrictions in Bayesian vector autoregressions
Papers, arXiv.org View citations (7)
See also Journal Article in European Economic Review (2022)
- Bayesian Approaches to Shrinkage and Sparse Estimation
Working Paper series, Rimini Centre for Economic Analysis View citations (3)
Also in Papers, arXiv.org (2021) View citations (2)
MPRA Paper, University Library of Munich, Germany (2021) View citations (2)
Working Papers, Business School - Economics, University of Glasgow (2021) View citations (2)
See also Journal Article in Foundations and Trends(R) in Econometrics (2022)
2021
- The time-varying evolution of inflation risks
Working Paper Series, European Central Bank View citations (9)
2020
- Bayesian dynamic variable selection in high dimensions
Papers, arXiv.org View citations (11)
Also in Working Papers, Business School - Economics, University of Glasgow (2020) View citations (13)
MPRA Paper, University Library of Munich, Germany (2020) View citations (11)
See also Journal Article in International Economic Review (2023)
- Energy Markets and Global Economic Conditions
CESifo Working Paper Series, CESifo View citations (72)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (69)
NBER Working Papers, National Bureau of Economic Research, Inc (2020) View citations (73)
Working Papers, Business School - Economics, University of Glasgow (2020) View citations (73)
See also Journal Article in The Review of Economics and Statistics (2022)
- 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 (13)
MPRA Paper, University Library of Munich, Germany (2019) View citations (12)
Working Papers, Business School - Economics, University of Glasgow (2019) View citations (12)
See also Journal Article in Journal of Business & Economic Statistics (2021)
- Machine Learning Econometrics: Bayesian algorithms and methods
Working Papers, Brandeis University, Department of Economics and International Businesss School View citations (2)
Also in Papers, arXiv.org (2020) View citations (2)
MPRA Paper, University Library of Munich, Germany (2020) View citations (2)
Working Papers, Business School - Economics, University of Glasgow (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 Working Paper series, Rimini Centre for Economic Analysis (2018) View citations (1)
Economics Series Working Papers, University of Oxford, Department of Economics (2017) View citations (8)
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)
BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics (2017) View citations (7)
Essex Finance Centre Working Papers, University of Essex, Essex Business School (2017) View citations (8)
Working Papers, Business School - Economics, University of Glasgow (2017) View citations (8)
Discussion Papers, Centre for Macroeconomics (CFM) (2017) View citations (9)
See also Chapter (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 Businesss School (2017) View citations (3)
See also Journal Article in Journal of Econometrics (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 in Journal of Applied Econometrics (2020)
- Forecasting with High-Dimensional Panel VARs
Working Paper series, Rimini Centre for Economic Analysis View citations (5)
Also in Working Papers, Business School - Economics, University of Glasgow (2015) View citations (17)
Essex Finance Centre Working Papers, University of Essex, Essex Business School (2018) View citations (4)
MPRA Paper, University Library of Munich, Germany (2018) View citations (4)
See also Journal Article in Oxford Bulletin of Economics and Statistics (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
Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum View citations (55)
Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2018) View citations (54)
- Variational Bayes inference in high-dimensional time-varying parameter models
Working Paper series, Rimini Centre for Economic Analysis View citations (16)
Also in MPRA Paper, University Library of Munich, Germany (2018) View citations (20)
Essex Finance Centre Working Papers, University of Essex, Essex Business School (2018) View citations (17)
2017
- Bayesian Compressed Vector Autoregressions
Working Paper series, Rimini Centre for Economic Analysis View citations (4)
Also in Working Papers, Business School - Economics, University of Glasgow (2016) View citations (16)
Working Papers, Brandeis University, Department of Economics and International Businesss School (2016) View citations (20)
Working Papers, Brandeis University, Department of Economics and International Businesss School (2016) View citations (23)
See also Journal Article in Journal of Econometrics (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 (6)
- 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)
- 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 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)
MPRA Paper, University Library of Munich, Germany (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 Working Paper series, Rimini Centre for Economic Analysis (2014) View citations (7)
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 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 in European Economic Review (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 in Computational Statistics & Data Analysis (2016)
- 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 (2)
SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (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 (20)
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
- Data-based priors for vector autoregressions with drifting coefficients
SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (14)
Also in MPRA Paper, University Library of Munich, Germany (2014) View citations (13)
Working Papers, Business School - Economics, University of Glasgow (2014) View citations (13)
- Exchange Rate Predictability in a Changing World
Papers, arXiv.org View citations (2)
Also in MPRA Paper, University Library of Munich, Germany (2014) View citations (8)
Working Papers, Business School - Economics, University of Glasgow (2014) View citations (7)
Working Paper series, Rimini Centre for Economic Analysis (2014) View citations (2)
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)
- 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 (7)
SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2014) View citations (5)
See also Journal Article in International Economic Review (2018)
2013
- A New Index of Financial Conditions
SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (24)
Also in Working Papers, University of Strathclyde Business School, Department of Economics (2013) View citations (13)
Working Papers, Business School - Economics, University of Glasgow View citations (13)
MPRA Paper, University Library of Munich, Germany (2013) View citations (16)
See also Journal Article in European Economic Review (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 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)
- Large Time-Varying Parameter VARs
SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (18)
Also in MPRA Paper, University Library of Munich, Germany (2012) View citations (50)
Working Papers, Business School - Economics, University of Glasgow (2012) View citations (22)
Working Paper series, Rimini Centre for Economic Analysis (2012) View citations (18)
See also Journal Article in Journal of Econometrics (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 CIRANO Working Papers, CIRANO (2011) View citations (11)
Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (11)
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (11)
Cahiers de recherche, CIRPEE (2011) View citations (13)
See also Journal Article in Journal of Applied Econometrics (2015)
- Bayesian methods
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
See also Chapter (2013)
- 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 (6)
SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2010) View citations (10)
See also Journal Article in International Economic Review (2012)
- Hierarchical Shrinkage Priors for Dynamic Regressions with Many Predictors
Working Paper series, Rimini Centre for Economic Analysis View citations (10)
Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (5)
MPRA Paper, University Library of Munich, Germany (2011) View citations (4)
See also Journal Article in International Journal of Forecasting (2013)
- Hierarchical Shrinkage in Time-Varying Parameter Models
SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (12)
Also in MPRA Paper, University Library of Munich, Germany (2011) View citations (12)
Working Paper series, Rimini Centre for Economic Analysis (2011) View citations (32)
Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (12)
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (12)
See also Journal Article in Journal of Forecasting (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 (1)
See also Journal Article in Scottish Journal of Political Economy (2012)
- 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)
- 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 (60)
Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (60)
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)
- 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 in Journal of Applied Econometrics (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 Papers, University of Strathclyde Business School, Department of Economics (2009) View citations (28)
Working Paper series, Rimini Centre for Economic Analysis (2009) View citations (23)
See also Journal Article in Oxford Bulletin of Economics and Statistics (2013)
2009
- Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
MPRA Paper, University Library of Munich, Germany View citations (116)
Also in Working Paper series, Rimini Centre for Economic Analysis (2009) View citations (184)
See also Journal Article in Foundations and Trends(R) in Econometrics (2010)
2008
- Forecasting in vector autoregressions with many predictors
MPRA Paper, University Library of Munich, Germany View citations (39)
See also Chapter (2008)
Journal Articles
2023
- BAYESIAN DYNAMIC VARIABLE SELECTION IN HIGH DIMENSIONS
International Economic Review, 2023, 64, (3), 1047-1074
See also Working Paper (2020)
2022
- A new algorithm for structural restrictions in Bayesian vector autoregressions
European Economic Review, 2022, 148, (C) View citations (6)
See also Working Paper (2022)
- Bayesian Approaches to Shrinkage and Sparse Estimation
Foundations and Trends(R) in Econometrics, 2022, 11, (4), 230-354 View citations (2)
See also Working Paper (2022)
- Energy Markets and Global Economic Conditions
The Review of Economics and Statistics, 2022, 104, (4), 828-844 View citations (15)
See also Working Paper (2020)
2021
- High-Dimensional Macroeconomic Forecasting Using Message Passing Algorithms
Journal of Business & Economic Statistics, 2021, 39, (2), 493-504 View citations (5)
See also Working Paper (2020)
2020
- Exchange rate predictability and dynamic Bayesian learning
Journal of Applied Econometrics, 2020, 35, (4), 410-421 View citations (12)
See also Working Paper (2018)
2019
- Adaptive hierarchical priors for high-dimensional vector autoregressions
Journal of Econometrics, 2019, 212, (1), 241-271 View citations (25)
See also Working Paper (2018)
- Bayesian compressed vector autoregressions
Journal of Econometrics, 2019, 210, (1), 135-154 View citations (33)
See also Working Paper (2017)
- Decomposing global yield curve co-movement
Journal of Banking & Finance, 2019, 106, (C), 500-513 View citations (8)
See also Working Paper (2016)
- Forecasting with High‐Dimensional Panel VARs
Oxford Bulletin of Economics and Statistics, 2019, 81, (5), 937-959 View citations (7)
See also Working Paper (2018)
2018
- ON THE SOURCES OF UNCERTAINTY IN EXCHANGE RATE PREDICTABILITY
International Economic Review, 2018, 59, (1), 329-357 View citations (38)
See also Working Paper (2014)
2017
- Forecasting the term structure of government bond yields in unstable environments
Journal of Empirical Finance, 2017, 44, (C), 209-225 View citations (10)
- Quantile regression forecasts of inflation under model uncertainty
International Journal of Forecasting, 2017, 33, (1), 11-20 View citations (47)
2016
- Exchange rate predictability in a changing world
Journal of International Money and Finance, 2016, 62, (C), 1-24 View citations (42)
See also Working Paper (2014)
- Model uncertainty in Panel Vector Autoregressive models
European Economic Review, 2016, 81, (C), 115-131 View citations (55)
See also Working Paper (2015)
- Prior selection for panel vector autoregressions
Computational Statistics & Data Analysis, 2016, 101, (C), 110-120 View citations (27)
See also Working Paper (2015)
2015
- The Contribution of Structural Break Models to Forecasting Macroeconomic Series
Journal of Applied Econometrics, 2015, 30, (4), 596-620 View citations (47)
See also Working Paper (2011)
Working Paper (2015)
2014
- A new index of financial conditions
European Economic Review, 2014, 71, (C), 101-116 View citations (210)
See also Working Paper (2013)
- Hierarchical Shrinkage in Time‐Varying Parameter Models
Journal of Forecasting, 2014, 33, (1), 80-94 View citations (79)
See also Working Paper (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 (103)
See also Working Paper (2010)
- Bayesian forecasting with highly correlated predictors
Economics Letters, 2013, 118, (1), 148-150 View citations (25)
See also Working Paper (2012)
- Hierarchical shrinkage priors for dynamic regressions with many predictors
International Journal of Forecasting, 2013, 29, (1), 43-59 View citations (52)
See also Working Paper (2011)
- Large time-varying parameter VARs
Journal of Econometrics, 2013, 177, (2), 185-198 View citations (264)
See also Working Paper (2012)
- VAR FORECASTING USING BAYESIAN VARIABLE SELECTION
Journal of Applied Econometrics, 2013, 28, (2), 204-230 View citations (111)
See also Working Paper (2011)
2012
- FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING
International Economic Review, 2012, 53, (3), 867-886 View citations (236)
See also Working Paper (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 (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 (60)
See also Working Paper (2011)
2010
- Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
Foundations and Trends(R) in Econometrics, 2010, 3, (4), 267-358 View citations (431)
See also Working Paper (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
See also Working Paper (2019)
2013
- Bayesian methods
Chapter 16 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 363-380
See also Working Paper (2011)
2008
- Forecasting in vector autoregressions with many predictors
A chapter in Bayesian Econometrics, 2008, pp 403-431
See also Working Paper (2008)
Editor
- Working Papers
Business School - Economics, University of Glasgow
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