Details about Aubrey Poon
Access statistics for papers by Aubrey Poon.
Last updated 2025-01-16. Update your information in the RePEc Author Service.
Short-id: ppo694
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Working Papers
2024
- A Constrained Dynamic Nelson-Siegel Model for Monetary Policy Analysis
Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School 
- A Quantile Nelson-Siegel model
Papers, arXiv.org
- Conditional Forecasts in Large Bayesian VARs with Multiple Equality and Inequality Constraints
Papers, arXiv.org
See also Journal Article Conditional forecasts in large Bayesian VARs with multiple equality and inequality constraints, Journal of Economic Dynamics and Control, Elsevier (2025) (2025)
2023
- Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics
Working Papers, Federal Reserve Bank of Cleveland View citations (2)
See also Journal Article Constructing density forecasts from quantile regressions: Multimodality in macrofinancial dynamics, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2024) View citations (1) (2024)
- High-Dimensional Conditionally Gaussian State Space Models with Missing Data
Papers, arXiv.org View citations (8)
See also Journal Article High-dimensional conditionally Gaussian state space models with missing data, Journal of Econometrics, Elsevier (2023) View citations (6) (2023)
- Incorporating Short Data into Large Mixed-Frequency VARs for Regional Nowcasting
Working Papers, University of Strathclyde Business School, Department of Economics View citations (1)
Also in Working Papers, Federal Reserve Bank of Cleveland (2023) View citations (2)
- Money Growth and Inflation: A Quantile Sensitivity Approach
Papers, arXiv.org
- Uncertainty and the Term Structure of Interest Rates
Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School
2022
- Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP
Papers, arXiv.org View citations (3)
See also Journal Article Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP, Journal of Economic Dynamics and Control, Elsevier (2023) View citations (3) (2023)
- Do Recessions Occur Concurrently Across Countries? A Multinomial Logistic Approach
Working Papers, Örebro University, School of Business
- Reconciled Estimates of Monthly GDP in the US
Working Papers, Federal Reserve Bank of Cleveland View citations (5)
Also in Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) (2020) View citations (6)
- Trend Inflation in Sweden
Working Papers, Örebro University, School of Business View citations (1)
See also Journal Article Trend Inflation in Sweden, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2023) (2023)
- Using hierarchical aggregation constraints to nowcast regional economic aggregates
Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) View citations (3)
- Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates
Working Papers, Federal Reserve Bank of Cleveland View citations (1)
See also Journal Article Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates, International Journal of Forecasting, Elsevier (2024) (2024)
2021
- Efficient Estimation of State-Space Mixed-Frequency VARs: A Precision-Based Approach
Papers, arXiv.org View citations (2)
- Nowcasting 'true' monthly US GDP during the pandemic
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (2)
See also Journal Article NOWCASTING ‘TRUE’ MONTHLY U.S. GDP DURING THE PANDEMIC, National Institute Economic Review, National Institute of Economic and Social Research (2021) View citations (2) (2021)
2020
- Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs
Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) View citations (13)
Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester
See also Journal Article Computationally efficient inference in large Bayesian mixed frequency VARs, Economics Letters, Elsevier (2020) View citations (13) (2020)
2019
- Inflation trends in Asia: implications for central banks
Working Paper Series, European Central Bank View citations (2)
See also Journal Article Inflation trends in Asia: implications for central banks, Oxford Economic Papers, Oxford University Press (2022) View citations (1) (2022)
- Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage
Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) View citations (13)
Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2019) View citations (13)
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2019) View citations (13)
2018
- International Transmission of Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach
Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (3)
- International transmissions of aggregate macroeconomic uncertainty in small open economies: An empirical approach
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (4)
- Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimates, 1970-2017
Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) View citations (8)
- Trend Inflation and Inflation Compensation
IMF Working Papers, International Monetary Fund View citations (7)
Journal Articles
2025
- Conditional forecasts in large Bayesian VARs with multiple equality and inequality constraints
Journal of Economic Dynamics and Control, 2025, 173, (C)
See also Working Paper Conditional Forecasts in Large Bayesian VARs with Multiple Equality and Inequality Constraints, Papers (2024) (2024)
2024
- Constructing density forecasts from quantile regressions: Multimodality in macrofinancial dynamics
Journal of Applied Econometrics, 2024, 39, (5), 790-812 View citations (1)
See also Working Paper Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics, Working Papers (2023) View citations (2) (2023)
- Do Recessions and Bear Markets Occur Concurrently across Countries? A Multinomial Logistic Approach*
Journal of Financial Econometrics, 2024, 22, (5), 1482-1502
- Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates
International Journal of Forecasting, 2024, 40, (2), 626-640
See also Working Paper Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates, Working Papers (2022) View citations (1) (2022)
2023
- A time-varying Phillips curve with global factors: Are global factors important?
Economic Modelling, 2023, 126, (C) View citations (1)
- Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP
Journal of Economic Dynamics and Control, 2023, 157, (C) View citations (3)
See also Working Paper Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP, Papers (2022) View citations (3) (2022)
- Estimating the US trend short-term interest rate
Finance Research Letters, 2023, 55, (PA)
- Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage
International Journal of Forecasting, 2023, 39, (1), 346-363 View citations (6)
- High-dimensional conditionally Gaussian state space models with missing data
Journal of Econometrics, 2023, 236, (1) View citations (6)
See also Working Paper High-Dimensional Conditionally Gaussian State Space Models with Missing Data, Papers (2023) View citations (8) (2023)
- Large stochastic volatility in mean VARs
Journal of Econometrics, 2023, 236, (1) View citations (2)
- Reconciled Estimates of Monthly GDP in the United States
Journal of Business & Economic Statistics, 2023, 41, (2), 563-577 View citations (2)
- Trend Inflation in Sweden
International Journal of Finance & Economics, 2023, 28, (4), 4707-4716
See also Working Paper Trend Inflation in Sweden, Working Papers (2022) View citations (1) (2022)
2022
- A new Bayesian model for contagion and interdependence
Econometric Reviews, 2022, 41, (7), 806-826
- Inflation trends in Asia: implications for central banks
(Are Phillips curves useful for forecasting inflation?)
Oxford Economic Papers, 2022, 74, (3), 671-700 View citations (1)
See also Working Paper Inflation trends in Asia: implications for central banks, Working Paper Series (2019) View citations (2) (2019)
2021
- NOWCASTING ‘TRUE’ MONTHLY U.S. GDP DURING THE PANDEMIC
National Institute Economic Review, 2021, 256, 44-70 View citations (2)
See also Working Paper Nowcasting 'true' monthly US GDP during the pandemic, CAMA Working Papers (2021) View citations (2) (2021)
2020
- Computationally efficient inference in large Bayesian mixed frequency VARs
Economics Letters, 2020, 191, (C) View citations (13)
See also Working Paper Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs, Economic Statistics Centre of Excellence (ESCoE) Discussion Papers (2020) View citations (13) (2020)
- Macroeconomic forecasting with large Bayesian VARs: Global-local priors and the illusion of sparsity
International Journal of Forecasting, 2020, 36, (3), 899-915 View citations (49)
- On the contribution of international shocks in Australian business cycle fluctuations
Empirical Economics, 2020, 59, (6), 2613-2637 View citations (4)
- RECONCILED ESTIMATES AND NOWCASTS OF REGIONAL OUTPUT IN THE UK
National Institute Economic Review, 2020, 253, R44-R59 View citations (13)
- Regional output growth in the United Kingdom: More timely and higher frequency estimates from 1970
Journal of Applied Econometrics, 2020, 35, (2), 176-197 View citations (39)
2018
- Assessing the Synchronicity and Nature of Australian State Business Cycles
The Economic Record, 2018, 94, (307), 372-390 View citations (15)
- The transmission mechanism of Malaysian monetary policy: a time-varying vector autoregression approach
Empirical Economics, 2018, 55, (2), 417-444 View citations (4)
2016
- Forecasting structural change and fat-tailed events in Australian macroeconomic variables
Economic Modelling, 2016, 58, (C), 34-51 View citations (40)
Chapters
2022
- Nowcasting Euro Area GDP Growth Using Bayesian Quantile Regression
A chapter in Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling, 2022, vol. 43A, pp 51-72 View citations (1)
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