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Details about Aubrey Poon

Homepage:https://sites.google.com/view/aubreybcpoon/home
Workplace:School of Economics, University of Kent, (more information at EDIRC)

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

  1. A Constrained Dynamic Nelson-Siegel Model for Monetary Policy Analysis
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School Downloads
  2. A Quantile Nelson-Siegel model
    Papers, arXiv.org Downloads
  3. Conditional Forecasts in Large Bayesian VARs with Multiple Equality and Inequality Constraints
    Papers, arXiv.org Downloads
    See also Journal Article Conditional forecasts in large Bayesian VARs with multiple equality and inequality constraints, Journal of Economic Dynamics and Control, Elsevier (2025) Downloads (2025)

2023

  1. Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics
    Working Papers, Federal Reserve Bank of Cleveland Downloads 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) Downloads View citations (1) (2024)
  2. High-Dimensional Conditionally Gaussian State Space Models with Missing Data
    Papers, arXiv.org Downloads View citations (8)
    See also Journal Article High-dimensional conditionally Gaussian state space models with missing data, Journal of Econometrics, Elsevier (2023) Downloads View citations (6) (2023)
  3. Incorporating Short Data into Large Mixed-Frequency VARs for Regional Nowcasting
    Working Papers, Federal Reserve Bank of Cleveland Downloads View citations (2)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2023) Downloads View citations (1)
  4. Money Growth and Inflation: A Quantile Sensitivity Approach
    Papers, arXiv.org Downloads
  5. Uncertainty and the Term Structure of Interest Rates
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School Downloads

2022

  1. Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP
    Papers, arXiv.org Downloads 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) Downloads View citations (3) (2023)
  2. Do Recessions Occur Concurrently Across Countries? A Multinomial Logistic Approach
    Working Papers, Örebro University, School of Business Downloads
  3. Reconciled Estimates of Monthly GDP in the US
    Working Papers, Federal Reserve Bank of Cleveland Downloads View citations (5)
    Also in Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) (2020) Downloads View citations (6)
  4. Trend Inflation in Sweden
    Working Papers, Örebro University, School of Business Downloads View citations (1)
    See also Journal Article Trend Inflation in Sweden, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2023) Downloads (2023)
  5. Using hierarchical aggregation constraints to nowcast regional economic aggregates
    Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) Downloads View citations (3)
  6. Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates
    Working Papers, Federal Reserve Bank of Cleveland Downloads View citations (1)
    See also Journal Article Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates, International Journal of Forecasting, Elsevier (2024) Downloads (2024)

2021

  1. Efficient Estimation of State-Space Mixed-Frequency VARs: A Precision-Based Approach
    Papers, arXiv.org Downloads View citations (2)
  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 Downloads 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) Downloads View citations (2) (2021)

2020

  1. Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs
    Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) Downloads View citations (13)
    Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester Downloads

    See also Journal Article Computationally efficient inference in large Bayesian mixed frequency VARs, Economics Letters, Elsevier (2020) Downloads View citations (13) (2020)

2019

  1. Inflation trends in Asia: implications for central banks
    Working Paper Series, European Central Bank Downloads View citations (2)
    See also Journal Article Inflation trends in Asia: implications for central banks, Oxford Economic Papers, Oxford University Press (2022) Downloads View citations (1) (2022)
  2. Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage
    Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) Downloads View citations (13)
    Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2019) Downloads View citations (13)
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2019) Downloads View citations (13)

2018

  1. 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 Downloads View citations (3)
  2. 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 Downloads View citations (4)
  3. 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) Downloads View citations (8)
  4. Trend Inflation and Inflation Compensation
    IMF Working Papers, International Monetary Fund Downloads View citations (7)

Journal Articles

2025

  1. Conditional forecasts in large Bayesian VARs with multiple equality and inequality constraints
    Journal of Economic Dynamics and Control, 2025, 173, (C) Downloads
    See also Working Paper Conditional Forecasts in Large Bayesian VARs with Multiple Equality and Inequality Constraints, Papers (2024) Downloads (2024)

2024

  1. Constructing density forecasts from quantile regressions: Multimodality in macrofinancial dynamics
    Journal of Applied Econometrics, 2024, 39, (5), 790-812 Downloads View citations (1)
    See also Working Paper Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics, Working Papers (2023) Downloads View citations (2) (2023)
  2. Do Recessions and Bear Markets Occur Concurrently across Countries? A Multinomial Logistic Approach*
    Journal of Financial Econometrics, 2024, 22, (5), 1482-1502 Downloads
  3. Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates
    International Journal of Forecasting, 2024, 40, (2), 626-640 Downloads
    See also Working Paper Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates, Working Papers (2022) Downloads View citations (1) (2022)

2023

  1. A time-varying Phillips curve with global factors: Are global factors important?
    Economic Modelling, 2023, 126, (C) Downloads View citations (1)
  2. Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP
    Journal of Economic Dynamics and Control, 2023, 157, (C) Downloads View citations (3)
    See also Working Paper Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP, Papers (2022) Downloads View citations (3) (2022)
  3. Estimating the US trend short-term interest rate
    Finance Research Letters, 2023, 55, (PA) Downloads
  4. Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage
    International Journal of Forecasting, 2023, 39, (1), 346-363 Downloads View citations (6)
  5. High-dimensional conditionally Gaussian state space models with missing data
    Journal of Econometrics, 2023, 236, (1) Downloads View citations (6)
    See also Working Paper High-Dimensional Conditionally Gaussian State Space Models with Missing Data, Papers (2023) Downloads View citations (8) (2023)
  6. Large stochastic volatility in mean VARs
    Journal of Econometrics, 2023, 236, (1) Downloads View citations (2)
  7. Reconciled Estimates of Monthly GDP in the United States
    Journal of Business & Economic Statistics, 2023, 41, (2), 563-577 Downloads View citations (2)
  8. Trend Inflation in Sweden
    International Journal of Finance & Economics, 2023, 28, (4), 4707-4716 Downloads
    See also Working Paper Trend Inflation in Sweden, Working Papers (2022) Downloads View citations (1) (2022)

2022

  1. A new Bayesian model for contagion and interdependence
    Econometric Reviews, 2022, 41, (7), 806-826 Downloads
  2. Inflation trends in Asia: implications for central banks
    (Are Phillips curves useful for forecasting inflation?)
    Oxford Economic Papers, 2022, 74, (3), 671-700 Downloads View citations (1)
    See also Working Paper Inflation trends in Asia: implications for central banks, Working Paper Series (2019) Downloads View citations (2) (2019)

2021

  1. NOWCASTING ‘TRUE’ MONTHLY U.S. GDP DURING THE PANDEMIC
    National Institute Economic Review, 2021, 256, 44-70 Downloads View citations (2)
    See also Working Paper Nowcasting 'true' monthly US GDP during the pandemic, CAMA Working Papers (2021) Downloads View citations (2) (2021)

2020

  1. Computationally efficient inference in large Bayesian mixed frequency VARs
    Economics Letters, 2020, 191, (C) Downloads 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) Downloads View citations (13) (2020)
  2. Macroeconomic forecasting with large Bayesian VARs: Global-local priors and the illusion of sparsity
    International Journal of Forecasting, 2020, 36, (3), 899-915 Downloads View citations (48)
  3. On the contribution of international shocks in Australian business cycle fluctuations
    Empirical Economics, 2020, 59, (6), 2613-2637 Downloads View citations (4)
  4. RECONCILED ESTIMATES AND NOWCASTS OF REGIONAL OUTPUT IN THE UK
    National Institute Economic Review, 2020, 253, R44-R59 Downloads View citations (13)
  5. Regional output growth in the United Kingdom: More timely and higher frequency estimates from 1970
    Journal of Applied Econometrics, 2020, 35, (2), 176-197 Downloads View citations (39)

2018

  1. Assessing the Synchronicity and Nature of Australian State Business Cycles
    The Economic Record, 2018, 94, (307), 372-390 Downloads View citations (15)
  2. The transmission mechanism of Malaysian monetary policy: a time-varying vector autoregression approach
    Empirical Economics, 2018, 55, (2), 417-444 Downloads View citations (4)

2016

  1. Forecasting structural change and fat-tailed events in Australian macroeconomic variables
    Economic Modelling, 2016, 58, (C), 34-51 Downloads View citations (40)

Chapters

2022

  1. 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 Downloads View citations (1)
 
Page updated 2025-03-24