← All authors Joshua C. C. Chan ORCID (from arXiv:2310.14438, 2023) · ORCID · OpenAlex
61 papers in scope · 55 published · 14 on the econ.EM arXiv · 2,466 citations · h-index 30 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Xuewen Yu Florian Huber Gregor Kastner Gary Koop Nicolás Bianco Mauro Bernardi Daniele Bianchi Yaling Qi Rubén Loaiza-Maya Dan Zhu Aubrey Poon Bowen Fu Chenghan Hou Eric Eisenstat Jan Prüser Anthoulla Phella David T. Frazier Fei Shang Gael M. Martin Luis Gruber Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (14 of 61)
published 2026 · Quantitative Economics · 1 citations
Time-varying parameter MIDAS models: Application to nowcasting US Real GDP
published 2025 · Journal of Econometrics · 3 citations · first circulated 2024
Bayesian model comparison for large Bayesian VARs after the COVID-19 pandemic
published 2025 · Journal of Econometrics · first circulated 2024
working paper 2025 · arXiv
published 2025 · Journal of Economic Dynamics and Control · 2 citations · first circulated 2024
Large Bayesian matrix autoregressions
published 2025 · Journal of Econometrics · 1 citations · first circulated 2024
working paper 2024 · arXiv · 1 citations · first circulated 2023
working paper 2024 · arXiv
Multivariate Stochastic Volatility with Co-Heteroscedasticity
published 2024 · Studies in Nonlinear Dynamics and Econometrics · 6 citations · first circulated 2018
with Arnaud Doucet, Roberto León-González, Rodney W. Strachan
published 2023 · Journal of Business and Economic Statistics · 42 citations · first circulated 2021
published 2023 · Journal of Econometrics · 20 citations
published 2022 · Journal of Econometrics · 37 citations
published 2022 · Journal of Economic Dynamics and Control · 13 citations · first circulated 2020
working paper 2022 · arXiv · 7 citations
An unobserved components model of total factor productivity and the relative price of investment
published 2022 · Macroeconomic Dynamics · 5 citations
with Edouard Wemy
published 2022 · Journal of Business and Economic Statistics · 26 citations
published 2022 · Quantitative Economics · 44 citations · first circulated 2021
working paper 2021 · arXiv · 4 citations
An automated prior robustness analysis in Bayesian model comparison
published 2021 · Journal of Applied Econometrics · 4 citations · first circulated 2019
working paper 2021 · arXiv
Speculative bubbles in present-value models: A Bayesian Markov-switching state space approach
published 2021 · Journal of Economic Dynamics and Control · 6 citations
with Caterina Santi
BAYESIAN STATE SPACE MODELS IN MACROECONOMETRICS
published 2020 · Journal of Economic Surveys · 14 citations
with Rodney W. Strachan
Choosing between identification schemes in noisy-news models
published 2020 · Studies in Nonlinear Dynamics and Econometrics
Composite likelihood methods for large Bayesian VARs with stochastic volatility
published 2020 · Journal of Applied Econometrics · 11 citations · first circulated 2018
Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts
published 2020 · International Journal of Forecasting · 32 citations · first circulated 2018
with Bo Zhang, Jamie Cross
Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation
published 2020 · Journal of Forecasting · 11 citations · first circulated 2019
Reducing the state space dimension in a large TVP-VAR
published 2020 · Journal of Econometrics · 70 citations · first circulated 2018
Identifying noise shocks
published 2019 · Journal of Economic Dynamics and Control · 3 citations · first circulated 2018
Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors” [J. Econometrics 212 (1) (2019) 137–154
published 2019 · Journal of Econometrics · 210 citations
Minnesota-Type Adaptive Hierarchical Priors for Large Bayesian VARs
published 2019 · International Journal of Forecasting · 3 citations
A regime switching skew-normal model of contagion
published 2018 · Studies in Nonlinear Dynamics and Econometrics · 32 citations · first circulated 2013
with Renée Fry-McKibbin, Cody Yu-Ling Hsiao
Comparing hybrid time-varying parameter VARs
published 2018 · Economics Letters · 32 citations
Measuring Inflation Expectations Uncertainty Using High‐Frequency Data
published 2018 · Journal of money credit and banking · 34 citations · first circulated 2017
Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure
published 2018 · Journal of Business and Economic Statistics · 108 citations · first circulated 2015
Bayesian model comparison for time‐varying parameter VARs with stochastic volatility
published 2018 · Journal of Applied Econometrics · 44 citations · first circulated 2015
A New Model of Inflation, Trend Inflation, and Long‐Run Inflation Expectations
published 2018 · Journal of money credit and banking · 123 citations · first circulated 2015
Nonparametric estimation in economics: Bayesian and frequentist approaches
published 2017 · Wiley Interdisciplinary Reviews Computational Statistics · 4 citations
Invariant Inference and Efficient Computation in the Static Factor Model
published 2017 · Journal of the American Statistical Association · 16 citations · first circulated 2013
with Roberto León-González, Rodney W. Strachan, Roberto Leon-Gonzales
Efficient estimation of Bayesian VARMAs with time‐varying coefficients
published 2017 · Journal of Applied Econometrics · 10 citations · first circulated 2015
A Bayesian Model Comparison for Trend‐Cycle Decompositions of Output
published 2017 · Journal of money credit and banking · 60 citations · first circulated 2015
with Angelia L. Grant
Reconciling output gaps: Unobserved components model and Hodrick–Prescott filter
published 2016 · Journal of Economic Dynamics and Control · 54 citations
with Angelia L. Grant
Specification tests for time-varying parameter models with stochastic volatility
published 2016 · Econometric Reviews · 33 citations · first circulated 2015
On the Observed-Data Deviance Information Criterion for Volatility Modeling
published 2016 · Journal of Financial Econometrics · 72 citations
with Angelia L. Grant
Large Bayesian VARMAs
published 2016 · Journal of Econometrics · 36 citations · first circulated 2015
Modeling energy price dynamics: GARCH versus stochastic volatility
published 2015 · Energy Economics · 203 citations
with Angelia L. Grant
Stochastic Model Specification Search for Time-Varying Parameter VARs
published 2015 · Econometric Reviews · 57 citations · first circulated 2014
The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling
published 2015 · Journal of Business and Economic Statistics · 154 citations
Pitfalls of estimating the marginal likelihood using the modified harmonic mean
published 2015 · Economics Letters · 9 citations
with Angelia L. Grant
A Bounded Model of Time Variation in Trend Inflation, Nairu and the Phillips Curve
published 2015 · Journal of Applied Econometrics · 57 citations · first circulated 2014
Fast computation of the deviance information criterion for latent variable models
published 2014 · Computational Statistics & Data Analysis · 65 citations
with Angelia L. Grant
Priors and Posterior Computation in Linear Endogenous Variable Models with Imperfect Instruments
published 2014 · Journal of Applied Econometrics · 16 citations · first circulated 2012
with Justin L. Tobias
Moving average stochastic volatility models with application to inflation forecast
published 2013 · Journal of Econometrics · 141 citations · first circulated 2012
Modelling breaks and clusters in the steady states of macroeconomic variables
published 2013 · Computational Statistics & Data Analysis · 13 citations · first circulated 2011
Time Varying Dimension Models
published 2012 · Journal of Business and Economic Statistics · 84 citations · first circulated 2010
A New Model of Trend Inflation
published 2012 · Journal of Business and Economic Statistics · 108 citations
Marginal Likelihood Estimation with the Cross-Entropy Method
published 2012 · Econometric Reviews · 91 citations
Improved cross-entropy method for estimation
published 2011 · Statistics and Computing · 73 citations
with Dirk P. Kroese
A comparison of cross-entropy and variance minimization strategies
published 2011 · Journal of Applied Probability · 31 citations
Efficient estimation of large portfolio loss probabilities in t-copula models
published 2010 · European Journal of Operational Research · 84 citations
with Dirk P. Kroese
MCMC Estimation of Restricted Covariance Matrices
published 2009 · Journal of Computational and Graphical Statistics · 46 citations
Replication of the results in ‘learning about heterogeneity in returns to schooling’
published 2005 · Journal of Applied Econometrics
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