Joshua Chan
Joshua Chan
Professor of Economics, Purdue University
Verified email at purdue.edu - Homepage
Title
Cited by
Cited by
Year
Efficient simulation and integrated likelihood estimation in state space models
JCC Chan, I Jeliazkov
International Journal of Mathematical Modelling and Numerical Optimisation 1 …, 2009
2172009
Modeling energy price dynamics: GARCH versus stochastic volatility
JCC Chan, AL Grant
Energy Economics 54, 182-189, 2016
1182016
Statistical Modeling and Computation
DP Kroese, JCC Chan
Springer, New York, 2014
1112014
Moving average stochastic volatility models with application to inflation forecast
JCC Chan
Journal of Econometrics 176 (2), 162-172, 2013
1112013
The stochastic volatility in mean model with time-varying parameters: An application to inflation modeling
JCC Chan
Journal of Business & Economic Statistics 35 (1), 17-28, 2017
1042017
A new model of trend inflation
JCC Chan, G Koop, SM Potter
Journal of Business & Economic Statistics 31 (1), 94-106, 2013
952013
Bayesian model comparison for time-varying parameter VARs with stochastic volatility
JCC Chan, E Eisenstat
Journal of Applied Econometrics 33 (4), 509-532, 2018
942018
Efficient estimation of large portfolio loss probabilities in t-copula models
JCC Chan, DP Kroese
European Journal of Operational Research 205 (2), 361-367, 2010
782010
Time varying dimension models
JCC Chan, G Koop, R Leon-Gonzalez, RW Strachan
Journal of Business & Economic Statistics 30 (3), 358-367, 2012
742012
Marginal likelihood estimation with the Cross-Entropy method
JCC Chan, E Eisenstat
Econometric Reviews 34 (3), 256-285, 2015
682015
A new model of inflation, trend inflation, and long-run inflation expectations
JCC Chan, TE Clark, G Koop
Journal of Money, Credit and Banking 50 (1), 5-53, 2018
662018
Estimation of stochastic volatility models with heavy tails and serial dependence
JCC Chan, CYL Hsiao
Bayesian Inference in the Social Sciences, 159-180, 2014
662014
Improved cross-entropy method for estimation
JCC Chan, DP Kroese
Statistics and computing 22 (5), 1031-1040, 2012
582012
Stochastic model specification search for time-varying parameter VARs
E Eisenstat, JCC Chan, RW Strachan
Econometric Reviews 35 (8-10), 1638-1665, 2016
572016
On the observed-data deviance information criterion for volatility modeling
JCC Chan, AL Grant
Journal of Financial Econometrics 14 (4), 772-802, 2016
542016
Fast computation of the deviance information criterion for latent variable models
JCC Chan, AL Grant
Computational Statistics & Data Analysis 100, 847-859, 2016
512016
Rare-event probability estimation with conditional Monte Carlo
JCC Chan, DP Kroese
Annals of Operations Research 189 (1), 43-61, 2011
482011
A bounded model of time variation in trend inflation, NAIRU and the Phillips curve
JCC Chan, G Koop, S Potter
Journal of Applied Econometrics 31 (3), 551-565, 2016
442016
Large Bayesian VARs: A flexible Kronecker error covariance structure
JCC Chan
Journal of Business & Economic Statistics 38 (1), 68-79, 2020
422020
A comparison of cross-entropy and variance minimization strategies
JCC Chan, PW Glynn, DP Kroese
Journal of Applied Probability 48, 183-194, 2011
352011
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Articles 1–20