Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models
Luo, Jiawen, Klein, Tony, Ji, Qiang, Hou, Chenghan
Published in International journal of forecasting (01.01.2022)
Published in International journal of forecasting (01.01.2022)
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Journal Article
Macroeconomic forecasting with large Bayesian VARs: Global-local priors and the illusion of sparsity
Cross, Jamie L., Hou, Chenghan, Poon, Aubrey
Published in International journal of forecasting (01.07.2020)
Published in International journal of forecasting (01.07.2020)
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Journal Article
Large stochastic volatility in mean VARs
Cross, Jamie L., Hou, Chenghan, Koop, Gary, Poon, Aubrey
Published in Journal of econometrics (01.09.2023)
Published in Journal of econometrics (01.09.2023)
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Journal Article
On the China factor in the world oil market: A regime switching approach11We thank Hilde Bjørnland, Tatsuyoshi Okimoto, Ippei Fujiwara, Knut Aastveit, Leif Anders Thorsrud, Francesco Ravazzolo, Renee Fry-McKibbin, Warwick McKibbin and members of the workshop on Energy Economics hosted by the Free University of Bozen-Bolzano for their comments in the development of this research
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Journal Article
Robust Estimation and Inference for Importance Sampling Estimators with Infinite Variance
Chan, Joshua C. C, Hou, Chenghan, Yang, Thomas Tao
Published in Essays in Honor of Cheng Hsiao (01.01.2020)
Published in Essays in Honor of Cheng Hsiao (01.01.2020)
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Book Chapter