14 citations · 35 across the 35 of their papers we have counts for
3 papers · 1 filter
Variational Approximation of Factor Stochastic Volatility Models
David Gunawan, Robert Kohn, David Nott
Estimation and prediction in high dimensional multivariate factor stochastic volatility models is an important and active research area because such models allow a parsimonious rep…
Posterior Probabilities for Lorenz and Stochastic Dominance of Australian Income Distributions
David Gunawan, William E. Griffiths, Duangkamon Chotikapanich
Using HILDA data for the years 2001, 2006, 2010, 2014 and 2017, we compute posterior probabilities for dominance for all pairwise comparisons of income distributions in these years…
The Interaction Between Credit Constraints and Uncertainty Shocks
Pratiti Chatterjee, David Gunawan, Robert Kohn
Can uncertainty about credit availability trigger a slowdown in real activity? This question is answered by using a novel method to identify shocks to uncertainty in access to cred…