5 citations · 9 across the 4 of their papers we have counts for
4 papers
Conditional Forecasts in Large Bayesian VARs with Multiple Equality and Inequality Constraints
Joshua C. C. Chan, Davide Pettenuzzo, Aubrey Poon +1
Conditional forecasts, i.e. projections of a set of variables of interest on the future paths of some other variables, are used routinely by empirical macroeconomists in a number o…
Money Growth and Inflation: A Quantile Sensitivity Approach
Matteo Iacopini, Aubrey Poon, Luca Rossini +1
An innovative method is proposed to construct a quantile dependence system for inflation and money growth. By considering all quantiles and leveraging a novel notion of quantile se…
High-Dimensional Conditionally Gaussian State Space Models with Missing Data
Joshua C. C. Chan, Aubrey Poon, Dan Zhu
We develop an efficient sampling approach for handling complex missing data patterns and a large number of missing observations in conditionally Gaussian state space models. Two im…
Efficient Estimation of State-Space Mixed-Frequency VARs: A Precision-Based Approach
Joshua C. C. Chan, Aubrey Poon, Dan Zhu
State-space mixed-frequency vector autoregressions are now widely used for nowcasting. Despite their popularity, estimating such models can be computationally intensive, especially…