Professor Dimitris Korobilis

  • Professor of Econometrics (Economics)

telephone: +44 (0)141 330 2000 (ext. 0635)
email: Dimitris.Korobilis@glasgow.ac.uk

ORCID iDhttps://orcid.org/0000-0001-9146-3008

Biography

Dimitris Korobilis (PhD Strathclyde, 2010) is Professor of Econometrics at the Adam Smith Business School. Before joining Glasgow he was Professor of Finance at Essex Business School, University of Essex. He works in the area of advanced statistical inference using economic and financial data. Recent research involves the development of machine learning algorithms for high-dimensional inference in macroeconomic models with large datasets; research that has been published in Journal of Econometrics and Journal of Business & Economic Statistics, among other journals. His models have been used extensively by policy-making institutions to monitor financial conditions (International Monetary Fund) and to forecast inflation (European Central Bank). He has been a consultant for major international institutions (e.g. US Department of Energy) and government (e.g. Scottish Government), and he delivers regularly specialized training in central banks on topics related to statistical inference that supports policy decision-making. He is in the all-time top 4% of authors internationally in Economics on REPEC (among 55,000 registered economists), in the top 1% (position 290 out of 55,000) measuring output only for the past 10 years, and he was No 1 young economist in the UK (PhD 5 years or less).

Personal website

CV


Research interests

  • Macroeconometrics; Time-series Analysis; Forecasting
  • Bayesian statistics; Machine Learning; High-dimensional Models
  • News and Business Cycles; Monetary policy; Macroeconomic Uncertainty

Publications

List by: Type | Date

Jump to: 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2008
Number of items: 25.

2019

Korobilis, D. (2019) High-dimensional macroeconomic forecasting using message passing algorithms. Journal of Business and Economic Statistics, (Accepted for Publication)

Byrne, J. P., Cao, S. and Korobilis, D. (2019) Decomposing global yield curve co-movement. Journal of Banking and Finance, (doi:10.1016/j.jbankfin.2019.07.018) (In Press)

Koop, G., Korobilis, D. and Pettenuzzo, D. (2019) Bayesian compressed vector autoregressions. Journal of Econometrics, 210(1), pp. 135-154. (doi:10.1016/j.jeconom.2018.11.009)

Korobilis, D. and Pettenuzzo, D. (2019) Adaptive hierarchical priors for high-dimensional vector autoregressions. Journal of Econometrics, (doi:10.1016/j.jeconom.2019.04.029) (In Press)

Koop, G. and Korobilis, D. (2019) Forecasting with high-dimensional panel VARs. Oxford Bulletin of Economics and Statistics, (doi:10.1111/obes.12303) (Early Online Publication)

2018

Byrne, J. P., Korobilis, D. and Ribeiro, P. J. (2018) On the sources of uncertainty in exchange rate predictability. International Economic Review, 59(1), pp. 329-357. (doi:10.1111/iere.12271)

2017

Byrne, J. P., Cao, S. and Korobilis, D. (2017) Forecasting the term structure of government bond yields in unstable environments. Journal of Empirical Finance, 44, pp. 209-225. (doi:10.1016/j.jempfin.2017.09.004)

Korobilis, D. (2017) Quantile regression forecasts of inflation under model uncertainty. International Journal of Forecasting, 33(1), pp. 11-20. (doi:10.1016/j.ijforecast.2016.07.005)

2016

Korobilis, D. (2016) Prior selection for panel vector autoregressions. Computational Statistics and Data Analysis, 101, pp. 110-120. (doi:10.1016/j.csda.2016.02.011)

Byrne, J., Korobilis, D. and Ribeiro, P. J. (2016) Exchange rate predictability in a changing world. Journal of International Money and Finance, 62, pp. 1-24. (doi:10.1016/j.jimonfin.2015.12.001)

Koop, G. and Korobilis, D. (2016) Model uncertainty in panel vector autoregressive models. European Economic Review, 81, pp. 115-131. (doi:10.1016/j.euroecorev.2015.09.006)

2015

Bauwens, L., Koop, G., Korobilis, D. and Rombouts, J. V.K. (2015) The contribution of structural break models to forecasting macroeconomic series. Journal of Applied Econometrics, 30(4), pp. 596-620. (doi:10.1002/jae.2387)

2014

Koop, G. and Korobilis, D. (2014) A new index of financial conditions. European Economic Review, 71, pp. 101-116. (doi:10.1016/j.euroecorev.2014.07.002)

Belmonte, M. A. G., Koop, G. and Korobilis, D. (2014) Hierarchical shrinkage in time-varying parameter models. Journal of Forecasting, 33(1), pp. 80-94. (doi:10.1002/for.2276)

2013

Korobilis, D. (2013) Assessing the transmission of monetary policy using time-varying parameter dynamic factor models. Oxford Bulletin of Economics and Statistics, 75(2), pp. 157-179. (doi:10.1111/j.1468-0084.2011.00687.x)

Korobilis, D. (2013) Bayesian forecasting with highly correlated predictors. Economics Letters, 18(1), pp. 148-150. (doi:10.1016/j.econlet.2012.10.003)

Bauwens, L. and Korobilis, D. (2013) Bayesian methods. In: Hashimzade, N. and Thornton, M.A. (eds.) Handbook of Empirical Methods in Macroeconomics. Edward Elgar Publishing: Cheltenham, pp. 363-380. ISBN 9780857931016

Koop, G. and Korobilis, D. (2013) Large Time-Varying Parameter VARs. Journal of Econometrics, 177(2), pp. 185-198. (doi:10.1016/j.jeconom.2013.04.007)

Korobilis, D. (2013) Hierarchical shrinkage priors for dynamic regressions with many predictors. International Journal of Forecasting, 29(1), (doi:10.1016/j.ijforecast.2012.05.006)

2012

Koop, G. and Korobilis, D. (2012) Forecasting inflation using dynamic model averaging. International Economic Review, 53(3), pp. 867-886. (doi:10.1111/j.1468-2354.2012.00704.x)

Korobilis, D. and Gilmartin, M. (2012) On regional unemployment: an empirical examination of the determinants of geographical differentials in the UK. Scottish Journal of Political Economy, 59(2), pp. 179-195. (doi:10.1111/j.1467-9485.2011.00575.x)

2011

Koop, G. and Korobilis, D. (2011) UK macroeconomic forecasting with many predictors: which models forecast best and when do they do so? Economic Modelling, 28(5), pp. 2307-2318. (doi:10.1016/j.econmod.2011.04.008)

Korobilis, D. (2011) VAR forecasting using Bayesian variable selection. Journal of Applied Econometrics, 28(2), pp. 204-230. (doi:10.1002/jae.1271)

2010

Koop, G. and Korobilis, D. (2010) Bayesian multivariate time series methods for empirical macroeconomics. Foundations and Trends in Econometrics, 3(4), pp. 267-358. (doi:10.1561/0800000013)

2008

Korobilis, D. (2008) Forecasting in vector autoregressions with many predictors. In: Chib, S. (ed.) Bayesian Econometrics. Series: Advances in Econometrics (23). Emerald, pp. 403-431. ISBN 9781848553088 (doi:10.1016/S0731-9053(08)23012-4)

This list was generated on Sat Dec 14 18:02:09 2019 GMT.
Number of items: 25.

Articles

Korobilis, D. (2019) High-dimensional macroeconomic forecasting using message passing algorithms. Journal of Business and Economic Statistics, (Accepted for Publication)

Byrne, J. P., Cao, S. and Korobilis, D. (2019) Decomposing global yield curve co-movement. Journal of Banking and Finance, (doi:10.1016/j.jbankfin.2019.07.018) (In Press)

Koop, G., Korobilis, D. and Pettenuzzo, D. (2019) Bayesian compressed vector autoregressions. Journal of Econometrics, 210(1), pp. 135-154. (doi:10.1016/j.jeconom.2018.11.009)

Korobilis, D. and Pettenuzzo, D. (2019) Adaptive hierarchical priors for high-dimensional vector autoregressions. Journal of Econometrics, (doi:10.1016/j.jeconom.2019.04.029) (In Press)

Koop, G. and Korobilis, D. (2019) Forecasting with high-dimensional panel VARs. Oxford Bulletin of Economics and Statistics, (doi:10.1111/obes.12303) (Early Online Publication)

Byrne, J. P., Korobilis, D. and Ribeiro, P. J. (2018) On the sources of uncertainty in exchange rate predictability. International Economic Review, 59(1), pp. 329-357. (doi:10.1111/iere.12271)

Byrne, J. P., Cao, S. and Korobilis, D. (2017) Forecasting the term structure of government bond yields in unstable environments. Journal of Empirical Finance, 44, pp. 209-225. (doi:10.1016/j.jempfin.2017.09.004)

Korobilis, D. (2017) Quantile regression forecasts of inflation under model uncertainty. International Journal of Forecasting, 33(1), pp. 11-20. (doi:10.1016/j.ijforecast.2016.07.005)

Korobilis, D. (2016) Prior selection for panel vector autoregressions. Computational Statistics and Data Analysis, 101, pp. 110-120. (doi:10.1016/j.csda.2016.02.011)

Byrne, J., Korobilis, D. and Ribeiro, P. J. (2016) Exchange rate predictability in a changing world. Journal of International Money and Finance, 62, pp. 1-24. (doi:10.1016/j.jimonfin.2015.12.001)

Koop, G. and Korobilis, D. (2016) Model uncertainty in panel vector autoregressive models. European Economic Review, 81, pp. 115-131. (doi:10.1016/j.euroecorev.2015.09.006)

Bauwens, L., Koop, G., Korobilis, D. and Rombouts, J. V.K. (2015) The contribution of structural break models to forecasting macroeconomic series. Journal of Applied Econometrics, 30(4), pp. 596-620. (doi:10.1002/jae.2387)

Koop, G. and Korobilis, D. (2014) A new index of financial conditions. European Economic Review, 71, pp. 101-116. (doi:10.1016/j.euroecorev.2014.07.002)

Belmonte, M. A. G., Koop, G. and Korobilis, D. (2014) Hierarchical shrinkage in time-varying parameter models. Journal of Forecasting, 33(1), pp. 80-94. (doi:10.1002/for.2276)

Korobilis, D. (2013) Assessing the transmission of monetary policy using time-varying parameter dynamic factor models. Oxford Bulletin of Economics and Statistics, 75(2), pp. 157-179. (doi:10.1111/j.1468-0084.2011.00687.x)

Korobilis, D. (2013) Bayesian forecasting with highly correlated predictors. Economics Letters, 18(1), pp. 148-150. (doi:10.1016/j.econlet.2012.10.003)

Koop, G. and Korobilis, D. (2013) Large Time-Varying Parameter VARs. Journal of Econometrics, 177(2), pp. 185-198. (doi:10.1016/j.jeconom.2013.04.007)

Korobilis, D. (2013) Hierarchical shrinkage priors for dynamic regressions with many predictors. International Journal of Forecasting, 29(1), (doi:10.1016/j.ijforecast.2012.05.006)

Koop, G. and Korobilis, D. (2012) Forecasting inflation using dynamic model averaging. International Economic Review, 53(3), pp. 867-886. (doi:10.1111/j.1468-2354.2012.00704.x)

Korobilis, D. and Gilmartin, M. (2012) On regional unemployment: an empirical examination of the determinants of geographical differentials in the UK. Scottish Journal of Political Economy, 59(2), pp. 179-195. (doi:10.1111/j.1467-9485.2011.00575.x)

Koop, G. and Korobilis, D. (2011) UK macroeconomic forecasting with many predictors: which models forecast best and when do they do so? Economic Modelling, 28(5), pp. 2307-2318. (doi:10.1016/j.econmod.2011.04.008)

Korobilis, D. (2011) VAR forecasting using Bayesian variable selection. Journal of Applied Econometrics, 28(2), pp. 204-230. (doi:10.1002/jae.1271)

Koop, G. and Korobilis, D. (2010) Bayesian multivariate time series methods for empirical macroeconomics. Foundations and Trends in Econometrics, 3(4), pp. 267-358. (doi:10.1561/0800000013)

Book Sections

Bauwens, L. and Korobilis, D. (2013) Bayesian methods. In: Hashimzade, N. and Thornton, M.A. (eds.) Handbook of Empirical Methods in Macroeconomics. Edward Elgar Publishing: Cheltenham, pp. 363-380. ISBN 9780857931016

Korobilis, D. (2008) Forecasting in vector autoregressions with many predictors. In: Chib, S. (ed.) Bayesian Econometrics. Series: Advances in Econometrics (23). Emerald, pp. 403-431. ISBN 9781848553088 (doi:10.1016/S0731-9053(08)23012-4)

This list was generated on Sat Dec 14 18:02:09 2019 GMT.

Supervision

Yu Guo (2019-)

Luigi Gifuni (2019-)


Teaching

ECON5079 Econometrics