Professor Dimitris Korompilis Magkas

  • Professor of Econometrics (Economics)

Publications

List by: Type | Date

Jump to: 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2008
Number of items: 24.

2019

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 Wed Sep 18 14:01:00 2019 BST.
Number of items: 24.

Articles

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 Wed Sep 18 14:01:00 2019 BST.