Research
Working Papers
Investigating Economic Uncertainty Using Stochastic Volatility in Mean VARs: The Importance of Model Size, Order-Invariance and Classification (with Sharada Nia Davidson and Gary Koop)
International Transmissions of Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach (with Jamie Cross and Aubrey Poon)
Publications
Large Stochastic Volatility in Mean VARs (Appendix)
Jamie Cross, Chenghan Hou, Gary Koop and Aubrey Poon (2023)
Journal of Econometrics, forthcomingReal-time Forecasting of the Australian Macroeconomy Using Flexible Bayesian VARs
Chenghan Hou, Bao Nguyen and Bo Zhang (2022)
Journal of Forecasting, 42(2), 418-451Forecasting Realized Volatility of Agricultural Commodity Futures with Infinite Hidden Markov HAR Models
Jiawen Luo, Tony Klein, Qiang Ji and Chenghan Hou (2022)
International Journal of Forecasting, 38(1), 51-73Forecasting Natural Gas Prices Using Highly Flexible Time-Varying Parameters Models
Shen Gao, Chenghan Hou and Bao Nguyen (2021)
Economic Modelling, 105, 105652Returns, Volatility and Cryptocurrency Bubble of 2017-18
Jamie Cross, Chenghan Hou and Kelly Trinh (2021)
Economic Modelling, 104, 105643On the China Factor in the World Oil Market: A Regime Switching Approach
Jamie Cross, Chenghan Hou and Bao Nguyen (2021)
Energy Economics, 95, 105-119Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility (Appendix)
Joshua Chan, Eric Eisenstat, Chenghan Hou and Gary Koop (2020)
Journal of Applied Econometrics, 35(6), 692-711Macroeconomic Forecasting with Large Bayesian VARs: Global-local Priors and the Illusion of Sparsity
Jamie Cross, Chenghan Hou and Aubrey Poon (2020)
International Journal of Forecasting, 36(3), 899-915Robust Estimation and Inference for Importance Sampling Estimators with Infinite Variance
Joshua Chan, Chenghan Hou and Thomas Yang (2020)
Advances in Econometrics, 41, 255-285Time-Varying Relationship between Inflation and Inflation Uncertainty
Chenghan Hou (2020)
Oxford Bulletin of Economics and Statistics, 82(1), 83-124A Bayesian Analysis of Parental Education as Instruments in Estimating the Return to Schooling (Appendix)
Chenghan Hou, Xinping Tian and Si Wang (2020)
Applied Economics Letters, 27(2), 113-117Understanding the U.S. Natural Gas Market: A Markov Switching VAR Approach
Chenghan Hou and Bao Nguyen (2018)
Energy Economics, 75, 42-53Infinite Hidden Markov Switching VARs with Application to Macroeconomic Forecast
Chenghan Hou (2017)
International Journal of Forecasting, 33(4), 1025-1043