Research

Working Papers

• Estimating Output Gap with the Time-Varying Slope New Keynesian Phillips Curve (with Bowen Fu and Kelly Trihn)

Publications              

1. Investigating Economic Uncertainty Using Stochastic Volatility in Mean VARs: The Importance of Model Size, Order-Invariance and Classification (Online Appendix)
   Sharada Nia Davidson, Chenghan Hou and Gary Koop (2025)
   Journal of Business and Economic Statistics, forthcoming 

2. Macroeconomic Real-time Forecasts of Univariate Models with Flexible Error Structures (Online Appendix)
   Kelly Trinh, Bo Zhang and Chenghan Hou (2025)
   Journal of Forecasting, 44(1), 59-78

3. Large Bayesian SVARs with Linear Restrictions (Online Appendix)
   Chenghan Hou (2024)
   Journal of Econometrics, 244(1), 105850

4. Large Stochastic Volatility in Mean VARs (Online Appendix)
   Jamie Cross, Chenghan Hou, Gary Koop and Aubrey Poon (2023)
   Journal of Econometrics, 236(1), 105469

5. Real-time Forecasting of the Australian Macroeconomy Using Flexible Bayesian VARs
   Chenghan Hou, Bao Nguyen and Bo Zhang (2022)
   Journal of Forecasting, 42(2), 418-451

6. Forecasting 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), 51-73

7. Forecasting Natural Gas Prices Using Highly Flexible Time-Varying Parameters Models  
   Shen Gao, Chenghan Hou and Bao Nguyen (2021)
   Economic Modelling, 105, 105652

8. Returns, Volatility and Cryptocurrency Bubble of 2017-18
   Jamie Cross, Chenghan Hou and Kelly Trinh (2021)
   Economic Modelling, 104, 105643

9. On the China Factor in the World Oil Market: A Regime Switching Approach
   Jamie Cross, Chenghan Hou and Bao Nguyen (2021)
   Energy Economics,  95, 105-119

10. Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility (Online Appendix)
    Joshua Chan, Eric Eisenstat, Chenghan Hou and Gary Koop (2020)
    Journal of Applied Econometrics, 35(6), 692-711

11. Macroeconomic 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), 899-915

12. Robust Estimation and Inference for Importance Sampling Estimators with Infinite Variance
    Joshua Chan, Chenghan Hou and Thomas Yang (2020)
    Advances in Econometrics, 41, 255-285

13. Time-Varying Relationship between Inflation and Inflation Uncertainty
    Chenghan Hou (2020)
    Oxford Bulletin of Economics and Statistics, 82(1), 83-124

14. A Bayesian Analysis of Parental Education as Instruments in Estimating the Return to Schooling (Online Appendix)
    Chenghan Hou, Xinping Tian and Si Wang (2020)
    Applied Economics Letters, 27(2), 113-117 

15. Understanding the U.S. Natural Gas Market: A Markov Switching VAR Approach
    Chenghan Hou and Bao Nguyen (2018)
    Energy Economics, 75, 42-53

16. Infinite Hidden Markov Switching VARs with Application to Macroeconomic Forecast
    Chenghan Hou (2017)
    International Journal of Forecasting, 33(4), 1025-1043

Book Chapters

1. International Transmissions of Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach 
   Jamie Cross, Chenghan Hou and Aubrey Poon (2025)
   Recent Developments in Bayesian Econometrics and its Applications: Festschrift in Honour of Sune Karlsson, Springer