Working Papers
Estimating Output Gap with the Time-Varying Slope New Keynesian Phillips Curve (with Bowen Fu and Kelly Trihn)
Publications
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
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
Large Bayesian SVARs with Linear Restrictions (Online Appendix)
Chenghan Hou (2024)
Journal of Econometrics, 244(1), 105850
Large Stochastic Volatility in Mean VARs (Online Appendix)
Jamie Cross, Chenghan Hou, Gary Koop and Aubrey Poon (2023)
Journal of Econometrics, 236(1), 105469
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
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
Forecasting Natural Gas Prices Using Highly Flexible Time-Varying Parameters Models
Shen Gao, Chenghan Hou and Bao Nguyen (2021)
Economic Modelling, 105, 105652
Returns, Volatility and Cryptocurrency Bubble of 2017-18
Jamie Cross, Chenghan Hou and Kelly Trinh (2021)
Economic Modelling, 104, 105643
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
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
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
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
Time-Varying Relationship between Inflation and Inflation Uncertainty
Chenghan Hou (2020)
Oxford Bulletin of Economics and Statistics, 82(1), 83-124
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
Understanding the U.S. Natural Gas Market: A Markov Switching VAR Approach
Chenghan Hou and Bao Nguyen (2018)
Energy Economics, 75, 42-53
Infinite Hidden Markov Switching VARs with Application to Macroeconomic Forecast
Chenghan Hou (2017)
International Journal of Forecasting, 33(4), 1025-1043
Book Chapters
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