Professor Gary Koop
Economics
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Area of Expertise
Bayesian time series econometrics
Bayesian shrinkage methods for macroeconomics in data-rich environments
Bayesian methods for macroeconomic forecasting with Big Data
Prize And Awards
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Publications
- Investigating economic uncertainty using stochastic volatility in mean VARs : the importance of model size, order-invariance and classification
- Davidson Sharada Nia, Hou Chenghan, Koop Gary
- Journal of Business and Economic Statistics, pp. 1-16 (2025)
- https://doi.org/10.1080/07350015.2025.2455064
- Predictive density combination using Bayesian machine learning
- Chernis Tony, Hauzenberger Niko, Huber Florian, Koop Gary, Mitchell James
- International Economic Review (2025)
- https://doi.org/10.1111/iere.12759
- Macroeconomic forecasting using BVARs
- Hauzenberger Niko, Huber Florian, Koop Gary
- Handbook of Research Methods and Applications on Macroeconomic Forecasting (2024) (2024)
- Fast and order-invariant inference in Bayesian VARs with nonparametric shocks
- Huber Florian, Koop Gary
- Journal of Applied Econometrics Vol 39, pp. 1301-1320 (2024)
- https://doi.org/10.1002/jae.3087
- Investigating growth-at-risk using a multicountry nonparametric quantile factor model
- Clark Todd E, Huber Florian, Koop Gary, Marcellino Massimiliano, Pfarrhofer Michael
- Journal of Business and Economic Statistics Vol 42, pp. 1302-1317 (2024)
- https://doi.org/10.1080/07350015.2024.2310020
- A discussion of 'Sparse Bayesian factor analysis when the number of factors is unknown' by Sylvia Fruhwirth-Schnatter, Darjus Hosszejni and Hedibert Freitas Lopes
- Hauzenberger Niko, Koop Gary
- Bayesian Analysis (2024)
- https://doi.org/10.1214/24-BA1423
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Professional Activities
- Workshop on Macroeconomic Analysis and Forecasting for Policy and Practice
- Organiser
- 28/11/2024
- ESCoE Conference on Economic Measurement
- Speaker
- 2023
- International Association of Applied Econometrics
- Member of programme committee
- 2023
- Royal Economic Society Conference
- Member of programme committee
- 2022
- Computational Finance and Econometrics Annual Conference
- Member of programme committee
- 2022
- Computational Finance and Econometrics Annual Conference (CFE2021)
- Participant
- 18/12/2021
Projects
- ESRC/SGSSS Advanced Quantitative Methods (AQM) Supervisor-Led Studentship Competition: £120,000
- Davidson, Sharada Nia (Principal Investigator) Wu, Ping (Principal Investigator) Koop, Gary (Co-investigator) Zhang, Zhoulihua (Researcher)
- Missing but not Forgotten: Modelling New Developments in the Global Economy Using Data with Missing Values
- 01-Jan-2024 - 30-Jan-2028
- Transforming Forecasting Capacity in Government
- McIntyre, Stuart (Co-investigator) De Polis, Andrea (Research Co-investigator) Hauzenberger, Niko (Research Co-investigator) Koop, Gary (Research Co-investigator) Wu, Ping (Research Co-investigator)
- 01-Jan-2023 - 31-Jan-2028
- Macroeconomic Forecasting in Turbulent Times
- Koop, Gary (Principal Investigator)
- 01-Jan-2010 - 30-Jan-2013
- REGIME-SWITCHING AND STRUCTURAL BREAKS IN CO-INTEGRATED MACROECONOMIC MODELS
- Koop, Gary (Principal Investigator)
- 01-Jan-2007 - 30-Jan-2010
- Regime-switching and Structural Breaks in Cointegrated Macroeconomic Models
- Koop, Gary (Principal Investigator)
- 01-Jan-2006 - 30-Jan-2008