Robert Kohn

University of New South Wales - School of Economics and School of Banking and Finance

Australian School of Business

Sydney NSW 2052, ACT 2600

Australia

SCHOLARLY PAPERS

24

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SSRN CITATIONS
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Top 13,272

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44

CROSSREF CITATIONS

44

Scholarly Papers (24)

Modeling Dependence Using Skew T Copulas: Bayesian Inference and Applications

Number of pages: 39 Posted: 04 Sep 2010
Michael S. Smith, Quan Gan and Robert Kohn
University of Melbourne - Melbourne Business School, The University of Sydney - Discipline of Finance and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 213 (194,272)
Citation 5

Abstract:

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Asymmetric Dependence, Bayesian Cross-Validation, Copula Modeling, Electricity Market Efficiency, Electricity Spot Prices, Nonlinear Dependence, Website Exposure, Online Advertising

Modeling Dependence Using Skew T Copulas: Bayesian Inference and Applications

Melbourne Business School Working Paper
Number of pages: 39 Posted: 08 Apr 2010 Last Revised: 17 Aug 2010
Michael S. Smith, Qan Gan and Robert Kohn
University of Melbourne - Melbourne Business School, The University of Sydney and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 82 (403,916)

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Asymmetric Dependence, Bayesian Cross-Validation, Copula Modeling, Electricity Market Efficiency, Electricity Spot Prices, Nonlinear Dependence, Website Exposure, Online Advertising

2.

Multivariate Stochastic Volatility Models with Correlated Errors

Number of pages: 31 Posted: 21 Jan 2006
David X. Chan, Robert Kohn and Chris Kirby
Cendant Corporation, University of New South Wales - School of Economics and School of Banking and Finance and UNC Charlotte - Belk College of Business
Downloads 246 (169,667)

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Bayesian estimation, Correlation matrix, Leverage, Markov chain Monte Carlo, Model averaging

3.

Bayesian Covariance Matrix Estimation Using a Mixture of Decomposable Graphical Models

Number of pages: 28 Posted: 02 Mar 2007
University of New South Wales - School of Mathematics, University of NSW, Massachusetts General Hospital and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 224 (185,528)
Citation 2

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Covariance selection, Graphical models, Reduced conditional sampling, Variable selection

4.

Adaptive Independent Metropolis-Hastings by Fast Estimation of Mixtures of Normals

Number of pages: 35 Posted: 12 Jan 2008
Paolo Giordani and Robert Kohn
Norwegian Business School and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 219 (189,540)
Citation 3

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Clustering, Gibbs sampling, Markov chain, Monte Carlo

5.

Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models

Giordani, Paolo, and Robert, Kohn, “Efficient Bayesian Inference for Multiple Change Point and Mixture Innovation Models,” Journal of Business and Economic Statistics, 2008, 26, 66-77.
Number of pages: 28 Posted: 28 Feb 2006 Last Revised: 20 May 2019
Paolo Giordani and Robert Kohn
Norwegian Business School and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 188 (217,964)
Citation 18

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Structural breaks, Parameter instability, Change-point, State-space, Mixtures, Discrete latent variables, Adaptive Metropolis-Hastings

6.

Finite Sample Performance of Robust Bayesian Regression

Number of pages: 33 Posted: 13 Nov 1997
Michael Smith, Simon J. Sheather and Robert Kohn
UNSW Australia Business School, School of Economics, Texas A&M University and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 139 (279,893)
Citation 2

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7.

Variable Selection and Model Averaging in Semiparametric Overdispersed Generalized Linear Models

Number of pages: 45 Posted: 19 Jul 2007
Remy Cottet, Robert Kohn and David J. Nott
University of New South Wales (UNSW), University of New South Wales - School of Economics and School of Banking and Finance and University of New South Wales (UNSW) - School of Mathematics
Downloads 130 (294,349)

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Bayesian analysis; Double exponential family, Hierarchical priors, Markov chain Monte Carlo

8.

A Unified Approach to Nonlinearity, Structural Change, and Outliers

Econometric Institute Report EI 2005-09
Number of pages: 37 Posted: 24 Jan 2006
Norwegian Business School, University of New South Wales - School of Economics and School of Banking and Finance and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 128 (297,948)
Citation 4

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State-space models, Markov-switching models, Threshold models, Bayesian inference, Business cycle asymmetry

9.

Bayesian Estimation of a Random Effects Heteroscedastic Probit Model

Number of pages: 29 Posted: 29 Aug 2008
University of New South Wales - School of Economics, UNSW Australia Business School, School of Economics, UNSW Australia Business School, School of Economics and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 121 (310,599)

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Cross-validation, deviance information criterion, Markov chain Monte Carlo, ROC curve

10.

Nonparametric Regression Density Estimation Using Smoothly Varying Normal Mixtures

Riksbank Research Paper Series No. 211
Number of pages: 46 Posted: 27 Oct 2007
Mattias Villani, Robert Kohn and Paolo Giordani
Sveriges Riksbank - Research Division, University of New South Wales - School of Economics and School of Banking and Finance and Norwegian Business School
Downloads 116 (319,879)
Citation 4

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Bayesian inference, Markov Chain Monte Carlo, Mixture of Experts, Predictive inference, Splines, Value-at-Risk, Variable selection

11.

Locally Adaptive Semiparametric Estimation of the Mean and Variance Functions in Regression Models

Number of pages: 26 Posted: 30 Jan 2006
Cendant Corporation, University of New South Wales - School of Economics and School of Banking and Finance, University of New South Wales (UNSW) - School of Mathematics and UNC Charlotte - Belk College of Business
Downloads 90 (378,156)
Citation 1

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Additive model, Bayesian estimation, Markov chain Monte Carlo, Radial basis functions

12.

On Some Properties of Markov Chain Monte Carlo Simulation Methods Based on the Particle Filter

Journal of Econometrics, Vol. 171, No. 2, 2012, UNSW Business School Research Paper Forthcoming
Number of pages: 38 Posted: 05 Jun 2019
University of Warwick, Universidade Federal do Rio de Janeiro (UFRJ), Norwegian Business School and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 88 (383,413)
Citation 2

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Auxiliary variables; Adapted filtering; Bayesian inference; Simulated likelihood

13.

Importance Sampling Squared for Bayesian Inference in Latent Variable Models

Number of pages: 39 Posted: 28 Jan 2014
UNSW Business School, The University of Sydney, University of Warwick and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 88 (383,413)
Citation 13

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Efficient importance sampling, marginal likelihood, multinomial logit, particle marginal Metropolis-Hastings, optimal number of particles, stochastic volatility

14.

Semiparametric Bayesian Inference for Time Series with Mixed Spectra

Number of pages: 22 Posted: 14 Jan 1998
Christopher K. Carter and Robert Kohn
University of NSW and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 88 (383,413)
Citation 1

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15.

Locally Adaptive Nonparametric Binary Regression

Number of pages: 31 Posted: 22 Sep 2007
Melbourne Business School, University of New South Wales - School of Economics and School of Banking and Finance, University of New South Wales (UNSW), affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 84 (394,247)

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Bayesian analysis, Markov chain, Monte Carlo, Mixture of Experts

16.

Speeding Up MCMC by Efficient Data Subsampling

Riksbank Research Paper Series No. 121, Sveriges Riksbank Working Paper Series No. 297
Number of pages: 39 Posted: 14 Apr 2015
Matias Quiroz, Mattias Villani and Robert Kohn
Sveriges Riksbank - Research Division, Linkoping University and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 83 (397,017)
Citation 9

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Bayesian inference, Markov Chain Monte Carlo, Pseudo-marginal MCMC, Big Data, Probability Proportional-to-Size sampling, Numerical integration

17.

Flexible Modeling of Conditional Distributions Using Smooth Mixtures of Asymmetric Student T Densities

Riksbank Research Paper Series No. 64, Sveriges Riksbank Working Paper Series No. 233
Number of pages: 24 Posted: 04 Mar 2010 Last Revised: 08 May 2010
Feng Li, Mattias Villani and Robert Kohn
Central University of Finance and Economics (CUFE), Sveriges Riksbank - Research Division and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 78 (411,521)
Citation 7

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Bayesian Inference, Markov Chain Monte Carlo, Mixture of Experts, Variable Selection, Volatility Modeling

18.

Scalable MCMC for Large Data Problems Using Data Subsampling and the Difference Estimator

Sveriges Riksbank Working Paper Series No. 306, Riksbank Research Paper Series No. 130
Number of pages: 32 Posted: 04 Jun 2016
Matias Quiroz, Mattias Villani and Robert Kohn
Sveriges Riksbank - Research Division, Linkoping University and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 76 (417,639)
Citation 1

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Bayesian inference, Markov Chain Monte Carlo, Pseudo-marginal MCMC, estimated likelihood, GLM for large data

19.

Bayesian Subset Selection and Model Averaging Using a Centered and Dispersed Prior for the Error Variance

Number of pages: 20 Posted: 13 Feb 2006
UNSW Australia Business School, School of Economics, University of New South Wales - School of Economics and School of Banking and Finance and University of New South Wales (UNSW) - School of Mathematics
Downloads 47 (525,783)
Citation 1

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empirical Bayes prior, Markov chain Monte Carlo, nonparametric regression, orthogonal predictors

20.

Modeling Conditional Densities Using Finite Smooth Mixtures

Riksbank Research Paper Series No. 76, Sveriges Riksbank Working Paper Series No. 245
Number of pages: 22 Posted: 27 Jan 2011
Robert Kohn, Feng Li and Mattias Villani
University of New South Wales - School of Economics and School of Banking and Finance, Central University of Finance and Economics (CUFE) and Sveriges Riksbank - Research Division
Downloads 44 (539,663)

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Bayesian inference, Markov chain Monte Carlo, Mixture of Experts, Variable selection

21.

A Copula Based Bayesian Approach for Paid–Incurred Claims Models for Non-Life Insurance Reserving

Number of pages: 40 Posted: 05 Jun 2017
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, The University of Sydney - School of Mathematics and Statistics and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 42 (549,374)
Citation 2

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Chain Ladder Models, Claims Reserving, Data Augmentation, Adaptive Markov Chain Monte Carlo

22.

Markov Interacting Importance Samplers

Number of pages: 44 Posted: 26 Feb 2015 Last Revised: 25 Jun 2015
Eduardo F Mendes, Marcel Scharth and Robert Kohn
UNSW Australia Business School, School of Economics, The University of Sydney and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 35 (585,666)
Citation 2

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Bayesian inference, Control variates, Mixed Logit, PMCMC, Markov Modulated Poisson Process, Rao-Blackwellization, Variance reduction

23.

Particle Efficient Importance Sampling

Number of pages: 42 Posted: 27 Sep 2013
Marcel Scharth and Robert Kohn
The University of Sydney and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 32 (602,425)
Citation 6

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Bayesian inference, particle filters, particle marginal Metropolis-Hastings, sequential Monte Carlo, stochastic volatility

24.

Regression Density Estimation Using Smooth Adaptive Gaussian Mixtures

Journal of Econometrics, Vol. 153, No. 2, 2009, UNSW Business School Research Paper Forthcoming
Number of pages: 25 Posted: 05 Jun 2019
Mattias Villani, Robert Kohn and Paolo Giordani
Sveriges Riksbank - Research Division, University of New South Wales - School of Economics and School of Banking and Finance and Norwegian Business School
Downloads 14 (730,663)
Citation 2

Abstract:

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Bayesian inference, Markov Chain Monte Carlo, Mixture of Experts, Nonparametric estimation, Splines, Value-at-Risk, Variable selection