Work in progress

"Simple Approximate Maximum-Likelihood Estimation of Multivariate Jump-Diffusion Models" (with A. Mele)

"Estimation of Semiparametric Models by Smoothed Profile Likelihood."

"Smoothed Likelihood Ratio Testing in Semiparametric Models."

"On Nonparametric Identification and Estimation of Multiple Choice Models" (with P.-A. Chiappori and I. Komunjer).

"Optimal Sampling and Bandwidth Selection for Kernel Estimators of Diffusion Processes" (with S. Kanaya).

"What Drives the Yield Curve?" (with O. Linton and M. Van der Wel).

"Smooth Filtering and Likelihood Estimation of Dynamic Latent Variable Models" (with C.T. Brownlees and Y. Shin).

"Implementation and Estimation of Discrete Markov Decision Models by Sieve Approximations" (with
B. Scherning).

"Estimation of Diffusion Models with Time-varying Parameters" (with S. Kanaya).