Observation-driven Filtering of Time-varying Parameters Based on Moment Conditions, with Siem Jan Koopman, André Lucas, and Marcin Zamojski, January 2020 (Previous title: Generalized Autoregressive Method of Moments)
The PPP view of Multihorizon Currency Risk Premiums, with Mikhail Chernov, July 2020, The Review of Financial Studies, forthcoming.
Monetary Policy Uncertainty and Economic Fluctuations, with Jing Cynthia Wu, International Economic Review, Vol. 58, No. 4, pp. 1317-1354, 2017.
A Class of Non-Gaussian State Space Models with Exact Likelihood Inference, Journal of Business and Economic Statistics, Vol. 35, No. 4, pp. 585-597, 2017.
Testing for Parameter Instability Across Different Modelling Frameworks, with Francesco Calvori, Siem Jan Koopman, and André Lucas, Journal of Financial Econometrics, Vol. 15, No. 2, pp. 223-246, 2017.
Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility, with Jing Cynthia Wu, Journal of Econometrics, Vol. 185, No. 1, pp. 60-81, 2015.
Observation-driven Mixed Measurement Dynamic Factor Models with an Application to Credit Risk, with Bernd Schwaab, Siem Jan Koopman, and André Lucas, The Review of Economics and Statistics, Vol. 96, No. 5, pp. 898-915, 2014.
Generalized Autoregressive Score Models with Applications, with Siem Jan Koopman, and André Lucas, Journal of Applied Econometrics, Vol. 28, No. 5, pp. 777-795, 2013.
A Survey of Sequential Monte Carlo Methods for Economics and Finance, Econometric Reviews, Vol. 31, No. 3, pp. 245-296, 2012.
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations, with Siem Jan Koopman, and André Lucas, Journal of Business and Economic Statistics, Vol. 29, No. 4, pp. 552-563, 2011.
Extracting a Robust U.S. Business Cycle using a Time-Varying Multivariate Model-based Bandpass Filter, with Siem Jan Koopman, and Eric Zivot, Journal of Applied Econometrics, Vol. 25, No. 4, pp. 695-719, 2010.
Testing the Assumptions Behind Importance Sampling, with Siem Jan Koopman, and Neil Shephard, Journal of Econometrics, Vol. 149, No. 1, pp. 2-11, 2009.
The Relationship Between the Beveridge-Nelson Decomposition and Other Permanent-Transitory Decompositions that are Popular in Economics, with Kum Hwa Oh, and Eric Zivot, Journal of Econometrics,Vol. 146, No. 2, pp. 207-219, 2008.
Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models, Computational Statistics and Data Analysis, Vol. 52, pp. 2863-2876, 2008.
Older Working Papers
Modeling Dynamic Volatilities and Correlations Under Skewness and Fat Tails, with Xin Zhang, Siem Jan Koopman, and André Lucas, February 2012.
Sequential Monte Carlo samplers for Bayesian DSGE models, August 2007.