Cluster Vector Autoregressions, with Jaeho Kim, coming soon.

Empirical Asset Pricing with Bayesian Regression Trees, with Jaeho Kim, October 2023  Online Appendix

Bayesian Estimation of Cluster Covariance Matrices of Unknown Form, with Jaeho Kim, Journal of Econometrics, 2024, forthcoming. 

Observation-driven Filtering of Time-varying Parameters Using Moment Conditions, with Siem Jan Koopman, André Lucas, and Marcin Zamojski, Journal of Econometrics, Vol. 238, No. 2, Article 105635, 2024. 

Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds, with Mikhail Chernov and Peter Hordahl, Journal of International Economics, Vol. 140, Article 103692, 2023.

International Yield Curves and Currency Puzzles, with Mikhail Chernov, Journal of Finance, Vol. 78, No. 1, pp. 209-245, 2023.

The PPP view of Multihorizon Currency Risk Premiums, with Mikhail Chernov, The Review of Financial Studies, Vol. 34, No. 6, pp. 2728-2772, 2021.

Bond Risk Premia in Consumption-Based Models, with Jing Cynthia Wu, Quantitative Economics, Vol. 11, No. 4, pp. 1461-1484, 2020.

Download appendix

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.

Download Appendix | Matlab Code

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.

High-dimensional Dynamic Stochastic Copula Models, with Ruey Tsay, Journal of Econometrics, Vol. 189, No. 2, pp. 335-345, 2015.

Download Appendix | Matlab Code

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.

Matlab Code

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.

Ox Code | Online Appendix

Market-based Credit Ratings, with Robert Gramacy, and Ruey Tsay, Journal of Business and Economic Statistics,Vol. 32, No. 3, pp. 430-444, 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.

Ox Code | Matlab Code | Online Appendix  |  Go to Generalized autoregressive score (GAS) models website

A Survey of Sequential Monte Carlo Methods for Economics and Finance, Econometric Reviews, Vol. 31, No. 3, pp. 245-296, 2012.

Ox Code | Matlab Code

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.

Ox Code 

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.

Data | Online Appendix | Ox code

Testing the Assumptions Behind Importance Sampling, with Siem Jan Koopman, and Neil Shephard, Journal of Econometrics, Vol. 149, No. 1, pp. 2-11, 2009.

Ox Code

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.

Data

Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models, Computational Statistics and Data Analysis, Vol. 52, pp. 2863-2876, 2008.