This section contains links to my PhD thesis on multivariate GARCH model, my MSc thesis on dynamic term structure modeling, and a few random notes on practical implementation issues for time series models for financial data.
PhD thesis: Dynamic Conditional Eigenvalues
MSc thesis: Term Structure Modeling at the Lower Bound
Assessing strict stationarity with fractional moments
Missing values in GARCH models
A note on linear and non-linear Kalman filtering