| Publication | Date of Publication | Type |
|---|
A Bayesian time varying approach to risk neutral density estimation
Journal of the Royal Statistical Society. Series A. Statistics in Society | 2025-01-22 | Paper |
Modeling corporate CDS spreads using Markov switching regressions
Studies in Nonlinear Dynamics & Econometrics | 2024-11-28 | Paper |
A dynamic latent-space model for asset clustering
Studies in Nonlinear Dynamics & Econometrics | 2024-11-28 | Paper |
A Stochastic Volatility Model With Realized Measures for Option Pricing
Journal of Business and Economic Statistics | 2024-10-28 | Paper |
A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets
Journal of Business and Economic Statistics | 2024-10-23 | Paper |
Monte Carlo within simulated annealing for integral constrained optimizations
Annals of Operations Research | 2024-05-30 | Paper |
Living on the edge: an unified approach to antithetic sampling
Statistical Science | 2024-05-15 | Paper |
Bayesian Markov-Switching Tensor Regression for Time-Varying Networks
Journal of the American Statistical Association | 2024-03-19 | Paper |
Bayesian Nonparametric Panel Markov-Switching GARCH Models
Journal of Business and Economic Statistics | 2024-03-06 | Paper |
Bayesian Dynamic Tensor Regression
Journal of Business and Economic Statistics | 2024-03-05 | Paper |
A flexible predictive density combination for large financial data sets in regular and crisis periods
Journal of Econometrics | 2023-11-17 | Paper |
Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis
Studies in Nonlinear Dynamics & Econometrics | 2023-03-13 | Paper |
Markov switching panel with endogenous synchronization effects
Journal of Econometrics | 2022-09-14 | Paper |
A framework for information synthesis into sentiment indicators using text mining methods
Communications in Statistics: Theory and Methods | 2022-08-01 | Paper |
Multilayer network analysis of oil linkages
Econometrics Journal | 2022-06-22 | Paper |
Risk management of risk under the Basel accord: a Bayesian approach to forecasting value-at-risk of VIX futures
Mathematics and Computers in Simulation | 2021-02-15 | Paper |
Hierarchical species sampling models
Bayesian Analysis | 2021-02-09 | Paper |
Hierarchical species sampling models
Bayesian Analysis | 2021-02-09 | Paper |
Bayesian nonparametric sparse VAR models
Journal of Econometrics | 2019-09-02 | Paper |
Bayesian nonparametric sparse VAR models
Journal of Econometrics | 2019-09-02 | Paper |
Modeling systemic risk with Markov switching graphical SUR models
Journal of Econometrics | 2019-04-30 | Paper |
Structural changes in large economic datasets: a nonparametric homogeneity test
Economics Letters | 2019-03-11 | Paper |
Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov-switching model
The Annals of Applied Statistics | 2019-02-25 | Paper |
Bayesian Nonparametric Calibration and Combination of Predictive Distributions
Journal of the American Statistical Association | 2018-11-02 | Paper |
Bayesian nonparametric sparse vector autoregressive models
Mathematical and Statistical Methods for Actuarial Sciences and Finance | 2018-10-12 | Paper |
Efficient Gibbs sampling for Markov switching GARCH models
Computational Statistics and Data Analysis | 2018-08-15 | Paper |
Embarrassingly parallel sequential Markov-chain Monte Carlo for large sets of time series
Statistics and Its Interface | 2018-05-08 | Paper |
A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities
Bayesian Analysis | 2016-04-22 | Paper |
A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities
Bayesian Analysis | 2016-04-22 | Paper |
Bayesian model selection for beta autoregressive processes
Bayesian Analysis | 2016-02-05 | Paper |
Bayesian model selection for beta autoregressive processes
Bayesian Analysis | 2016-02-05 | Paper |
Comment on article by Windle and Carvalho
Bayesian Analysis | 2015-12-21 | Paper |
Interacting multiple try algorithms with different proposal distributions
Statistics and Computing | 2015-10-16 | Paper |
Beta-product dependent Pitman-Yor processes for Bayesian inference
Journal of Econometrics | 2014-11-11 | Paper |
Time-varying combinations of predictive densities using nonlinear filtering
Journal of Econometrics | 2014-06-06 | Paper |
Online data processing: comparison of Bayesian regularized particle filters
Electronic Journal of Statistics | 2013-05-27 | Paper |
Online data processing: comparison of Bayesian regularized particle filters
Electronic Journal of Statistics | 2013-05-27 | Paper |
Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the euro area
Journal of Forecasting | 2011-01-06 | Paper |
Stochastic optimization for allocation problems with shortfall risk constraints
Applied Stochastic Models in Business and Industry | 2007-12-16 | Paper |
