| Publication | Date of Publication | Type |
|---|
Conditional forecasts in large Bayesian VARs with multiple equality and inequality constraints
Journal of Economic Dynamics & Control | 2025-06-11 | Paper |
Time Varying Dimension Models
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
A New Model of Trend Inflation
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure
Journal of Business and Economic Statistics | 2024-10-28 | Paper |
Large Order-Invariant Bayesian VARs with Stochastic Volatility
Journal of Business and Economic Statistics | 2024-10-28 | Paper |
The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling
Journal of Business and Economic Statistics | 2024-10-09 | Paper |
Nonparametric estimation in economics: Bayesian and frequentist approaches
Wiley Interdisciplinary Reviews. WIREs Computational Statistics | 2024-09-17 | Paper |
Large Hybrid Time-Varying Parameter VARs
Journal of Business and Economic Statistics | 2024-03-06 | Paper |
Large Hybrid Time-Varying Parameter VARs
Journal of Business and Economic Statistics | 2024-03-06 | Paper |
Asymmetric conjugate priors for large Bayesian VARs
Quantitative Economics | 2023-11-16 | Paper |
High-dimensional conditionally Gaussian state space models with missing data
Journal of Econometrics | 2023-08-18 | Paper |
Comparing stochastic volatility specifications for large Bayesian VARs
Journal of Econometrics | 2023-06-29 | Paper |
Choosing between identification schemes in noisy-news models
Studies in Nonlinear Dynamics & Econometrics | 2023-04-27 | Paper |
A regime switching skew-normal model of contagion
Studies in Nonlinear Dynamics & Econometrics | 2023-04-17 | Paper |
Fast and accurate variational inference for large Bayesian VARs with stochastic volatility
Journal of Economic Dynamics and Control | 2022-11-17 | Paper |
Stochastic model specification search for time-varying parameter VARs
Econometric Reviews | 2022-06-07 | Paper |
Marginal Likelihood Estimation with the Cross-Entropy Method
Econometric Reviews | 2022-05-31 | Paper |
Specification tests for time-varying parameter models with stochastic volatility
Econometric Reviews | 2022-03-09 | Paper |
Speculative bubbles in present-value models: a Bayesian Markov-switching state space approach
Journal of Economic Dynamics and Control | 2021-11-16 | Paper |
Reducing the state space dimension in a large TVP-VAR
Journal of Econometrics | 2020-06-18 | Paper |
Modelling breaks and clusters in the steady states of macroeconomic variables
Computational Statistics and Data Analysis | 2018-11-23 | Paper |
Comparing hybrid time-varying parameter VARs
Economics Letters | 2018-10-08 | Paper |
Fast computation of the deviance information criterion for latent variable models
Computational Statistics and Data Analysis | 2018-08-15 | Paper |
Reconciling output gaps: unobserved components model and Hodrick-Prescott filter
Journal of Economic Dynamics and Control | 2018-08-09 | Paper |
Large Bayesian VARMAs
Journal of Econometrics | 2016-05-10 | Paper |
Pitfalls of estimating the marginal likelihood using the modified harmonic mean
Economics Letters | 2015-10-05 | Paper |
Moving average stochastic volatility models with application to inflation forecast
Journal of Econometrics | 2014-04-03 | Paper |
| Statistical modeling and computation | 2013-09-23 | Paper |
Improved cross-entropy method for estimation
Statistics and Computing | 2012-12-07 | Paper |
Rare-event probability estimation with conditional Monte Carlo
Annals of Operations Research | 2012-03-08 | Paper |
A comparison of cross-entropy and variance minimization strategies
Journal of Applied Probability | 2011-10-25 | Paper |
Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
European Journal of Operational Research | 2010-06-11 | Paper |
Efficient simulation and integrated likelihood estimation in state space models
International Journal of Mathematical Modelling and Numerical Optimisation | 2010-01-26 | Paper |
