| Publication | Date of Publication | Type |
|---|
Bayesian Markov-Switching Tensor Regression for Time-Varying Networks
Journal of the American Statistical Association | 2024-03-19 | Paper |
Bayesian Dynamic Tensor Regression
Journal of Business and Economic Statistics | 2024-03-05 | 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 \textit{meta}-measure of performance related to both investors and investments characteristics
Annals of Operations Research | 2022-07-05 | Paper |
Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case
Dependence Modeling | 2021-10-22 | Paper |
Granger-causality in Markov switching models
Journal of Applied Statistics | 2020-11-04 | 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 |
The univariate MT-STAR model and a new linearity and unit root test procedure
Computational Statistics and Data Analysis | 2018-11-23 | 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 |
Markov switching GARCH models: filtering, approximations and duality
Mathematical and Statistical Methods for Actuarial Sciences and Finance | 2018-03-26 | Paper |
Time-varying combinations of predictive densities using nonlinear filtering
Journal of Econometrics | 2014-06-06 | Paper |
Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion
Computational Statistics and Data Analysis | 2014-04-14 | Paper |
Dynamic risk exposures in hedge funds
Computational Statistics and Data Analysis | 2012-12-30 | Paper |
Portfolio symmetry and momentum
European Journal of Operational Research | 2011-08-19 | 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 |
A generalized dynamic conditional correlation model for portfolio risk evaluation
Mathematics and Computers in Simulation | 2009-06-18 | Paper |
Stochastic optimization for allocation problems with shortfall risk constraints
Applied Stochastic Models in Business and Industry | 2007-12-16 | Paper |
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis
Statistical Methods and Applications | 2006-03-28 | Paper |
Switching state-space models: likelihood function, filtering and smoothing
Journal of Statistical Planning and Inference | 2000-09-26 | Paper |
