Working PapersA class of non-Gaussian state space models with exact likelihood inference, Appendix . April 2013 , This paper was formerly titled: Exact likelihood inference for autoregressive gamma stochastic volatility models. Estimation of non-Gaussian affine term structure models, with Cynthia Jing Wu, (submitted). March 2013 The multinational advantage, with Leslie Robinson, Jonathan Rogers and Sarah C. Zechman, (submitted). February 2013 Market-based Credit Ratings, with Robert Gramacy and Ruey Tsay, (submitted). September 2012 Modeling dynamic volatilities and correlations under skewness and fat tails, with Xin Zhang, Siem Jan Koopman and André Lucas, (submitted). February 2012 Sequential Monte Carlo samplers for Bayesian DSGE models, (working paper). August 2007 |