Testing for Parameter Instability Across Competing Modelling Frameworks, with Francesco Calvori, Siem Jan Koopman, and André Lucas, (submitted). July 2015
A class of non-Gaussian state space models with exact likelihood inference, Appendix . April 2015 , This paper was formerly titled: Exact likelihood inference for autoregressive gamma stochastic volatility models.
Interest Rate Uncertainty and Economic Fluctuations, with Cynthia Jing Wu. October 2014 This paper was formerly titled: Term Structure of Interest Rate Volatility and Macroeconomic Uncertainty.
Sequential Monte Carlo samplers for Bayesian DSGE models, (working paper). August 2007