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