A class of non-Gaussian state space models with exact likelihood inference, Appendix . December 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). May 2013
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