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.
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