Monetary policy uncertainty and economic fluctuations, with Jing Cynthia Wu, International Economic Review, Vol. 58, No. 4, pp. 1317-1354, 2017.
A class of non-Gaussian state space models with exact likelihood inference,, Journal of Business and Economic Statistics, Vol. 35, No. 4, pp. 585-597, 2017.
Testing for parameter instability across different modelling frameworks,, Journal of Financial Econometrics, Vol. 15, No. 2, pp. 223-246, 2017.
High-dimensional dynamic stochastic copula mdoels, with Ruey Tsay. Journal of Econometrics, Vol. 189, No. 2, pp. 335-345, 2015.
Estimation of affine term structure models with spanned or unspanned stochastic volatility, with Jing Cynthia Wu, Journal of Econometrics, Vol. 185, No. 1, pp. 60-81, 2015.
Observation-driven mixed measurement dynamic factor models with an application to credit risk, with Bernd Schwaab, Siem Jan Koopman and André Lucas, The Review of Economics and Statistics, Vol. 96, No. 5, pp. 898-915, 2014.
A survey of sequential Monte Carlo methods for economics and finance, Econometric Reviews, (2012), Vol. 31 (3), pp. 245-296.
A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations., with Siem Jan Koopman and André Lucas, Journal of Business and Economic Statistics, (2011), Vol. 29 (4), pp. 552-563.
Extracting a robust U.S. business cycle using a time-varying multivariate model-based bandpass filter, with Siem Jan Koopman and Eric Zivot, Journal of Applied Econometrics, (2010), Vol. 25 (4), pp. 695-719.
The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics, with Kum Hwa Oh and Eric Zivot. Journal of Econometrics, (2008), Vol. 146 (2), pp. 207-219.
Analysis of filtering and smoothing algorithms for Levy-driven stochastic volatility models. Computational Statistics and Data Analysis, (2008), Vol. 52, pp. 2863-2876.