Discussion papers, current projects and non-peer reviewed papers

Discussion papers

1. Parsimonious Bayesian factor analysis when number of factors is unknown. (with Fruehwirth-Schnatter)
2. Tracking flu epidemics using Google trends and particle learning. (with Dukic and Polson)
3. Cholesky stochastic volatility models for high-dimensional time series. (with McCulloch and Tsay)
4. Particle learning for fat-tailed distributions. (with Polson)
5. Generalized Pareto models with time-varying tail behavior. (with Nascimento and Gamerman)
6. Bayesian grouped factor models and industry/debt classification schemes. (with Liechty and Lietchy)
7. Put option implied risk-premia in general equilibrium under recursive preferences. (with Hore and McCulloch)
8. Sequential Monte Carlo estimation of DSGE models. (with Chen and Petralia)
9. Sequential parameter estimation in stochastic volatility models. (with Rios)
10. Bayesian mixture of parametric and nonparametric density estimation: A misspecification Problem. (with Dias)

Current projects

1. On the long run volatility of stocks: time-varying predictive systems. (with Carvalho and McCulloch)
2. Efficient Bayesian inference for multivariate factor SV models. (with Fruehwirth-Schnatter and Kastner)
3. Dynamic nonparametric factor models. (with Piatek and Rodriguez)
4. Hedge fund investment identification and index replication: A dynamic Dirichlet model. (with Korsos)
5. Particle learning for Choleski stochastic volatility. (with Polson, Tsay and Warty)
6. Sequential Monte Carlo estimation of return dynamics with Levy jumps. (with Polson and Warty)
7. A Bayesian analysis of trend inflation and price indexation. (with Ascari and Bonomolo)
8. Does inflation walk on unstable paths? (with Ascari and Bonomolo)
9. Learning in a regime-switching macro-finance model for the term structure. (with Lund)
10. Particle learning for generalized dynamic conditionally linear models. (with Carvalho and Polson)
11. Learning expected inflation from nominal and real yields. (with Hore and Seppala)

Non-peer reviewed papers

1. Lopes (2011) Review of book "Introducing Monte Carlo Methods with R" by Robert and Casella. Journal of the American Statistical Association, 106(493), 177.
2. Lopes (2011) Discussion of "Separable covariance arrays via the Tucker product, with applications to multivariate relational data" by Hoff. Bayesian Analysis, 6, 203-204.
3. Zambaldi, Aranha, Lopes and Politi (2009). Credit products to small firms in a market with imperfect information. In Proceedings of the 2009 ANPAD, 33, 1-10.
4. Zambaldi, Aranha, Lopes and Politi (2007). Credit products for small and medium size business enterprises in Brazil: an Adaptive Marketing Approach. Proceddings of the 2007 ANPAD, 31, 1-17.
5. Brazilian Bayesians (2008). ISBA Bulletin, 15(4), 7-8.
6. Invited discussion on Sequential Monte Carlo for Bayesian computation by Del Moral, Doucet and Jasra (2007). Bayesian Statistics 8. Oxford University Press, 139-140.
7. Factor models (2003). ISBA Bulletin, 10(3), 7-10.
8. Interview with Helio Migon (in Portuguese) (2003). ISBRA Bulletin, 1(1), 2-6.
9. Bayesian model selection (2002). Technical report, Department of Statistical Methods, Federal University of Rio de Janeiro.
10. Sequential analysis of stochastic volatility models: Some econometric applications (2002). Technical report, Department of Statistical Methods, Federal University of Rio de Janeiro.
11. Time-varying covariance structures in currency markets. In Proceedings of the XXII Brazilian Meeting of Econometrics, 2000. (with Aguilar and West)
12. Sailing the Bayesian boat in a hostile sea (2001). ISBA Bulletin, 8(2), 12-13.
13. Bayesian forecasting the levels of vector autoregressive log-transformed time series (1997). Technical report, Department of Statistical Methods, Federal University of Rio de Janeiro. (with Ehlers)
14. Common cycles in structural identification of multivariate systems (1994). Proceedings of the XVI Brazilian Meeting of Econometrics. (with Issler and Moreira)
15. Impulse response functions in generalized Bayesian autoregressive models (1994). Technical report, Department of Statistical Methods, Federal University of Rio de Janeiro. (with Migon)