Publications
Journal Articles
-
The
Impact of Jumps in Equity Index Volatility and Returns, with Bjorn
Eraker and Nicholas Polson, 2003, Journal of Finance 58, 1269-1300 (PDF).
-
The
Economic and Statistical Role of Jumps to Interest Rates, 2004, Journal
of Finance 59, 227-260 (PDF).
-
MCMC
MLE, with Eric Jacquier and Nick Polson,
2005, Journal of Econometrics (PDF).
-
Pricing
Collateralized Swaps, with Suresh Sundaresan, 2007, Journal of
Finance 62, 383-410 (PDF).
-
Model
Specification and Risk Premia: Evidence
from S&P 500 futures options, with Mark Broadie and Mike
Chernov, 2007, Journal of Finance
62, 1453-1490.
(PDF).
-
Optimal Filtering of Jump-Diffusions:
Extracting Latent States from Asset Prices (with Nicholas Polson and Jon
Stroud), 2009, Review of Financial
Studies 22: 2759-2799. (PDF)
-
Understanding
expected option returns (with
Mark
Broadie and Mike Chernov), 2009, Review
of Financial Studies 22, 4493-4529. (PDF).
-
Particle
Learning and Smoothing, 2010, with Carlos Carvalho,
Hedibert Lopes
and Nick Polson, Statistical
Science, 25, 88-106. (PDF).
-
Particle
learning: Simulation-based Bayesian inference, Bayesian
Statistics 9, 2010, (with Carlos Carvalho,
Hedibert Lopes
,
and Nicholas Polson), with discussion, 317-360. (PDF).
-
Sequential learning, predictability, and optimal portfolio returns, 2013, with Nick Polson and Arthur Korteweg, forthcoming, Journal of Finance. (PDF).
- Learning about Consumption Dynamics, with
Lars Lochstoer and Ethan Mou, 2013, forthcoming, Journal of Finance (PDF).
Chapters
-
MCMC methods for Financial Econometrics
(with Nick Polson), in Handbook of Financial Econometrics, edited
by Y. Ait-Sahalia and L.P. Hansen, 2009, Volume
2, 1-72, North Holland.
-
MCMC methods for financial time series, (with Nick Polson),
in Handbook of Financial Time Series, Springer Verlag,
edited by Torben G. Andersen, Richard A. Davis,
Jens-Peter Kreiss, and Thomas Mikosch, 2009, Springer-Verlag.
-
Particle filtering, (with Nick Polson), Handbook of Financial Time Series, Springer Verlag,
edited by Torben G. Andersen, Richard A. Davis,
Jens-Peter Kreiss, and Thomas Mikosch, 2009, Springer-Verlag.
-
Bayesian computation in finance, (with Hore, Lopes, McCulloch and Polson) in Frontiers of
Statistical Decision Making and Bayesian Analysis, edited by Chen,
M.-H., Dey, D., Mueller, P., Sun, D. and Ye,
K., 2010, 383-396. (PDF).
Comments
-
Comment on Pastorello,
Patilea and Renault, "Iterative and Recursive
Estimation in Structural Nonadaptive Models,"
with Nick Polson, Journal of
Business & Economic Statistics 21, 449-509 (PDF).
-
Comment on Doucet
et al. "Particle MCMC" (with Nick Polson and Seung Yae), 2010, Journal of Royal Statistical Society,
Series B, 72, 324-326.
Book
-
Computational
methods for Bayesian inference: MCMC and particle filtering, with
Nicholas Polson, 2008, under contract, Princeton University Press.
Working papers
Finance
- The Asset Pricing Implications of Priced Structural
Parameter Uncertainty, with Pierre Collin-Dufresne and Lars Lochstoer, 2013. (PDF).
-
Volatility around the clock: Bayesian modeling and forecasting of intraday volatility in the financial crisis, with Jon Stroud, 2013. (PDF).
-
MCMC methods for Expected Utility
Calculations, with Nick Polson and Eric Jacquier,
updated 2011 (PDF).
-
Earnings Announcements and Equity Options,
with Andrew Dubinsky, June 2006, (PDF).
Econometrics/Statistics
-
Exact parameter learning and state
filtering, with Nick Polson, October 2006. (PDF).
-
Robust filtering and learning, with Nick
Polson and Seung Yae, please email for a copy.
-
Sequential learning with slice variables, with Nick
Polson and Seung Yae, 2011. (PDF).
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