--> -->

 

 

   

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).