Current working papers

"Markov Interacting Importance Samplers" (with Eduardo Mendes and Robert Kohn)
>> [abstract] [paper]

"Importance sampling squared for Bayesian inference and model choice with estimated likelihoods" (with Minh-Ngoc Tran, Michael K. Pitt and Robert Kohn)
>> [abstract] [paper]


Publications

"Predicting time-varying parameters with parameter-driven and observation-driven models" (with S.J. Koopman and André Lucas). Review of Economics and Statistics, Volume 98, Issue 1, March 2016.
>> [abstract] [working paper] [published version]

"Particle Efficient Importance Sampling" (with Robert Kohn). Journal of Econometrics, Volume 190, Issue 1, January 2016, Pages 133–147.
>> [abstract] [working paper] [published version] [code]

"Numerically accelerated importance sampling for nonlinear non-Gaussian state space models" (with S.J. Koopman and André Lucas). Journal of Business and Economic Statistics, Volume 33, Issue 1, pages 114-127.
>> [abstract] [paper]

"Modeling and predicting the CBOE market volatility index" (with Marcelo Fernandes and Marcelo C. Medeiros). Journal of Banking and Finance, Volume 40, March 2014, pages 1-10.
>> [abstract] [paper]

"The analysis of stochastic volatility in the presence of daily realised measures" (with S.J. Koopman). Journal of Financial Econometrics, 11 (1), Winter 2013, 76-115.
>> [abstract] [paper]

"Asymmetric Effects and Long Memory in the Volatility of Dow Jones Stocks" (with Marcelo Medeiros). International Journal of Forecasting, 25, 304-327, 2009.
>> [abstract] [paper]