News

2012

° December : Our paper, Marginal Likelihood Estimation with the Cross-Entropy Method (joint with Eric Eisenstat), has been accepted for publication in Econometric Reviews.

° December: I have prepared some MATLAB code for estimating the unobserved components model with stochastic volatility and the time-varying parameter vector autoregression.

° December: The book chapter Monte Carlo Methods for Portfolio Credit Risk (joint with Tim Brereton and Dirk Kroese) is forthcoming in H. Scheule and D. Rosch (Eds.), Credit Portfolio Securitizations and Derivatives, John Wiley & Sons, New York.

° October : The working paper, A Bounded Model of Time Variation in Trend Inflation, NAIRU and the Phillips Curve (joint with Gary Koop and Simon Potter), is available for download.

° October: Our paper, A New Model of Trend Inflation (joint with Gary Koop and Simon Potter), has been accepted for publication in the Journal of Business and Economic Statistics.

° August: The working paper, Priors and Posterior Computation in Linear Endogenous Variables Models with Imperfect Instruments (joint with Justin Tobias), is available for download.

° July: The working paper, Monte Carlo Methods for Portfolio Credit Risk (joint with Tim Brereton and Dirk Kroese), is available for download.

° June: I'll give a talk on a new model of trend inflation at the ESAM 2012 in July in Melbourne, followed by another talk on moving average stochastic volatility models at the Rimini Conference in Economics and Finance in August in Toronto.

° May: The working paper, Moving Average Stochastic Volatility Models with Application to Inflation Forecast, and the MATLAB codes for fitting the unobserved components moving average stochastic volatility model used in the paper are available for download.

° March: The working paper, Estimation in Non-linear Non-Gaussian State Space Models with Precision-based Methods (joint with Rodney Strachan), is available for download.

° February: The working paper, A New Model of Trend Inflation (joint with Gary Koop and Simon Potter), is available for download.

° January: I'll give a talk on stochastic volatility dynamic factor models at the ISBA 2012 conference in June.

° January: Our paper, Time Varying Dimension Models (joint with Gary Koop, Roberto Leon-Gonzalez and Rodney Strachan), is accepted for publication in the Journal of Business and Economic Statistics.