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Working Papers
"A Bayesian Analysis of Affine Term Structure Models."
(updated September 20, 2009.) >
"Forecasting with Weakly Identified Linear State Space Models."
(updated September 20, 2009.)
"Statistical Arbitrage with Affine Term Structure Models." (Under revision.)
Work in progress
"Improving the numerical efficiency of Gibbs samplers for linear state-space models through re-parametrization."
"Monetary policy, bank supervision and macroeconomic risk."
"Improved inference for co-integrated systems through re-parametrization."