Below is a list of my publications (sorted by year of acceptance), working papers, and PhD thesis.
Publications
2026
Markov-Switching Multifractal Models for High-Frequency Trade Counts. With Z. Mussayeva (2026). Computational Economics (Accepted).
Forecasting Atmospheric Ethane. With M. Friedrich, Y. Shapovalova & D. van der Straten (2026). International Journal of Forecasting (Accepted).
Real-Time Smoothing by Extremum Monte Carlo Methods. With S. Godsill (2026). IEEE Transactions on Signal Processing.
Accepted manuscript (PDF)
On the Correlations in Linearized Multivariate Stochastic Volatility Models (2026). Quantitative Finance.
2025
Extremum Monte Carlo Filters: Signal Extraction via Simulation and Regression. With F. Blasques & S.J. Koopman (2025). Journal of Business and Economic Statistics.
Arbitrage Filtering of Option Prices: A Simple Real-Time Approach (2025). Quantitative Finance. Selected as a feature article by the editors.
Data Assimilation with Extremum Monte Carlo Methods. With S.J. Koopman (2025). Quarterly Journal of the Royal Meteorological Society.
2024
Asymmetric Stable Stochastic Volatility Models: Estimation, Filtering, and Forecasting. With F. Blasques & S.J. Koopman (2024). Journal of Time Series Analysis.
Working papers
Stochastic Volatility Models with Stable Disturbances: Estimation via Linearization. With F. Roders and S.J. Koopman (2026).
Simulation Smoothing for Nonlinear non-Gaussian State Space Models using Machine Learning Methods. With S.J. Koopman (2025).
PhD thesis
Signal Extraction by the Extremum Monte Carlo Method
My thesis, defended on April 8, 2024, introduces the extremum Monte Carlo method as a novel approach to signal extraction for state space models.