Research
More research will be uploaded here soon!
Working papers
Extremum Monte Carlo Filters: Real-Time Signal Extraction via Simulation and Regression
- Joint work with Francisco Blasques and Siem Jan Koopman
Asymmetric Stable Stochastic Volatility Models: Estimation, Filtering, and Forecasting
- Joint work with Francisco Blasques and Siem Jan Koopman
Asymmetric Stable Stochastic Volatility Models: Estimation, Filtering, and Forecasting
- Joint work with Francisco Blasques and Siem Jan Koopman
Arbitrage-Based Filtering of Option Price Data
PhD thesis
Signal Extraction by the Extremum Monte Carlo Method
- My thesis introduces the Extremum Monte Carlo (XMC) method as a novel approach to signal extraction for general state space models.Â