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

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