Current Working papers
- Bayesian Inference, On-Line Forecasting and Model Choice for Large VAR Models with Cholesky Stochastic Volatility (with Nicolas Chopin, Yuedan Huo, and Anna Simoni), 2026
- Option Mispricing and Alpha Portfolios (with Junye Li and Mo Wang), revise and resubmit at the Journal of Financial Economics, last version, 2025
- Annealed Controlled Sequential Monte Carlo with Applications to Dynamic Economic Models (with Jeremy Heng and Junye Li), revise and resubmit at the Journal of the American Statistical Association, last version, 2026
Permanent Working Papers
- Multiperiod Corporate Default Prediction with the Partially-Conditioned Forward Intensity (with Jin-Chuan Duan)
- Intra-Daily Variations in Volatility and Transaction Costs in the Credit Default Swap Market (with Laurence Lescourret)
