“Estimation of Dynamic Panel Data Models with Stochastic Volatility using Particle Filters”, Econometrics  2016, 4(4), 39.


Working Papers

“Factor High-Frequency Based Volatility (HEAVY) Models” with Kevin Sheppard, Journal of Financial Econometrics (Revised and Resubmitted)

“Testing for the Stable Relationship in High-Dimensional Factor Models”

“Nowcasting UK GDP Growth with Refined Factor Models”, Bank of England Project Report


Work in Progress

“A New Estimation Approach for DSGE Models” with Dandan Wang