Research

Job Market Paper

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

 

Publications

“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)

“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