Working Papers
-
"Bayesian Adaptive Sparse Copula"
with Artem Prokhorov [replication code and data source] -
"Multiscale Bernstein Copula with Bayesian Model Averaging"
with Artem Prokhorov [replication code and data source]
Forthcoming, Lecture Notes in Computer Science, Springer Nature -
"Constrained Bayesian Neural Network Utility in the Design of Price Promotions"
with Connor Campbell
Publications
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"Recurrent Neural Network GO-GARCH Model for Portfolio Selection"
with Adrian Schroeder
Journal of Time Series Econometrics, 16(2), 67-81, 2024. -
"Hamiltonian Sequential Monte Carlo with Application to Consumer Choice Behavior"
with Remi Daviet
Econometric Reviews, 42(1), 54-77, 2023. -
"Copula Multivariate GARCH Model with Constrained Hamiltonian Monte Carlo"
with Louis Bélisle
Dependence Modeling, 7(1), 133-149, 2019. -
"A Bayesian Semi-Parametric Competing Risk Model with Unobserved Heterogeneity"
with Matthew Harding and Jerry Hausman
Journal of Applied Econometrics, 30(3), 353-376, 2015. -
"Constrained Hamiltonian Monte Carlo in BEKK GARCH with Targeting"
Journal of Time Series Econometrics, 7(1), 95-113, 2015. -
"Copula Based Factorization in Bayesian Multivariate Infinite Mixture Models"
with Artem Prokhorov
Journal of Multivariate Analysis, 127, 200-213, 2014. -
"Parallel Constrained Hamiltonian Monte Carlo for BEKK Model Comparison"
Advances in Econometrics, 34, 155-179, 2014. -
"Environmental Justice: Evidence from Superfund Cleanup Durations"
with Matthew Harding
Journal of Economic Behavior & Organization, 107, 380-401, 2014. -
"Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models"
with John Maheu
Studies in Nonlinear Dynamics & Econometrics, 17(4), 345-372, 2013. -
"Panel Probit with Flexible Correlated Effects: Quantifying Technology Spillovers in the Presence of Latent Heterogeneity"
with Matthew Harding
Journal of Applied Econometrics, 28(6), 956-981, 2013. -
"A Poisson Mixture Model of Discrete Choice"
with Matthew Harding and Jerry Hausman
Journal of Econometrics, 166(2), 184-203, 2012. -
"Bayesian Analysis of a Probit Panel Data Model with Unobserved Heterogeneity and Autocorrelated Errors"
with Roman Liesenfeld and Jean-Francois Richard
International Journal of Statistics and Management Systems, 6(1-2), 1-21, 2011. -
"A Bayesian Mixed Logit-Probit Model for Multinomial Choice"
with Matthew Harding and Jerry Hausman
Journal of Econometrics, 147(2), 232-246, 2008.