Submitted Papers
- Estimation and inference for higher-order stochastic volatility models with leverage, with Jean-Marie Dufour & Md. Nazmul Ahsan, Submitted to Journal of Time Series Analysis (revision requested)
Working papers
- Monte Carlo Likelihood Ratio Tests for Markov Switching Models, with Jean-Marie Dufour
- Underlying Core Inflation with Multiple Regimes
- Volatility Forecasting with Higher-order Stochastic Volatility Models, with Jean-Marie Dufour & Md. Nazmul Ahsan
- Joint Determination of Counterparty and Liquidity Risk in Payment Systems, with Jorge Cruz Lopez & Charles M. Kahn
- MSTest: An R-package for Testing Markov-Switching Models, with Jean-Marie Dufour
- mbreaks: R Package for Estimating and Testing Multiple Structural Changes in Linear Regression Models, with Linh Nguyen, Pierre Perron, & Yohei Yamamoto
Conference Proceedings, Policy Notes, & Technical Notes
- Measuring Underlying Inflation Post-COVID, with Mikael Khan & Luis Uzeda, Canadian Economic Analysis Inquiry, Bank of Canada, June 2024.
- Simulation-Based Inference for the Synchronization of Business Cycles, with Jean-Marie Dufour, JSM Proceedings, Business and Economic Statistics Section. Toronto, ON: American Statistical Association , 2023.
- Simulation-Based Inference for Markov Switching Models, with Jean-Marie Dufour, JSM Proceedings, Business and Economic Statistics Section. Washington, D.C.: American Statistical Association, 2022.
- The Government of Canada Debt Securities Dataset, with Jeffrey Gao & Francisco Rivadeneyra, Bank of Canada, Technical Report No. 112, 2018.
Works in Progress
- Identification Through Heteroskedasticity Using Multiple Structural Change Tests, with Pierre Perron
- MNbreaks: An R Package for Estimating and Testing Multiple Structural Changes in Multivariate Linear Regression Models, with Pierre Perron & Zhongjun Qu
- Practical and reliable estimation methods for high-dimensional multivariate stochastic volatility models with macroeconomic applications, with Jean-Marie Dufour & Md. Nazmul Ahsan
- Monte Carlo Test for Factor Models with Markov switching
- Simulation and Stress Testing of Large Value Payment Systems, with Jorge Cruz Lopez
- Network Model Simulation and Stress Testing of PvP Systems, with Jorge Cruz Lopez, Giuseppe Matera, Jordan Cambe & Carlos Leon