Research
Working papers
Monte Carlo Likelihood Ratio Tests for Markov Switching Models, with Jean-Marie Dufour
Structural Breaks In Underlying Core Inflation
Testing for the Synchronization of International Business Cycles with Jean-Marie Dufour
Joint Determination of Counterparty and Liquidity Risk in Payment Systems, with Jorge Cruz Lopez & Charles M. Kahn
Estimation and inference for higher-order stochastic volatility models with leverage, with Jean-Marie Dufour & Md. Nazmul Ahsan
MSTest: An R-package for Testing Markov-Switching Models, with Jean-Marie Dufour
Works in Progress
Identification Through Heteroskedasticity Using Multiple Structural Change Tests with Pierre Perron
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
Policy Notes, Technical Notes, & Conference Proceedings
Simulation-Based Inference for Markov Switching Models, with Jean-Marie Dufour, In 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, 2017