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