RESEARCH AND TEACHING INTERESTS
Financial Economics (Asset Pricing), Time Series
PUBLICATIONS
WORKING PAPERS
Change Points in Affine Term-Structure Models: Pricing, Estimation and Forecasting ( with Siddhartha Chib )
Term Structure of Interest Rates in a DSGE Model with Regime Changes ( with Siddhartha Chib and Srikanth Ramamurthy)
The Effects of Monetary Policy Regime Shifts on the Term Structure of Interest Rates ( with Azamat Abdymomunov )
State Space Models with Endogenous Markov Switching Parameters
WORK IN PROGRESS
An International Dynamic Term Structure of Interest Rates with Macroeconomic Variables and Regime Shifts ( with Siddhartha Chib )