RESEARCH AND TEACHING INTERESTS
Time Series, Bayesian Econometrics, Macro/Financial Economics
PUBLICATIONS
WORKING PAPERS
Change Points in Affine Term-Structure Models: Pricing, Estimation and Forecasting (Job Market Paper)
( with Siddhartha Chib, revised and resubmitted to the Journal of Business and Economic Statistics )
Term Structure of Interest Rates in a Regime Switching Dynamic Stochastic General Equilibrium Model ( with Siddhartha Chib and Srikanth Ramamurthy)
The Effects of Monetary Policy Regime Shifts on the Term Structure of Interest Rates ( with Azamat Abdymomunov )
WORK IN PROGRESS
An International Dynamic Term Structure of Interest Rates with Macroeconomic Variables and Regime Shifts ( with Siddhartha Chib )
Estimation of State Space Models with Endogenous Markov Regime Switching Parameters