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RESEARCH AND TEACHING INTERESTS
Financial Economics (Asset Pricing), Time Series
 
 
PUBLICATIONS

     - data and Gauss code 
 
 
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 )