Leland Farmer

University of Virginia

Assistant Professor

237 Monroe Hall

P.O. Box 400182

Charlottesville, VA 22904-418

United States

SCHOLARLY PAPERS

4

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Scholarly Papers (4)

1.

The Discretization Filter: A Simple Way to Estimate Nonlinear State Space Models

Number of pages: 64 Posted: 17 May 2016 Last Revised: 31 Jul 2018
Leland Farmer
University of Virginia
Downloads 674 (36,847)

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State Space, Nonlinear, Markov Chains, Discretization, Filtering, Zero Lower Bound

2.
Downloads 612 ( 41,828)

Pockets of Predictability

Number of pages: 80 Posted: 29 Mar 2018 Last Revised: 19 Apr 2019
Leland Farmer, Lawrence Schmidt and Allan Timmermann
University of Virginia, MIT Sloan School of Management and UCSD
Downloads 612 (41,245)

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Predictability of stock returns; incomplete learning; Markov switching predictive systems; cash flows; affine asset pricing models

Pockets of Predictability

CEPR Discussion Paper No. DP12885
Number of pages: 72 Posted: 23 Apr 2018
Leland Farmer, Lawrence Schmidt and Allan Timmermann
University of Virginia, MIT Sloan School of Management and UCSD
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Predictability of stock returns; incomplete learning; Markov switching predictive systems; cash flows; affine asset pricing models.

3.

Discretizing Nonlinear, Non-Gaussian Markov Processes with Exact Conditional Moments

Quantitative Economics, July 2017, Volume 8, Issue 2, pp. 651-683
Number of pages: 50 Posted: 28 Mar 2015 Last Revised: 31 Aug 2017
Leland Farmer and Alexis Akira Toda
University of Virginia and University of California, San Diego (UCSD) - Department of Economics
Downloads 382 (75,305)

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asset pricing models, duality, Kullback-Leibler information, numerical methods, solution accuracy

4.

Markov-Chain Approximation and Estimation of Nonlinear, Non-Gaussian State Space Models

Number of pages: 27 Posted: 21 Aug 2014 Last Revised: 23 Aug 2014
Leland Farmer
University of Virginia
Downloads 101 (258,763)

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nonlinear state space, filtering, Markov-switching, stochastic volatility, shadow rate, zero lower bound, dynamic term structure model