5807 S. Woodlawn Avenue
Chicago, IL 60637
University of Chicago - Booth School of Business
in Total Papers Downloads
in Total Papers Citations
Credit risk, credit spread, bankruptcy, default, corporate bonds, MCMC
Learning, predictability, optimal portfolio formation
ARCH, Bayes factor, Fat-tails, Gibbs Leverage effect, Metropolis, MCMC, Stochastic volatility
Jumps, Stochastic Volatility, Continuous-Time Econometrics, Option Pricing, Market Stress
Sequential learning, filtering, stochastic volatility, Kalman filter
Filtering, Stochastic Differential Equations, Jumps, Option Pricing, Volatility
Epidemics, Particle learning, influenza, Google, IP surveillance, SEIR, H1N1 virus
smart money, dumb money, noise traders, limits of arbitrage, learning, heterogeneous beliefs
Quantile, LAD, Particle Filtering, Particle Learning, Bayes Factor
Monte Carlo, Particle Filtering, Particle Learning, Nonlinear State Space Model, Slice Variable
Deep Learning, Machine Learning, Big Data, Artificial Intelligence, Finance, Asset Pricing, Volatility, Deep Frontier
Indexing, Passive Management, Active Management
C11, C13, C15, C51, C52, G11, G12, G17
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