Published papers & technical reports

  1. Particle learning for Bayesian non-parametric MSSV model. (with Virbickaite, Ausin and Galeano)
  2. Scalable semiparametric inference for the means of heavy-tailed distributions. (with Taddy and Gardner)
  3. Rational Sunspots, American Economic Review, R&R (with Ascari and Bonomolo)
  4. Parsimonious Bayesian factor analysis when the number of factors is unknown.  Journal of Econometrics, R&R. (with Fruhwirth-Schnatter)
  5. Parsimony inducing priors for large scale state-space modelsBayesian Analysis, R&R. (with McCulloch and Tsay)
  6. On the long run volatility of stocks: time-varying predictive systems, Journal of the American Statistical Association, to appear. (with Carvalho and McCulloch)
  7. Efficient Bayesian inference for multivariate factor SV modelsJournal of Computational and Graphical Statistics, to appear (with Fruhwirth-Schnatter and Kastner)
  8. Dynamic models. In Gelfand, Fuentes, Hoeting and Smith (Eds.), Handbook of Environmental and Ecological Statistics, Chapman & Hall, to appear. (with Schmidt)
  9. Bayesian factor model shrinkage for linear IV regression with many instruments, Journal of Business and Economic Statistics, to appear (with Hahn and He)
  10. Cholesky realized stochastic volatility model, Econometrics and Statistics, to appear (with Shirota, Omori and Piao)
  11. Sequential Bayesian learning for stochastic volatility with variance-gamma jumps in returns (with discussion)Applied Stochastic Models in Business and Industry, to appear. (with Warty and Polson)
  12. Particle learning for fat-tailed distributionsEconometric Reviews, 2016, 35, 1666-1691. (with Polson)
  13. Time-varying extreme pattern with dynamic models, Test, 2016, 26, 131-149. (with Nascimento and Gamerman)

  14. Bayesian instrumental variables: likelihoods and priorsEconometric Reviews, 2014, 33, 100-121. (with Polson)
  15. Treatment effects: a Bayesian perspectiveEconometric Reviews, 2014, 33, 36-67. (with Heckman and Piatek)
  16. Modern Bayesian Factor Analysis. In Jeliazkov and Yang (Eds.), 2014, Bayesian Inference in the Social Sciences, 117-158. New York: Wiley.
  17. Online Bayesian learning in dynamic models: An illustrative introduction to particle methods. In West, Damien, Dellaportas, Polson and Stephens (Eds.), Bayesian Theory and Applications, 2013, 203-228. Clarendon: Oxford University Press. (with Carvalho)
  18. Evaluation and analysis of sequential parameter learning methods in Markov switching stochastic volatility models. In Zeng and Wu (Eds.), State-Space Models and Applications in Economics and Finance, 2013, 23-61. (with Rios)
  19. Sequential parameter learning and filtering in structured AR modelsStatistics and Computing, 2013, 23, 43-57. (with Prado)
  20. Analysis of exchange rates via multivariate Bayesian factor stochastic volatility models.  In Lanzarone and Leva (Eds.), The Contribution of Young Researchers to Bayesian Statistics, 2013, 181-186. (with Kastner and Fruhwirth-Schnatter)
  21. Tracking epidemics with Google Flu Trends data and a state-space SEIR modelJournal of the American Statistical Association, 2012, 107, 1410-1426. (with Dukic and Polson)
  22. Measuring vulnerability via spatially hierarchical factor modelsAnnals of Applied Statistics, 2012, 6, 284-303. (with Schmidt, Salazar, Gomez and Achkar)
  23. A semiparametric Bayesian approach to extreme value estimationStatistics and Computing, 2012, 22, 661-675. (with Nascimento and Gamerman)
  24. Bayesian Statistics with a Smile: a Resampling-Sampling PerspectiveBrazilian Journal of Probability and Statistics, 2012, 26, 358-371. (with Polson and Carvalho)
  25. Segmental dataset and whole body expression data do not support the hypothesis that non-random movement is an intrinsic property of Drosophila retrogenesBMC Evolutionary Biology, 2012, 12, 169. (with Vibranovski, Zhang, Kemkemer, VanKuren, Karr and Long)
  26. Reanalysis of the Larval Testis Data on Meiotic Sex Chromosome Inactivation Revealed Evidence for Tissue-Specific Gene expression related to the Drosophila X ChromosomeBMC Biology, 2012, 10, 49. (with Vibranovski, Zhang, Kemkemer, Karr and Long)
  27. Particle learning for sequential Bayesian computation (with discussion)Bayesian Statistics 9, 2011, 317-360. (with Carvalho, Johannes and Polson).
  28. Particle filters and Bayesian inference in financial econometricsJournal of Forecasting, 2011, 30, 168-209. (with Tsay)(R code)
  29. Generalized spatial dynamic factor modelsComputational Statistics and Data Analysis, 2011, 55, 1319-1330. (with Gamerman and Salazar).
  30. Confronting prior convictions: On issues of prior and likelihood sensitivity in Bayesian analysisAnnual Review of Economics, 2011, 3, 107-131. (with Tobias)
  31. Regression models for exceedance data via the full likelihoodEnvironmental and Ecological Statistics, 2011, 18, 495-512. (with Nascimento and Gamerman)
  32. Dynamic stock selection strategies: a structured factor model approach (with discussion)Bayesian Statistics 9, 2011, 69-90. (with Carvalho and Aguilar)
  33. Bayesian mixture of parametric and nonparametric density estimation: A misspecification Problem,Brazilian Review of Econometrics, 2011, 31, 19-44. (with Dias)
  34. Credit granting to small firms: a Brazilian caseJournal of Business Research, 2011, 64, 309-315. (with Zambaldi, Aranha and Politi)
  35. Particle learning and smoothingStatistical Science, 2010, 25, 88-106. (with Carvalho, Johannes and Polson)
  36. Particle learning for general mixturesBayesian Analysis, 2010, 5, 709-740. (with Carvalho, Polson and Taddy).
  37. Time-varying joint distributions through copulasComputational Statistics and Data Analysis, 2010, 54, 2383-2399. (with Ausin)
  38. Bayesian modeling of financial returns: a relationship between volatility and trading volumeApplied Stochastic Models in Business and Industry, 2010, 26, 172-193. (with Abanto and Migon)
  39. Direct evidence for postmeiotic transcription during Drosophila melanogaster spermatogenesis,Genetics, 2010, 186, 431-33. (with Vibranovski, Chalopin, Long and Karr)
  40. Extracting SP500 and NASDAQ volatility: The credit crisis of 2007-2008, in O’Hagan, A. and West, M. (Eds.), Handbook of Applied Bayesian Analysis, 2010, 319-342. (with Polson)
  41. Bayesian computation in finance, in Chen, M.-H., Dey, D., Mueller, P., Sun, D. and Ye, K. (Eds.)Frontiers of Statistical Decision Making and Bayesian Analysis, 2010, 383-396. (with Hore, Johannes, McCulloch and Polson)
  42. Bayesian inference for stochastic volatility modeling, in Bocker, K. (Ed.) Rethinking Risk Measurement and Reporting: Uncertainty, Bayesian Analysis and Expert Judgement, 2010, 515-551. (with Polson)
  43. Bayesian prediction of risk measurements using copulas, in Bocker, K. (Ed.) Rethinking Risk Measurement and Reporting: Uncertainty, Bayesian Analysis and Expert Judgement, 2010, 553-578. (with Ausin)
  44. Stage-specific expression of Drosophila spermatogenesis suggests that meiotic sex chromosome inactivation drives the genomic relocation of testis-expressed genesPLoS Genetics, 2009, 5, e1000731. (with Vibranovski, Karr and Long) (SpermPress page)
  45. Put option implied risk-premia in general equilibrium under recursive preferencesTechnical Report, University of Chicago Booth School of Business  (with Hore and McCulloch)
  46. Sequential Monte Carlo Estimation of DSGE ModelsTechnical Report, University of Chicago Booth School of Business  (with Chen and Petralia)
  47. Spatial dynamic factor modelsBayesian Analysis, 2008, 3, 759-92. (with Salazar and Gamerman)
  48. Copula, marginal distributions and model selection: A Bayesian noteStatistics and Computing, 2008, 18, 313-20. (with Silva)
  49. Factor stochastic volatility with time varying loadings and Markov switching regimesJournal of Statistical Planning and Inference, 2007, 137, 3082-3091. (with Carvalho)
  50. Simulation-based sequential analysis of Markov switching stochastic volatility modelsComputational Statistics and Data Analysis, 2007, 51, 4526-4542. (with Carvalho)
  51. Bayesian computational methods in biomedical research, in Khattree and Naik (Eds.) Computational Methods in Biomedical Research, Marcel Dekker/Taylor & Francis, 2007, 211-59. (with Mueller and Ravishanker)
  52. Bayesian estimation of ruin probabilities with heterogeneous and heavy-tailed insurance claim size distributionAustralian & New Zealand Journal of Statistics, 2007, 49, 415-34. (with Ausin)
  53. Bayesian model uncertainty in smooth transition autoregressionsJournal of Time Series Analysis, 2006, 27, 99-117. (with Salazar)
  54. Time series mean level and stochastic volatility modeling by smooth transition autoregressions: a Bayesian approach, In Fomby (Ed.) Advances in Econometrics: Econometric Analysis of Financial and Economic Time Series/Part B, 2006, Volume 20, 229-242. (with Salazar)
  55. The extended generalized inverse Gaussian distribution for log-linear and stochastic volatility modelsBrazilian Journal of Probability and Statistics, 2006, 20, 67-91. (with Silva and Migon)
  56. Spatio-temporal models for mapping the Incidence of malaria in ParaEnvironmetrics, 2005, 16, 291-304. (with Nobre and Schmidt) (Abstract)
  57. Dynamic models, In Dey and Rao (Eds.), Handbook of Statistics, Volume 25: Bayesian Thinking, Modeling and Computation, 2005, Chapter 19, 553-588. (with Migon, Gamerman and Ferreira)
  58. Bayesian model assessment in factor analysisStatistica Sinica, 2004, 14, 41-67. (with West)
  59. Bayesian analysis of extreme events with threshold estimation Statistical Modelling, 2004, 4, 227-244. (with Behrens and Gamerman)
  60. Data driven estimates for mixturesComputational Statistics and Data Analysis, 2004, 47, 583-598. (with Mendes)
  61. Bayesian meta-analysis for longitudinal data models using multivariate mixture priorsBiometrics, 2003, 59, 66-75. (with Mueller and Rosner)
  62. Expected posterior priors in factor analysisBrazilian Journal of Probability and Statistics, 2003, 17, 91-105.
  63. Co-movements and contagion in emergent markets: stock indexes volatilities, In Gatsonis, Kass, Carlin, Carriquiry, Gelman, Verdinelli and West (Eds.), Case Studies in Bayesian Statistics, 2002, Volume VI, 285-300, Springer-Verlag. (with Migon)
  64. Bayesian forecasting and inference in latent structure for the Brazilian industrial production indexBrazilian Review of Econometrics, 2000, 20, 1-26. (with Huerta)
  65. Hyperparameter estimation in forecasting modelsComputational statistics and data analysis, 1999, 29, pp. 387-410. (with Moreira and Schmidt)
  66. Um modelo para a previsao conjunta do PIB, inflacao e liquidezRevista de Econometria, 1997, 17, 67-111. (with Moreira and Fiorencio)
  67. Tendencia estocastica do produto no Brasil: efeitos das flutuacoes da taxa de crescimento da produtividade e da taxa de juro realPesquisa e Planejamento Economico, 1995, 25, 249-278. (with Rocha-Lima, Moreira and Pereira)
  68. Efeitos dinamicos dos choques de oferta e demanda agregada sobre o nivel de atividade economica do BrasilRevista Brasileira de Economia, 1993, 47, 177-204. (with Migon and Rocha-Lima)