research
∙
05/18/2023
Dynamic Term Structure Models with Nonlinearities using Gaussian Processes
The importance of unspanned macroeconomic variables for Dynamic Term Str...
share
research
∙
01/25/2023
Sequential Bayesian Learning for Hidden Semi-Markov Models
In this paper, we explore the class of the Hidden Semi-Markov Model (HSM...
research
∙
11/28/2022
Bayesian analysis of diffusion-driven multi-type epidemic models with application to COVID-19
We consider a flexible Bayesian evidence synthesis approach to model the...
research
∙
10/06/2022
Inference on Causal Effects of Interventions in Time using Gaussian Processes
This paper focuses on drawing inference on the causal impact of an inter...
research
∙
04/29/2022
On Unspanned Latent Risks in Dynamic Term Structure Models
We explore the importance of information hidden from the yield curve and...
research
∙
04/29/2022
Bayesian Benefit Risk Analysis
The process of approving and assessing new drugs is often quite complica...
research
∙
04/22/2022
Sequential Learning and Economic Benefits from Dynamic Term Structure Models
This paper explores the statistical and economic importance of restricti...
research
∙
03/07/2022
A modelling framework for the analysis of the transmission of SARS-CoV2
Action plans against the current SARS-CoV-2 pandemic have been implement...
research
∙
01/26/2022