Mean-shift least squares model averaging

[arXiv]

Predictive properties of forecast combination, ensemble methods, and Bayesian predictive synthesis

[arXiv]

Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting

[URL] [arXiv] [Code]

Volatility forecasts using stochastic volatility models with nonlinear leverage effects

[arXiv]

Dynamic Bayesian Predictive Synthesis in Time Series Forecasting

[URL] [arXiv] [Code]

2019

Journal of Econometrics

210: 155-169  

Dynamic sparse factor analysis

[arXiv]

Comment on "Using stacking to average Bayesian predictive distributions"

[URL]

2018

Bayesian Analysis

13: 917-1003

Large-Scale Dynamic Predictive Regressions

[arXiv] [SSRN]

Dynamic Mixed Frequency Synthesis for Economic Nowcasting

[arXiv]

Dynamic Variable Selection with Spike-and-Slab Process Priors

[arXiv]

2017

Invited revision: Bayesian Analysis

arXiv:1708.00085

Dynamic Modeling and Bayesian Predictive Synthesis

[URL]

Fully Parallel Particle Learning for GPGPUs and Other Parallel Devices

[arXiv]

Stochastic volatility models and its application to VIX derivatives (in Japanese)

[URL]