Garland B. Durham

CV

ECON 522

BUS 438

BUS 464

Linear algebra

GPU Workshop

MP-SPS (Massively Parallel Sequential Posterior Simulator) Software.
Download: mpsps-1.5.zip (last revised: Aug 15, 2014)

"Sequentially Adaptive Bayesian Learning Algorithms for Inference and Optimization" (with John Geweke). Download: Geweke_Durham_0.pdf (last revised: October 2017)

"A comment on Christoffersen, Jacobs and Ornthanalai (2012), 'Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options'" (with John Geweke and Pulak Ghosh).
Journal of Financial Economics (forthcoming).
Download: cjo_comment.pdf (last revised: February 2014)

"Bayesian inference for logistic regression models using sequential posterior simulation" (with John Geweke and Huaxin Xu).
In S.K. Upadhyay, U. Singh, D.K. Dey and A. Loganathan (Eds.), Current Trends in Bayesian Methodology with Applications (forthcoming).
Download: logit.pdf (last revised: February 2013)

"Adaptive Sequential Posterior Simulators for Massively Parallel Computing Environments" (with John Geweke).
In I. Jeliazkov and D. Poirier (Eds.), Advances in Econometrics 35: Bayesian model comparison (forthcoming).
Download: gpu2.pdf (last revised: Jun 2014)

"Massively parallel sequential Monte Carlo for Bayesian inference" (with John Geweke).
Download: gpu1.pdf (last revised: December 2011)

"Improving Asset Price Prediction when All Models are False" (with John Geweke).
Journal of Financial Econometrics (forthcoming).
Download: pooling.pdf (last revised: November, 2012)

"Beyond Stochastic Volatility and Jumps in Returns in Volatility" (with Yangho Park).
Journal of Business and Economic Statistics (forthcoming).
Download: RSSVJ.pdf (last revised: Oct 2012)

"Risk-neutral modelling with affine and non-affine models."
Journal of Financial Econometrics (forthcoming).
Download: rn.pdf (last revised: Oct 2012)

"SV mixture models with application to S&P 500 index returns".
Journal of Financial Economics 85 (2007), 822-856.
Download: sv_mix_supplement.pdf (last revised: July 6, 2006)

"Monte Carlo Methods for Estimating, Smoothing, and Filtering One and Two-Factor Stochastic Volatility Models".
Journal of Econometrics 133 (2006), 273-305.
Fortran code: sv_code.zip (last revised: Feb 22, 2005)

"Likelihood-Based Specification Analysis of Continuous-Time Models of the Short-Term Interest Rate".
Journal of Financial Economics 70 (2003), 463-487.
Fortran code: spec.zip (last revised: Oct 14, 2002)

"Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes" (with Ronald Gallant).
Journal of Business and Economic Statistics 20 (2002), 297-316.
Fortran code: smle.zip (last revised: Oct 14, 2002)