Garland B. Durham

Leeds School of Business
University of Colorado at Boulder
419 UCB
Boulder, CO 80309-0419

phone: 303 492-4292
fax: 303 492-5962
email: garland.durham@colorado.edu
web: leeds-faculty.colorado.edu/durhamg

"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)

"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)

"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)

"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)

"Risk-neutral modelling with affine and non-affine models."
Download: rn.pdf (last revised: November 2010)
Download: rn_supplement.pdf (last revised: November 2010)

"Beyond Stochastic Volatility and Jumps in Returns in Volatility" (with Yangho Park).
Download: RSSVJ.pdf (last revised: March 2012)

"Improving Asset Price Prediction when All Models are False" (with John Geweke).
Download: pooling_feb_2011.pdf (last revised: April, 2012)

"Massively parallel sequential Monte Carlo for Bayesian inference" (with John Geweke).
Download: gp_working_9.pdf (last revised: December 2011)