Personal Pages:

Python / C++ Projects:

  • arma_wrapper

    This package enables converting NumPy arrays to C++ Armadillo matrices. It is essentially RcppArmadillo for Python. It is built on top of Pybind11. (Gitlab)

  • cdpm

    This package provides code for Bayesian nonparametric conditional density estimation. It is associated with Feasible Multivariate Density Estimation. (Gitlab)

  • laplacejumps

    This package provides code for realized volatility estimation in the presence of jumps. It is associated with Jumps, Realized Densities, and News Premia. (Gitlab)

  • volpriceinference

    This package provides the code for the robust inference for risk prices. It is associated with Inference for Risk Prices using Equity Data. (Gitlab)

  • bayesiankalman

    This package provides various methods for possibly high-dimensional filtering in Python. Most notably, it has a fast, numerically-stable implementation of the Kalman filter built using C++ with Python bindings. (Gitlab)

My Coauthors: