Jonathan Stroud, Papers

Refereed Publications

Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices. (pdf)
Johannes, M. S., Polson, N. G. and Stroud, J. R. (2008).
Review of Financial Studies, to appear.

Practical Filtering with Sequential Parameter Learning. (pdf)
Polson, N. G., Stroud, J. R. and Müller, P. (2008).
Journal of the Royal Statistical Society, Series B, 70, 413-428.

Bayesian Forecasting of an Inhomogeneous Poisson Process
with Applications to Call Center Data. (pdf).
Weinberg, J., Brown, L. D. and Stroud, J. R. (2007).
Journal of the American Statistical Association, 102, 1185-1199.

Sequential State and Variance Estimation within the Ensemble Kalman Filter. (pdf)
Stroud, J. R. and Bengtsson, T. (2007).
Monthly Weather Review, 135, 3194-3208.

A Simulation Approach to Dynamic Portfolio Choice with an Application
to Learning about Return Predictibility. (pdf)
Brandt, M. W., Goyal, A., Santa-Clara, P. and Stroud, J. R. (2005).
Review of Financial Studies, 18, 831-873.

Practical Filtering for Stochastic Volatility Models. (pdf)
Stroud, J. R., Polson, N. G. and Müller, P. (2004).
State Space and Unobserved Components Models (Harvey et al., eds.),
Cambridge University Press, 236-247.

A Spatio-Temporal Model for Mexico City Ozone Levels. (pdf)
Huerta, G., Sansó, B. and Stroud, J. R. (2004).
Journal of the Royal Statistical Society, Series C, 53, 231-248.

Bayesian Inference for Derivative Prices. (pdf)
Polson, N. G. and Stroud, J. R. (2003).
Bayesian Statistics 7 (Bernardo et al., eds.),
Oxford University Press, 641-650.

Nonlinear State-Space Models with State-Dependent Variances. (pdf)
Stroud, J. R., Müller, P. and Polson, N. G. (2003).
Journal of the American Statistical Association, 98, 377-386.

Dynamic Models for Spatio-Temporal Data. (pdf)
Stroud, J. R., Müller, P. and Sansó, B. (2001).
Journal of the Royal Statistical Society, Series B, 63, 673-689.

Optimal Sampling Times for Population Pharmacokinetic Studies. (pdf)
Stroud, J. R., Müller, P. and Rosner, G. L. (2001).
Journal of the Royal Statistical Society, Series C, 15, 345-359.

Working Papers

Dynamic Models for Satellite Images. (pdf)
Stroud, J. R., Stein, M. L., Lesht, B. M., Schwab, D. J. and Beletsky, D.

Sequential Parameter Estimation in Stochastic Volatility Models with Jumps. (pdf)
Johannes, M. S., Polson, N. G. and Stroud, J. R.

Sequential Optimal Portfolio Performance: Market and Volatility Timing. (pdf)
Johannes, M. S., Polson, N. G. and Stroud, J. R.