J. Huston McCulloch
Professor of Economics and FinanceThe Ohio State University
Vita (PDF format)
Adaptive Learning and Adaptive Least Squares
The Kalman Foundations of Adaptive Least Squares
"Adaptive Least Squares Estimation of the Time-Varying Taylor Rule"
Learning About Stock Volatility:
The Local Scale Model with Homoskedastic Innovations
GAUSS program ALS.
Estimates a linear
regression by Adaptive Least Squares, estimating signal/noise parameter
by ML.
GAUSS program ACH.
Estimates Local Scale Model by ML.
Cambridge University Adaptive Learning in Macroeconomics Website
Term Structure of Interest Rates
US Real Term
Structure of Interest Rates with implicit forward inflation
rates.
The "Bellwether" 30-Year Treasury Bond is a Bad Investment
French Real Term Structure of Interest Rates
"The Inflation Premium Implicit in the U.S.
Real and Nominal Term Structures of Interest Rates,"
with Levis A. Kochin, Ohio State
University Working Paper No. 98-12, revised 9/2000.
McCulloch-Kwon U.S. Term Structure Data, with OSU Economics WP # 93-6.
Stable Distributions
It's not right to pick only what you like, but to take all of the evidence... -- Richard P. Feynman
"Estimation of Risk Neutral Measures using the Generalized Two-Factor
Log-Stable Option Pricing Model"
with Seung-Hwan Lee
March 2008
"The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty,"
PDF file, June 2003
"Simple Consistent Estimators of Stable Distribution Parameters,"
Communications in Statistics - Simulation and Computation
15 (1986): 1109-36.
Skew-Stable Investment Opportunity Set
McCulloch-Panton Skew-Stable Fractile Density Table (439 KB),
as documented in JHM and Don B. Panton, "Precise Tabulation of the
Maximally-Skewed Stable
Distributions and Densities," Computational Statistics and Data
Analysis vol. 23 (Jan. 1997), pp. 307-320.
Corrected precisions per Geoff Robinson noted 9/26/05.
