My work focuses on Bayesian statistics in complex,
high-dimensional problems with applications ranging from finance to
genomics. Here are some key aspects of my current research:

Advanced statistics and econometrics in asset pricing problems;

Causal inference in high dinemsional settings;

Dimensionality reduction in large-scale multivariate problems;

Sparse models for high-dimensional covariance matrices;

Graphical models and sparse factor models;

Model search/selection in linear models and graphical models;

Dynamic graphical models in multivariate financial time series
and portfolio analysis;

Conditional variance models and multivariate stochastic
volatility;

Sequential estimation and particle filtering;

Parallel statistical computation.