Overview
Dhiman Das is an econometrician affiliated with the City University of New York. His work focuses on Bayesian computation for nonlinear time-series models, particularly Markov-switching volatility models.
Key Contributions / Features
- Co-developed (with B. Hark Yoo) a four-block MCMC algorithm for Markov Switching GARCH models that resolves the path-dependence problem making MLE infeasible; the algorithm uses a single-move state sampler combined with Nakatsuma's ARMA linearization for the GARCH block.
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