Omar Aguilar

Overview

Applied statistician and quantitative analyst; at time of publication with Merrill Lynch Quantitative Research, Mexico City. Co-developed with Mike West the Bayesian dynamic factor SV model for multivariate financial time series, building on earlier working papers with West (1997, 1998) that developed related MCMC methods for dynamic models.

Key Contributions / Features

• Aguilar and West (2000) — "Bayesian Dynamic Factor Models and Portfolio Allocation," Journal of Business & Economic Statistics 18(3): 338–357. Introduced a $k$-factor SV model with VAR(1) log-volatility dynamics and lower-triangular identification (Geweke-Zhou); multi-block MCMC sampler combining Carter-Kohn FFBS and KSC mixture approximation; auxiliary particle filter for sequential portfolio allocation; 6-currency exchange-rate application ($k=3$) demonstrating outperformance of the variance discounting baseline over 827 out-of-sample days.

Related

• Dynamic Factor Model
• Stochastic Volatility
• Mike West
• Aguilar and West (2000)