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Synopsis:
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I am currently seeking opportunities in the field of quantitative finance. Previously I worked at the Canada Pension Plan Investment Board, supporting the Global Tactical Asset Allocation portfolio, specifically in both the DMFX and fixed income groups.
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Academic research and interests:
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Fixed income (derivative) pricing with affine term structure models; nonlinear time series statistical models including multivariate stochastic volatility via Inverse Wishart; optimal VAR forecasting methods; stochastic state-space models and filtering; mixed causal/noncausal autoregressions and time dimensional asymmetric dynamics; Bayesian statistics and parameter estimation by MCMC; Sequential Monte Carlo and the "particle filter" of Gordon et. al. (1993); Spectral analysis and the frequency domain representation; D. Sornette type log-periodicity models; Econophysics.
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Thesis committee:
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Christian Gourieroux, John M. Maheu, John W. Galbraith, Martin Burda.
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Previous research:
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Below is a list of previous unpublished papers. You can also refer to the IDEAS website here.
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(1) |
Paul Kara (2014) “Dynamic modeling of commodity futures prices," (Job market paper) An application of the mixed causal/noncausal autoregression to the modeling of both bubbles and asymmetries present in commodity futures prices.
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(2) |
Paul Kara (2014) “Improving Bayesian VAR density forecasts through autoregressive Wishart Stochastic Volatility,” BVAR density interval forecasting employing a conditionally Inverse Wishart covariance process. Presented at the RCEF conference, August 17-18th, 2012, Toronto, Ontario, Canada. Conference details at: https://www.economics.utoronto.ca/conferences/index.php/rcef/
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Paul Kara (2014) “Dynamic State-Space Models,” A review of the state-space modeling framework with a focus on signal extraction of common trends corrupted by additive noise.
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Paul Kara (2013) “Empirical evidence for nonlinearity and irreversibility of commodity futures prices,” (Extended, earlier, draft of Job market paper) Presented at the DWAE (1st Annual Doctoral Workshop on Applied Econometrics), April 13th, 2013.
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Paul Kara (2012) “Historical time series methods,” An uncomplete historical survey of modern linear time-series forecasting methods from the 1950's to early 1980's.
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Previous teaching:
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Course Instructor, ECO434: Forecasting Methods in Macroeconomics and Finance, Winter & Fall 2013, University of Toronto, Mississauga Campus, Mondays 11:00p.m. to 1:00p.m. Full lecture notes are available
here.
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