Research ideas with lifecycle status (proposed → in_progress → tested → validated / failed). Priorities run 1 (low) to 5 (critical).
Estimation & optimization
- CRE MLE — proposed, P5
- BC-style identification with CRE cap rates — proposed, P5
- Identification theory for compound Markov chains — proposed, P4
Model extensions
- Cross-asset regime-consistent pricing (CRE + Treasuries) — proposed, P4
- Exponential-quadratic MSRE extension of DSY — proposed, P4
Filtering & inference
- MJLS-aware RBPF variance reduction — proposed, P3
- Differentiable RBPF for gradient-based estimation — failed, P2
Applications
- Out-of-sample CRE cap-rate forecasting — proposed, P4