Research-direction maps. Each topic gathers the papers, concepts, and people that define a subfield.
- Commercial real-estate pricing with regime-switching macro dynamics — main focus. The central research line: CRE cap rates driven by monetary-policy and wage-rigidity regimes via no-arbitrage.
- Markov-switching term-structure models — no-arbitrage bond pricing under latent macro regimes; the machinery borrowed from Dai-Singleton-Yang and Bansal-Zhou that powers the asset half of the model.
- Markov jump linear systems: control & filtering — the MJLS stability theory and coupled Riccati apparatus that underlie both the asset-pricing recursions and the filter.
- Switching state estimation: filtering with hidden discrete modes — the particle/Kalman hybrid family (GPB, IMM, RBPF) used to infer compound regime histories.