"Peso problems in the estimation of the C-CAPM" (joint with Olaf Posch and Andreas Schrimpf) Quantitative Economics (2022), Volume 13, Issue 1, pp: 259-313
[codes] Matlab codes to estimate the C-CAPM parameters using:
(i) simulated data from the rare disaster and the long-run risk models (replicate simulation results in Tables A.6 to A.11)
(ii) observed data (replicate empirical results in Tables A.1 and A.2)
"Risk matters: Breaking certainty equivalence in linear approximations" (joint with Hamza Polattimur and Olaf Posch) Journal of Economic Dynamics and Control (2021), Volume 133
[codes] Matlab and Mathematica codes to approximate the Stochastic Growth Model.
Matlab and Mathematica codes to approximate RBC model with capital adjustment costs and internal habits [coming soon].
"A comparison of numerical methods for the solution of continuous-time DSGE models" Macroeconomic Dynamics (2018), Volume 22, Issue 6, pp: 1555-1538
[codes] Matlab codes to replicate the results from linear-quadratic approximations and projection method.
Mathematica codes to replicate the results from perturbation [coming soon].