"Estimation of continuous-time linear DSGE models from discrete-time measurements " (joint with Bent Jesper Christensen and Luca Neri)
Journal of Econometrics (forthcoming)

• [codes] Replication files in Matlab for empirical application in Section 6.

"Risk sensitive linear approximations" (joint with Gustavo Solórzano Andrade)
Economic Letters (2024), Volume 238

• [codes] Replication files in Matlab and Julia (Julia modules updated on 20/08/2024)

"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]. ​