Estimation of continuous-time linear DSGE models from discrete-time measurements [Online Appendix]
[codes]
with Bent Jesper Christensen and Luca Neri
Journal of Econometrics (2024), Volume 244, Issue 2
Risk sensitive linear approximations [Online Appendix][codes]
with Gustavo Solórzano Andrade
Economics Letters (2024), Volume 238.
Optimal asset allocation for commodity sovereign wealth funds
with Alfonso Irarrazabal and Lin Ma
Quantitative Finance (2023), Volume 23, Issue 3, pp. 471-495.
Estimation of heterogeneous agent models: A likelihood approach [Online Appendix]
with Olaf Posch and Mu-Chun Wang
Oxford Bulletin of Economics and Statistics (2023), Volume 85, Issue 2, pp. 304-330.
Peso problems in the estimation of the C-CAPM [Online Appendix][codes]
with Olaf Posch and Andreas Schrimpf
Quantitative Economics (2022), Volume 13, Issue 1, pp. 259-313.
Risk matters: Breaking certainty equivalence in linear models [Online Appendix][codes]
with Hamza Polattimur and Olaf Posch
Journal of Economic Dynamics and Control (2021), Volume 133.
Optimal control of investment, premium and deductible for a non-life insurance company
with Bent Jesper Christensen and Rafael Serrano
Insurance: Mathematics and Economics (2021), Volume 101, pp. 384-405.
A comparison of numerical methods for the solution of continuous-time DSGE models [codes]
Macroeconomic Dynamics (2018), Volume 22, Issue 6, pp. 1555-1538.
Blog coverage: NEP-DGE blog
What determines the sensitivity of the real exchange rate in Colombia to a terms of trade shock?
with Lavan Mahadeva
Macroeconomics and Finance in Emerging Markets Economies (2012), No. 5, pp. 161-176.
La tasa de interés natural en Colombia ("The natural rate of interest in Colombia")
with J.J. Echavarría, M. Misas, E. López and J. Tellez
Ensayos Sobre Política Económica (2007), No. 54, pp. 44-89
[codes]
with Bent Jesper Christensen and Luca Neri
Journal of Econometrics (2024), Volume 244, Issue 2
Risk sensitive linear approximations [Online Appendix][codes]
with Gustavo Solórzano Andrade
Economics Letters (2024), Volume 238.
Optimal asset allocation for commodity sovereign wealth funds
with Alfonso Irarrazabal and Lin Ma
Quantitative Finance (2023), Volume 23, Issue 3, pp. 471-495.
Estimation of heterogeneous agent models: A likelihood approach [Online Appendix]
with Olaf Posch and Mu-Chun Wang
Oxford Bulletin of Economics and Statistics (2023), Volume 85, Issue 2, pp. 304-330.
Peso problems in the estimation of the C-CAPM [Online Appendix][codes]
with Olaf Posch and Andreas Schrimpf
Quantitative Economics (2022), Volume 13, Issue 1, pp. 259-313.
Risk matters: Breaking certainty equivalence in linear models [Online Appendix][codes]
with Hamza Polattimur and Olaf Posch
Journal of Economic Dynamics and Control (2021), Volume 133.
Optimal control of investment, premium and deductible for a non-life insurance company
with Bent Jesper Christensen and Rafael Serrano
Insurance: Mathematics and Economics (2021), Volume 101, pp. 384-405.
A comparison of numerical methods for the solution of continuous-time DSGE models [codes]
Macroeconomic Dynamics (2018), Volume 22, Issue 6, pp. 1555-1538.
Blog coverage: NEP-DGE blog
What determines the sensitivity of the real exchange rate in Colombia to a terms of trade shock?
with Lavan Mahadeva
Macroeconomics and Finance in Emerging Markets Economies (2012), No. 5, pp. 161-176.
La tasa de interés natural en Colombia ("The natural rate of interest in Colombia")
with J.J. Echavarría, M. Misas, E. López and J. Tellez
Ensayos Sobre Política Económica (2007), No. 54, pp. 44-89
