Working papers
Green Portfolios (with Frederik Lundtofte and Thomas Fischer) Reject-and-Resubmit [Online Appendix]
Medium-term impacts of immigration on the housing market: Evidence from a quasi-experimental shift-share instrument RFBerlin Discussion Paper No. 78/25 (2025) (with Anna Piil Damm, Ahamad Hassani, and Anil Kumar, Aarhus University) [Media Coverage]
Time-varying disaster risk models: An empirical assessment of the Rietz-Barro hypothesis CREATES Research Paper No. 2015-08 (2015) (with Alfonso Irarrazabal, BI Norwegian Business School)
Green Portfolios (with Frederik Lundtofte and Thomas Fischer) Reject-and-Resubmit [Online Appendix]
Medium-term impacts of immigration on the housing market: Evidence from a quasi-experimental shift-share instrument RFBerlin Discussion Paper No. 78/25 (2025) (with Anna Piil Damm, Ahamad Hassani, and Anil Kumar, Aarhus University) [Media Coverage]
Time-varying disaster risk models: An empirical assessment of the Rietz-Barro hypothesis CREATES Research Paper No. 2015-08 (2015) (with Alfonso Irarrazabal, BI Norwegian Business School)
Working in progress
Taylor projection under tail risk (joint with Oskar Arnt Juul)
Demographic pressure and urban growth (joint with Anna Piil Damm, Ahmad Hassani, Anil Kumar, and Jonas Søndergaard Sørensen)
Equilibrium premium strategies for multi-firm competition in a non-life insurance market (joint with Bent Jesper Christensen and Rafael Serrano)
Taylor projection under tail risk (joint with Oskar Arnt Juul)
Demographic pressure and urban growth (joint with Anna Piil Damm, Ahmad Hassani, Anil Kumar, and Jonas Søndergaard Sørensen)
Equilibrium premium strategies for multi-firm competition in a non-life insurance market (joint with Bent Jesper Christensen and Rafael Serrano)
Peer-reviewed publications
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
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
