Other stuff

Approximation and Bayesian estimation of three models using Dynare (with S. Kitao and Y. Shin)

Abstract. We approximate and estimate three models: asset pricing with risks for the long run, neoclassical growth model and a two country model. This note has been presented at the IMF at the Conference on DSGE models held in April 2004 in Washington DC. [Handout , Slides , Codes ].

Risks for the long: an explanation of international finance puzzles

Note. This is my Ph.D. thesis. It is dated September 2006 and the chapters that it contains have been extensively modified for journals' submissions. Hence I encourage you to visit my working papers and publications sections to download the most updated material. These files may be of help to you if you are preparing your dissertation at NYU, since they were prepared to conform the format requested by my PhD granting institution. [Thesis , Zip Folder ].

Multiperiod asset allocation with dynamic volatilities (with Robert Engle)

Abstract. In this paper, we extend the idea of "Testing and valuing dynamic correlation for asset allocation" to an investor that chooses portfolio weights according to a multistep rather than a one period myopic objective function. We consider both time zero choice of all weights and daily rebalancing conditional on the new information set. An old and `hard to get’ paper. [This draft: Nov.08.2004]