(Click on the title to download a paper)

Risks for the long: an explanation of international finance puzzles

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

Practicing Dynare

This paper teaches Dynare by applying it to approximate equilibria and estimate nine dynamic economic models. Among the models estimated are a 1977 rational expectations model of hyperinflation by Sargent, Hansen, Sargent, and Tallarini risk-sensitive permanent income model, and one and two-country stochastic growth models. The examples.zip file contains dynare *.mod and data files that implement the examples in the paper. (with F. Barillas, S. Kitao, C. Matthes, T. Sargent, and Y. Shin)

Paper Codes

Multiperiod asset allocation with dynamic volatilities

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. (with Rob Engle)