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Affine modeling of credit risk, pricing of credit events, and contagion
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Management Science, 2021
Model risk management: Valuation and governance of pseudo-models
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Econometrics and Statistics, 2021
Stationary bubble equilibria in rational expectation models
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Journal of Econometrics, 2020
Identification and Estimation in Non-Fundamental Structural VARMA Models
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Review of Economic Studies, 2020
Invited Editorial The challenges imposed by low interest rates
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Journal of Asset Management, 2019
Model risk management: Limits and future of Bayesian approaches
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Annals of Economics and Statistics, 2019
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations
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Econometrica, 2019