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Welcome to my homepage
The site contains information about published and ongoing research as well as technical appendices and software codes related to my research.
My research interests include:
The interaction between the macro economy, financial markets, and the banking sector.
Dynamic term structure models with macro-variables.
Non-linear filtering methods (sequential Monte Carlo methods).
Estimation and solution methods for Dynamic Stochastic General Equilibrium (DSGE) models.
Bayesian Econometrics and MCMC methods.
Simulation based optimization routines.
About me
I am a Professor in Economics at Aarhus University and a member of CREATES and the Danish Finance Institute. I have previously worked in the Macro-Financial Analysis Division of the Bank of England and as a quantitive research economist at the London based hedge fund AHL, Man Investments. I hold a PhD from Aarhus University in Macro-Finance and have also got BSc and MSc degrees in economics from Aarhus University.
News
November 2023: My paper with Giovanni Caggiano, Efrem Castelnuovo, and Giovanni Pellegrino has just been accepted for the Journal of Monetary Economics. The paper, online appendix, and replication codes are now available.
August 2021: My paper with Simon Ridell and Jens Christensen on the TIPS liquidity premium has been accepted for the Reivew of Finance.
August 2021: I have uploaded a supplementary note to my recent paper in the Review of Financial Studies (joint with T. Engsted, S. Møller, and M. Sander), where we show that our results for the macro-finance term structure model are robust to not lagging the unemployment gap in the Taylor-rule, as implied by a data loading error in the codes related to the paper. I am grateful to Zhaoshu Lin for making me aware of this issue.