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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

December 2024: My joint paper with K. Jørgensen and A. Meldrum "Bond Risk Premiums at the Zero Lower Bound" has been accepted for publication in the Journal of Econometrics.

December 2024: My paper "The New Keynesian Model and Bond Yields" has been accepted for publication in the Journal of Financial and Quantitative Analysis.

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.

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