Welcome to my website! 

I am a Senior Analyst at Velliv, where I work with asset allocation. Prior to joining Velliv, I worked at the Danish Central Bank (Danmarks Nationalbank) in the Department of Economics and Monetary Policy. 

I obtained my PhD from the Department of Economics, at the University of Copenhagen (UCPH). 

The content on this webpage does not necessarily reflect the views of the Danish Central Bank nor Velliv.

Research Interests:

• Finance and financial econometrics, including volatility modeling, term structure modeling, empirical asset pricing and econometric theory.

• Empirical macroeconomics, time series econometrics.

Publications:

• Dynamic Conditional Eigenvalue GARCH, with Rasmus Søndergaard Pedersen and Anders Rahbek, September 2021, forthcoming at Journal of Econometrics. [working paper] [replication code]

• Short-Term Expectation Formation Versus Long-Term Equilibrium Conditions: The Danish Housing Market, with Andreas Hetland, Econometrics 2017, 5(3), 40. 

Policy work:

• Real interest rates in the context of inflation and higher government debt, February 2023, Danmarks Nationalbank Analysis no. 2.

• Explaining the Danish-German sovereign yield spread, June 2022, Danmarks Nationalbank, Economic Memo no. 7. 

• Housing market robustness should be strengthened, July 2021, Danmarks Nationalbank, Analysis no. 16.

Working papers:

• Passive Quantitative Easing: Bond Supply Effects through a Halt to Debt Issuance, with Jens H.E. Christensen, August 2023.

• Spectral Targeting Estimation of Dynamic Conditional Eigenvalue GARCH models, July 2020, R&R at Journal of Financial Econometrics. [New version in my PhD thesis from March 2021]

• Bootstrap-Based Inference and Testing in Multivariate Dynamic Conditional Eigenvalue GARCH Models, March 2021.

Work in progress:

• Bond Risk Premia with a Pegged Exchange Rate, joint with Jens H.E. Christensen.

• Estimating Inflation Expectations using Forward Starting Inflation Swaps