19 citations · 26 across the 17 of their papers we have counts for
4 papers · 1 filter
Sovereign Default Risk and Uncertainty Premia
Demian Pouzo, Ignacio Presno
This paper studies how international investors' concerns about model misspecification affect sovereign bond spreads. We develop a general equilibrium model of sovereign debt with e…
On the Non-Asymptotic Properties of Regularized M-estimators
Demian Pouzo
We propose a general framework for regularization in M-estimation problems under time dependent (absolutely regular-mixing) data which encompasses many of the existing estimators.…
Optimal Taxation with Endogenous Default under Incomplete Markets
Demian Pouzo, Ignacio Presno
In a dynamic economy, we characterize the fiscal policy of the government when it levies distortionary taxes and issues defaultable bonds to finance its stochastic expenditure. Def…
Equilibrium in Misspecified Markov Decision Processes
Ignacio Esponda, Demian Pouzo
We study Markov decision problems where the agent does not know the transition probability function mapping current states and actions to future states. The agent has a prior belie…