Publications
My publications so far come from three years of applied forecasting and financial-stability work at the International Monetary Fund. Current Ph.D. work on LLMs is described on the Research page. See also my Google Scholar profile.
Working Papers
IMF Working Paper WP/24/99, 2024
CoFiE-NN combines an LSTM with Cornish–Fisher expansions to forecast Value-at-Risk. It captures nonlinear dynamics in higher moments while keeping the output interpretable, and outperforms EGARCH-t and Extreme Value Theory models on simulated data and on 22 currencies.
IMF Working Paper WP/23/179, 2023
Presented at the International Symposium on Forecasting, 2023. The model was used in Box 7 of the IMF's 2024 U.S. Article IV report to estimate the Fed's long-run reserve needs.
A methodology for estimating banks' demand for central bank reserves as a function of the policy rate spread and macro and market-structure variables, comparing parametric sigmoid curves with nonparametric machine-learning estimators, with scenario analysis to guide central bank operations.
Technical Handbooks and Assistance Reports
IMF Monetary and Capital Markets Department Technical Assistance Handbook (chapters), Forthcoming
Handbook chapters on liquidity forecasting and foreign exchange intervention strategies for central bank practitioners.
IMF Monetary and Capital Markets Department Technical Assistance Handbook, 2024
A practitioner guide to the statistical side of central bank liquidity forecasting: forecasting autonomous factors (currency in circulation, net foreign assets, government balances) and liquidity demand with ETS and ARIMA models, forecast combination, reconciliation, and forecast evaluation.
IMF Technical Assistance Report, 2024
Technical assistance to Banco de Guatemala on forecasting liquidity to calibrate its daily deposit operations, including forecasts for each deposit type in the reserve-requirement base, statistical reconciliation into an aggregate forecast, and a hands-on workshop.
Contributions to IMF Country Reports
IMF Country Report No. 24/281, 2024
Contributed to stress testing and modeling of liquidity, solvency, and interconnectedness in the financial sector.
IMF Country Report No. 24/233 and related FSAP reports, 2024
Contributed to stress testing and modeling of liquidity, solvency, and interconnectedness in the financial sector.
United States: 2024 Article IV Consultation (Box 7: The Longer Term Size of the Fed's Balance Sheet)
IMF Country Report No. 24/232, 2024
Box 7 uses the reserve-demand model from WP/23/179 to estimate the reserves needed for the Federal Reserve's ample-reserves regime (US$2.1–3.2 trillion).