New York University
2017 MFM Fellow
Cristian Fuenzalida is a PhD candidate at New York University. His research interests include empirical macroeconomics, econometrics and machine learning, financial volatility and asset pricing.
In his most recent research, Cristian seeks to disentangle identification issues in a general equilibrium setting, with a focus on developing new algorithms for models central banks use. His paper proposes a new framework for estimation of medium-scale DSGE models featuring a financial sector. Another part of his research agenda focuses on developing volatility models for low-frequency volatility in the financial markets, showing that existing frameworks can be generalized using semi-supervised manifold learning theory. His other work explores dimensionality reduction techniques to solve for monetary policy rules, deep learning applied to future markets, and the study of the balance sheet of financial institutions as a source of asset pricing factors.
Fuenzalida is the founder of Bayesquare, a non-for-profit research organization devoted to the study of advanced data science algorithms, which are then applied to the analysis of social science problems. Prior to entering his PhD program, he worked as a macroeconomic adviser at the Ministry of Finance in Chile.