Ph. D. in Economics, Princeton University, 2009
Assistant Professor, Juan de la Cierva Researcher
Time series econometrics, Risk management, Asset pricing I
Financial volatility, asset pricing, risk management, factor analysis, time-series econometrics
- “Market-Based Estimation of Stochastic Volatility Models,” with Y. Aït-Sahalia and E. Manresa, Journal of Econometrics, 187 (2015), 418-435.
- “Sequential Estimators of Shape Parameters in Multivariate Dynamic Models,” with G. Fiorentini and E. Sentana, Journal of Econometrics, 177 (2013), 233-249.
- “A Comparison of Mean-Variance Efficiency Tests,” with E. Sentana,
Journal of Econometrics, 154 (2010) 16-34.
- “Consistent Estimation of the Number of Dynamic Factors in a Large N and T Panel,” with M. Watson, Journal of Business and Economic Statistics, 25 (2007), 91-96.
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