Ph. D. in Economics, LSE, 1991
Time series econometrics, Asset pricing II
Predictability of stock market returns and exchange rates; factor models for financial returns and macroeconomic time series; volatility derivatives; conditional mean-variance analysis and spanning tests; non-normal distributions and copulas for portfolio allocation, option valuation and risk management; estimation by simulation; identification tests in structural models, dynamic specification tests.
- “Valuation of VIX Derivatives,” with J. Mencía, Journal of Financial Economics, 108 (2013), 367-391.
- “Underidentification?,” with M. Arellano and L.P. Hansen, Journal of Econometrics, 170 (2012), 256-280.
- “Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach,” with F. Peñaranda, Journal of Econometrics, 170 (2012), 303-324.
- “Multivariate Location-Scale Mixtures of Normals and Mean-Variance-Skewness Portfolio Allocation,”
with J. Mencía, Journal of Econometrics 153 (2009), 105-121.
- “Constrained Indirect Estimation,” with G. Calzolari and G. Fiorentini, Review of Economic Studies 71 (2004), 945-973.
- “Likelihood Estimation of Latent Generalised ARCH Structures,” with G. Fiorentini and N. Shephard, Econometrica 72 (2004), 1481-1517.
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