DOCTORAL STUDIES

Ph.D. in Economics, Princeton University, 2009

TEACHING

Hedging and risk management

CURRENT RESEARCH

Financial econometrics, asset pricing, financial volatility

CURRICULUM VITAE

[PDF]

PUBLICATIONS

A Comparison of Mean-Variance Efficiency Tests, with Enrique Sentana,
forthcoming in the Journal of Econometrics

Consistent Estimation of the Number of Dynamic Factors in a Large N and T Panel,
with Mark W. Watson, Journal of Business and Economic Statistics, Vol 25 (1)

PAPERS AND WORK IN PROGRESS

The Term Structure of Variance Risk Premia [March 2009]

Market-Based Estimation of Stochastic Volatility Models, with Yacine Ait-Sahalia

Estimation of the Number of Factors in a Large N and T Panel: To Differentiate or Not To
Differentiate the Data

Inference in Multivariate Dynamic Models with Elliptical Innovations, with Enrique Sentana

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