sample of publications

• articles 

  • Exploring Option Pricing and Hedging via Volatility Asymmetry.  Computational Economics.  57:1015-1039. 2021
  • Data cloning estimation for asymmetric stochastic volatility models.  Econometric Reviews.  39:1057-1074. 2020
  • A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities.  Econometric Reviews.  39:971-990. 2020
  • Limited attention, salience of information and stock market activity.  ECONOMIC MODELLING.  87:92-108. 2020
  • Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation.  Econometrics and Statistics.  13:84-105. 2020
  • Detecting outliers in multivariate volatility models: a wavelet procedure.  SORT-Statistics and Operations Research Transactions.  43:289-316. 2019
  • Modeling and forecasting the oil volatility index.  JOURNAL OF FORECASTING.  38:773-787. 2019
  • Efficiency evaluation of hotel chains: a Spanish case study.  Series-Journal of the Spanish Economic Association.  10:115-139. 2019
  • Uncertainty and density forecasts of ARMA models: comparison of asymptotic, bayesian and bootstrap procedures.  JOURNAL OF ECONOMIC SURVEYS.  32:388-419. 2018
  • Threshold stochastic volatility: Properties and forecasting.  INTERNATIONAL JOURNAL OF FORECASTING.  33:1105-1123. 2017
  • Do investors price industry risk? Evidence from the cross-section of the oil industry.  Journal of Energy Markets.  10:79-108. 2017
  • A robust closed-form estimator for the GARCH(1,1) model.  JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION.  86:1605-1619. 2016
  • Correlations between oil and stock markets: A wavelet-based approach.  ECONOMIC MODELLING.  50:212-227. 2015
  • Dynamic effects in inefficiency: evidence from the Colombian banking sector.  EUROPEAN JOURNAL OF OPERATIONAL RESEARCH.  240:562-571. 2015
  • Bayesian estimation of inefficiency heterogeneity in stochastic frontier models.  JOURNAL OF PRODUCTIVITY ANALYSIS.  42:85-101. 2014
  • Outliers, GARCH-type models and risk measures: a comparison of several approaches.  Journal of Empirical Finance.  26:26-40. 2014
  • Oil price asymmetric effects: answering the puzzle in international stock markets.  Energy Economics.  38:136-145. 2013
  • Asymmetry, realised volatility and stock return risk estimates.  Portuguese Economic Journal.  11:147-164. 2012
  • Risk factors in oil and gas industry returns: International evidence.  Energy Economics.  33:525-542. 2011
  • Information Aggregation in Experimental Asset Markets in the Presence of a Manipulator.  EXPERIMENTAL ECONOMICS.  13:379-398. 2010
  • Wavelet-Based Detection of Outliers in Financial Time Series.  COMPUTATIONAL STATISTICS & DATA ANALYSIS.  54:2580-2593. 2010
  • A Note on the Properties of Power-Transformed Returns in Long-Memory Stochastic Volatility Models with Leverage Effect.  COMPUTATIONAL STATISTICS & DATA ANALYSIS.  53:3593-3600. 2009
  • Price Manipulation in an Experimental Asset Market.  EUROPEAN ECONOMIC REVIEW.  53:327-342. 2009
  • Financial Stylized Facts and the Taylor-Effect in Stochastic Volatility Models.  Economics Bulletin.  29:265-276. 2009
  • Modelling Long-Memory Volatilities with Leverage Effect: A-LMSV Versus FIEGARCH.  COMPUTATIONAL STATISTICS & DATA ANALYSIS.  52:2846-2862. 2008
  • Accurate Minimum Capital Risk Requirements: A Comparison of Several Approaches.  JOURNAL OF BANKING & FINANCE.  32:2482-2492. 2008

• book chapters 

  • Additive level outliers in multivariate GARCH models. In: Topics from the 7th Workshop on Statistical Simulation.  SPRINGER. 247-255. 2014
  • Risk factors in the oil industry: an upstream and downstream analysis. In: The interrelationship between financial and energy markets.  SPRINGER. 3-32. 2014
  • Outliers and the estimation of minimum capital risk requirements. In: Investigaciones en Seguros y gestión de riesgos.  Fundacion MAPFRE. 541-546. 2009

• books 

  • The interrelationship between financial and energy markets.  SPRINGER. 2014

• conference contributions 

  • Advances in financial econometrics 2020
  • Forecastingvalue-at-risk and expected shortfall: A Bayesian approach 2020
  • Data cloning estimation for asymmetric stochastic volatility models 2018
  • Estimating threshold stochastic volatility models using integrated nested Laplace approximations 2018
  • Quantile consumption-capital asset pricing model 2018
  • A bootstrap approach for Generalized autocontour testing 2016
  • A bootstrap approach for generalized autocontour testing.  99. 2016
  • Asymmetric stochastic volatility models: properties and estimation 2016
  • Energy industry's market value and oil price 2016
  • Energy industry's market value and oil price 2016
  • Correlations between oil and stock markets: a wavelet-based approach 2015
  • One for all: nesting asymmetric stochastic volatility models 2014
  • One for all: nesting asymmetric stochastic volatility models 2014
  • Bayesian analysis of dynamic effects in inefficiency: Evidence from the Colombian banking sector 2013
  • Bayesian analysis of dynamic effects in inefficiency: evidence from the colombian banking sector 2013
  • Modelling volatility and correlations 2013
  • Nesting asymmetric stochastic volatility models 2013
  • Outliers in multivariate GARCH models 2013
  • Particle learning for bayesian non-parametric Markov switching stochastic volatility models with financial applications 2013
  • Asymmetric Long-run Effects in the Oil Industry 2012
  • Estimating Effiency 2012
  • Heterogeneity in Bayesian Stochastic Frontier Models 2012
  • Heterogeneity in Bayesian Stochastic Frontier Models 2012
  • Wavelet-based Correlations: International Evidence between Stock Market and Oil Returns 2012
  • Forecasting Volatility: A Continuous Time Model Versus Discrete Time Models 2011
  • Forecasting Volatility: Continuous Time vs Discrete Time 2011
  • The Puzzle of Asymmetric Effects of Oil: New Results from International Stock Markets 2011
  • The Puzzle of Asymmetric Effects of Oil: New Results from International Stock Markets.  339-345. 2011
  • Outliers in GARCH models and the estimation of risk measures.  1219-1233. 2010
  • Accurate Minimum Capital Risk Requirements: A Comparison of Several Approaches 2008

• working papers 

  • Fitting complex stochastic volatility models using Laplace approximation 2024
  • A stochastic volatility model for volatility asymmetry and propagation 2024
  • A Bayesian semi-parametric approach to stochastic frontier models with inefficiency heterogeneity 2024
  • Data cloning for a threshold asymmetric stochastic volatility model 2023
  • Measuring efficiency of Peruvian universities: a stochastic frontier analysis 2023
  • Integrated nested Laplace approximations for threshold stochastic volatility models 2021
  • Adaptative predictability of stock market returns 2020
  • Contagion in sequential financial markets: an experimental analysis 2020
  • Valuation in the energy sector: Fundamentals or bubbles? 2020
  • Quantile Consumption-Capital Asset Pricing 2020
  • Data cloning estimation for asymmetric stochastic volatility models 2019
  • Exploring option pricing and hedging via volatility asymmetry 2019
  • Modeling and forecasting the oil volatility index 2017
  • Efficiency evaluation of Spanish hotel chains 2016
  • A Bootstrap Approach for Generalized Autocontour Testing 2016
  • An analysis of the dynamics of efficiency of mutual funds 2015
  • Score driven asymmetric stochastic volatility models 2014
  • Outliers in multivariate Garch Models 2014
  • Bayesian analysis of dynamic effects in inefficiency: evidence from the Columbian banking sector 2013
  • One for all: nesting asymmetric stochastic volatility models 2013
  • Correlations between oil and stock markets: a wavelet-based approach 2013
  • Predictability of stock market activity using Google search queries 2013
  • Bayesian estimation of inefficiency heterogeneity in stochastic frontier models 2012
  • Asymmetric long-run effects in the oil industry 2012
  • Forecasting volatility: does continuous time do better than discrete time? 2011
  • Asymmetric Effects of Oil Price Fluctuations in International Stock Markets 2010
  • Outliers in Garch Models and the Estimation of Risk Measures 2010
  • Risk Factors in Oil and Gas Industry Returns: International Evidence 2009
  • Wavelet-based Detection of Outliers in Volatility Models 2009
  • Aggregation and Dissemination of Information in Experimental Asset Markets in the Presence of a Manipulatior 2008
  • The Effect of Short-Selling on the Aggregation of Information in a Experimental Asset Market 2008