sample of publications

• articles 

  • Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection.  JOURNAL OF BANKING & FINANCE.  118:1-13. 2020
  • Disentangling the role of variance and covariance information in portfolio selection problems.  QUANTITATIVE FINANCE.  19:57-76. 2018
  • Combining Multivariate Volatility Forecasts: An Economic-Based Approach.  Journal of Financial Econometrics.  15:247-285. 2017
  • Comparing univariate and multivariate models to forecast portfolio Value-at-Risk.  Journal of Financial Econometrics.  11:400-441. 2013
  • A RBF neural network model with GARCH errors: Application to electricity price forecasting.  ELECTRIC POWER SYSTEMS RESEARCH.  81:74-83. 2011

• conference contributions 

  • The Performance of Socially Responsible Funds: The Role of Fees and Management Companies 2008
  • The Performance of Socially Responsible Funds: The Role of Fees and Management Companies 2008
  • The performance of socially responsible funds: the role of fees and management companies 2008

• thesis 

  • Multivariate volatility models in financial risk management and portfolio selection

• working papers 

  • Comparing Forecasts of Extremely Large Conditional Covariance Matrices 2019
  • Optimal Portfolios with Minimum Capital Requirements 2010
  • The Performance of Socially Responsible Mutual Funds: The Role of Fees and Management Companies 2008