Publications:

- Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns, joint work with R. Garcia, forthcoming in the Journal of Applied Econometrics. [May 2009 version] [Appendix]

- Can Affine Term Structure Models Help Us Predict Exchange Rates?, Journal of Money, Credit and Banking, 41 (4), pp. 755-766, 2009 [Appendix]

- Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets, Emerging Markets Review, 10 (4), pp. 311-330, 2009

- Contagion and Portfolio Shift in Emerging Markets, joint work with A. Garcia-Herrero, Research in Banking and Finance, 4, pp. 301-320, 2004.

- Crisis Cambiarias en Latinoamerica: Factores Especificos e Internacionales (Currency Crises in Latin-America: Specific and International Factors), joint work with A. Ortiz-Abarca, Informacion Comercial Española, Revista de Economia, 790, pp 93-106, March 2001. [Paper in PDF]

Working Papers:

- Testing Uncovered Interest Parity: A Continuous-Time Approach, joint with E. Sentana, CEPR Discussion Paper No. 6516, 2007. [November 2009 version]

- McCallum Rules, Exchange Rates, and the Term Structure of Interest Rates, Bank of Canada Working Paper 2008-43. [October 2009 version]

- Internationally Affine Term Structure Models, 2008. [December 2008 version]

- Extracting Policy Rate Expectations in Canada, joint with C. Reid, 2008. [July 2008 version] 

Work-in-Progress:

- The Option CAPM and the Performance of Hedge Funds, joint with R. Garcia, 2009

- Macro Factors in International Fixed Income and Foreign Exchange Risk Premia, joint work with G. Bauer, 2007.

- American Depositary Receipts Premia, What Can We Learn from their Comovements?, 2003. 

Links:

- My  SSRN Author Page