- Curriculum Vitae [PDF]
- A New Linear Estimator for Gaussian Dynamic Term Structure Models, Journal of Business and Economic Statistics, 33 (2), pp. 282-295, 2015. [Appendix]
- Testing Uncovered Interest Parity: A Continuous-Time Approach, joint work with E. Sentana, International Economic Review, 52 (4), pp. 1215–1251, 2011.
- Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns, joint work with R. Garcia, Journal of Applied Econometrics, 26 (2), pp. 193-212, 2011. [Appendix]
- The Option CAPM and the Performance of Hedge Funds, joint with R. Garcia, Review of Derivatives Research, 14 (2), pp. 137-167, 2011.
- 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.
Notes and Short Papers:
- Optimal Asymptotic Least Squares Estimation in a Singular Set-Up, Economic Letters, 128, pp. 83-86, 2015. [Appendix]
- Internationally Affine Term Structure Models, Spanish Review of Financial Economics, 9 (1), pp. 31-34, 2011.
- Can Affine Term Structure Models Help Us Predict Exchange Rates?, Journal of Money, Credit and Banking, 41 (4), pp. 755-766, 2009.
- 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:
- A Portfolio-Balance Model of Inflation and Yield Curve Determination, Bank of Canada Staff Working paper 2020-6. [April 2020 version]
- Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions, Bank of Canada Staff Working paper 2017-33. [November 2017 version]
- Quantitative Easing and Long‐Term Yields in Small Open Economies, joint with M. Shamloo, Bank of Canada Staff Working paper 2017-26. [November 2017 version]
- The Canadian Yield Curve: 1938 to 2014, joint with G. Bauer, S. Chaker and S. Ramirez
- Old Unpublished Working Papers:
- What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?, joint with R. Alquist and G. Bauer, Bank of Canada Working Paper 2014-42.
- An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks, joint work with G. Bauer, Bank of Canada Working Paper 2012-5.
- McCallum Rules, Exchange Rates, and the Term Structure of Interest Rates, Bank of Canada Working Paper 2008-43.
- Extracting Policy Rate Expectations in Canada, joint with C. Reid, 2008.
- American Depositary Receipts Premia, What Can We Learn from their Comovements?, 2003
The views expressed here are those of the author and do not necessarily reflect those of the Bank of Canada.
Last updated: June 22, 2020