Research Interests : Empirical Asset Pricing, International Finance and Financial Economics.
Research Interests : Empirical Asset Pricing, International Finance and Financial Economics.
Working Papers
Social Protests and Corporate Investment (2025) [with D. Contreras] PDF
The Impact of Corporate Environmental Violations on the Cost of Financing (2024) [with F. Marcet] PDF
Publications
Price Effects of Asset Forced Sales during Massive Pension Funds Withdrawals. International Review of Financial Analysis (2025) [with J.Díaz] PDF
Forecasting the Volatility of U.S. Oil and Gas Firms with Machine Learning. Journal of Forecasting (2025) [with J. Díaz and G. Cabrera] PDF
Time-Varying Risk Aversion and International Stock Returns. North American Journal of Economics and Finance (2025) [with M. Guidolin and G. Cabrera] PDF
Stock Returns and Tax Progressivity. Finance Research Letters (2024) [with B. Castro, J. Díaz and P. Gutierrez] PDF
On the Robustness of the Relationship between Tax Progressivity, Growth, and Inequality in the US. Economics Letters (2024) [with B. Castro, J. Díaz and P. Gutierrez] PDF
Machine-learning Stock Market Volatility: Predictability, Drivers and Economic Value. International Review of Financial Analysis (2024) [with J. Díaz and G. Cabrera] PDF
Gold Risk Premium Estimation with Machine Learning Methods. Journal of Commodity Markets (2023) [with J. Díaz and G. Cabrera] PDF
Economic Evaluation of Asset Pricing Models under Predictability. Journal of Empirical Finance (2022) PDF
The Reinvestment of Multinationals as a Capital Flow: Crises, Imbalances and the Cash-Based Current Account. Journal of International Money and Finance (2022) [with R.Wagner] PDF
Asset Pricing Model Uncertainty and Portfolio Choice. Finance Research Letters (2022) [with I. Carrasco] PDF
Economic Drivers of Commodity Volatility: the Case of Copper. Resources Policy (2021) [with J. Díaz and G. Cabrera] PDF
Economic Policy Uncertainty and Presidential Approval: Evidence from Latin America. Plos One (2021) [with M. Gómez-Méndez] PDF
A Random Walk through the Trees: Forecasting Copper Prices using Decision Learning Methods. Resources Policy (2020) [with J. Díaz and G. Cabrera] PDF
When do Central Banks Intervene in the FX Market? Estimating the Time-Varying Central Bank Threshold Intervention Function. International Review of Finance (2019) [with M. Morales] PDF
Cross-Asset Contagion in the Financial Crisis: a Bayesian Time-Varying Approach. Journal of Financial Markets (2019) [with M. Guidolin and M. Pedio] PDF
Portfolio Performance of Linear SDF Models: an Out-of-Sample Assessment. Quantitative Finance (2018) [with M. Guidolin and M. Lozano] PDF
Stockpiling Cash When it Takes Time to Build: Exploring Price Differentials in a Commodity Boom. Journal of Banking and Finance (2017) [with R. Wagner] PDF
Responsible Personal Finance: The Role of Conscientiousness in Bank and Pension Savings in Chile. International Review of Finance (2016) [with E. Kausel and P. Tapia] PDF
Pricing S&P 500 Index Options: A Conditional Semi-Nonparametric Approach. Journal of Futures Markets (2016). [with M. Guidolin] PDF
Political risk and sovereign spreads in Latin America. Academia Revista Latinoamericana de Administración (2016) [with J. Zegarra] PDF
Publications (Old)
Determinants of Corporate Exchange Rate Exposure in Chilean Firms. Economía Chilena (2013) [with S. Hyde] PDF
Investment, Maturity Mismatch and Liquidity Schocks in Chile. Trimestre Económico (2008) [with K. Cowan] PDF
Currency Mistmatches in Non-Financial Chilean Firms. Economía Chilena (2005) [with K. Cowan and L. Herrera]
A working paper version: Currency Mismatches, Balance Sheets Effects and Hedging in Chilean Non-Financial Corporations. PDF