I conduct research on theoretical econometrics, financial econometrics, time series, applied econometrics, forecasting and nonlinear methods. My recent research has focused on consistent specification and inference in models defined by conditional moment restriction as well as time series methods to measure and predict financial asset volatility. My work has appeared in Econometrica, Review of Economic Studies, Journal of Econometrics, Journal of Business and Economic Statistics and Econometric Theory. My research is supported by Mexico's National Council of Science and Technology and I've been recipient of a Chair of Excellence Fellowship at Universidad Carlos III de Madrid.
In addition to teaching and research, I am a Fellow of the Econometric Society since 2008 and I have served on the Latin American Meeting of the Econometric Society (LAMES) and Latin American and Caribbean Economic Association (LACEA) as Co-Chairman and Program Comitte Member. [Additionally, I am member of the Financial Studies Fundation (FUNDEF) where I model and forcast mexican financial markets].