Financial econometrics, monetary policy, credit risk and credit markets, empirical asset pricing, high-frequency finance, Bayesian econometrics
New measures of monetary policy surprises and jumps in interest rates (with Ángel León). Journal of Banking and Finance, 2012, 36(8), pp. 2323-2343. Best Fixed Income Paper Award at the XVI Finance Forum, 2008 Barcelona. The latest working paper version is available here.
Which news moves the euro area bond market? (with Magnus Andersson and Lars Jul Overby), German Economic Review, 2009, 10(1), pp. 1-31. It is the most cited article published between 2008-2010. A previous version was published in the ECB Working Paper series, No. 631.
Flight-to-quality in the euro area: convenience yield in German government bond rates. The latest version is available here. Data and Gauss codes are available here.
The interdependence of credit risk between banks and sovereigns during the European debt crisis
Linear and non-linear Kalman filtering: Theory and applications in economics and finance (a longer technical paper, Matlab codes will also be provided later)
What drives money market rates? An earlier version is available here (not updated).
Is the external communication of the European Central Bank effective? (with Jorge Sicilia)