Selected Publications:

• Specification Tests in Parametric Value-at-Risk Models. (with Juan Carlos Escanciano) Economica, Proceedings of the 1st International Financial Research Forum.

•  Backtesting Parametric Value-at-Risk with Estimation Risk.  (with Juan Carlos Escanciano) Journal of Business and Economic Statistics 2010, Vol 28, 1, 36-51.

• Are empirical rejections of UIP valid? (with Keith Pilbeam) Journal of Economic Integration 2009, 24 (2), 370-385.

• The profitability of Carry Trades. (with Keith Pilbeam) Annals of Finance 2009, Vol 5, 2, 231-241.

• Which Extreme Values are Really Extreme? (with Jesus Gonzalo) Journal of Financial Econometrics 2004, 2 (3), 349-369.

Other Publications:

• Quantile Threshold Effects in the Dynamics of the Dollar/Pound Exchange Rate. (with Antonio Galvao and Gabriel Montes-Rojas) Journal of Economic Asymmetries, Vol 6, 2, 69-82.

• On the Role of Volatility for Modelling Risk Exposure. International J. of Monetary Economics and Finance 2008, Vol 1, 2, 219-234.

Working Papers:

- "Downside Risk Asset Pricing Revisited: A New Nonlinear Threshold Model"

- “Uncovered Interest Parity and the Efficiency of the Foreign Exchange Market: A Re-Examination of the Evidence" (with Keith Pilbeam)

- "The Forward Discount Puzzle and Market Efficiency" (with Keith Pilbeam) 

- "A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences" (with Oscar Martinez)

-  "Early Detection Techniques for Market Risk Failure" (with William Pouliot)

- "A New Family of Consistent and Asymptotically Normal Estimators for the Extremal Index''

- "Downside Risk Efficiency Under Market Distress" (with Jesus Gonzalo)

- "Threshold Quantile Autoregressive Models" (with Antonio Galvao and Gabriel Montes-Rojas)

- "Robust Backtesting Tests for Value-at-Risk Models" (with Juan Carlos Escanciano)

- "Exploiting Long Memory, Intraday, Overnight and Jump Price Variation for VaR Prediction" (with Ana Maria Fuertes)

Work in Progress:

- Tests for Structural Breaks in Linear Regression Models (with William Pouliot)

- Nonlinear Econometric Models for Describing Poverty Traps (with Antonio Galvao and Gabriel Montes-Rojas)

 
Referee for the following journals:

Journal of Econometrics, Journal of Applied Econometrics, Journal of Financial Econometrics, Journal of Business and Economic Statistics, Journal of Empirical Finance, Journal of International Money and Finance, Journal of Economic Behavior and Organization, Applied Financial Economics, Applied Economics, Scandinavian Journal of Statistics, Statistics and Probability Letters, Innovar, Journal of Forecasting.

2010

North American Winter Meetings of Econometric Society, Atlanta, January 2010.

2009

- VII Oxmetrics Conference, London.

- European Meetings of the Econometric Society, Barcelona.

- Far East and South Asia Meetings of the Econometric Society, Tokyo.

- Sofie Conference in Financial Econometrics, Geneva.

- Royal Economic Society Annual Meetings, Surrey.

- Second International Forum in Financial Innovation, Paris.

2008

- Far East and South Asia Meetings of the Econometric Society. Singapore.

- Workshop on Computational and Financial Econometrics. Neuchatel.

- First International Forum in Financial Innovation. Paris.

2007

- XXXII Symposium of the Spanish Economic Association. Granada.

- Poster presentation at NBER/NSF conference in Time Series Analysis. Iowa.

- Workshop on Financial Econometrics. Department of Economics of York University.

- Workshop on Computational and Financial Econometrics. Geneva.

- Royal Economics Society Annual Conference. Warwick.

2006

- XXXI Symposium of the Spanish Economic Association. Oviedo.

- EEA-ESSEM 2006. 61st European Meetings of the Econometric Society. Vienna

- Workshop in Extreme Value Theory. Department of Meteorology, University of Reading.

2005

- Conference on Capital Markets, Corporate Finance, Money and Banking in Cass Business School. London.

- Workshop on Financial  Risk and Time Series Analysis (Satellite Workshop NBER/NSF Conference). Munich.

- Econometric Society World Congress. London, August 2005.

- EVA 2005. International Symposium on  Extreme Value Analysis: Theory and Practice, Goteborg.